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
September 30, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 11/17/2009 | 11/17/2009 | 1.03% | 0.59% | 2.41% |
Class A with 3.25% Maximum Sales Charge | — | — | (2.22) | (0.08) | 2.07 |
Class C at NAV | 11/17/2009 | 11/17/2009 | 0.17 | (0.17) | 1.80 |
Class C with 1% Maximum Deferred Sales Charge | — | — | (0.79) | (0.17) | 1.80 |
Class I at NAV | 11/17/2009 | 11/17/2009 | 1.28 | 0.84 | 2.66 |
Class R6 at NAV | 06/30/2023 | 11/17/2009 | 1.29 | 0.84 | 2.66 |
Bloomberg U.S. Aggregate Bond Index | — | — | 0.64% | 0.10% | 1.13% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.86% | 1.61% | 0.61% | 0.55% |
Net | 0.74 | 1.49 | 0.49 | 0.43 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2013 | $11,951 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2013 | $1,300,428 | N.A. |
Class R6, at minimum investment | $5,000,000 | 09/30/2013 | $6,503,148 | N.A. |
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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.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 2/1/25. 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. |
Additional Information | |
Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. Bloomberg U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. Bloomberg U.S. Mortgage-Backed Securities Index measures agency mortgage-backed pass-through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). Bloomberg U.S. Asset-Backed Securities Index tracks the performance of U.S. dollar denominated investment grade, fixed rate asset-backed securities publicly issued in the U.S. domestic market. | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. | |
Yield curve is a graphical representation of the yields offered by bonds of various maturities. The yield curve flattens when long-term interest rates fall and/or short-term interest rates increase, and the yield curve steepens when long-term interest rates increase and/or short-term interest rates fall. |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual* | ||||
Class A | $1,000.00 | $ 970.50 | $3.66** | 0.74% |
Class C | $1,000.00 | $ 965.80 | $7.34** | 1.49% |
Class I | $1,000.00 | $ 971.60 | $2.42** | 0.49% |
Class R6 | $1,000.00 | $ 977.70 | $1.08** | 0.43% |
Hypothetical *** | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.36 | $3.75** | 0.74% |
Class C | $1,000.00 | $1,017.60 | $7.54** | 1.49% |
Class I | $1,000.00 | $1,022.61 | $2.48** | 0.49% |
Class R6 | $1,000.00 | $1,022.91 | $2.18** | 0.43% |
* | Class R6 had not commenced operations on April 1, 2023. Actual 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 183/365 (to reflect the one-half year period); 93/365 for Class R6 (to reflect the period from the commencement of operations on June 30, 2023 to September 30, 2023). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2023 (June 30, 2023 for Class R6). |
** | Absent an allocation of certain expenses to affiliate(s), expenses would be higher. |
*** | Hypothetical 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 183/365 (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 March 31, 2023 (June 30, 2023 for Class R6). |
Asset-Backed Securities — 14.2% |
Security | Principal Amount (000's omitted) | Value | |
Aaset Trust, Series 2019-2, Class B, 4.458%, 10/16/39(1) | $ | 3,084 | $ 1,306,512 |
ACHV ABS Trust: | |||
Series 2023-1PL, Class B, 6.80%, 3/18/30(1) | 3,200 | 3,199,535 | |
Series 2023-3PL, Class B, 7.17%, 8/19/30(1) | 2,750 | 2,763,712 | |
Avant Credit Card Master Trust, Series 2021-1A, Class A, 1.37%, 4/15/27(1) | 1,450 | 1,347,375 | |
Avant Loans Funding Trust, Series 2021-REV1, Class D, 4.30%, 7/15/30(1) | 5,213 | 4,737,920 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 323 | 302,703 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 3,193 | 2,670,418 | |
Cologix Canadian Issuer L.P., Series 2022-1CAN, Class C, 7.74%, 1/25/52(1)(2) | 2,800 | 1,842,238 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 4,300 | 3,735,944 | |
Series 2021-1A, Class C, 5.99%, 12/26/51(1) | 2,900 | 2,379,202 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 4,758 | 4,747,413 | |
Series 2022-A, Class B, 9.52%, 12/15/26(1) | 1,516 | 1,522,895 | |
Series 2022-A, Class C, 0.00%, 12/15/26(1) | 3,700 | 3,159,937 | |
Series 2023-A, Class B, 10.00%, 1/17/28(1) | 3,167 | 3,177,035 | |
Diamond Infrastructure Funding, LLC, Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 992 | 863,340 | |
Diamond Issuer, Series 2021-1A, Class B, 2.701%, 11/20/51(1) | 1,000 | 818,825 | |
Driven Brands Funding, LLC: | |||
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 2,568 | 2,480,239 | |
Series 2019-1A, Class A2, 4.641%, 4/20/49(1) | 1,922 | 1,817,782 | |
Series 2019-2A, Class A2, 3.981%, 10/20/49(1) | 4,129 | 3,779,524 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/25/49(1) | 2,475 | 2,380,200 | |
Series 2019-1A, Class B, 4.14%, 7/25/49(1) | 3,502 | 3,361,879 | |
Series 2019-1A, Class C, 5.219%, 7/25/49(1) | 3,040 | 2,886,842 | |
Falcon Aerospace, Ltd.: | |||
Series 2019-1, Class A, 3.597%, 9/15/39(1) | 1,656 | 1,506,648 | |
Series 2019-1, Class B, 4.791%, 9/15/39(1) | 4,067 | 3,099,908 | |
Series 2019-1, Class C, 6.656%, 9/15/39(1) | 3,191 | 942,410 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(3) | 2,285 | 1,879,117 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(3) | 1,690 | 1,390,980 | |
Series 2022-GT2, Class A, 7.90%, 7/25/27(1) | 2,197 | 2,167,623 | |
GAIA Aviation, Ltd., Series 2019-1, Class A, 3.967%, 12/15/44(1)(4) | 672 | 606,252 |
Security | Principal Amount (000's omitted) | Value | |
Hertz Vehicle Financing, LLC, Series 2021-1A, Class D, 3.98%, 12/26/25(1) | $ | 5,000 | $ 4,739,320 |
Horizon Aircraft Finance II, Ltd., Series 2019-1, Class A, 3.721%, 7/15/39(1) | 1,732 | 1,507,202 | |
JPMorgan Chase Bank NA: | |||
Series 2021-3, Class D, 1.009%, 2/26/29(1) | 394 | 374,862 | |
Series 2021-3, Class E, 2.102%, 2/26/29(1) | 231 | 219,961 | |
Lunar Aircraft, Ltd.: | |||
Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 544 | 388,689 | |
Series 2020-1A, Class C, 6.413%, 2/15/45(1) | 314 | 71,447 | |
Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/46(1) | 6,198 | 5,324,261 | |
Mosaic Solar Loan Trust, Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 1,612 | 1,393,193 | |
MVW, LLC, Series 2020-1A, Class A, 1.74%, 10/20/37(1) | 183 | 169,009 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 2,449 | 2,051,263 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FHT1, Class A, 3.104%, 7/25/26(1) | 357 | 319,062 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 3,478 | 3,137,104 | |
Octane Receivables Trust, Series 2022-1, Class A2, 4.18%, 3/20/28(1) | 1,206 | 1,188,196 | |
Oportun Issuance Trust, Series 2021-B, Class C, 3.65%, 5/8/31(1) | 496 | 455,598 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 575 | 555,593 | |
Series 2021-3, Class C, 3.27%, 5/15/29(1) | 2,900 | 2,511,397 | |
Series 2021-5, Class C, 3.93%, 8/15/29(1) | 4,319 | 3,769,731 | |
Pagaya AI Technology In Housing Trust, Series 2023-1, Class F, 3.60%, 10/25/40(1)(5) | 1,323 | 830,962 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 2,349 | 1,964,303 | |
PMT Issuer Trust - FMSR: | |||
Series 2021-FT1, Class A, 8.434%, (1 mo. SOFR + 3.00%), 3/25/26(1)(6) | 390 | 380,815 | |
Series 2022-FT1, Class A, 9.505%, (30-day average SOFR + 4.19%), 6/25/27(1)(6) | 3,500 | 3,505,641 | |
Prosper Marketplace Issuance Trust, Series 2023-1A, Class A, 7.06%, 7/16/29(1) | 3,250 | 3,252,750 | |
Raptor Aircraft Finance I, LLC, Series 2019-1, Class A, 4.213%, 8/23/44(1) | 1,311 | 1,051,244 | |
Retained Vantage Data Centers Issuer, LLC: | |||
Series 2023-1A, Class A2B, 5.25%, 9/15/48(1) | 4,877 | 3,191,621 | |
Series 2023-1A, Class B, 5.75%, 9/15/48(1) | 4,890 | 4,360,364 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 637 | 540,158 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 745 | 587,403 |
Security | Principal Amount (000's omitted) | Value | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | $ | 4,697 | $ 4,306,393 |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 3,793 | 3,448,856 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 1,135 | 1,088,567 | |
Series 2020-1A, Class A2, 1.893%, 8/25/45(1) | 1,096 | 995,824 | |
STAR Trust: | |||
Series 2021-SFR1, Class G, 8.648%, (1 mo. SOFR + 3.31%), 4/17/38(1)(6) | 2,494 | 2,407,635 | |
Series 2021-SFR1, Class H, 9.898%, (1 mo. SOFR + 4.56%), 4/17/38(1)(6) | 1,600 | 1,565,515 | |
Sunnova Helios II Issuer, LLC: | |||
Series 2019-AA, Class C, 5.32%, 6/20/46(1) | 989 | 750,675 | |
Series 2021-A, Class B, 3.15%, 2/20/48(1) | 2,864 | 2,235,176 | |
Series 2021-B, Class B, 2.01%, 7/20/48(1) | 2,313 | 1,863,953 | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 3,699 | 3,460,763 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class B, 5.54%, 2/1/55(1) | 8,418 | 7,012,904 | |
Theorem Funding Trust, Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 2,253 | 2,213,767 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 3,088 | 2,586,750 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 3,858 | 3,381,266 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 1,471 | 1,188,006 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 505 | 364,193 | |
Total Asset-Backed Securities (identified cost $168,613,065) | $ 153,585,800 |
Collateralized Mortgage Obligations — 5.2% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd., Series 2021-2A, Class M1A, 6.515%, (30-day average SOFR + 1.20%), 6/25/31(1)(6) | $ | 1,161 | $ 1,161,594 |
Cascade Funding Mortgage Trust, Series 2022-HB10, Class M2, 3.25%, 11/25/35(1)(3) | 2,000 | 1,760,968 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 2,041 | 1,794,916 | |
CFMT, LLC, Series 2023-HB11, Class M2, 4.00%, 2/25/37(1)(3) | 2,500 | 2,147,641 | |
Eagle Re, Ltd., Series 2021-2, Class M1B, 7.365%, (30-day average SOFR + 2.05%), 4/25/34(1)(6) | 1,500 | 1,506,288 | |
Federal Home Loan Mortgage Corp., Series 5324, Class MZ, 6.00%, 7/25/53 | 233 | 216,510 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-DNA4, Class M2, 7.379%, (30-day average SOFR + 2.064%), 10/25/49(1)(6) | $ | 53 | $ 53,391 |
Series 2019-HQA3, Class B1, 8.429%, (30-day average SOFR + 3.11%), 9/25/49(1)(6) | 1,395 | 1,458,494 | |
Series 2019-HQA4, Class B1, 8.379%, (30-day average SOFR + 3.06%), 11/25/49(1)(6) | 941 | 969,838 | |
Series 2020-HQA2, Class B1, 9.529%, (30-day average SOFR + 4.21%), 3/25/50(1)(6) | 1,878 | 2,047,995 | |
Series 2021-DNA2, Class B1, 8.715%, (30-day average SOFR + 3.40%), 8/25/33(1)(6) | 2,165 | 2,225,053 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2019-R01, Class 2B1, 9.779%, (30-day average SOFR + 4.46%), 7/25/31(1)(6) | 1,390 | 1,481,037 | |
Series 2019-R02, Class 1B1, 9.579%, (30-day average SOFR + 4.26%), 8/25/31(1)(6) | 552 | 582,185 | |
Series 2019-R03, Class 1B1, 9.529%, (30-day average SOFR + 4.21%), 9/25/31(1)(6) | 1,125 | 1,187,374 | |
Series 2019-R06, Class 2B1, 9.179%, (30-day average SOFR + 3.864%), 9/25/39(1)(6) | 5,455 | 5,603,111 | |
Series 2019-R07, Class 1B1, 8.829%, (30-day average SOFR + 3.51%), 10/25/39(1)(6) | 3,081 | 3,149,955 | |
Series 2020-R02, Class 2B1, 8.429%, (30-day average SOFR + 3.11%), 1/25/40(1)(6) | 1,612 | 1,629,316 | |
Series 2021-R01, Class 1B2, 11.315%, (30-day average SOFR + 6.00%), 10/25/41(1)(6) | 1,995 | 2,029,032 | |
Series 2021-R02, Class 2B1, 8.615%, (30-day average SOFR + 3.30%), 11/25/41(1)(6) | 584 | 588,212 | |
Finance of America HECM Buyout, Series 2022-HB2, Class M5, 6.00%, 8/1/32(1)(3) | 1,000 | 594,148 | |
Government National Mortgage Association: | |||
Series 2023-84, Class DL, 6.00%, 6/20/53 | 1,002 | 979,072 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 1,051 | 1,027,055 | |
Series 2023-98, Class BW, 6.00%, 7/20/53 | 1,190 | 1,164,210 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 1,190 | 1,163,902 | |
Series 2023-102, Class SG, 2.742%, (22.55% - 30-day average SOFR x 3.727), 7/20/53(7) | 1,792 | 1,628,323 | |
Series 2023-116, Class CY, 6.00%, 8/20/53 | 2,770 | 2,709,223 | |
Series 2023-133, Class S, 5.66%, (21.60% - 30-day average SOFR x 3.00), 9/20/53(7) | 3,845 | 3,713,868 | |
JP Morgan Mortgage Trust, Series 2023-HE2, Class A1, 7.016%, (30-day average SOFR + 1.70%), 3/25/54(1)(6) | 4,443 | 4,443,000 | |
LHOME Mortgage Trust: | |||
Series 2023-RTL2, Class A1, 8.00% to 1/25/26, 6/25/28(1)(4) | 1,550 | 1,549,640 | |
Series 2023-RTL3, Class A1, 8.00%, 8/25/28(1)(3) | 1,624 | 1,624,281 |
Security | Principal Amount (000's omitted) | Value | |
MFRA Trust, Series 2023-NQM1, Class A2, 5.75% to 1/25/26, 11/25/67(1)(4) | $ | 1,517 | $ 1,465,671 |
Oaktown Re VI, Ltd., Series 2021-1A, Class M1B, 7.365%, (30-day average SOFR + 2.05%), 10/25/33(1)(6) | 697 | 698,290 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 9.284%, (1 mo. SOFR + 3.85%), 2/25/25(1)(6) | 775 | 774,923 | |
Series 2018-GT2, Class A, 8.084%, (1 mo. SOFR + 2.65%), 8/25/25(1)(6) | 445 | 445,017 | |
RMF Buyout Issuance Trust, Series 2020-HB1, Class M5, 6.00%, 10/25/50(1) | 1,180 | 773,260 | |
Total Collateralized Mortgage Obligations (identified cost $56,280,766) | $ 56,346,793 |
Commercial Mortgage-Backed Securities — 10.1% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(3) | $ | 7,255 | $ 2,400,166 |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(3) | 7,215 | 1,597,190 | |
BBCMS Mortgage Trust, Series 2017-C1, Class D, 3.709%, 2/15/50(1)(3) | 3,500 | 2,320,186 | |
BX Commercial Mortgage Trust: | |||
Series 2021-VOLT, Class C, 6.547%, (1 mo. SOFR + 1.214%), 9/15/36(1)(6) | 6,379 | 6,139,731 | |
Series 2021-VOLT, Class D, 7.097%, (1 mo. SOFR + 1.764%), 9/15/36(1)(6) | 474 | 453,429 | |
CFCRE Commercial Mortgage Trust: | |||
Series 2016-C3, Class D, 3.052%, 1/10/48(1)(3) | 1,500 | 1,148,250 | |
Series 2016-C7, Class D, 4.514%, 12/10/54(1)(3) | 1,725 | 1,191,847 | |
COMM Mortgage Trust: | |||
Series 2013-CR11, Class D, 4.828%, 8/10/50(1)(3) | 3,603 | 3,230,765 | |
Series 2013-CR13, Class C, 4.95%, 11/10/46(3) | 1,000 | 902,936 | |
Series 2015-CR22, Class D, 4.203%, 3/10/48(1)(3) | 2,324 | 1,832,328 | |
CSMC Trust: | |||
Series 2016-NXSR, Class D, 4.574%, 12/15/49(1)(3) | 2,000 | 1,269,422 | |
Series 2020-TMIC, Class A, 8.948%, (1 mo. SOFR + 3.614%), 12/15/35(1)(6) | 4,240 | 4,236,992 | |
Series 2021-4SZN, Class A, 9.30%, (1 mo. SOFR + 3.967%), 11/15/23(1)(6) | 5,344 | 5,183,418 | |
Series 2021-BPNY, Class A, 9.162%, (1 mo. SOFR + 3.83%), 8/15/26(1)(6) | 3,917 | 3,441,362 | |
Series 2021-WEHO, Class A, 9.417%, (1 mo. SOFR + 4.083%), 4/15/26(1)(6) | 396 | 387,760 | |
Series 2022-CNTR, Class A, 9.277%, (1 mo. SOFR + 3.944%), 1/15/24(1)(6) | 3,745 | 3,218,497 | |
Series 2022-NWPT, Class A, 8.475%, (1 mo. SOFR + 3.143%), 9/9/24(1)(6) | 3,163 | 3,196,616 |
Security | Principal Amount (000's omitted) | Value | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class C, 7.147%, (1 mo. SOFR + 1.814%), 7/15/38(1)(6) | $ | 3,019 | $ 2,978,029 |
Series 2021-ESH, Class D, 7.697%, (1 mo. SOFR + 2.36%), 7/15/38(1)(6) | 1,844 | 1,817,151 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 8.679%, (30-day average SOFR + 3.364%), 10/25/49(1)(6) | 2,813 | 2,751,254 | |
Series 2020-01, Class M10, 9.179%, (30-day average SOFR + 3.864%), 3/25/50(1)(6) | 7,229 | 7,069,758 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.70%, 9/15/47(1)(3) | 1,980 | 1,338,654 | |
Series 2014-C25, Class D, 4.081%, 11/15/47(1)(3) | 3,575 | 1,514,390 | |
Series 2015-C29, Class D, 3.827%, 5/15/48(3) | 500 | 327,970 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2013-C16, Class D, 5.10%, 12/15/46(1)(3) | 1,500 | 1,293,373 | |
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 1,384 | 202,721 | |
Med Trust: | |||
Series 2021-MDLN, Class E, 8.597%, (1 mo. SOFR + 3.26%), 11/15/38(1)(6) | 4,150 | 3,956,130 | |
Series 2021-MDLN, Class F, 9.447%, (1 mo. SOFR + 4.11%), 11/15/38(1)(6) | 3,200 | 3,041,932 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | |||
Series 2016-C29, Class C, 4.878%, 5/15/49(3)(8) | 4,199 | 3,633,419 | |
Series 2016-C29, Class D, 3.00%, 5/15/49(1)(8) | 3,048 | 2,189,292 | |
Series 2016-C32, Class D, 3.396%, 12/15/49(1)(3)(8) | 5,000 | 3,303,944 | |
Morgan Stanley Capital I Trust: | |||
Series 2019-BPR, Class B, 8.022%, (1 mo. SOFR + 2.69%), 5/15/36(1)(6)(8) | 3,960 | 3,787,158 | |
Series 2019-BPR, Class C, 8.972%, (1 mo. SOFR + 3.642%), 5/15/36(1)(6)(8) | 2,219 | 2,100,512 | |
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 7.647%, (1 mo. SOFR + 2.314%), 6/15/35(1)(6) | 3,219 | 1,479,171 | |
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, 7.518%, (1 mo. SOFR + 2.19%), 5/15/37(1)(6) | 2,000 | 1,955,600 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class D, 4.103%, 4/10/46(1)(3) | 1,982 | 1,643,334 | |
VMC Finance, LLC, Series 2021-HT1, Class B, 9.945%, (1 mo. SOFR + 4.614%), 1/18/37(1)(6) | 8,477 | 8,040,665 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2015-C31, Class D, 3.852%, 11/15/48 | 5,598 | 4,238,079 | |
Series 2015-NXS1, Class C, 3.848%, 5/15/48(3) | 1,000 | 877,287 | |
Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 2,150 | 1,529,444 | |
Series 2016-C36, Class D, 2.942%, 11/15/59(1) | 6,000 | 3,476,594 |
Security | Principal Amount (000's omitted) | Value | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2013-UBS1, Class D, 5.206%, 3/15/46(1)(3) | $ | 350 | $ 339,546 |
Series 2014-C24, Class D, 3.692%, 11/15/47(1) | 4,150 | 2,478,465 | |
Total Commercial Mortgage-Backed Securities (identified cost $130,429,427) | $ 109,514,767 |
Convertible Bonds — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Aerospace & Defense — 0.0%(9) | |||
Spirit Airlines, Inc., 1.00%, 5/15/26 | $ | 200 | $ 167,300 |
$ 167,300 | |||
Biotechnology — 0.0%(9) | |||
BioMarin Pharmaceutical, Inc., 0.599%, 8/1/24 | $ | 175 | $ 170,188 |
$ 170,188 | |||
Commercial Services — 0.0%(9) | |||
Block, Inc., 0.125%, 3/1/25 | $ | 170 | $ 158,610 |
$ 158,610 | |||
Computers — 0.0%(9) | |||
Rapid7, Inc., 0.25%, 3/15/27 | $ | 175 | $ 149,953 |
$ 149,953 | |||
Diversified Financial Services — 0.1% | |||
Ares Capital Corp., 4.625%, 3/1/24 | $ | 250 | $ 254,844 |
Ford Motor Co., 0.00%, 3/15/26 | 200 | 197,500 | |
$ 452,344 | |||
Electric Utilities — 0.0%(9) | |||
NRG Energy, Inc., 2.75%, 6/1/48 | $ | 200 | $ 212,600 |
$ 212,600 | |||
Leisure Time — 0.0%(9) | |||
NCL Corp., Ltd., 1.125%, 2/15/27 | $ | 200 | $ 166,500 |
$ 166,500 | |||
Oil and Gas — 0.0%(9) | |||
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | $ | 200 | $ 170,600 |
$ 170,600 |
Security | Principal Amount (000's omitted) | Value | |
Pharmaceuticals — 0.0%(9) | |||
Dexcom, Inc., 0.25%, 11/15/25 | $ | 175 | $ 165,812 |
Jazz Investments I, Ltd., 2.00%, 6/15/26 | 200 | 204,625 | |
$ 370,437 | |||
Software — 0.1% | |||
Akamai Technologies, Inc., 1.125%, 2/15/29(1) | $ | 200 | $ 202,700 |
Bill Holdings, Inc., 0.00%, 12/1/25 | 175 | 176,750 | |
Tyler Technologies, Inc., 0.25%, 3/15/26 | 175 | 169,837 | |
$ 549,287 | |||
Total Convertible Bonds (identified cost $2,665,769) | $ 2,567,819 |
Corporate Bonds — 38.1% |
Security | Principal Amount (000's omitted) | Value | |
Aerospace & Defense — 0.3% | |||
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | $ | 3,106 | $ 2,952,912 |
$ 2,952,912 | |||
Agriculture — 0.3% | |||
BAT Capital Corp., 6.421%, 8/2/33 | $ | 3,273 | $ 3,183,881 |
$ 3,183,881 | |||
Auto Manufacturers — 1.1% | |||
General Motors Financial Co., Inc.: | |||
5.80%, 6/23/28 | $ | 2,280 | $ 2,228,664 |
5.85%, 4/6/30 | 5,704 | 5,467,343 | |
Hyundai Capital America, 5.70%, 6/26/30(1) | 4,761 | 4,583,393 | |
$ 12,279,400 | |||
Banks — 10.9% | |||
ABN AMRO Bank NV, 6.339% to 9/18/26, 9/18/27(1)(10) | $ | 2,300 | $ 2,295,234 |
African Export-Import Bank (The), 3.994%, 9/21/29(11) | 2,200 | 1,809,632 | |
AIB Group PLC, 6.608% to 9/13/28, 9/13/29(1)(10) | 2,829 | 2,819,075 | |
Banco Mercantil del Norte S.A./Grand Cayman, 7.50% to 6/27/29(1)(10)(12) | 745 | 664,074 | |
Banco Santander S.A.: | |||
4.175% to 3/24/27, 3/24/28(10) | 400 | 369,525 | |
6.921%, 8/8/33 | 5,400 | 5,167,083 |
Security | Principal Amount (000's omitted) | Value | |
Banks (continued) | |||
Bank Hapoalim BM, 3.255% to 10/21/26, 1/21/32(1)(10)(11) | $ | 2,600 | $ 2,226,234 |
Bank Leumi Le-Israel BM, 7.129% to 4/18/28, 7/18/33(1)(10)(11) | 2,360 | 2,321,678 | |
Bank of America Corp.: | |||
3.846% to 3/8/32, 3/8/37(10) | 3,300 | 2,686,568 | |
5.872% to 9/15/33, 9/15/34(10) | 5,327 | 5,186,918 | |
Barclays PLC: | |||
4.375%, 9/11/24 | 3,500 | 3,430,550 | |
6.496% to 9/13/26, 9/13/27(10) | 5,396 | 5,383,853 | |
BBVA Bancomer S.A., 8.45% to 6/29/33, 6/29/38(1)(10) | 2,261 | 2,230,158 | |
BBVA Bancomer S.A./Texas, 5.125% to 1/18/28, 1/18/33(1)(10) | 2,270 | 1,956,308 | |
BNP Paribas S.A., 8.50%(1)(10)(12) | 5,510 | 5,404,333 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(10) | 1,518 | 1,169,658 | |
CaixaBank S.A., 6.208% to 1/18/28, 1/18/29(1)(10) | 3,962 | 3,879,098 | |
Danske Bank A/S, 5.375%, 1/12/24(1) | 5,212 | 5,191,567 | |
Fifth Third Bancorp, 6.339% to 7/27/28, 7/27/29(10) | 3,113 | 3,076,888 | |
HSBC Holdings PLC: | |||
6.161% to 3/9/28, 3/9/29(10) | 2,144 | 2,123,589 | |
7.39% to 11/3/27, 11/3/28(10) | 3,399 | 3,517,700 | |
Intesa Sanpaolo SpA: | |||
7.778% to 6/20/53, 6/20/54(1)(10) | 2,500 | 2,256,702 | |
8.248% to 11/21/32, 11/21/33(1)(10) | 3,183 | 3,210,669 | |
KeyBank N.A.: | |||
4.15%, 8/8/25 | 3,055 | 2,878,193 | |
5.85%, 11/15/27 | 1,690 | 1,608,171 | |
KeyCorp, 4.789% to 6/1/32, 6/1/33(10) | 750 | 625,609 | |
Macquarie Bank, Ltd., 6.798%, 1/18/33(1) | 2,408 | 2,365,255 | |
Macquarie Group, Ltd., 2.871% to 1/14/32, 1/14/33(1)(10) | 3,071 | 2,323,790 | |
PNC Financial Services Group, Inc.: | |||
5.068% to 1/24/33, 1/24/34(10) | 3,000 | 2,722,517 | |
6.25% to 3/15/30(10)(12) | 5,734 | 4,929,604 | |
Societe Generale S.A.: | |||
6.221% to 6/15/32, 6/15/33(1)(10) | 2,600 | 2,357,788 | |
9.375% to 11/22/27(1)(10)(12) | 2,389 | 2,346,873 | |
Synchrony Bank: | |||
5.40%, 8/22/25 | 1,200 | 1,157,045 | |
5.625%, 8/23/27 | 1,002 | 935,850 | |
Synchrony Financial, 4.875%, 6/13/25 | 563 | 539,991 | |
Synovus Bank/Columbus, GA, 5.625%, 2/15/28 | 4,405 | 3,993,966 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(10) | 3,393 | 2,817,778 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(10) | 4,577 | 4,564,889 |
Security | Principal Amount (000's omitted) | Value | |
Banks (continued) | |||
Truist Financial Corp., 5.867% to 6/8/33, 6/8/34(10) | $ | 9,760 | $ 9,193,220 |
U.S. Bancorp, 5.836% to 6/10/33, 6/12/34(10) | 2,463 | 2,324,891 | |
UBS Group AG, 4.375% to 2/10/31(1)(10)(12) | 3,315 | 2,383,231 | |
$ 118,445,755 | |||
Building Materials — 0.3% | |||
Cemex SAB de CV, 9.125% to 3/14/28(1)(10)(12) | $ | 2,796 | $ 2,914,145 |
$ 2,914,145 | |||
Chemicals — 1.2% | |||
Celanese US Holdings, LLC: | |||
6.35%, 11/15/28 | $ | 3,776 | $ 3,730,483 |
6.55%, 11/15/30 | 1,485 | 1,454,013 | |
6.70%, 11/15/33 | 3,258 | 3,173,775 | |
Sasol Financing USA, LLC, 8.75%, 5/3/29(1) | 5,000 | 4,812,354 | |
$ 13,170,625 | |||
Commercial Services — 0.7% | |||
Ashtead Capital, Inc.: | |||
4.25%, 11/1/29(1) | $ | 2,785 | $ 2,468,143 |
5.95%, 10/15/33(1) | 3,750 | 3,564,020 | |
Western Union Co. (The), 6.20%, 11/17/36 | 2,075 | 2,025,356 | |
$ 8,057,519 | |||
Computers — 1.2% | |||
Kyndryl Holdings, Inc.: | |||
2.70%, 10/15/28 | $ | 4,800 | $ 3,948,986 |
3.15%, 10/15/31 | 6,646 | 5,038,729 | |
Seagate HDD Cayman: | |||
5.75%, 12/1/34 | 2,589 | 2,189,352 | |
9.625%, 12/1/32(1) | 1,901 | 2,050,223 | |
$ 13,227,290 | |||
Consumer Products — 0.1% | |||
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | $ | 1,042 | $ 895,816 |
$ 895,816 | |||
Diversified Financial Services — 4.0% | |||
Ally Financial, Inc.: | |||
3.875%, 5/21/24 | $ | 3,500 | $ 3,435,547 |
8.00%, 11/1/31 | 5,825 | 5,886,160 | |
Alpha Holding S.A. de CV, 9.00%, 2/10/25(1)(13) | 2,946 | 44,191 | |
American AgCredit Corp., Series A, 5.25% to 6/15/26(1)(10)(12) | 1,431 | 1,314,731 |
Security | Principal Amount (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
Aviation Capital Group, LLC: | |||
6.25%, 4/15/28(1) | $ | 2,518 | $ 2,464,727 |
6.375%, 7/15/30(1) | 4,930 | 4,778,307 | |
Brookfield Finance, Inc., 4.70%, 9/20/47 | 3,240 | 2,527,590 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 3,912 | 2,970,290 | |
4.10%, 6/15/51 | 4,504 | 2,610,982 | |
Inversiones La Construccion S.A., 4.75%, 2/7/32(11) | 2,250 | 1,756,980 | |
Jefferies Financial Group, Inc., 5.875%, 7/21/28 | 4,453 | 4,360,551 | |
OneMain Finance Corp.: | |||
3.50%, 1/15/27 | 1,700 | 1,457,334 | |
5.375%, 11/15/29 | 2,696 | 2,261,135 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc., 3.875%, 3/1/31(1) | 2,900 | 2,316,187 | |
UniCredit SpA, 5.861% to 6/19/27, 6/19/32(1)(10) | 5,038 | 4,588,030 | |
$ 42,772,742 | |||
Electric Utilities — 0.6% | |||
Cometa Energia S.A. de CV, 6.375%, 4/24/35(11) | $ | 1,929 | $ 1,798,510 |
Edison International, Series B, 5.00% to 12/15/26(10)(12) | 2,996 | 2,568,097 | |
Minejesa Capital BV, 4.625%, 8/10/30(11) | 2,100 | 1,873,725 | |
$ 6,240,332 | |||
Electrical and Electronic Equipment — 0.4% | |||
Jabil, Inc., 3.00%, 1/15/31 | $ | 1,468 | $ 1,190,692 |
Vontier Corp., 2.95%, 4/1/31 | 3,671 | 2,835,268 | |
$ 4,025,960 | |||
Entertainment — 0.1% | |||
WarnerMedia Holdings, Inc., 5.391%, 3/15/62 | $ | 1,825 | $ 1,349,139 |
$ 1,349,139 | |||
Foods — 0.4% | |||
Smithfield Foods, Inc., 5.20%, 4/1/29(1) | $ | 4,300 | $ 3,932,301 |
$ 3,932,301 | |||
Health Care — 1.3% | |||
Centene Corp.: | |||
2.50%, 3/1/31 | $ | 3,824 | $ 2,942,142 |
3.375%, 2/15/30 | 990 | 826,855 | |
HCA, Inc.: | |||
3.50%, 7/15/51 | 2,996 | 1,873,494 | |
5.00%, 3/15/24 | 5,000 | 4,975,141 |
Security | Principal Amount (000's omitted) | Value | |
Health Care (continued) | |||
HCA, Inc.: (continued) | |||
5.25%, 6/15/49 | $ | 3,700 | $ 3,044,289 |
$ 13,661,921 | |||
Insurance — 3.2% | |||
American National Group, Inc., 6.144%, 6/13/32(1) | $ | 3,300 | $ 2,989,375 |
ASR Nederland N.V., 7.00% to 9/7/33, 12/7/43(10)(11) | 2,860 | 3,113,385 | |
Athene Global Funding, 2.646%, 10/4/31(1) | 5,300 | 3,932,292 | |
F&G Annuities & Life, Inc., 7.40%, 1/13/28 | 9,102 | 9,093,415 | |
Global Atlantic Fin Co.: | |||
3.125%, 6/15/31(1) | 4,532 | 3,234,757 | |
7.95%, 6/15/33(1) | 2,200 | 2,116,383 | |
Hanwha Life Insurance Co., Ltd., 3.379% to 2/4/27, 2/4/32(10)(11) | 2,100 | 1,865,626 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(10) | 3,769 | 3,104,770 | |
Radian Group, Inc., 4.875%, 3/15/27 | 2,508 | 2,346,083 | |
Stewart Information Services Corp., 3.60%, 11/15/31 | 4,244 | 3,126,676 | |
$ 34,922,762 | |||
Leisure Time — 0.8% | |||
Brunswick Corp., 5.10%, 4/1/52 | $ | 6,491 | $ 4,476,324 |
NCL Corp., Ltd., 5.875%, 3/15/26(1) | 2,550 | 2,357,228 | |
Viking Cruises, Ltd., 5.875%, 9/15/27(1) | 2,525 | 2,307,168 | |
$ 9,140,720 | |||
Media — 0.3% | |||
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.125%, 5/1/27(1) | $ | 3,275 | $ 3,054,793 |
$ 3,054,793 | |||
Oil and Gas — 1.9% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | $ | 3,339 | $ 2,726,527 |
Hunt Oil Co. of Peru, LLC Sucursal Del Peru, 8.55%, 9/18/33(1) | 1,170 | 1,182,542 | |
National Fuel Gas Co., 2.95%, 3/1/31 | 5,065 | 3,988,198 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 1,315 | 1,303,823 | |
Occidental Petroleum Corp., 7.50%, 5/1/31 | 3,000 | 3,187,105 | |
Petroleos Mexicanos: | |||
6.50%, 3/13/27 | 2,450 | 2,162,148 | |
10.00%, 2/7/33(1) | 2,912 | 2,594,973 | |
Var Energi ASA, 7.50%, 1/15/28(1) | 3,000 | 3,083,647 | |
$ 20,228,963 |
Security | Principal Amount (000's omitted) | Value | |
Pipelines — 1.2% | |||
Enbridge, Inc., 8.25% to 10/15/28, 1/15/84(10) | $ | 5,500 | $ 5,398,016 |
Midwest Connector Capital Co., LLC, 4.625%, 4/1/29(1) | 4,344 | 3,973,238 | |
ONEOK, Inc., 6.05%, 9/1/33 | 3,685 | 3,622,425 | |
$ 12,993,679 | |||
Real Estate Investment Trusts (REITs) — 3.6% | |||
American Assets Trust, L.P., 3.375%, 2/1/31 | $ | 3,290 | $ 2,467,085 |
CBRE Services, Inc., 5.95%, 8/15/34 | 3,725 | 3,517,949 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 3,331 | 2,339,926 | |
EPR Properties: | |||
3.60%, 11/15/31 | 1,200 | 890,638 | |
3.75%, 8/15/29 | 2,672 | 2,148,972 | |
4.95%, 4/15/28 | 3,444 | 3,054,829 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.75%, 9/15/30(1) | 5,251 | 4,024,915 | |
6.00%, 4/15/25(1) | 1,600 | 1,558,622 | |
Iron Mountain, Inc., 4.50%, 2/15/31(1) | 2,633 | 2,168,535 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 5,419 | 5,414,150 | |
Sun Communities Operating, L.P.: | |||
4.20%, 4/15/32 | 1,865 | 1,592,573 | |
5.70%, 1/15/33 | 1,632 | 1,545,395 | |
VICI Properties, L.P./VICI Note Co., Inc.: | |||
5.625%, 5/1/24(1) | 3,000 | 2,983,624 | |
5.75%, 2/1/27(1) | 5,908 | 5,725,193 | |
$ 39,432,406 | |||
Retail — 1.1% | |||
Bath & Body Works, Inc., 6.875%, 11/1/35 | $ | 2,845 | $ 2,544,094 |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 7,104 | 4,319,894 | |
Lithia Motors, Inc., 4.375%, 1/15/31(1) | 2,811 | 2,328,343 | |
Macy's Retail Holdings, LLC, 5.875%, 4/1/29(1) | 2,778 | 2,435,042 | |
$ 11,627,373 | |||
Semiconductors — 0.3% | |||
Foundry JV Holdco, LLC, 5.875%, 1/25/34(1) | $ | 3,873 | $ 3,703,898 |
$ 3,703,898 | |||
Software — 1.2% | |||
Concentrix Corp.: | |||
6.60%, 8/2/28 | $ | 8,433 | $ 8,142,797 |
6.85%, 8/2/33 | 4,820 | 4,456,616 | |
$ 12,599,413 |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.3% | |||
CDW, LLC/CDW Finance Corp., 3.276%, 12/1/28 | $ | 3,087 | $ 2,666,171 |
$ 2,666,171 | |||
Telecommunications — 1.1% | |||
Nokia Oyj, 4.375%, 6/12/27 | $ | 1,110 | $ 1,028,831 |
Rogers Communications, Inc., 4.55%, 3/15/52 | 2,456 | 1,793,342 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 1,360 | 917,112 | |
SES S.A., 5.30%, 4/4/43(1) | 810 | 546,197 | |
Sprint, LLC, 7.125%, 6/15/24 | 7,960 | 8,015,306 | |
$ 12,300,788 | |||
Transportation — 0.2% | |||
Penske Truck Leasing Co., L.P./PTL Finance Corp., 6.20%, 6/15/30(1) | $ | 2,330 | $ 2,298,024 |
$ 2,298,024 | |||
Total Corporate Bonds (identified cost $443,068,722) | $ 412,078,728 |
Preferred Stocks — 0.5% |
Security | Shares | Value | |
Real Estate Management & Development — 0.3% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 187,034 | $ 2,382,813 | |
Series A2, 6.375% | 74,772 | 1,009,422 | |
$ 3,392,235 | |||
Wireless Telecommunication Services — 0.2% | |||
United States Cellular Corp., 5.50% | 107,100 | $ 1,762,866 | |
$ 1,762,866 | |||
Total Preferred Stocks (identified cost $9,222,650) | $ 5,155,101 |
Sovereign Government Bonds — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
Mexico — 0.9% | |||
Mexican Udibonos, 4.00%, 11/30/28 | MXN | 82,585 | $ 4,454,855 |
Mexico Bonos, 8.00%, 9/5/24 | MXN | 85,000 | 4,734,664 |
$ 9,189,519 |
Security | Principal Amount (000's omitted) | Value | |
South Africa — 0.2% | |||
Republic of South Africa, 5.875%, 4/20/32 | USD | 3,118 | $ 2,659,966 |
$ 2,659,966 | |||
Uruguay — 0.4% | |||
Uruguay Government International Bond, 9.75%, 7/20/33 | UYU | 148,900 | $ 3,906,188 |
$ 3,906,188 | |||
Total Sovereign Government Bonds (identified cost $15,972,207) | $ 15,755,673 |
U.S. Government Agency Mortgage-Backed Securities — 11.9% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
2.00%, 4/1/51 | $ | 1,078 | $ 834,328 |
4.00%, 30-Year, TBA(14) | 8,514 | 7,585,439 | |
4.50%, 30-Year, TBA(14) | 18,576 | 17,064,515 | |
5.00%, 30-Year, TBA(14) | 56,420 | 53,257,428 | |
5.50%, 30-Year, TBA(14) | 44,455 | 42,982,450 | |
6.00%, 30-Year, TBA(14) | 7,500 | 7,405,367 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $131,648,056) | $ 129,129,527 |
U.S. Treasury Obligations — 26.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bond: | |||
2.375%,2/15/42 | $ | 72,222 | $ 49,944,616 |
2.875%,5/15/43 | 18,118 | 13,429,614 | |
2.875%,5/15/52 | 5,503 | 3,903,046 | |
3.625%,2/15/53 | 8,233 | 6,810,878 | |
3.625%,5/15/53 | 23,536 | 19,492,589 | |
3.875%,2/15/43 | 4,455 | 3,877,938 | |
3.875%,5/15/43 | 1,600 | 1,391,250 | |
4.00%,11/15/52 | 6,082 | 5,392,073 | |
U.S. Treasury Floating Rate Notes, 5.572%, (3 mo. USTMMR + 0.169%), 4/30/25(6) | 5,000 | 5,002,515 | |
U.S. Treasury Note: | |||
1.25%,6/30/28 | 5,600 | 4,796,312 | |
3.25%,8/31/24 | 42,180 | 41,343,167 | |
3.50%,1/31/28 | 7,543 | 7,199,735 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Note: (continued) | |||
3.50%,4/30/28 | $ | 12,455 | $ 11,872,631 |
3.50%,4/30/30 | 6,961 | 6,515,877 | |
3.625%,3/31/28 | 5,750 | 5,513,262 | |
3.625%,5/31/28 | 8,900 | 8,531,137 | |
3.625%,3/31/30 | 2,822 | 2,662,270 | |
3.75%,5/31/30 | 7,505 | 7,126,232 | |
4.00%,2/29/28 | 6,228 | 6,067,678 | |
4.125%,7/31/28 | 9,300 | 9,100,195 | |
4.625%,9/15/26 | 4,601 | 4,578,714 | |
5.25%,11/15/28 | 22,355 | 22,958,410 | |
5.375%,2/15/31 | 21,475 | 22,539,522 | |
6.25%,5/15/30 | 5,520 | 6,023,269 | |
6.75%,8/15/26 | 13,295 | 13,973,253 | |
Total U.S. Treasury Obligations (identified cost $307,081,624) | $ 290,046,183 |
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 — 1.6% |
Affiliated Fund – 0.7% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(17) | 7,241,977 | $ 7,241,977 | |
Total Affiliated Fund (identified cost $7,241,977) | $ 7,241,977 |
Commercial Paper – 0.9% |
Security | Principal Amount (000's omitted) | Value | |
Harley-Davidson Financial Services, Inc., 6.195%(1)(18) | $ | 5,000 | $ 4,958,566 |
Security | Principal Amount (000's omitted) | Value | |
Jabil, Inc., 6.197%(1)(18) | $ | 5,430 | $ 5,423,512 |
Total Commercial Paper (identified cost $10,383,462) | $ 10,382,078 | ||
Total Short-Term Investments (identified cost $17,625,439) | $ 17,624,055 | ||
Total Purchased Call Options — 0.0%(9) (identified cost $115,525) | $ 118,594 | ||
Total Investments — 110.1% (identified cost $1,282,723,250) | $1,191,923,040 | ||
Other Assets, Less Liabilities — (10.1)% | $ (109,732,446) | ||
Net Assets — 100.0% | $1,082,190,594 |
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 September 30, 2023, the aggregate value of these securities is $465,353,110 or 43.0% 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 September 30, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at September 30, 2023. |
(5) | When-issued security. |
(6) | Variable rate security. The stated interest rate represents the rate in effect at September 30, 2023. |
(7) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at September 30, 2023. |
(8) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 10). |
(9) | Amount is less than 0.05%. |
(10) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(11) | 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 September 30, 2023, the aggregate value of these securities is $16,765,770 or 1.5% of the Fund's net assets. |
(12) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(13) | Issuer is in default with respect to interest and/or principal payments. |
(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 September 30, 2023. |
(18) | Rate shown reflects the yield at September 30, 2023. |
Country Concentration of Portfolio(1) | ||
Country | Percentage of Total Investments | Value |
United States | 85.9% | $1,024,054,978 |
Mexico | 2.0 | 23,554,026 |
Canada | 1.8 | 21,707,347 |
United Kingdom | 1.5 | 18,227,658 |
France | 0.9 | 11,278,652 |
Cayman Islands | 0.9 | 10,763,887 |
Italy | 0.8 | 10,055,401 |
Spain | 0.8 | 9,415,706 |
Ireland | 0.7 | 8,143,336 |
South Africa | 0.6 | 7,472,320 |
Bermuda | 0.5 | 6,044,465 |
Netherlands | 0.5 | 5,408,619 |
Denmark | 0.4 | 5,191,567 |
Australia | 0.4 | 4,689,045 |
Israel | 0.4 | 4,547,912 |
Uruguay | 0.3 | 3,906,188 |
Norway | 0.3 | 3,083,647 |
Switzerland | 0.2 | 2,383,231 |
Indonesia | 0.2 | 1,873,725 |
South Korea | 0.2 | 1,865,626 |
Supranational | 0.2 | 1,809,632 |
Chile | 0.1 | 1,756,980 |
Luxembourg | 0.1 | 1,463,309 |
Peru | 0.1 | 1,182,542 |
Finland | 0.1 | 1,028,831 |
Brazil | 0.1 | 895,816 |
Total Investments | 100.0% | $1,191,804,446 |
(1) | Depictions do not reflect the Fund’s option positions. |
Purchased Call Options (Exchange-Traded) — 0.0%(1) | |||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
U.S. 10-Year Treasury Note Futures 12/2023 | 230 | $24,854,375 | $110.00 | 11/24/23 | $ 118,594 |
Total Investments | $118,594 |
(1) | Amount is less than 0.05%. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
BRL | 14,473,357 | USD | 2,899,310 | State Street Bank and Trust Company | 11/10/23 | $ — | $ (34,779) |
BRL | 12,300,000 | USD | 2,499,238 | State Street Bank and Trust Company | 11/10/23 | — | (64,853) |
JPY | 717,000,000 | USD | 5,130,557 | JPMorgan Chase Bank, N.A. | 11/10/23 | — | (303,458) |
USD | 2,102,377 | CAD | 2,799,001 | Citibank, N.A. | 11/10/23 | 40,554 | — |
USD | 3,211,947 | CAD | 4,340,530 | State Street Bank and Trust Company | 11/10/23 | 14,590 | — |
USD | 3,222,475 | EUR | 2,907,464 | JPMorgan Chase Bank, N.A. | 11/10/23 | 143,705 | — |
$198,849 | $(403,090) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 1,298 | Long | 12/29/23 | $263,118,798 | $ (975,983) |
U.S. 5-Year Treasury Note | 352 | Long | 12/29/23 | 37,086,500 | (239,084) |
U.S. 10-Year Treasury Note | 92 | Long | 12/19/23 | 9,941,750 | (28,829) |
U.S. Long Treasury Bond | 109 | Long | 12/19/23 | 12,402,156 | (515,454) |
U.S. Ultra-Long Treasury Bond | 48 | Long | 12/19/23 | 5,697,000 | (196,220) |
U.S. Ultra 10-Year Treasury Note | (55) | Short | 12/19/23 | (6,135,938) | 134,854 |
$ (1,820,716) |
Abbreviations: | |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
USTMMR | – U.S. Treasury Money Market Rate |
Currency Abbreviations: | |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
EUR | – Euro |
JPY | – Japanese Yen |
MXN | – Mexican Peso |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
September 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,258,282,642) | $ 1,169,666,738 |
Affiliated investments, at value (identified cost $24,440,608) | 22,256,302 |
Deposits for derivatives collateral — Futures contracts | 2,746,985 |
Foreign currency, at value (identified cost $1,950) | 1,930 |
Interest and dividends receivable | 10,703,946 |
Interest and dividends receivable from affiliated investments | 109,624 |
Receivable for investments sold | 13,525,148 |
Receivable for Fund shares sold | 2,174,484 |
Receivable for variation margin on open futures contracts | 306,774 |
Receivable for open forward foreign currency exchange contracts | 198,849 |
Tax reclaims receivable | 40,703 |
Receivable from affiliates | 177,862 |
Trustees' deferred compensation plan | 18,379 |
Prepaid expenses | 4,230 |
Total assets | $1,221,931,954 |
Liabilities | |
Payable for when-issued securities/forward purchase commitments | $ 131,595,511 |
Payable for Fund shares redeemed | 3,069,634 |
Payable for open forward foreign currency exchange contracts | 403,090 |
Distributions payable | 11,995 |
Due to custodian | 3,849,719 |
Payable to affiliates: | |
Investment adviser fee | 397,020 |
Distribution and service fees | 42,508 |
Trustees' deferred compensation plan | 18,379 |
Accrued expenses | 353,504 |
Total liabilities | $ 139,741,360 |
Net Assets | $1,082,190,594 |
Sources of Net Assets | |
Paid-in capital | $ 1,257,129,980 |
Accumulated loss | (174,939,386) |
Net Assets | $1,082,190,594 |
Class A Shares | |
Net Assets | $ 86,928,527 |
Shares Outstanding | 8,842,735 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.83 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 10.16 |
Class C Shares | |
Net Assets | $ 29,457,381 |
Shares Outstanding | 2,998,212 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.82 |
Class I Shares | |
Net Assets | $ 965,755,802 |
Shares Outstanding | 98,321,879 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.82 |
September 30, 2023 | |
Class R6 Shares | |
Net Assets | $48,884 |
Shares Outstanding | 4,978 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.82 |
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. |
Year Ended | |
September 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $37,259) | $ 502,383 |
Dividend income from affiliated investments | 899,994 |
Interest and other income | 45,457,717 |
Interest income from affiliated investments | 1,110,960 |
Total investment income | $ 47,971,054 |
Expenses | |
Investment adviser fee | $ 3,900,401 |
Distribution and service fees: | |
Class A | 217,502 |
Class C | 301,434 |
Trustees’ fees and expenses | 56,194 |
Custodian fee | 226,664 |
Transfer and dividend disbursing agent fees | 764,248 |
Legal and accounting services | 77,845 |
Printing and postage | 85,313 |
Registration fees | 122,655 |
Miscellaneous | 47,927 |
Total expenses | $ 5,800,183 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 1,055,145 |
Total expense reductions | $ 1,055,145 |
Net expenses | $ 4,745,038 |
Net investment income | $ 43,226,016 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (55,567,231) |
Investment transactions - affiliated investments | (2,187,060) |
Futures contracts | (1,324,951) |
Swap contracts | (34,725) |
Foreign currency transactions | (44,013) |
Forward foreign currency exchange contracts | (443,672) |
Net realized loss | $(59,601,652) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 17,491,598 |
Investments - affiliated investments | 975,449 |
Futures contracts | (2,210,407) |
Foreign currency | (7,716) |
Forward foreign currency exchange contracts | (335,793) |
Net change in unrealized appreciation (depreciation) | $ 15,913,131 |
Net realized and unrealized loss | $(43,688,521) |
Net decrease in net assets from operations | $ (462,505) |
Year Ended September 30, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 43,226,016 | $ 22,335,702 |
Net realized loss | (59,601,652) | (16,488,780) |
Net change in unrealized appreciation (depreciation) | 15,913,131 | (115,384,239) |
Net decrease in net assets from operations | $ (462,505) | $(109,537,317) |
Distributions to shareholders: | ||
Class A | $ (4,282,150) | $ (3,691,989) |
Class C | (1,256,979) | (1,157,380) |
Class I | (39,402,038) | (23,898,871) |
Class R6(1) | (713) | — |
Total distributions to shareholders | $ (44,941,880) | $ (28,748,240) |
Transactions in shares of beneficial interest: | ||
Class A | $ 3,949,587 | $ (2,427,026) |
Class C | 41,155 | (10,600,672) |
Class I | 483,872,938 | 4,787,852 |
Class R6(1) | 50,713 | — |
Net increase (decrease) in net assets from Fund share transactions | $ 487,914,393 | $ (8,239,846) |
Net increase (decrease) in net assets | $ 442,510,008 | $(146,525,403) |
Net Assets | ||
At beginning of year | $ 639,680,586 | $ 786,205,989 |
At end of year | $1,082,190,594 | $ 639,680,586 |
(1) | For the period from the commencement of operations, June 30, 2023, to September 30, 2023. |
Class A | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $10.230 | $ 12.340 | $ 11.820 | $ 11.990 | $ 11.570 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.484 | $ 0.325 | $ 0.330 | $ 0.395 | $ 0.427 |
Net realized and unrealized gain (loss) | (0.380) | (2.017) | 0.573 | (0.143) | 0.451 |
Total income (loss) from operations | $ 0.104 | $ (1.692) | $ 0.903 | $ 0.252 | $ 0.878 |
Less Distributions | |||||
From net investment income | $ (0.504) | $ (0.345) | $ (0.323) | $ (0.413) | $ (0.458) |
From net realized gain | — | (0.073) | (0.060) | (0.009) | — |
Total distributions | $ (0.504) | $ (0.418) | $ (0.383) | $ (0.422) | $ (0.458) |
Net asset value — End of year | $ 9.830 | $10.230 | $ 12.340 | $ 11.820 | $ 11.990 |
Total Return(2)(3) | 1.03% | (14.10)% | 7.72% | 2.21% | 7.76% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $86,929 | $ 86,430 | $107,380 | $136,688 | $137,889 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses (3) | 0.74% (4) | 0.74% (4) | 0.74% | 0.74% | 0.74% |
Net investment income | 4.73% | 2.84% | 2.70% | 3.38% | 3.62% |
Portfolio Turnover | 190% (5) | 118% (5) | 85% (5) | 89% | 75% |
(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 0.12%, 0.10%, 0.08%, 0.11% and 0.11% of average daily net assets for the years ended September 30, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | 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 years ended September 30, 2023 and 2022, respectively). |
(5) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class C | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $10.220 | $ 12.330 | $ 11.820 | $ 11.990 | $ 11.560 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.407 | $ 0.236 | $ 0.238 | $ 0.307 | $ 0.344 |
Net realized and unrealized gain (loss) | (0.381) | (2.014) | 0.564 | (0.142) | 0.456 |
Total income (loss) from operations | $ 0.026 | $ (1.778) | $ 0.802 | $ 0.165 | $ 0.800 |
Less Distributions | |||||
From net investment income | $ (0.426) | $ (0.259) | $ (0.232) | $ (0.326) | $ (0.370) |
From net realized gain | — | (0.073) | (0.060) | (0.009) | — |
Total distributions | $ (0.426) | $ (0.332) | $ (0.292) | $ (0.335) | $ (0.370) |
Net asset value — End of year | $ 9.820 | $10.220 | $12.330 | $11.820 | $11.990 |
Total Return(2)(3) | 0.17% | (14.67)% | 6.83% | 1.45% | 7.05% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $29,457 | $ 30,639 | $ 48,423 | $ 54,189 | $ 52,001 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses (3) | 1.49% (4) | 1.49% (4) | 1.49% | 1.49% | 1.49% |
Net investment income | 3.97% | 2.05% | 1.95% | 2.63% | 2.93% |
Portfolio Turnover | 190% (5) | 118% (5) | 85% (5) | 89% | 75% |
(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 0.12%, 0.10%, 0.08%, 0.11% and 0.11% of average daily net assets for the years ended September 30, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | 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 years ended September 30, 2023 and 2022, respectively). |
(5) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class I | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 10.220 | $ 12.330 | $ 11.810 | $ 11.990 | $ 11.560 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.515 | $ 0.353 | $ 0.356 | $ 0.423 | $ 0.457 |
Net realized and unrealized gain (loss) | (0.386) | (2.016) | 0.578 | (0.152) | 0.460 |
Total income (loss) from operations | $ 0.129 | $ (1.663) | $ 0.934 | $ 0.271 | $ 0.917 |
Less Distributions | |||||
From net investment income | $ (0.529) | $ (0.374) | $ (0.354) | $ (0.442) | $ (0.487) |
From net realized gain | — | (0.073) | (0.060) | (0.009) | — |
Total distributions | $ (0.529) | $ (0.447) | $ (0.414) | $ (0.451) | $ (0.487) |
Net asset value — End of year | $ 9.820 | $ 10.220 | $ 12.330 | $ 11.810 | $ 11.990 |
Total Return(2)(3) | 1.28% | (13.89)% | 8.00% | 2.37% | 8.12% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $965,756 | $522,611 | $630,403 | $531,191 | $622,727 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses (3) | 0.49% (4) | 0.49% (4) | 0.49% | 0.49% | 0.49% |
Net investment income | 5.04% | 3.07% | 2.92% | 3.62% | 3.89% |
Portfolio Turnover | 190% (5) | 118% (5) | 85% (5) | 89% | 75% |
(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 0.12%, 0.10%, 0.08%, 0.11% and 0.11% of average daily net assets for the years ended September 30, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | 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 years ended September 30, 2023 and 2022, respectively). |
(5) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class R6 | |
Period Ended September 30, 2023(1) | |
Net asset value — Beginning of period | $10.190 |
Income (Loss) From Operations | |
Net investment income(2) | $ 0.124 |
Net realized and unrealized loss | (0.349) |
Total loss from operations | $ (0.225) |
Less Distributions | |
From net investment income | $ (0.145) |
Total distributions | $ (0.145) |
Net asset value — End of period | $ 9.820 |
Total Return(3)(4) | (2.23)% (5) |
Ratios/Supplemental Data | |
Net assets, end of period (000’s omitted) | $ 49 |
Ratios (as a percentage of average daily net assets): | |
Expenses (4) | 0.43% (6)(7) |
Net investment income | 4.92% (7) |
Portfolio Turnover | 190% (5)(8)(9) |
(1) | For the period from the commencement of operations, June 30, 2023, to September 30, 2023. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.12% of average daily net assets for the period ended September 30, 2023). Absent this reimbursement, total return would be lower. |
(5) | Not 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 period ended September 30, 2023). |
(7) | Annualized. |
(8) | Includes the effect of To-Be-Announced (TBA) transactions. |
(9) | For the year ended September 30, 2023. |
shares are sold at net asset value and are not subject to a sales charge. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and (as noted below) is subject to different expenses. Realized and unrealized gains and losses are allocated daily to each class of shares based on the relative net assets of each class to the total net assets of the Fund. Net investment income, other than class-specific expenses, is allocated daily to each class of shares based upon the ratio of the value of each class’s paid shares to the total value of all paid shares. Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer and dividend disbursing agent fees on the Statement of Operations, are not allocated to Class R6 shares. Each class of shares differs in its distribution plan and certain other class-specific expenses.
Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. An option on a futures contract gives the holder the right to enter into a specified futures contract. As the purchaser of an index option, the Fund has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
Year Ended September 30, | ||
2023 | 2022 | |
Ordinary income | $44,941,880 | $23,585,557 |
Long-term capital gains | $ — | $ 5,162,683 |
Deferred capital losses | $ (80,395,994) |
Late year ordinary losses | (795,057) |
Net unrealized depreciation | (93,736,340) |
Distributions payable | (11,995) |
Accumulated loss | $(174,939,386) |
Aggregate cost | $1,285,533,048 |
Gross unrealized appreciation | $ 3,875,230 |
Gross unrealized depreciation | (97,603,832) |
Net unrealized depreciation | $ (93,728,602) |
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) | $ 715,428,818 | $ 439,948,764 |
U.S. Government and Agency Securities | 1,483,790,431 | 1,274,283,899 |
$2,199,219,249 | $1,714,232,663 |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 2,335,544 | $ 23,857,818 | 2,661,942 | $ 30,817,187 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 410,809 | 4,199,476 | 316,396 | 3,618,999 | |
Redemptions | (2,356,311) | (24,107,707) | (3,227,438) | (36,863,212) | |
Net increase (decrease) | 390,042 | $ 3,949,587 | (249,100) | $ (2,427,026) | |
Class C | |||||
Sales | 872,744 | $ 8,980,066 | 366,358 | $ 4,240,415 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 122,982 | 1,255,899 | 100,484 | 1,154,212 | |
Redemptions | (995,642) | (10,194,810) | (1,395,071) | (15,995,299) | |
Net increase (decrease) | 84 | $ 41,155 | (928,229) | $ (10,600,672) | |
Class I | |||||
Sales | 72,454,658 | $ 742,501,585 | 33,888,929 | $ 388,383,476 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,859,269 | 39,351,769 | 2,083,169 | 23,847,285 | |
Redemptions | (29,144,875) | (297,980,416) | (35,948,251) | (407,442,909) | |
Net increase | 47,169,052 | $ 483,872,938 | 23,847 | $ 4,787,852 |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class R6(1) | |||||
Sales | 4,907 | $ 50,000 | — | $ — | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 71 | 713 | — | — | |
Net increase | 4,978 | $ 50,713 | — | $ — |
(1) | For the period from the commencement of operations, June 30, 2023, to September 30, 2023. |
Fair Value | |||
Risk | Derivative | Asset Derivative | Liability Derivative |
Foreign Exchange | Forward foreign currency exchange contracts | $ 198,849(1) | $ (403,090)(2) |
Interest Rate | Purchased options | 118,594 (3) | — |
Interest Rate | Futures contracts | 134,854 (4) | (1,955,570) (4) |
Total | $452,297 | $(2,358,660) | |
Derivatives not subject to master netting or similar agreements | $253,448 | $(1,955,570) | |
Total Derivatives subject to master netting or similar agreements | $198,849 | $ (403,090) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
(3) | Statement of Assets and Liabilities location: Unaffiliated investments, at value. |
(4) | 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 Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Citibank, N.A. | $ 40,554 | $ — | $ — | $ — | $ 40,554 |
JPMorgan Chase Bank, N.A. | 143,705 | (143,705) | — | — | — |
State Street Bank and Trust Company | 14,590 | (14,590) | — | — | — |
$198,849 | $(158,295) | $ — | $ — | $40,554 |
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(c) |
JPMorgan Chase Bank, N.A. | $ (303,458) | $ 143,705 | $ — | $ — | $ (159,753) |
State Street Bank and Trust Company | (99,632) | 14,590 | — | — | (85,042) |
$(403,090) | $158,295 | $ — | $ — | $(244,795) |
(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 due from the counterparty in the event of default. |
(c) | 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 | $ — | $ — | $ (1,324,951) | $ (1,324,951) |
Swap contracts | (34,725) | — | — | (34,725) |
Forward foreign currency exchange contracts | — | (443,672) | — | (443,672) |
Total | $(34,725) | $(443,672) | $(1,324,951) | $(1,803,348) |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ — | $ — | $ 3,069 | $ 3,069 |
Futures contracts | — | — | (2,210,407) | (2,210,407) |
Forward foreign currency exchange contracts | — | (335,793) | — | (335,793) |
Total | $ — | $(335,793) | $(2,207,338) | $(2,543,131) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Swap Contracts |
$101,845,000 | $23,170,000 | $6,604,000 | $492,000 |
* | The average notional amount for 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, 4.878%, 5/15/49 | $3,768,534 | $ — | $ — | $ — | $ (135,115) | $ 3,633,419 | $ 200,998 | $4,198,800 |
Series 2016-C29, Class D, 3.00%, 5/15/49 | 2,346,956 | — | — | — | (174,071) | 2,189,292 | 107,836 | 3,047,635 |
Series 2016-C32, Class D, 3.396%, 12/15/49 | 3,705,129 | — | — | — | (433,681) | 3,303,944 | 202,296 | 5,000,000 |
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 3,862,789 | — | (3,467,750) | (2,187,060) | 1,759,427 | — | 170,732 | — |
Series 2019-BPR, Class B, 8.022%, (1 mo. SOFR+2.69%), 5/15/36 | 3,819,553 | — | — | — | (43,898) | 3,787,158 | 291,167 | 3,960,000 |
Series 2019-BPR, Class C, 8.972%, (1 mo. SOFR+3.642%), 5/15/36 | 1,463,766 | 633,168 | — | — | 2,787 | 2,100,512 | 137,931 | 2,219,000 |
Short-Term Investments | ||||||||
Liquidity Fund | 4,082,231 | 537,775,626 | (534,615,880) | — | — | 7,241,977 | 899,994 | 7,241,977 |
Total | $(2,187,060) | $ 975,449 | $22,256,302 | $2,010,954 |
• | 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 | $ — | $ 153,585,800 | $ — | $ 153,585,800 |
Collateralized Mortgage Obligations | — | 56,346,793 | — | 56,346,793 |
Commercial Mortgage-Backed Securities | — | 109,514,767 | — | 109,514,767 |
Convertible Bonds | — | 2,567,819 | — | 2,567,819 |
Corporate Bonds | — | 412,078,728 | — | 412,078,728 |
Asset Description (continued) | Level 1 | Level 2 | Level 3* | Total |
Preferred Stocks | $ 5,155,101 | $ — | $ — | $ 5,155,101 |
Sovereign Government Bonds | — | 15,755,673 | — | 15,755,673 |
U.S. Government Agency Mortgage-Backed Securities | — | 129,129,527 | — | 129,129,527 |
U.S. Treasury Obligations | — | 290,046,183 | — | 290,046,183 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 7,241,977 | — | — | 7,241,977 |
Commercial Paper | — | 10,382,078 | — | 10,382,078 |
Purchased Call Options | 118,594 | — | — | 118,594 |
Total Investments | $ 12,515,672 | $ 1,179,407,368 | $ 0 | $ 1,191,923,040 |
Forward Foreign Currency Exchange Contracts | $ — | $ 198,849 | $ — | $ 198,849 |
Futures Contracts | 134,854 | — | — | 134,854 |
Total | $ 12,650,526 | $ 1,179,606,217 | $ 0 | $ 1,192,256,743 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (403,090) | $ — | $ (403,090) |
Futures Contracts | (1,955,570) | — | — | (1,955,570) |
Total | $ (1,955,570) | $ (403,090) | $ — | $ (2,358,660) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
Boston, Massachusetts
November 20, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management `Classic' (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 01/06/1998 | 03/16/1978 | 1.29% | 0.05% | 2.25% |
Class A with 3.25% Maximum Sales Charge | — | — | (1.99) | (0.61) | 1.91 |
Class C at NAV | 05/02/2006 | 03/16/1978 | 0.51 | (0.71) | 1.64 |
Class C with 1% Maximum Deferred Sales Charge | — | — | (0.46) | (0.71) | 1.64 |
Class I at NAV | 03/16/1978 | 03/16/1978 | 1.49 | 0.31 | 2.50 |
Bloomberg Municipal Bond Index | — | — | 2.66% | 1.05% | 2.29% |
% 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 | 3.97% | 3.20% | 4.22% |
Taxable-Equivalent Distribution Rate | 6.70 | 5.40 | 7.14 |
SEC 30-day Yield | 3.58 | 2.94 | 3.96 |
Taxable-Equivalent SEC 30-day Yield | 6.05 | 4.96 | 6.69 |
% Total Leverage5 | |
Residual Interest Bond (RIB) Financing | 3.40% |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2013 | $11,772 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2013 | $1,280,135 | N.A. |
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 | One Year | Five Years | Ten Years |
Class A at NAV | 04/05/1994 | 12/19/1985 | 3.38% | 0.96% | 3.01% |
Class A with 3.25% Maximum Sales Charge | — | — | 0.07 | 0.30 | 2.66 |
Class C at NAV | 12/03/1993 | 12/19/1985 | 2.60 | 0.21 | 2.39 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 1.61 | 0.21 | 2.39 |
Class I at NAV | 07/01/1999 | 12/19/1985 | 3.64 | 1.21 | 3.25 |
Bloomberg Municipal Bond Index | — | — | 2.66% | 1.05% | 2.29% |
% 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 | 3.99% | 3.22% | 4.25% |
Taxable-Equivalent Distribution Rate | 6.74 | 5.44 | 7.17 |
SEC 30-day Yield | 3.83 | 3.19 | 4.22 |
Taxable-Equivalent SEC 30-day Yield | 6.48 | 5.39 | 7.13 |
% Total Leverage5 | |
RIB Financing | 1.47% |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 09/30/2013 | $12,672 | N.A. |
Class I, at minimum investment | $1,000,000 | 09/30/2013 | $1,377,254 | N.A. |
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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. | |
Additional Information | |
Yield curve is a graphical representation of the yields offered by bonds of various maturities. The yield curve flattens when long-term interest rates fall and/or short-term interest rates increase, and the yield curve steepens when long-term interest rates increase and/or short-term interest rates fall. |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period* (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 953.00 | $4.75 | 0.97% |
Class C | $1,000.00 | $ 947.80 | $8.40 | 1.72% |
Class I | $1,000.00 | $ 954.00 | $3.53 | 0.72% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.21 | $4.91 | 0.97% |
Class C | $1,000.00 | $1,016.45 | $8.69 | 1.72% |
Class I | $1,000.00 | $1,021.46 | $3.65 | 0.72% |
* | 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 183/365 (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 March 31, 2023. |
Beginning Account Value (4/1/23) | Ending Account Value (9/30/23) | Expenses Paid During Period* (4/1/23 – 9/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 965.60 | $3.55 | 0.72% |
Class C | $1,000.00 | $ 962.00 | $7.23 | 1.47% |
Class I | $1,000.00 | $ 966.80 | $2.37 | 0.48% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.46 | $3.65 | 0.72% |
Class C | $1,000.00 | $1,017.70 | $7.44 | 1.47% |
Class I | $1,000.00 | $1,022.66 | $2.43 | 0.48% |
* | 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 183/365 (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 March 31, 2023. |
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 | $ | 1,016 | $ 891,446 |
Total Tax-Exempt Mortgage-Backed Securities (identified cost $964,988) | $ 891,446 |
Tax-Exempt Municipal Obligations — 100.6% |
Security | Principal Amount (000's omitted) | Value | |
Education — 3.2% | |||
District of Columbia, (KIPP DC), 4.00%, 7/1/44 | $ | 105 | $ 88,482 |
Florida Development Finance Corp., (River City Science Academy), 4.00%, 7/1/45 | 25 | 19,409 | |
Georgia Private Colleges and Universities Authority, (Savannah College of Art and Design), 4.00%, 4/1/40 | 1,400 | 1,289,764 | |
Ohio Higher Educational Facility Commission, (Oberlin College), Green Bonds, 5.00%, 10/1/48 | 2,000 | 2,040,560 | |
University of California, 5.25%, 5/15/35 | 3,555 | 3,580,276 | |
$ 7,018,491 | |||
Electric Utilities — 5.7% | |||
Douglas County Public Utility District No. 1, WA, 3.00%, 9/1/52 | $ | 1,355 | $ 911,698 |
Georgia Municipal Electric Power Authority, 5.00%, 1/1/39 | 5,000 | 4,885,350 | |
Seattle, WA, Municipal Light and Power Improvement Revenue, 4.00%, 7/1/47 | 2,500 | 2,224,375 | |
Utility Debt Securitization Authority, NY: | |||
5.00%, 12/15/33 | 2,895 | 2,898,300 | |
Green Bonds, 5.00%, 12/15/49 | 1,500 | 1,566,435 | |
$ 12,486,158 | |||
Escrowed/Prerefunded — 3.9% | |||
New Jersey Economic Development Authority, (School Facilities Construction), Prerefunded to 12/15/28, 5.00%, 6/15/37 | $ | 3,000 | $ 3,225,990 |
San Joaquin Hills Transportation Corridor Agency, CA, Prerefunded to 1/15/25, 5.00%, 1/15/34 | 5,235 | 5,332,476 | |
$ 8,558,466 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 19.8% | |||
Chicago Board of Education, IL: | |||
5.00%, 12/1/42 | $ | 390 | $ 359,841 |
5.00%, 12/1/44 | 2,000 | 1,836,360 | |
Chicago, IL: | |||
5.00%, 1/1/39 | 1,400 | 1,397,774 | |
5.00%, 1/1/44 | 1,490 | 1,445,717 | |
Del Valle Independent School District, TX, (PSF Guaranteed), 4.00%, 6/15/47 | 4,000 | 3,502,960 | |
District of Columbia, 4.00%, 2/1/46 | 3,500 | 3,162,565 | |
Hutto Independent School District, TX, (PSF Guaranteed), 5.00%, 8/1/53 | 3,000 | 3,104,250 | |
Illinois: | |||
4.00%, 11/1/40 | 1,000 | 875,280 | |
5.00%, 5/1/35 | 2,000 | 1,980,200 | |
5.50%, 5/1/39 | 205 | 213,989 | |
5.50%, 3/1/42 | 2,300 | 2,401,361 | |
5.75%, 5/1/45 | 210 | 219,049 | |
Little Elm Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/46 | 4,225 | 4,295,135 | |
New York, NY: | |||
4.00%, 9/1/46 | 2,000 | 1,763,340 | |
4.00%, 4/1/50 | 2,000 | 1,733,520 | |
Northwest Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/47 | 3,000 | 2,654,970 | |
Prosper Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/47 | 3,500 | 3,107,615 | |
Salem-Keizer School District No. 24J, OR, 0.00%, 6/15/24 | 1,220 | 1,185,791 | |
Spring Branch Independent School District, TX, (PSF Guaranteed), 4.50%, 2/1/47 | 8,750 | ��� 8,443,138 | |
$ 43,682,855 | |||
Hospital — 10.8% | |||
Brevard County Health Facilities Authority, FL, (Health First Obligated Group): | |||
5.00%, 4/1/47 | $ | 2,500 | $ 2,416,075 |
5.00%, 4/1/52 | 2,500 | 2,393,475 | |
California Statewide Communities Development Authority, (Loma Linda University Medical Center), 5.25%, 12/1/34 | 3,000 | 3,007,410 | |
Colorado Health Facilities Authority, (CommonSpirit Health), 5.25%, 11/1/52 | 1,000 | 979,830 | |
Delaware Health Facilities Authority, (Beebe Medical Center): | |||
5.00%, 6/1/36 | 3,730 | 3,757,900 | |
5.00%, 6/1/37 | 1,000 | 1,001,230 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Fairfax County Industrial Development Authority, VA, (Inova Health System), 4.00%, 5/15/48 | $ | 2,035 | $ 1,752,461 |
New York Dormitory Authority, (Northwell Health Obligated Group), 5.00%, 5/1/52 | 1,475 | 1,472,227 | |
Ohio Higher Educational Facility Commission, (University Hospitals Health System, Inc.), 4.00%, 1/15/39 | 2,100 | 1,904,700 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Cook Children's Medical Center), 5.25%, 12/1/39(1) | 5,000 | 5,009,100 | |
$ 23,694,408 | |||
Housing — 2.5% | |||
Cuyahoga Metropolitan Housing Authority, OH, Social Bonds, 2.00%, 12/1/31 | $ | 1,250 | $ 1,051,563 |
Massachusetts Housing Finance Agency, (FHLMC), (FNMA), (GNMA), Social Bonds, 4.95%, 12/1/53 | 2,500 | 2,455,050 | |
Phoenix Industrial Development Authority, AZ, (Downtown Phoenix Student Housing, LLC - Arizona State University): | |||
5.00%, 7/1/37 | 500 | 499,465 | |
5.00%, 7/1/42 | 1,250 | 1,207,112 | |
Texas Student Housing Corp., (University of North Texas), 9.375%, 7/1/06(2) | 285 | 285,000 | |
$ 5,498,190 | |||
Insured - Education — 0.8% | |||
Virginia College Building Authority, (Washington and Lee University), (NPFG), 5.25%, 1/1/31 | $ | 1,750 | $ 1,857,940 |
$ 1,857,940 | |||
Insured - Electric Utilities — 1.6% | |||
Ohio Municipal Electric Generation Agency, (NPFG), 0.00%, 2/15/29 | $ | 2,865 | $ 2,281,600 |
Omaha Public Power District, NE, (AGM), 4.00%, 2/1/51 | 1,375 | 1,199,674 | |
$ 3,481,274 | |||
Insured - General Obligations — 2.4% | |||
McCamey Independent School District, TX, (AGM), 4.00%, 2/15/53 | $ | 3,500 | $ 2,914,625 |
McCook, IL: | |||
(AGM), 4.00%, 12/1/29 | 240 | 241,644 | |
(AGM), 4.00%, 12/1/30 | 200 | 200,894 | |
(AGM), 4.00%, 12/1/33 | 450 | 450,549 | |
(AGM), 4.00%, 12/1/34 | 190 | 187,752 |
Security | Principal Amount (000's omitted) | Value | |
Insured - General Obligations (continued) | |||
Proviso Township High School District No. 209, IL, (AGM), 4.00%, 12/1/38 | $ | 1,500 | $ 1,379,430 |
$ 5,374,894 | |||
Insured - Lease Revenue/Certificates of Participation — 2.8% | |||
Anaheim Public Financing Authority, CA, (Anaheim Public Improvements), (AGM), 0.00%, 9/1/31 | $ | 8,680 | $ 6,154,814 |
$ 6,154,814 | |||
Insured - Other Revenue — 0.5% | |||
Hudson Yards Infrastructure Corp., NY, (AGM), 4.00%, 2/15/47 | $ | 1,155 | $ 1,038,045 |
$ 1,038,045 | |||
Insured - Special Tax Revenue — 6.8% | |||
Harris County-Houston Sports Authority, TX, (AGM), (NPFG), 0.00%, 11/15/34 | $ | 10,600 | $ 5,867,524 |
Massachusetts, Dedicated Tax Revenue: | |||
(NPFG), 5.50%, 1/1/27 | 6,000 | 6,333,900 | |
(NPFG), 5.50%, 1/1/30 | 2,565 | 2,810,470 | |
$ 15,011,894 | |||
Insured - Transportation — 6.9% | |||
E-470 Public Highway Authority, CO, (NPFG), 0.00%, 9/1/39 | $ | 7,120 | $ 3,160,995 |
Pennsylvania Turnpike Commission, (AGM), 6.375%, 12/1/38 | 11,000 | 11,950,950 | |
$ 15,111,945 | |||
Insured - Water and Sewer — 0.9% | |||
Michigan Finance Authority, (Detroit Water and Sewerage Department): | |||
(AGM), 5.00%, 7/1/32 | $ | 655 | $ 658,871 |
(AGM), 5.00%, 7/1/33 | 565 | 568,339 | |
(AGM), 5.00%, 7/1/35 | 280 | 281,350 | |
(AGM), 5.00%, 7/1/37 | 565 | 566,571 | |
$ 2,075,131 | |||
Lease Revenue/Certificates of Participation — 4.7% | |||
Maryland Stadium Authority, Built to Learn Revenue, 4.00%, 6/1/52 | $ | 2,550 | $ 2,181,015 |
New Jersey Economic Development Authority, (Portal North Bridge), 5.25%, 11/1/47 | 4,000 | 4,144,320 |
Security | Principal Amount (000's omitted) | Value | |
Lease Revenue/Certificates of Participation (continued) | |||
New Jersey Transportation Trust Fund Authority, (Transportation Program), 5.00%, 6/15/50 | $ | 2,500 | $ 2,506,375 |
New Jersey Transportation Trust Fund Authority, (Transportation System), 4.00%, 6/15/36 | 1,665 | 1,596,618 | |
$ 10,428,328 | |||
Other Revenue — 3.1% | |||
Black Belt Energy Gas District, AL, (Liq: Royal Bank of Canada), 4.00% to 12/1/31 (Put Date), 6/1/51 | $ | 2,500 | $ 2,358,800 |
Buckeye Tobacco Settlement Financing Authority, OH, 5.00%, 6/1/55 | 1,605 | 1,384,585 | |
California Community Choice Financing Authority, Clean Energy Project Revenue, Green Bonds, 5.00% to 8/1/29 (Put Date), 12/1/53 | 750 | 755,730 | |
Central Falls Detention Facility Corp., RI, 7.25%, 7/15/35(2) | 1,200 | 216,000 | |
Golden State Tobacco Securitization Corp., CA, 5.00%, 6/1/51 | 640 | 650,247 | |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue, 5.00% to 12/1/30 (Put Date), 12/1/54 | 1,500 | 1,486,860 | |
$ 6,852,222 | |||
Senior Living/Life Care — 3.3% | |||
California Public Finance Authority, (Enso Village), Green Bonds, 2.375%, 11/15/28(3) | $ | 140 | $ 133,056 |
Manhattan, KS, (Meadowlark Hills), 4.00%, 6/1/46 | 1,150 | 800,895 | |
National Finance Authority, NH, (The Vista): | |||
5.25%, 7/1/39(3) | 265 | 230,266 | |
5.625%, 7/1/46(3) | 360 | 309,859 | |
5.75%, 7/1/54(3) | 775 | 659,184 | |
New Hope Cultural Education Facilities Finance Corp., TX, (The Outlook at Windhaven), 6.75%, 10/1/52 | 1,000 | 856,850 | |
Pompano Beach, FL, (John Knox Village), 4.00%, 9/1/41 | 1,270 | 992,264 | |
Saint Louis County Industrial Development Authority, MO, (St. Andrew's Resources for Seniors Obligated Group), 5.00%, 12/1/35 | 1,700 | 1,555,959 | |
Washington Housing Finance Commission, (Horizon House), 5.00%, 1/1/30(3) | 1,730 | 1,628,795 | |
Washington Housing Finance Commission, (Transforming Age), 5.00%, 1/1/34(3) | 245 | 213,466 | |
$ 7,380,594 | |||
Special Tax Revenue — 10.2% | |||
Connecticut, Special Tax Obligation, (Transportation Infrastructure), 5.25%, 7/1/42 | $ | 2,250 | $ 2,390,963 |
Dallas Area Rapid Transit, TX, Sales Tax Revenue, 4.00%, 12/1/51 | 2,500 | 2,143,925 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
Massachusetts Bay Transportation Authority, Sales Tax Revenue, 4.00%, 7/1/51 | $ | 1,405 | $ 1,229,516 |
Metropolitan Pier and Exposition Authority, IL, (McCormick Place Expansion), 4.00%, 6/15/50 | 5,000 | 4,057,200 | |
New York City Transitional Finance Authority, NY, Future Tax Revenue: | |||
4.00%, 5/1/39 | 1,000 | 937,030 | |
4.00%, 5/1/45 | 2,795 | 2,504,627 | |
5.00%, 11/1/46(1) | 2,000 | 2,041,060 | |
New York Dormitory Authority, Personal Income Tax Revenue, 4.00%, 2/15/39 | 3,000 | 2,815,590 | |
New York Thruway Authority, Personal Income Tax Revenue, 4.00%, 3/15/44 | 1,000 | 897,000 | |
Puerto Rico Sales Tax Financing Corp.: | |||
0.00%, 7/1/51 | 4,500 | 839,295 | |
5.00%, 7/1/58 | 2,817 | 2,555,244 | |
$ 22,411,450 | |||
Transportation — 6.3% | |||
Atlanta, GA, Airport Revenue, Green Bonds, 5.00%, 7/1/48 | $ | 2,000 | $ 2,061,660 |
Charlotte, NC, (Charlotte Douglas International Airport), 5.00%, 7/1/48(1) | 2,000 | 2,061,660 | |
Dallas and Fort Worth, TX, (Dallas/Fort Worth International Airport): | |||
5.25%, 11/1/30 | 1,100 | 1,100,946 | |
5.25%, 11/1/31 | 1,455 | 1,456,251 | |
Denver City and County, CO, Airport System Revenue, 5.25%, 11/15/53 | 2,000 | 2,094,820 | |
Metropolitan Transportation Authority, NY, Green Bonds, 4.75%, 11/15/45 | 225 | 209,813 | |
New Jersey Turnpike Authority, 5.25%, 1/1/52 | 1,000 | 1,040,150 | |
New York Transportation Development Corp., (Terminal 4 John F. Kennedy International Airport), 4.00%, 12/1/42 | 2,400 | 2,083,800 | |
South Jersey Transportation Authority, NJ, 4.625%, 11/1/47 | 1,500 | 1,381,950 | |
Texas Transportation Commission, 0.00%, 8/1/40 | 1,000 | 387,590 | |
$ 13,878,640 | |||
Water and Sewer — 4.4% | |||
Austin, TX, Water and Wastewater System Revenue, 5.00%, 11/15/41 | $ | 2,715 | $ 2,823,329 |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System): | |||
4.00%, 6/15/41 | 4,500 | 4,164,390 | |
4.00%, 6/15/51 | 2,000 | 1,739,160 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
New York City Municipal Water Finance Authority, NY, (Water and Sewer System): (continued) | |||
5.25%, 6/15/52(1) | $ | 1,000 | $ 1,043,900 |
$ 9,770,779 | |||
Total Tax-Exempt Municipal Obligations (identified cost $228,694,776) | $ 221,766,518 | ||
Total Investments — 101.0% (identified cost $229,659,764) | $ 222,657,964 | ||
Other Assets, Less Liabilities — (1.0)% | $ (2,217,169) | ||
Net Assets — 100.0% | $ 220,440,795 |
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 (see Note 1H). |
(2) | Defaulted security. Issuer has defaulted on the payment of interest and/or principal or has filed for bankruptcy. |
(3) | 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 September 30, 2023, the aggregate value of these securities is $3,174,626 or 1.4% of the Fund's net assets. |
At September 30, 2023, the concentration of the Fund’s investments in the various states and territories, determined as a percentage of net assets, is as follows: |
Texas | 21.9% |
New York | 13.1% |
Others, representing less than 10% individually | 66.0% |
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 September 30, 2023, 22.5% 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 10.0% to 15.1% 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 |
Liq | – Liquidity Provider |
NPFG | – National Public Finance Guarantee Corp. |
PSF | – Permanent School Fund |
Corporate Bonds — 1.2% |
Security | Principal Amount (000's omitted) | Value | |
Education — 0.6% | |||
Chapman University, 1.867%, 4/1/29 | $ | 5,160 | $ 4,238,593 |
Grand Canyon University, 4.125%, 10/1/24 | 20,000 | 19,140,000 | |
$ 23,378,593 | |||
Hospital — 0.6% | |||
Sutter Health, 5.164%, 8/15/33 | $ | 14,000 | $ 13,449,453 |
UPMC, 1.803%, 4/15/26 | 7,650 | 6,910,604 | |
$ 20,360,057 | |||
Total Corporate Bonds (identified cost $42,927,237) | $ 43,738,650 |
Tax-Exempt Municipal Obligations — 93.6% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 0.6% | |||
New York State Environmental Facilities Corp., (State Revolving Fund), Green Bonds, 5.00%, 9/15/47(1) | $ | 10,000 | $ 10,385,900 |
Rickenbacker Port Authority, OH, (OASBO Expanded Asset Pooled Financing Program), 5.375%, 1/1/32 | 9,850 | 10,592,198 | |
$ 20,978,098 | |||
Cogeneration — 0.1% | |||
Northampton County Industrial Development Authority, PA, (Northampton Generating), (AMT), 5.00%, 12/31/23(2) | $ | 14,652 | $ 2,637,417 |
$ 2,637,417 | |||
Education — 4.9% | |||
California Educational Facilities Authority, (Stanford University), Sustainability Bonds, 5.00%, 4/1/51 | $ | 10,000 | $ 10,742,400 |
Florida Development Finance Corp., (River City Science Academy), 4.00%, 7/1/45 | 45 | 34,937 | |
Maryland Health and Higher Educational Facilities Authority, (Pooled Loan Program), (LOC: TD Bank, N.A.), 3.80%, 4/1/35(3) | 2,000 | 2,000,000 | |
Massachusetts Development Finance Agency, (Boston University), 5.00%, 10/1/46 | 11,855 | 11,988,132 | |
Massachusetts Development Finance Agency, (Harvard University), 4.00%, 7/15/36 | 7,000 | 7,030,730 | |
Minnesota Higher Education Facilities Authority, (Carleton College), 5.00%, 3/1/48 | 2,815 | 2,906,009 |
Security | Principal Amount (000's omitted) | Value | |
Education (continued) | |||
New York Dormitory Authority, (New York University), 5.00%, 7/1/49 | $ | 14,360 | $ 14,589,329 |
Pennsylvania Higher Educational Facilities Authority, (University of Pennsylvania), 4.00%, 2/15/43 | 5,000 | 4,552,000 | |
Pennsylvania State University, 4.00%, 9/1/50 | 5,920 | 5,207,824 | |
Philadelphia Authority for Industrial Development, PA, (Temple University), 5.00%, 4/1/45 | 5,000 | 5,004,550 | |
San Antonio Education Facilities Corp., TX, (University of the Incarnate Word), 4.00%, 4/1/54 | 3,500 | 2,593,185 | |
University of California: | |||
5.25%, 5/15/37 | 11,000 | 11,056,210 | |
5.25%, 5/15/38 | 7,700 | 7,731,878 | |
University of California Medical Center, 5.00%, 5/15/47 | 28,170 | 29,138,766 | |
University of Massachusetts Building Authority, 5.00%, 11/1/52 | 20,000 | 20,588,600 | |
University of Oregon, 5.00%, 4/1/50 | 12,500 | 12,746,250 | |
University of Texas, 4.00%, 7/1/42 | 4,900 | 4,474,680 | |
University of Utah, 5.00%, 8/1/44 | 12,240 | 12,487,860 | |
Utah Board of Higher Education, (Dixie State University), 4.00%, 6/1/44 | 7,645 | 6,744,113 | |
Vermont Educational and Health Buildings Financing Agency, (Middlebury College): | |||
4.00%, 11/1/50 | 5,000 | 4,398,000 | |
5.00%, 11/1/52 | 3,410 | 3,492,079 | |
$ 179,507,532 | |||
Electric Utilities — 2.8% | |||
Colorado Springs, CO, Utilities System Revenue, (SPA: TD Bank, N.A.), 4.05%, 11/1/37(3) | $ | 9,530 | $ 9,530,000 |
Douglas County Public Utility District No. 1, WA, 3.00%, 9/1/52 | 16,020 | 10,778,897 | |
Long Island Power Authority, NY, Electric System Revenue, Green Bonds, 5.00%, 9/1/48 | 5,000 | 5,137,000 | |
New York Power Authority, Green Bonds, 4.00%, 11/15/50 | 5,000 | 4,435,850 | |
Omaha Public Power District, NE, 5.00%, 2/1/47 | 20,000 | 20,621,774 | |
Philadelphia, PA, Gas Works Revenue: | |||
(LOC: TD Bank, N.A.), 3.85%, 8/1/31(3) | 7,700 | 7,700,000 | |
(LOC: TD Bank, N.A.), 3.85%, 8/1/31(3) | 10,900 | 10,900,000 | |
(LOC: TD Bank, N.A.), 3.85%, 8/1/31(3) | 4,610 | 4,610,000 | |
Seattle, WA, Municipal Light and Power Improvement Revenue, 4.00%, 7/1/43 | 8,210 | 7,511,083 | |
South Carolina Public Service Authority, 5.00%, 12/1/46 | 12,600 | 12,278,574 | |
Utility Debt Securitization Authority, NY, 5.00%, 12/15/33 | 10,000 | 10,174,500 | |
$ 103,677,678 |
Security | Principal Amount (000's omitted) | Value | |
Escrowed/Prerefunded — 0.9% | |||
Los Angeles Department of Airports, CA, (Los Angeles International Airport), (AMT), Prerefunded 11/15/31, 5.00%, 5/15/46 | $ | 65 | $ 68,958 |
New Jersey Economic Development Authority, (School Facilities Construction): | |||
Prerefunded to 12/15/28, 5.00%, 6/15/34 | 8,460 | 9,097,292 | |
Prerefunded to 12/15/28, 5.00%, 6/15/35 | 13,300 | 14,301,889 | |
Southwestern Illinois Development Authority, (Memorial Group, Inc.), Prerefunded to 11/1/23, 7.25%, 11/1/33 | 9,170 | 9,189,624 | |
$ 32,657,763 | |||
General Obligations — 19.0% | |||
Alamo Community College District, TX, 4.50%, 8/15/47 | $ | 4,000 | $ 3,909,520 |
Austin Independent School District, TX, 5.00%, 8/1/48 | 5,000 | 5,107,550 | |
Bar Harbor, ME, 5.00%, 10/15/41 | 2,330 | 2,476,883 | |
Beaverton School District No. 48J, OR, 5.00%, 6/15/52 | 15,000 | 15,334,800 | |
California: | |||
4.00%, 9/1/43 | 9,000 | 8,617,410 | |
5.00%, 9/1/36 | 10,000 | 10,941,500 | |
5.00%, 9/1/37 | 10,000 | 10,840,600 | |
5.00%, 9/1/38 | 10,000 | 10,783,700 | |
5.00%, 11/1/42 | 25,000 | 26,489,000 | |
5.25%, 9/1/47 | 10,500 | 11,206,125 | |
Centennial School District No. 28Jt, OR, 5.00%, 6/15/50 | 10,000 | 10,281,100 | |
Chicago Board of Education, IL: | |||
5.00%, 12/1/30 | 9,000 | 9,054,000 | |
5.00%, 12/1/37 | 2,500 | 2,432,200 | |
5.00%, 12/1/42 | 10,405 | 9,600,381 | |
5.00%, 12/1/44 | 20,515 | 18,836,463 | |
Chicago, IL: | |||
4.00%, 1/1/35 | 2,500 | 2,286,350 | |
5.00%, 1/1/40 | 1,500 | 1,489,065 | |
5.00%, 1/1/44 | 12,350 | 11,982,958 | |
5.25%, 1/1/38 | 6,750 | 6,844,500 | |
5.50%, 1/1/39 | 5,000 | 5,141,350 | |
Clark County, NV, 5.00%, 5/1/48 | 19,650 | 19,971,670 | |
Crowley Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/48 | 3,000 | 3,115,620 | |
Denton Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/48 | 12,545 | 13,148,916 | |
District of Columbia, 4.00%, 2/1/46 | 17,450 | 15,767,645 | |
Forney Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/48 | 5,000 | 5,132,900 | |
Fort Worth Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/47 | 7,000 | 7,108,220 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Galveston Independent School District, TX, (PSF Guaranteed), 4.00%, 2/1/47 | $ | 16,500 | $ 14,567,355 |
Hacienda La Puente Unified School District, CA, (Election of 2016), 5.00%, 8/1/47(4) | 8,265 | 8,551,465 | |
Harris County Flood Control District, TX: | |||
Sustainability Bonds, 4.00%, 9/15/48 | 10,000 | 8,773,400 | |
Sustainability Bonds, 4.25%, 10/1/47 | 10,940 | 10,159,103 | |
Hays Consolidated Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/48 | 10,855 | 11,138,098 | |
Hermiston School District No. 8R, OR: | |||
0.00%, 6/15/42 | 6,475 | 2,419,708 | |
0.00%, 6/15/45 | 4,595 | 1,437,776 | |
Illinois: | |||
4.00%, 7/1/37 | 15,000 | 13,541,850 | |
5.00%, 11/1/24 | 11,295 | 11,388,861 | |
5.00%, 2/1/27 | 18,500 | 18,507,215 | |
5.00%, 2/1/29 | 15,000 | 15,386,850 | |
5.00%, 5/1/39 | 10,000 | 9,616,400 | |
5.50%, 5/1/39 | 870 | 908,150 | |
5.50%, 3/1/42 | 11,700 | 12,215,619 | |
5.75%, 5/1/45 | 890 | 928,350 | |
Klein Independent School District, TX, (PSF Guaranteed), 4.00%, 8/1/48 | 7,175 | 6,309,695 | |
Massachusetts, 3.00%, 4/1/49 | 10,000 | 6,941,400 | |
New York, 5.00%, 3/15/40(4) | 4,865 | 5,192,609 | |
New York, NY: | |||
4.00%, 8/1/38 | 11,520 | 10,886,170 | |
4.00%, 9/1/46 | 10,000 | 8,816,700 | |
4.00%, 4/1/50 | 5,000 | 4,333,800 | |
4.17%, 4/1/42(5) | 1,700 | 1,700,000 | |
5.00%, 8/1/47 | 22,350 | 22,707,823 | |
5.25%, 5/1/42 | 3,335 | 3,503,117 | |
5.25%, 4/1/47 | 5,000 | 5,208,000 | |
(SPA: Barclays Bank PLC), 4.80%, 10/1/46(5) | 7,000 | 7,000,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 4.75%, 3/1/40(5) | 6,095 | 6,095,000 | |
Northwest Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/48 | 20,000 | 20,591,600 | |
Norwalk, CT, 4.00%, 8/15/47 | 10,000 | 8,818,500 | |
Norwood, MA, 4.00%, 9/15/47 | 11,065 | 9,910,810 | |
Pasadena Independent School District, TX, (PSF Guaranteed): | |||
4.00%, 2/15/52 | 10,000 | 8,697,400 | |
5.00%, 2/15/48(4) | 5,000 | 5,109,050 | |
Prosper Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/52 | 8,000 | 6,975,600 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Puerto Rico: | |||
4.00%, 7/1/41 | $ | 7,500 | $ 6,051,600 |
5.625%, 7/1/29 | 10,762 | 11,136,478 | |
5.75%, 7/1/31 | 13,891 | 14,533,590 | |
Rice County, MN, 4.00%, 2/1/52 | 7,170 | 6,223,560 | |
Royse City Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/48(1) | 12,000 | 12,389,160 | |
San Antonio Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/47 | 10,000 | 10,310,900 | |
San Diego Unified School District, CA, (Election of 2022), Sustainability Bonds, 4.00%, 7/1/53(4) | 8,500 | 7,793,395 | |
San Luis Coastal Unified School District, CA, (Election of 2022), 4.00%, 8/1/46 | 11,230 | 10,413,018 | |
Santa Clarita Community College District, CA, (Election of 2016), 5.25%, 8/1/48 | 10,000 | 10,496,600 | |
Spring Branch Independent School District, TX, (PSF Guaranteed), 4.50%, 2/1/47 | 8,750 | 8,443,138 | |
Temple Independent School District, TX, (PSF Guaranteed), 4.25%, 2/1/47 | 13,000 | 11,967,930 | |
Waco Independent School District, TX, (PSF Guaranteed), 4.125%, 8/15/47 | 6,000 | 5,394,120 | |
Washington: | |||
5.00%, 6/1/40 | 5,350 | 5,512,052 | |
5.00%, 6/1/41 | 5,465 | 5,631,792 | |
5.00%, 6/1/42 | 5,950 | 6,101,904 | |
Waxahachie Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/48 | 10,000 | 10,303,500 | |
Wisconsin, 4.00%, 5/1/41 | 7,090 | 6,640,990 | |
Ysleta Independent School District, TX, (PSF Guaranteed): | |||
4.25%, 8/15/56 | 11,000 | 9,942,790 | |
5.00%, 8/15/56(1) | 5,000 | 5,069,650 | |
$ 700,594,067 | |||
Hospital — 11.7% | |||
Brevard County Health Facilities Authority, FL, (Health First Obligated Group): | |||
5.00%, 4/1/47 | $ | 10,000 | $ 9,664,300 |
5.00%, 4/1/52 | 10,000 | 9,573,900 | |
California Health Facilities Financing Authority, (Cedars-Sinai Health System): | |||
4.00%, 8/15/48 | 19,305 | 17,333,766 | |
5.00%, 8/15/51 | 13,845 | 14,147,790 | |
California Health Facilities Financing Authority, (Cedars-Sinai Medical Center), 4.00%, 8/15/36 | 10,000 | 9,617,900 | |
Charlotte-Mecklenburg Hospital Authority, NC, (Atrium Health), (SPA: JPMorgan Chase Bank, N.A.), 4.65%, 1/15/48(5) | 3,500 | 3,500,000 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Colorado Health Facilities Authority, (AdventHealth Obligated Group): | |||
3.00%, 11/15/51 | $ | 10,000 | $ 6,660,500 |
4.00%, 11/15/43 | 12,145 | 10,949,325 | |
4.00%, 11/15/50 | 6,530 | 5,486,180 | |
Colorado Health Facilities Authority, (Adventist Health System/Sunbelt Obligated Group), 4.00%, 11/15/46 | 9,715 | 8,523,067 | |
Connecticut Health and Educational Facilities Authority, (Trinity Health Corp.), 5.00%, 12/1/41 | 5,295 | 5,314,697 | |
Fairfax County Industrial Development Authority, VA, (Inova Health System), 4.00%, 5/15/48 | 13,055 | 11,242,444 | |
Geisinger Authority, PA, (Geisinger Health System): | |||
4.00%, 6/1/41 | 8,000 | 7,232,080 | |
4.00%, 2/15/47 | 9,105 | 7,826,931 | |
Greenville Health System, SC, 5.00%, 5/1/39 | 2,500 | 2,318,700 | |
Harris County Cultural Education Facilities Finance Corp., TX, (Texas Children's Hospital), 4.00%, 10/1/47 | 10,805 | 9,384,034 | |
Illinois Finance Authority, (Northwestern Memorial HealthCare), 4.00%, 7/15/47 | 12,500 | 10,823,375 | |
Illinois Finance Authority, (Presence Health Network), 5.00%, 2/15/26 | 7,500 | 7,672,200 | |
Indiana Finance Authority, (Franciscan Alliance, Inc.), 5.00%, 11/1/41 | 5,000 | 5,003,700 | |
Lancaster County Hospital Authority, PA, (Penn State Health), 5.00%, 11/1/46 | 10,500 | 10,341,765 | |
Lehigh County General Purpose Authority, PA, (Lehigh Valley Health Network), 4.00%, 7/1/49 | 5,000 | 4,200,750 | |
Maricopa County Industrial Development Authority, AZ, (Banner Health), Series 2019-E, 4.00%, 1/1/45 | 9,000 | 7,891,920 | |
Maryland Health and Higher Educational Facilities Authority, (MedStar Health), 5.00%, 8/15/42 | 11,900 | 11,822,055 | |
Massachusetts Development Finance Agency, (Partners HealthCare System), 4.00%, 7/1/41 | 8,500 | 7,795,690 | |
Massachusetts Health and Educational Facilities Authority, (Partners HealthCare System), (LOC: TD Bank, N.A.), 3.85%, 7/1/40(3) | 7,060 | 7,060,000 | |
Michigan Finance Authority, (Beaumont Health Credit Group), 5.00%, 11/1/44 | 22,760 | 22,534,904 | |
Michigan Finance Authority, (Henry Ford Health System), 4.00%, 11/15/50 | 11,795 | 9,803,650 | |
Michigan Finance Authority, (Trinity Health Credit Group): | |||
4.00%, 12/1/45 | 10,000 | 8,741,500 | |
4.00%, 12/1/49 | 5,645 | 4,788,879 | |
5.00%, 12/1/41 | 5,395 | 5,396,565 | |
Minneapolis, MN, (Allina Health System), 4.00%, 11/15/39 | 6,405 | 5,883,313 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Missouri Health and Educational Facilities Authority, (BJC Health System): | |||
4.00%, 1/1/45 | $ | 9,475 | $ 8,419,959 |
5.00%, 1/1/44 | 6,000 | 6,002,640 | |
Missouri Health and Educational Facilities Authority, (Children's Mercy Hospital), 4.00%, 5/15/48 | 15,475 | 13,004,571 | |
Missouri Health and Educational Facilities Authority, (CoxHealth): | |||
4.00%, 11/15/49 | 10,750 | 9,108,152 | |
5.00%, 11/15/38 | 4,340 | 4,257,453 | |
Missouri Health and Educational Facilities Authority, (SSM Health), 5.00% to 6/1/28 (Put Date), 6/1/39 | 3,000 | 3,105,240 | |
New Jersey Health Care Facilities Financing Authority, (Virtua Health), (LOC: TD Bank, N.A.), 3.85%, 7/1/43(3) | 5,000 | 5,000,000 | |
New York Dormitory Authority, (Northwell Health Obligated Group), 5.00%, 5/1/52 | 11,795 | 11,772,825 | |
Norfolk Economic Development Authority, VA, (Sentara Healthcare), 4.00%, 11/1/48 | 6,100 | 5,372,941 | |
Oregon Facilities Authority, (Samaritan Health Services), 5.00%, 10/1/35 | 2,260 | 2,274,351 | |
Oregon Health and Science University, Green Bonds, 4.00%, 7/1/51 | 4,035 | 3,514,687 | |
Pennsylvania Higher Educational Facilities Authority, (University of Pennsylvania Health System): | |||
4.00%, 8/15/38 | 2,000 | 1,896,100 | |
4.00%, 8/15/42 | 5,010 | 4,559,551 | |
Salem Hospital Facility Authority, OR, (Salem Health), 5.00%, 5/15/44 | 11,620 | 11,211,673 | |
South Carolina Jobs-Economic Development Authority, (Anmed Health), 4.25%, 2/1/48 | 6,000 | 5,386,800 | |
South Carolina Jobs-Economic Development Authority, (Bon Secours Mercy Health, Inc.), 4.00%, 12/1/44 | 5,520 | 4,830,552 | |
South Dakota Health and Educational Facilities Authority, (Sanford Health), 5.00%, 11/1/44 | 10,000 | 9,685,000 | |
Southcentral Pennsylvania General Authority, (WellSpan Health Obligated Group), 4.00%, 6/1/49 | 5,000 | 4,234,450 | |
Tampa, FL, (Baycare Obligated Group), 4.00%, 11/15/46 | 5,715 | 4,935,474 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Baylor Scott & White Health), 5.00%, 11/15/45 | 8,000 | 8,020,800 | |
Utah County, UT, (IHC Health Services, Inc.), 4.00%, 5/15/47 | 8,565 | 7,469,451 | |
Washington Health Care Facilities Authority, (Seattle Children's Hospital), 4.00%, 10/1/45 | 5,000 | 4,311,200 | |
Wisconsin Health and Educational Facilities Authority, (Ascension Health Alliance Senior Credit Group), 4.00%, 11/15/43 | 4,625 | 4,007,331 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Wisconsin Health and Educational Facilities Authority, (Ascension Senior Credit Group): | |||
4.00%, 11/15/39 | $ | 5,000 | $ 4,582,150 |
4.00%, 11/15/46 | 8,600 | 7,301,228 | |
Wisconsin Health and Educational Facilities Authority, (Children's Hospital of Wisconsin, Inc.), 4.00%, 8/15/42 | 10,000 | 8,905,400 | |
$ 431,705,859 | |||
Housing — 1.9% | |||
California Community Housing Agency, (Summit at Sausalito Apartments), 3.00%, 2/1/57(6) | $ | 4,355 | $ 2,676,583 |
CSCDA Community Improvement Authority, CA, (City of Orange Portfolio), Essential Housing Revenue, Social Bonds, 3.00%, 3/1/57(6) | 25,275 | 15,769,325 | |
CSCDA Community Improvement Authority, CA, (Pasadena Portfolio), Essential Housing Revenue, Social Bonds, 3.00%, 12/1/56(6) | 9,930 | 6,162,558 | |
Indiana Finance Authority, (CHF-Tippecanoe, LLC - Student Housing), 5.00%, 6/1/53 | 2,300 | 2,205,079 | |
Maryland Economic Development Corp., (Morgan State University), Student Housing Revenue: | |||
5.00%, 7/1/56 | 1,750 | 1,689,747 | |
5.75%, 7/1/53 | 2,000 | 2,087,740 | |
Massachusetts Housing Finance Agency, (Mill Road Apartments), 4.53%, (SIFMA + 0.55%), 11/1/23 (Put Date), 11/1/48(7) | 3,890 | 3,890,000 | |
Missouri Housing Development Commission, SFMR: | |||
(FHLMC), (FNMA), (GNMA), 3.30%, 12/1/47 | 1,395 | 1,243,246 | |
(FHLMC), (FNMA), (GNMA), 3.40%, 11/1/46 | 2,332 | 2,152,283 | |
New Mexico Mortgage Finance Authority, Single Family Mortgage Program, (FHLMC), (FNMA), (GNMA), 4.45%, 9/1/48 | 1,490 | 1,353,918 | |
New York City Housing Development Corp., NY, 2.60%, 11/1/46 | 3,000 | 1,899,570 | |
North Carolina Housing Finance Agency, (FHLMC), (FNMA), (GNMA), Social Bonds, 4.35%, 7/1/43 | 4,000 | 3,736,000 | |
Pennsylvania Housing Finance Agency, SFMR, Social Bonds, 5.00%, 10/1/50 | 7,335 | 7,049,522 | |
Texas Student Housing Corp., (University of Northern Texas), 6.85%, 7/1/31(8) | 10,640 | 10,427,200 | |
Utah State University, 4.00%, 4/1/48 | 10,875 | 9,233,854 | |
$ 71,576,625 | |||
Industrial Development Revenue — 2.5% | |||
Montgomery County Industrial Development Authority, PA, (Constellation Energy Generation, LLC), 4.10% to 4/3/28 (Put Date), 4/1/53 | $ | 750 | $ 748,170 |
Security | Principal Amount (000's omitted) | Value | |
Industrial Development Revenue (continued) | |||
New York Transportation Development Corp., (Delta Air Lines, Inc. - LaGuardia Airport Terminals C&D Redevelopment): | |||
(AMT), 4.375%, 10/1/45 | $ | 31,500 | $ 27,482,805 |
(AMT), 5.00%, 10/1/40 | 41,585 | 39,973,166 | |
Pennsylvania Economic Development Financing Authority, (Republic Services, Inc.), (AMT), 4.10% to 10/16/23 (Put Date), 4/1/49 | 10,000 | 9,997,700 | |
Rockdale County Development Authority, GA, (Pratt Paper, LLC), (AMT), 4.00%, 1/1/38(6) | 3,350 | 3,082,067 | |
South Carolina Jobs-Economic Development Authority, (International Paper Co.), (AMT), 4.00% to 4/1/26 (Put Date), 4/1/33 | 5,000 | 4,956,700 | |
Vermont Economic Development Authority, (Casella Waste Systems, Inc.), (AMT), 4.625% to 4/3/28 (Put Date), 4/1/36(6) | 475 | 464,165 | |
Warren County, MS, (International Paper Co.), 1.375% to 6/16/25 (Put Date), 5/1/34 | 4,000 | 3,805,360 | |
$ 90,510,133 | |||
Insured - Electric Utilities — 0.2% | |||
Brownsville, TX, Utility System Revenue, (BAM), 5.00%, 9/1/51 | $ | 1,195 | $ 1,187,065 |
Garland, TX, Electric Utility System Revenue, (AGM), 4.25%, 3/1/48 | 1,750 | 1,570,608 | |
Omaha Public Power District, NE, (AGM), 4.00%, 2/1/51 | 4,080 | 3,559,759 | |
$ 6,317,432 | |||
Insured - Escrowed/Prerefunded — 1.0% | |||
North Texas Tollway Authority, (AGC), Prerefunded to 1/1/25, 6.20%, 1/1/42 | $ | 37,070 | $ 38,057,174 |
$ 38,057,174 | |||
Insured - General Obligations — 1.0% | |||
Clark County School District, NV, (AGM), 4.25%, 6/15/41 | $ | 5,000 | $ 4,709,400 |
Ellis County Unified School District No. 489, KS, (AGM), 5.00%, 9/1/47 | 13,600 | 13,732,192 | |
Lumberton Municipal Utility District, TX, (AGM), 3.00%, 8/15/52 | 5,045 | 3,194,847 | |
Nassau County, NY, (AGM), 5.00%, 4/1/49 | 10,335 | 10,624,173 | |
Waller Independent School District, TX, (BAM), 4.00%, 2/15/48 | 5,835 | 4,884,362 | |
$ 37,144,974 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Hospital — 0.0%(9) | |||
California Statewide Communities Development Authority, (Enloe Medical Center), (AGM), 5.25%, 8/15/52 | $ | 800 | $ 833,504 |
$ 833,504 | |||
Insured - Lease Revenue/Certificates of Participation — 0.2% | |||
Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Revenue, (AGM), 4.00%, 6/1/39 | $ | 8,000 | $ 7,260,160 |
$ 7,260,160 | |||
Insured - Other Revenue — 0.0%(9) | |||
Hudson Yards Infrastructure Corp., NY, (AGM), 4.00%, 2/15/47 | $ | 1,530 | $ 1,375,072 |
$ 1,375,072 | |||
Insured - Special Tax Revenue — 1.5% | |||
Harris County-Houston Sports Authority, TX, (AGM), (NPFG), 0.00%, 11/15/34 | $ | 58,155 | $ 32,191,119 |
Massachusetts, Dedicated Tax Revenue: | |||
(NPFG), 5.50%, 1/1/29 | 11,000 | 11,953,480 | |
(NPFG), 5.50%, 1/1/30 | 3,080 | 3,374,756 | |
Metropolitan Pier and Exposition Authority, IL, (McCormick Place), (BAM), 4.00%, 12/15/42 | 10,440 | 9,101,383 | |
$ 56,620,738 | |||
Insured - Transportation — 1.1% | |||
E-470 Public Highway Authority, CO, (NPFG), 0.00%, 9/1/37 | $ | 13,335 | $ 6,661,099 |
Houston, TX, Airport System Revenue, (AGM), (AMT), 5.25%, 7/1/48 | 12,000 | 12,216,240 | |
Kansas City Industrial Development Authority, MO, (Kansas City International Airport Terminal Modernization), (AGM), (AMT), 5.00%, 3/1/49 | 10,000 | 9,916,700 | |
Love Field Airport Modernization Corp., TX, (AGM), (AMT), 4.00%, 11/1/37 | 4,000 | 3,677,800 | |
Metropolitan Transportation Authority, NY, Green Bonds, (AGM), 4.00%, 11/15/48 | 8,900 | 7,784,652 | |
$ 40,256,491 | |||
Insured - Water and Sewer — 0.3% | |||
Pittsburg Public Financing Authority, CA, Water Revenue, (AGM), 5.00%, 8/1/52 | $ | 10,000 | $ 10,195,900 |
$ 10,195,900 |
Security | Principal Amount (000's omitted) | Value | |
Lease Revenue/Certificates of Participation — 3.7% | |||
Battery Park City Authority, NY, Sustainability Bonds, 5.00%, 11/1/48 | $ | 12,000 | $ 12,468,720 |
California Public Works Board, 5.00%, 9/1/35(4) | 7,000 | 7,729,540 | |
Colorado, Certificates of Participation, 6.00%, 12/15/40 | 5,045 | 5,722,443 | |
Hampton Roads Transportation Accountability Commission, VA, 4.00%, 7/1/57 | 5,000 | 4,379,500 | |
Maryland Stadium Authority, Built to Learn Revenue: | |||
4.00%, 6/1/47 | 5,595 | 4,859,705 | |
4.00%, 6/1/52 | 6,255 | 5,349,902 | |
Michigan Building Authority, 5.00%, 10/15/45 | 7,160 | 7,212,340 | |
New Jersey Economic Development Authority, (Portal North Bridge), 5.25%, 11/1/47 | 12,700 | 13,158,216 | |
New Jersey Transportation Trust Fund Authority, (Transportation Program): | |||
4.25%, 6/15/44 | 3,600 | 3,313,692 | |
5.00%, 6/15/50 | 20,500 | 20,552,275 | |
2019 Series AA, 5.25%, 6/15/43 | 10,000 | 10,188,600 | |
2019 Series BB, 4.00%, 6/15/50 | 17,575 | 14,902,721 | |
2020 Series AA, 4.00%, 6/15/50 | 15,000 | 13,056,750 | |
2022 Series CC, 5.25%, 6/15/43 | 5,750 | 6,012,545 | |
New Jersey Transportation Trust Fund Authority, (Transportation System), 5.00%, 6/15/38 | 5,000 | 5,229,450 | |
Virginia College Building Authority, (21st Century College and Equipment Programs), 5.00%, 2/1/34 | 1,735 | 1,913,722 | |
Virginia Port Authority, 5.00%, 7/1/41 | 1,690 | 1,802,317 | |
$ 137,852,438 | |||
Nursing Home — 0.1% | |||
Mississippi Business Finance Corp., (Magnolia Healthcare), 7.99%, 7/1/25 | $ | 2,205 | $ 2,207,271 |
$ 2,207,271 | |||
Other Revenue — 3.3% | |||
Black Belt Energy Gas District, AL, 5.25% to 10/1/30 (Put Date), 1/1/54 | $ | 11,250 | $ 11,363,625 |
Buckeye Tobacco Settlement Financing Authority, OH, 5.00%, 6/1/55 | 38,960 | 33,609,623 | |
Central Falls Detention Facility Corp., RI, 7.25%, 7/15/35(8) | 250 | 45,000 | |
Cleveland-Cuyahoga County Port Authority, OH, (Playhouse Square Foundation), 5.25%, 12/1/38 | 750 | 724,838 | |
Golden State Tobacco Securitization Corp., CA, 5.00%, 6/1/51 | 4,900 | 4,978,449 | |
Kalispel Tribe of Indians, WA: | |||
Series A, 5.25%, 1/1/38(6) | 1,865 | 1,905,899 | |
Series B, 5.25%, 1/1/38(6) | 1,000 | 1,021,930 |
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
Main Street Natural Gas, Inc., GA, Gas Supply Revenue: | |||
5.00% to 9/1/30 (Put Date), 9/1/53 | $ | 10,000 | $ 10,110,166 |
5.00% to 12/1/30 (Put Date), 12/1/54 | 17,750 | 17,594,510 | |
5.00% to 6/1/31 (Put Date), 12/1/53 | 12,500 | 12,649,875 | |
Minnesota Municipal Gas Agency, (Liq: Royal Bank of Canada), 4.558%, (67% of SOFR + 1.00%), 12/1/52(7) | 12,500 | 12,231,875 | |
Patriots Energy Group Financing Agency, SC, Gas Supply Revenue, 5.25% to 8/1/31 (Put Date), 10/1/54 | 4,750 | 4,784,010 | |
Texas Municipal Gas Acquisition and Supply Corp. I, Gas Supply Revenue, 6.25%, 12/15/26 | 11,645 | 11,890,593 | |
$ 122,910,393 | |||
Senior Living/Life Care — 1.3% | |||
California Public Finance Authority, (Enso Village): | |||
Green Bonds, 2.125%, 11/15/27(6) | $ | 1,155 | $ 1,107,876 |
Green Bonds, 2.375%, 11/15/28(6) | 970 | 921,888 | |
Clackamas County Hospital Facility Authority, OR, (Rose Villa): | |||
5.25%, 11/15/50 | 250 | 217,812 | |
5.375%, 11/15/55 | 225 | 196,175 | |
New Hope Cultural Education Facilities Finance Corp., TX, (Longhorn Village), 5.00%, 1/1/47 | 8,000 | 6,687,600 | |
Palm Beach County Health Facilities Authority, FL, (Green Cay Life Plan Village), 11.50%, 7/1/27(6) | 5,550 | 6,021,528 | |
Palm Beach County Health Facilities Authority, FL, (Toby & Leon Cooperman Sinai Residences of Boca Raton), 4.25%, 6/1/56 | 4,440 | 3,035,140 | |
Public Finance Authority, WI, (Searstone CCRC), 3.00%, 6/1/28(6) | 17,410 | 15,821,512 | |
South Carolina Jobs-Economic Development Authority, (Seafields Kiawah Island Project), 5.25%, 11/15/28 | 10,000 | 9,845,400 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (MRC Stevenson Oaks): | |||
6.625%, 11/15/41 | 730 | 657,204 | |
6.75%, 11/15/51 | 3,250 | 2,810,600 | |
6.875%, 11/15/55 | 200 | 174,114 | |
$ 47,496,849 | |||
Special Tax Revenue — 10.0% | |||
Central Puget Sound Regional Transit Authority, WA, Sales and Motor Vehicle Excise Tax Revenue: | |||
Green Bonds, 4.00%, 11/1/46 | $ | 11,825 | $ 10,505,685 |
Green Bonds, 5.00%, 11/1/41 | 13,840 | 14,029,885 | |
Dallas Area Rapid Transit, TX, Sales Tax Revenue: | |||
3.00%, 12/1/47 | 7,825 | 5,325,617 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
Dallas Area Rapid Transit, TX, Sales Tax Revenue: (continued) | |||
4.00%, 12/1/51 | $ | 3,820 | $ 3,275,917 |
District of Columbia, Income Tax Revenue, 5.50%, 7/1/47 | 10,000 | 10,801,100 | |
Houston, TX, Hotel Occupancy Tax and Special Revenue, 3.00%, 9/1/33 | 140 | 121,374 | |
Los Angeles County Metropolitan Transportation Authority, CA, Sales Tax Revenue, 5.00%, 7/1/44 | 15,060 | 16,016,762 | |
Massachusetts Bay Transportation Authority, Sales Tax Revenue: | |||
4.00%, 7/1/48 | 5,405 | 4,811,477 | |
4.00%, 7/1/51 | 12,705 | 11,118,145 | |
5.00%, 7/1/44 | 9,500 | 9,518,240 | |
Metropolitan Pier and Exposition Authority, IL, (McCormick Place Expansion): | |||
4.00%, 6/15/50 | 12,060 | 9,785,966 | |
5.00%, 6/15/50 | 2,465 | 2,383,113 | |
5.00%, 6/15/57 | 2,000 | 1,916,180 | |
Metropolitan Transportation Authority, NY, (Payroll Mobility Tax Revenue), 5.00%, 5/15/52 | 8,945 | 9,311,208 | |
Michigan Trunk Line Fund: | |||
4.00%, 11/15/45 | 9,925 | 8,936,669 | |
5.00%, 11/15/46 | 18,000 | 18,592,920 | |
New River Community Development District, FL, (Capital Improvements): | |||
5.00%, 5/1/13(8) | 230 | 0 | |
5.35%, 5/1/38(8) | 80 | 0 | |
5.75%, 5/1/38 | 325 | 327,359 | |
New York City Transitional Finance Authority, NY, Future Tax Revenue: | |||
4.00%, 11/1/38 | 5,000 | 4,734,850 | |
5.00%, 8/1/38 | 10,000 | 10,121,300 | |
5.00%, 11/1/46 | 1,095 | 1,117,480 | |
5.00%, 11/1/46(1) | 13,000 | 13,266,890 | |
5.00%, 5/1/53 | 10,000 | 10,131,400 | |
(SPA: JPMorgan Chase Bank, N.A.), 4.75%, 11/1/36(5) | 7,000 | 7,000,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 4.75%, 8/1/39(5) | 5,100 | 5,100,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 4.75%, 8/1/42(5) | 7,300 | 7,300,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 4.75%, 2/1/45(5) | 3,510 | 3,510,000 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
4.00%, 3/15/39 | 10,000 | 9,385,000 | |
4.00%, 3/15/40 | 10,000 | 9,303,500 | |
4.00%, 2/15/47 | 15,220 | 13,524,796 | |
New York Dormitory Authority, Sales Tax Revenue: | |||
4.00%, 3/15/43 | 7,500 | 6,758,625 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
New York Dormitory Authority, Sales Tax Revenue: (continued) | |||
4.00%, 3/15/49 | $ | 5,000 | $ 4,327,600 |
5.00%, 3/15/35 | 7,840 | 8,004,248 | |
New York State Urban Development Corp., Personal Income Tax Revenue, 5.00%, 3/15/49 | 25,000 | 25,417,250 | |
New York State Urban Development Corp., Sales Tax Revenue, 4.00%, 3/15/46 | 4,950 | 4,402,184 | |
New York Thruway Authority, Personal Income Tax Revenue, 4.00%, 3/15/44 | 5,000 | 4,485,000 | |
Pennsylvania Turnpike Commission, Oil Franchise Tax Revenue, 4.00%, 12/1/51 | 5,000 | 4,318,100 | |
Puerto Rico Sales Tax Financing Corp.: | |||
0.00%, 7/1/46 | 19,385 | 5,021,297 | |
5.00%, 7/1/58 | 38,291 | 34,733,000 | |
Southeastern Pennsylvania Transportation Authority, 5.25%, 6/1/47 | 13,000 | 13,593,320 | |
Southern Hills Plantation I Community Development District, FL: | |||
Series A1, 5.80%, 5/1/35 | 380 | 346,849 | |
Series A2, 5.80%, 5/1/35(8) | 310 | 202,287 | |
Sterling Hill Community Development District, FL, 6.20%, 5/1/35(8) | 1,532 | 781,140 | |
Triborough Bridge and Tunnel Authority, NY, 5.00%, 5/15/47 | 8,240 | 8,406,201 | |
Triborough Bridge and Tunnel Authority, NY, Sales Tax Revenue, 4.00%, 5/15/48 | 5,000 | 4,442,250 | |
Washington Metropolitan Area Transit Authority, D.C., Sustainability Bonds, 5.25%, 7/15/53 | 10,000 | 10,493,400 | |
$ 367,005,584 | |||
Student Loan — 0.1% | |||
New Jersey Higher Education Student Assistance Authority, Series 2015-1A, (AMT), 4.00%, 12/1/28 | $ | 1,840 | $ 1,836,430 |
$ 1,836,430 | |||
Transportation — 21.2% | |||
Allegheny County Airport Authority, PA, (Pittsburgh International Airport): | |||
(AMT), 4.00%, 1/1/39 | $ | 9,000 | $ 8,012,610 |
(AMT), 5.00%, 1/1/51 | 12,775 | 12,540,195 | |
Atlanta, GA, Airport Revenue: | |||
Green Bonds, 5.00%, 7/1/44 | 7,000 | 7,276,640 | |
Green Bonds, (AMT), 5.25%, 7/1/42 | 6,450 | 6,707,161 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Austin, TX, Airport System Revenue, (AMT), 5.00%, 11/15/38 | $ | 6,175 | $ 6,202,911 |
Charlotte, NC, (Charlotte Douglas International Airport), 5.00%, 7/1/48(1) | 4,000 | 4,123,320 | |
Chicago, IL, (Midway International Airport): | |||
5.00%, 1/1/41 | 6,000 | 5,990,940 | |
(AMT), 5.00%, 1/1/34 | 5,250 | 5,223,908 | |
(AMT), 5.00%, 1/1/41 | 9,985 | 9,833,927 | |
Chicago, IL, (O'Hare International Airport): | |||
4.00%, 1/1/44 | 9,500 | 8,552,090 | |
5.00%, 1/1/36 | 6,000 | 6,076,380 | |
(AMT), 5.00%, 1/1/34 | 12,500 | 12,487,375 | |
(AMT), 5.00%, 1/1/47 | 16,450 | 16,094,680 | |
(AMT), 5.00%, 1/1/53 | 14,370 | 14,245,556 | |
(AMT), 5.25%, 1/1/53 | 10,500 | 10,583,055 | |
Dallas and Fort Worth, TX, (Dallas/Fort Worth International Airport): | |||
4.00%, 11/1/45 | 10,000 | 8,909,700 | |
5.00%, 11/1/47 | 3,625 | 3,658,676 | |
5.25%, 11/1/31 | 10,395 | 10,403,940 | |
(AMT), 5.25%, 11/1/30 | 11,015 | 11,019,186 | |
Delaware River Port Authority of Pennsylvania and New Jersey, 5.00%, 1/1/40 | 5,000 | 5,003,450 | |
Denver City and County, CO, Airport System Revenue: | |||
(AMT), 4.00%, 12/1/43 | 5,000 | 4,369,050 | |
(AMT), 5.00%, 12/1/35 | 5,000 | 5,083,050 | |
(AMT), 5.00%, 12/1/38 | 10,000 | 10,016,200 | |
(AMT), 5.00%, 11/15/42 | 9,575 | 9,655,717 | |
(AMT), 5.00%, 11/15/53 | 5,835 | 5,783,944 | |
Hawaii, Airports System Revenue: | |||
(AMT), 5.00%, 7/1/43 | 3,900 | 3,837,093 | |
(AMT), 5.00%, 7/1/45 | 18,575 | 18,508,873 | |
(AMT), 5.00%, 7/1/47 | 12,500 | 12,461,750 | |
Illinois Toll Highway Authority: | |||
4.00%, 1/1/46 | 10,185 | 9,033,484 | |
5.25%, 1/1/43 | 16,835 | 17,711,935 | |
Indianapolis Local Public Improvement Bond Bank, IN, (Indianapolis Airport Authority): | |||
(AMT), 5.25%, 1/1/40 | 5,000 | 5,143,600 | |
(AMT), 5.25%, 1/1/41 | 3,255 | 3,337,352 | |
Kansas City Industrial Development Authority, MO, (Kansas City International Airport Terminal Modernization): | |||
(AMT), 5.00%, 3/1/38 | 13,500 | 13,495,950 | |
(AMT), 5.00%, 3/1/46 | 6,400 | 6,290,688 | |
(AMT), 5.00%, 3/1/54 | 4,835 | 4,726,454 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Lee County, FL, Airport Revenue, (AMT), 5.00%, 10/1/46 | $ | 6,775 | $ 6,657,996 |
Los Angeles Department of Airports, CA, (Los Angeles International Airport): | |||
(AMT), 5.00%, 5/15/46 | 19,935 | 19,883,767 | |
Green Bonds, (AMT), 5.00%, 5/15/47 | 17,855 | 17,922,849 | |
Massachusetts Port Authority: | |||
(AMT), 4.00%, 7/1/46 | 12,465 | 10,551,249 | |
(AMT), 5.00%, 7/1/43 | 8,000 | 7,989,120 | |
Massachusetts, (Rail Enhancement and Accelerated Bidge Program), 5.00%, 6/1/47 | 18,000 | 18,237,960 | |
Massachusetts, (Rail Enhancement Program), Sustainablility Bonds, 5.00%, 6/1/53(1)(4) | 16,500 | 17,170,395 | |
Metropolitan Nashville Airport Authority, TN: | |||
(AMT), 5.00%, 7/1/49 | 10,500 | 10,307,850 | |
(AMT), 5.25%, 7/1/47 | 10,750 | 10,936,297 | |
Metropolitan Transportation Authority, NY, Green Bonds, 4.75%, 11/15/45 | 3,050 | 2,844,125 | |
Metropolitan Washington Airports Authority, D.C.: | |||
(LOC: TD Bank, N.A.), 3.90%, 10/1/39(3) | 7,150 | 7,150,000 | |
(LOC: TD Bank, N.A.), 3.90%, 10/1/40(3) | 2,690 | 2,690,000 | |
(AMT), 5.00%, 10/1/43 | 5,200 | 5,115,916 | |
(AMT), 5.00%, 10/1/44 | 10,500 | 10,503,255 | |
New Jersey Turnpike Authority, 4.50%, 1/1/48 | 8,000 | 7,705,440 | |
New York Thruway Authority, 4.00%, 1/1/44 | 10,000 | 8,924,400 | |
New York Transportation Development Corp., (LaGuardia Airport Terminal B Redevelopment): | |||
(AMT), 5.00%, 7/1/46 | 25,865 | 24,618,824 | |
(AMT), 5.25%, 1/1/50 | 1,180 | 1,158,170 | |
New York Transportation Development Corp., (Terminal 4 John F. Kennedy International Airport), (AMT), 5.00%, 12/1/29 | 10,000 | 10,258,000 | |
North Texas Tollway Authority: | |||
4.125%, 1/1/39 | 10,215 | 9,636,627 | |
5.00%, 1/1/48 | 10,000 | 9,847,800 | |
Oregon Department of Transportation: | |||
4.00%, 11/15/42 | 11,730 | 10,875,235 | |
5.25%, 11/15/47 | 8,175 | 8,638,686 | |
Pennsylvania Economic Development Financing Authority, (PennDOT Major Bridges Package One), (AMT), 5.75%, 6/30/48 | 16,090 | 16,815,176 | |
Pennsylvania Turnpike Commission: | |||
5.00%, 12/1/44 | 4,845 | 4,849,554 | |
5.00%, 12/1/48 | 10,000 | 10,253,500 | |
(LOC: TD Bank, N.A.), 3.85%, 12/1/38(3) | 10,000 | 10,000,000 | |
(LOC: TD Bank, N.A.), 3.85%, 12/1/39(3) | 8,700 | 8,700,000 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Philadelphia, PA, Airport Revenue, (AMT), 5.00%, 7/1/47 | $ | 4,595 | $ 4,512,152 |
Phoenix Civic Improvement Corp., AZ, Airport Revenue: | |||
(AMT), 5.00%, 7/1/42 | 6,250 | 6,246,812 | |
(AMT), 5.00%, 7/1/49 | 10,400 | 10,327,304 | |
Port Authority of New York and New Jersey: | |||
5.00%, 9/1/37 | 6,000 | 6,256,500 | |
(AMT), 5.00%, 7/15/39 | 5,000 | 5,152,150 | |
(AMT), 5.00%, 12/1/44 | 4,500 | 4,548,375 | |
Port of Portland, OR, (Portland International Airport): | |||
(AMT), 4.00%, 7/1/50 | 5,000 | 4,200,550 | |
(AMT), 5.00%, 7/1/44 | 8,000 | 7,985,280 | |
(AMT), 5.00%, 7/1/45 | 12,260 | 12,275,325 | |
Green Bonds, (AMT), 5.25%, 7/1/43 | 17,000 | 17,402,050 | |
Port of Seattle, WA: | |||
(AMT), 4.00%, 5/1/43 | 5,000 | 4,340,450 | |
(AMT), 5.00%, 5/1/43 | 5,500 | 5,425,915 | |
(AMT), 5.00%, 4/1/44 | 9,870 | 9,817,097 | |
Salt Lake City, UT, (Salt Lake City International Airport): | |||
(AMT), 5.00%, 7/1/42 | 17,330 | 17,052,027 | |
(AMT), 5.00%, 7/1/43 | 3,165 | 3,113,949 | |
(AMT), 5.00%, 7/1/46 | 15,975 | 15,847,839 | |
(AMT), 5.00%, 7/1/47 | 6,500 | 6,382,805 | |
(AMT), 5.25%, 7/1/48 | 16,260 | 16,371,869 | |
San Francisco City and County Airport Commission, CA, (San Francisco International Airport), (AMT), 5.00%, 5/1/49 | 5,000 | 4,965,350 | |
Texas Private Activity Bond Surface Transportation Corp., (North Tarrant Express Project), (AMT), 5.50%, 12/31/58 | 9,940 | 10,136,812 | |
Triborough Bridge and Tunnel Authority, NY, 5.00%, 11/15/41 | 9,000 | 9,091,170 | |
Virginia Small Business Financing Authority, (95 Express Lanes, LLC), (AMT), 4.00%, 1/1/39 | 7,220 | 6,528,035 | |
$ 780,622,847 | |||
Water and Sewer — 4.2% | |||
Austin, TX, Water and Wastewater System Revenue, 5.00%, 11/15/47 | $ | 4,000 | $ 4,095,560 |
Charleston, SC, Waterworks and Sewer System Revenue, 5.00%, 1/1/49 | 4,365 | 4,489,926 | |
Corpus Christi, TX, Utility System Revenue, 4.00%, 7/15/48 | 5,305 | 4,523,308 | |
District of Columbia Water and Sewer Authority, 4.00%, 10/1/51 | 10,935 | 9,717,935 | |
Eugene, OR, Water Utility System Revenue, 5.00%, 8/1/48 | 5,440 | 5,630,672 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Gilbert Water Resources Municipal Property Corp., AZ, Green Bonds, 4.00%, 7/15/47 | $ | 3,000 | $ 2,691,120 |
Kansas City, MO, Sanitary Sewer System Revenue, 4.00%, 1/1/48 | 4,000 | 3,508,280 | |
Michigan Finance Authority, (Detroit Water and Sewerage Department), 5.00%, 7/1/33 | 8,095 | 8,136,365 | |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System): | |||
4.00%, 6/15/49 | 10,000 | 8,766,500 | |
5.00%, 6/15/47(1) | 8,000 | 8,200,080 | |
5.00%, 6/15/51 | 5,000 | 5,090,650 | |
5.25%, 6/15/48(4) | 13,500 | 14,192,280 | |
(SPA: Barclays Bank PLC), 4.80%, 6/15/53(5) | 1,600 | 1,600,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 4.75%, 6/15/43(5) | 5,875 | 5,875,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 4.75%, 6/15/50(5) | 5,330 | 5,330,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 4.75%, 6/15/50(5) | 2,085 | 2,085,000 | |
(SPA: State Street Bank & Trust Co.), 4.55%, 6/15/41(5) | 1,500 | 1,500,000 | |
Philadelphia, PA, Water and Wastewater Revenue, 5.00%, 10/1/43 | 5,000 | 5,083,750 | |
San Mateo-Foster City Public Financing Authority, CA, (Clean Water Program), 5.00%, 8/1/49 | 23,445 | 24,262,293 | |
Sarasota County, FL, Utility System Revenue, 5.25%, 10/1/52 | 15,000 | 15,873,450 | |
Seattle, WA, Water System Revenue, Green Bonds, 5.00%, 9/1/52 | 8,610 | 8,887,070 | |
Tacoma, WA, Sewer Revenue, 4.00%, 12/1/48 | 5,190 | 4,517,999 | |
Texas Water Development Board, 4.00%, 10/15/49 | 2,500 | 2,198,125 | |
$ 156,255,363 | |||
Total Tax-Exempt Municipal Obligations (identified cost $3,554,314,044) | $3,448,093,792 |
Taxable Municipal Obligations — 6.8% |
Security | Principal Amount (000's omitted) | Value | |
Cogeneration — 0.0%(9) | |||
Northampton County Industrial Development Authority, PA, (Northampton Generating), 5.00%, 12/31/23(2) | $ | 7,517 | $ 1,353,032 |
$ 1,353,032 |
Security | Principal Amount (000's omitted) | Value | |
Education — 0.1% | |||
San Antonio Education Facilities Corp., TX, (University of the Incarnate Word): | |||
2.65%, 4/1/30 | $ | 1,100 | $ 873,070 |
3.15%, 4/1/37 | 1,750 | 1,221,833 | |
$ 2,094,903 | |||
General Obligations — 0.5% | |||
Lakeside School District No. 9, AR: | |||
1.65%, 4/1/36 | $ | 1,115 | $ 716,376 |
1.90%, 4/1/39 | 750 | 450,233 | |
Los Angeles Community College District, CA, 1.806%, 8/1/30 | 15,000 | 12,236,550 | |
Puerto Rico, GO Contingent Value Instrument, 0.00%, 11/1/43 | 7,122 | 3,703,381 | |
$ 17,106,540 | |||
Hospital — 1.1% | |||
California Statewide Communities Development Authority, (Loma Linda University Medical Center), 6.00%, 12/1/24 | $ | 34,250 | $ 33,880,785 |
New Mexico Hospital Equipment Loan Council, (Presbyterian Healthcare Services), (SPA: JPMorgan Chase Bank, N.A.), 5.35%, 8/1/42(5) | 5,000 | 5,000,000 | |
$ 38,880,785 | |||
Housing — 1.5% | |||
Maine Housing Authority: | |||
(SPA: Barclays Bank PLC), 5.37%, 11/15/52(3) | $ | 27,210 | $ 27,210,000 |
(SPA: TD Bank, N.A.), 5.37%, 11/15/50(3) | 7,140 | 7,140,000 | |
North Dakota Housing Finance Agency, (SPA: TD Bank, N.A.), 5.35%, 1/1/47(3) | 22,000 | 22,000,000 | |
$ 56,350,000 | |||
Industrial Development Revenue — 0.1% | |||
JobsOhio Beverage System, OH, 4.433%, 1/1/33 | $ | 5,000 | $ 4,813,050 |
$ 4,813,050 | |||
Insured - General Obligations — 0.0%(9) | |||
Westland Tax Increment Finance Authority, MI: | |||
(AGM), 2.31%, 4/1/33 | $ | 1,165 | $ 898,891 |
(AGM), 2.41%, 4/1/34 | 195 | 147,960 | |
$ 1,046,851 | |||
Insured - Transportation — 1.3% | |||
Alameda Corridor Transportation Authority, CA: | |||
(AMBAC), 0.00%, 10/1/26 | $ | 22,500 | $ 19,096,200 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Transportation (continued) | |||
Alameda Corridor Transportation Authority, CA: (continued) | |||
(AMBAC), 0.00%, 10/1/27 | $ | 34,390 | $ 27,679,479 |
$ 46,775,679 | |||
Lease Revenue/Certificates of Participation — 0.3% | |||
New York City Transitional Finance Authority, NY, (Building Aid), 3.23%, 7/15/24 | $ | 10,000 | $ 9,817,200 |
$ 9,817,200 | |||
Other Revenue — 0.6% | |||
Golden State Tobacco Securitization Corp., CA, 3.714%, 6/1/41 | $ | 28,000 | $ 19,691,000 |
Santa Cruz County, CA, Pension Obligation Bonds, 2.291%, 6/1/33 | 3,000 | 2,232,120 | |
$ 21,923,120 | |||
Senior Living/Life Care — 0.0%(9) | |||
Montgomery County Industrial Development Authority, PA, (ACTS Retirement-Life Communities, Inc. Obligated Group), 2.45%, 11/15/23 | $ | 1,250 | $ 1,244,463 |
$ 1,244,463 | |||
Transportation — 0.4% | |||
Foothill/Eastern Transportation Corridor Agency, CA, 4.094%, 1/15/49 | $ | 20,856 | $ 15,967,145 |
$ 15,967,145 | |||
Water and Sewer — 0.9% | |||
Metropolitan Water District of Southern California, (SPA: TD Bank, N.A.), 5.33%, 7/1/37(3) | $ | 33,350 | $ 33,350,000 |
$ 33,350,000 | |||
Total Taxable Municipal Obligations (identified cost $269,298,280) | $ 250,722,768 | ||
Total Investments — 101.6% (identified cost $3,866,539,561) | $3,742,555,210 | ||
Other Assets, Less Liabilities — (1.6)% | $ (59,424,425) | ||
Net Assets — 100.0% | $3,683,130,785 |
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 (see Note 1H). |
(2) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(3) | Variable rate demand obligation that may be tendered at par on any day for payment the lesser of 5 business days or 7 calendar days. The stated interest rate, which generally resets weekly, is determined by the remarketing agent and represents the rate in effect at September 30, 2023. |
(4) | When-issued security. |
(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 September 30, 2023. |
(6) | 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 September 30, 2023, the aggregate value of these securities is $54,955,331 or 1.5% of the Fund's net assets. |
(7) | Floating rate security. The stated interest rate represents the rate in effect at September 30, 2023. |
(8) | Defaulted security. Issuer has defaulted on the payment of interest and/or principal or has filed for bankruptcy. |
(9) | Amount is less than 0.05%. |
At September 30, 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 | 14.5% |
California | 13.9% |
Texas | 12.3% |
Others, representing less than 10% individually | 59.7% |
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 September 30, 2023, 6.6% 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 0.4% to 3.3% 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 | 12/19/23 | $(105,247,656) | $ 4,363,160 |
$4,363,160 |
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 |
SFMR | – Single Family Mortgage Revenue |
SIFMA | – Securities Industry and Financial Markets Association Municipal Swap Index |
SOFR | – Secured Overnight Financing Rate |
SPA | – Standby Bond Purchase Agreement |
September 30, 2023 | ||
AMT-Free Fund | National Fund | |
Assets | ||
Investments: | ||
Identified cost | $ 229,659,764 | $ 3,866,539,561 |
Unrealized depreciation | (7,001,800) | (123,984,351) |
Investments, at value | $222,657,964 | $3,742,555,210 |
Cash | $ 2,173,356 | $ 5,953,812 |
Deposits for derivatives collateral — futures contracts | — | 4,053,599 |
Interest receivable | 2,974,366 | 46,991,028 |
Receivable for investments sold | 1,100,000 | 65,572,706 |
Receivable for Fund shares sold | 82,064 | 18,051,327 |
Trustees' deferred compensation plan | 95,316 | 394,044 |
Due from broker for floating rate notes issued | — | 22,800,000 |
Total assets | $229,083,066 | $3,906,371,726 |
Liabilities | ||
Payable for floating rate notes issued | $ 7,749,960 | $ 54,807,640 |
Due to broker for floating rate notes redeemed | — | 28,000,000 |
Payable for investments purchased | — | 48,844,717 |
Payable for when-issued securities | — | 66,060,572 |
Payable for Fund shares redeemed | 377,326 | 20,420,745 |
Payable for variation margin on open futures contracts | — | 260,156 |
Distributions payable | 106,828 | 2,161,527 |
Payable to affiliates: | ||
Investment adviser fee | 81,650 | 1,023,581 |
Distribution and service fees | 24,057 | 276,175 |
Trustees' deferred compensation plan | 95,316 | 394,044 |
Interest expense and fees payable | 88,917 | 294,951 |
Accrued expenses | 118,217 | 696,833 |
Total liabilities | $ 8,642,271 | $ 223,240,941 |
Net Assets | $220,440,795 | $3,683,130,785 |
Sources of Net Assets | ||
Paid-in capital | $ 277,223,751 | $ 4,231,258,722 |
Accumulated loss | (56,782,956) | (548,127,937) |
Net Assets | $220,440,795 | $3,683,130,785 |
Class A Shares | ||
Net Assets | $ 100,834,733 | $ 1,126,345,458 |
Shares Outstanding | 13,230,691 | 128,746,049 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 7.62 | $ 8.75 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 7.88 | $ 9.04 |
Class C Shares | ||
Net Assets | $ 3,257,739 | $ 45,669,945 |
Shares Outstanding | 429,951 | 5,220,791 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 7.58 | $ 8.75 |
September 30, 2023 | ||
AMT-Free Fund | National Fund | |
Class I Shares | ||
Net Assets | $116,348,323 | $2,511,115,382 |
Shares Outstanding | 13,980,543 | 287,080,214 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.32 | $ 8.75 |
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. |
Year Ended September 30, 2023 | ||
AMT-Free Fund | National Fund | |
Investment Income | ||
Interest income | $ 10,893,239 | $ 154,300,868 |
Total investment income | $10,893,239 | $154,300,868 |
Expenses | ||
Investment adviser fee | $ 1,039,448 | $ 11,505,693 |
Distribution and service fees: | ||
Class A | 280,721 | 2,951,633 |
Class C | 42,355 | 522,765 |
Trustees’ fees and expenses | 16,255 | 108,500 |
Custodian fee | 57,614 | 621,253 |
Transfer and dividend disbursing agent fees | 89,809 | 1,438,663 |
Legal and accounting services | 71,599 | 199,852 |
Printing and postage | 10,935 | 143,922 |
Registration fees | 77,293 | 305,021 |
Interest expense and fees | 409,003 | 2,673,804 |
Miscellaneous | 43,944 | 191,824 |
Total expenses | $ 2,138,976 | $ 20,662,930 |
Net investment income | $ 8,754,263 | $133,637,938 |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss): | ||
Investment transactions | $ (5,868,207) | $ (67,945,101) |
Futures contracts | — | 18,630,246 |
Net realized loss | $ (5,868,207) | $ (49,314,855) |
Change in unrealized appreciation (depreciation): | ||
Investments | $ 1,277,150 | $ 10,167,551 |
Futures contracts | — | (5,724,409) |
Net change in unrealized appreciation (depreciation) | $ 1,277,150 | $ 4,443,142 |
Net realized and unrealized loss | $ (4,591,057) | $ (44,871,713) |
Net increase in net assets from operations | $ 4,163,206 | $ 88,766,225 |
Year Ended September 30, 2023 | ||
AMT-Free Fund | National Fund | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 8,754,263 | $ 133,637,938 |
Net realized loss | (5,868,207) | (49,314,855) |
Net change in unrealized appreciation (depreciation) | 1,277,150 | 4,443,142 |
Net increase in net assets from operations | $ 4,163,206 | $ 88,766,225 |
Distributions to shareholders: | ||
Class A | $ (3,899,645) | $ (43,200,549) |
Class C | (114,999) | (1,519,512) |
Class I | (4,682,937) | (86,466,621) |
Total distributions to shareholders | $ (8,697,581) | $ (131,186,682) |
Transactions in shares of beneficial interest: | ||
Class A | $ (11,277,440) | $ (49,788,169) |
Class C | (1,635,102) | (10,052,301) |
Class I | (418,520) | 658,700,475 |
Net increase (decrease) in net assets from Fund share transactions | $ (13,331,062) | $ 598,860,005 |
Net increase (decrease) in net assets | $ (17,865,437) | $ 556,439,548 |
Net Assets | ||
At beginning of year | $ 238,306,232 | $ 3,126,691,237 |
At end of year | $220,440,795 | $3,683,130,785 |
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 | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.790 | $ 9.290 | $ 9.250 | $ 9.250 | $ 8.870 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.280 | $ 0.227 | $ 0.236 | $ 0.274 | $ 0.317 |
Net realized and unrealized gain (loss) | (0.171) | (1.495) | 0.053 | 0.011 (2) | 0.381 |
Total income (loss) from operations | $ 0.109 | $ (1.268) | $ 0.289 | $ 0.285 | $ 0.698 |
Less Distributions | |||||
From net investment income | $ (0.279) | $ (0.232) | $ (0.249) | $ (0.285) | $ (0.318) |
Total distributions | $ (0.279) | $ (0.232) | $ (0.249) | $ (0.285) | $ (0.318) |
Net asset value — End of year | $ 7.620 | $ 7.790 | $ 9.290 | $ 9.250 | $ 9.250 |
Total Return(3) | 1.29% | (13.85)% | 3.14% | 3.12% | 8.02% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $100,835 | $113,933 | $157,981 | $158,729 | $150,853 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses excluding interest and fees | 0.83% | 0.79% | 0.76% | 0.78% | 0.81% |
Interest and fee expense(4) | 0.17% | 0.07% | 0.04% | 0.14% | 0.23% |
Total expenses | 1.00% | 0.86% | 0.80% | 0.92% | 1.04% |
Net investment income | 3.50% | 2.61% | 2.53% | 2.97% | 3.51% |
Portfolio Turnover | 53% | 60% | 32% | 58% | 33% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(4) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
AMT-Free Fund — Class C | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.740 | $ 9.240 | $ 9.200 | $ 9.200 | $ 8.820 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.219 | $ 0.159 | $ 0.167 | $ 0.204 | $ 0.249 |
Net realized and unrealized gain (loss) | (0.162) | (1.493) | 0.051 | 0.011 (2) | 0.380 |
Total income (loss) from operations | $ 0.057 | $(1.334) | $ 0.218 | $ 0.215 | $ 0.629 |
Less Distributions | |||||
From net investment income | $ (0.217) | $ (0.166) | $ (0.178) | $ (0.215) | $ (0.249) |
Total distributions | $(0.217) | $(0.166) | $(0.178) | $ (0.215) | $ (0.249) |
Net asset value — End of year | $ 7.580 | $ 7.740 | $ 9.240 | $ 9.200 | $ 9.200 |
Total Return(3) | 0.51% | (14.59)% | 2.38% | 2.36% | 7.24% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 3,258 | $ 4,906 | $ 9,017 | $15,094 | $19,715 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses excluding interest and fees | 1.58% | 1.54% | 1.51% | 1.53% | 1.56% |
Interest and fee expense(4) | 0.17% | 0.07% | 0.04% | 0.14% | 0.23% |
Total expenses | 1.75% | 1.61% | 1.55% | 1.67% | 1.79% |
Net investment income | 2.74% | 1.83% | 1.80% | 2.23% | 2.78% |
Portfolio Turnover | 53% | 60% | 32% | 58% | 33% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(4) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
AMT-Free Fund — Class I | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.500 | $ 10.150 | $ 10.110 | $ 10.100 | $ 9.680 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.328 | $ 0.271 | $ 0.283 | $ 0.323 | $ 0.370 |
Net realized and unrealized gain (loss) | (0.182) | (1.644) | 0.055 | 0.023 (2) | 0.422 |
Total income (loss) from operations | $ 0.146 | $ (1.373) | $ 0.338 | $ 0.346 | $ 0.792 |
Less Distributions | |||||
From net investment income | $ (0.326) | $ (0.277) | $ (0.298) | $ (0.336) | $ (0.372) |
Total distributions | $ (0.326) | $ (0.277) | $ (0.298) | $ (0.336) | $ (0.372) |
Net asset value — End of year | $ 8.320 | $ 8.500 | $ 10.150 | $ 10.110 | $ 10.100 |
Total Return(3) | 1.49% | (13.64)% | 3.36% | 3.48% | 8.34% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $116,348 | $119,467 | $184,002 | $168,113 | $145,788 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses excluding interest and fees | 0.58% | 0.54% | 0.51% | 0.53% | 0.56% |
Interest and fee expense(4) | 0.17% | 0.07% | 0.04% | 0.14% | 0.23% |
Total expenses | 0.75% | 0.61% | 0.55% | 0.67% | 0.79% |
Net investment income | 3.75% | 2.84% | 2.77% | 3.21% | 3.76% |
Portfolio Turnover | 53% | 60% | 32% | 58% | 33% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
National Fund — Class A | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.780 | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.340 | $ 0.224 | $ 0.223 | $ 0.265 | $ 0.322 |
Net realized and unrealized gain (loss) | (0.037) | (1.507) | 0.082 | 0.119 | 0.491 |
Total income (loss) from operations | $ 0.303 | $ (1.283) | $ 0.305 | $ 0.384 | $ 0.813 |
Less Distributions | |||||
From net investment income | $ (0.333) | $ (0.247) | $ (0.235) | $ (0.284) | $ (0.323) |
Total distributions | $ (0.333) | $ (0.247) | $ (0.235) | $ (0.284) | $ (0.323) |
Net asset value — End of year | $ 8.750 | $ 8.780 | $ 10.310 | $ 10.240 | $ 10.140 |
Total Return(2) | 3.38% | (12.62)% | 2.99% | 3.84% | 8.57% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $1,126,345 | $1,179,909 | $1,558,418 | $1,620,505 | $1,605,407 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses excluding interest and fees | 0.67% | 0.64% | 0.61% | 0.64% | 0.68% |
Interest and fee expense(3) | 0.08% | 0.03% | 0.02% | 0.05% | 0.12% |
Total expenses | 0.75% | 0.67% | 0.63% | 0.69% | 0.80% |
Net investment income | 3.73% | 2.30% | 2.15% | 2.61% | 3.26% |
Portfolio Turnover | 86% | 151% | 56% | 105% | 89% |
(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) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
National Fund — Class C | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.780 | $10.310 | $ 10.240 | $ 10.140 | $ 9.650 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.271 | $ 0.148 | $ 0.146 | $ 0.190 | $ 0.252 |
Net realized and unrealized gain (loss) | (0.036) | (1.504) | 0.081 | 0.119 | 0.488 |
Total income (loss) from operations | $ 0.235 | $ (1.356) | $ 0.227 | $ 0.309 | $ 0.740 |
Less Distributions | |||||
From net investment income | $ (0.265) | $ (0.174) | $ (0.157) | $ (0.209) | $ (0.250) |
Total distributions | $ (0.265) | $ (0.174) | $ (0.157) | $ (0.209) | $ (0.250) |
Net asset value — End of year | $ 8.750 | $ 8.780 | $10.310 | $ 10.240 | $ 10.140 |
Total Return(2) | 2.60% | (13.28)% | 2.22% | 3.08% | 7.77% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $45,670 | $55,558 | $ 94,851 | $131,330 | $172,417 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses excluding interest and fees | 1.42% | 1.39% | 1.36% | 1.39% | 1.43% |
Interest and fee expense(3) | 0.08% | 0.03% | 0.02% | 0.05% | 0.12% |
Total expenses | 1.50% | 1.42% | 1.38% | 1.44% | 1.55% |
Net investment income | 2.98% | 1.52% | 1.41% | 1.87% | 2.57% |
Portfolio Turnover | 86% | 151% | 56% | 105% | 89% |
(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) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
National Fund — Class I | |||||
Year Ended September 30, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.780 | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.363 | $ 0.248 | $ 0.248 | $ 0.289 | $ 0.341 |
Net realized and unrealized gain (loss) | (0.037) | (1.507) | 0.082 | 0.120 | 0.495 |
Total income (loss) from operations | $ 0.326 | $ (1.259) | $ 0.330 | $ 0.409 | $ 0.836 |
Less Distributions | |||||
From net investment income | $ (0.356) | $ (0.271) | $ (0.260) | $ (0.309) | $ (0.346) |
Total distributions | $ (0.356) | $ (0.271) | $ (0.260) | $ (0.309) | $ (0.346) |
Net asset value — End of year | $ 8.750 | $ 8.780 | $ 10.310 | $ 10.240 | $ 10.140 |
Total Return(2) | 3.64% | (12.40)% | 3.24% | 4.10% | 8.83% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $2,511,115 | $1,891,224 | $2,347,177 | $1,797,038 | $1,348,563 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses excluding interest and fees | 0.42% | 0.39% | 0.36% | 0.39% | 0.43% |
Interest and fee expense(3) | 0.08% | 0.03% | 0.02% | 0.05% | 0.12% |
Total expenses | 0.50% | 0.42% | 0.38% | 0.44% | 0.55% |
Net investment income | 3.98% | 2.55% | 2.39% | 2.85% | 3.45% |
Portfolio Turnover | 86% | 151% | 56% | 105% | 89% |
(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) | 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 | $ 7,749,960 | $54,807,640 |
Interest Rate or Range of Interest Rates (%) | 4.01 - 4.02 | 4.01 - 4.02 |
Collateral for Floating Rate Notes Outstanding | $10,155,720 | $70,404,755 |
AMT-Free Fund | National Fund | |
Average Floating Rate Notes Outstanding | $11,370,986 | $75,813,973 |
Average Interest Rate | 3.60% | 3.53% |
AMT-Free Fund | National Fund | ||||
Year Ended September 30, | Year Ended September 30, | ||||
2023 | 2022 | 2023 | 2022 | ||
Tax-exempt income | $8,697,559 | $8,322,283 | $121,388,863 | $87,321,107 | |
Ordinary income | $ 22 | $ — | $ 9,797,819 | $ 7,952,420 |
AMT-Free Fund | National Fund | |
Undistributed tax-exempt income | $ 733,055 | $ 2,377,573 |
Deferred capital losses | (50,463,234) | (418,278,332) |
Net unrealized depreciation | (6,945,949) | (130,065,651) |
Distributions payable | (106,828) | (2,161,527) |
Accumulated loss | $(56,782,956) | $(548,127,937) |
AMT-Free Fund | National Fund | |
Deferred capital losses: | ||
Short-term | $26,756,879 | $294,364,229 |
Long-term | $23,706,355 | $123,914,103 |
AMT-Free Fund | National Fund | |
Aggregate cost | $ 221,853,953 | $3,817,813,221 |
Gross unrealized appreciation | $ 3,474,662 | $ 20,837,754 |
Gross unrealized depreciation | (10,420,611) | (150,903,405) |
Net unrealized depreciation | $ (6,945,949) | $ (130,065,651) |
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 | $1,039,448 | $11,505,693 |
Effective Annual Rate | 0.43% | 0.33% |
AMT-Free Fund | National Fund | |
EVM's Sub-Transfer Agent Fees | $13,377 | $189,989 |
EVD's Class A Sales Charges | $ 1,218 | $ 50,332 |
Morgan Stanley affiliated broker-dealers’ Class A Sales Charges | $ — | $ 20,268 |
AMT-Free Fund | National Fund | |
Class A Distribution and Service Fees | $280,721 | $2,951,633 |
AMT-Free Fund | National Fund | |
Class C Distribution Fees | $31,766 | $392,074 |
AMT-Free Fund | National Fund | |
Class C Service Fees | $10,589 | $130,691 |
AMT-Free Fund | National Fund | |
Class A | $ 200 | $13,000 |
Class C | $ — | $ 3,000 |
AMT-Free Fund | National Fund | |
Purchases | $130,144,878 | $3,612,006,781 |
Sales | $145,436,771 | $2,957,270,833 |
AMT-Free Fund | ||||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||||
Shares | Amount | Shares | Amount | |||
Class A | ||||||
Sales | 1,888,917 | $ 14,993,570 | 1,383,193 | $ 11,828,411 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 412,323 | 3,293,503 | 360,010 | 3,096,193 | ||
Redemptions | (3,699,939) | (29,564,513) | (4,119,650) | (35,134,920) | ||
Net decrease | (1,398,699) | $(11,277,440) | (2,376,447) | $(20,210,316) | ||
Class C | ||||||
Sales | 132,801 | $ 1,060,779 | 35,647 | $ 317,123 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 13,573 | 107,806 | 15,751 | 134,955 | ||
Redemptions | (350,028) | (2,803,687) | (393,912) | (3,344,737) | ||
Net decrease | (203,654) | $ (1,635,102) | (342,514) | $ (2,892,659) | ||
Class I | ||||||
Sales | 7,686,554 | $ 67,351,799 | 5,504,437 | $ 51,653,218 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 462,122 | 4,032,283 | 410,806 | 3,874,689 | ||
Redemptions | (8,214,826) | (71,802,602) | (10,004,257) | (93,270,999) | ||
Net decrease | (66,150) | $ (418,520) | (4,089,014) | $(37,743,092) |
National Fund | ||||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||||
Shares | Amount | Shares | Amount | |||
Class A | ||||||
Sales | 17,509,254 | $ 159,744,009 | 10,084,810 | $ 96,476,496 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 4,046,834 | 36,759,694 | 3,099,907 | 29,725,930 | ||
Redemptions | (27,121,465) | (246,291,872) | (29,993,424) | (288,815,393) | ||
Net decrease | (5,565,377) | $ (49,788,169) | (16,808,707) | $ (162,612,967) | ||
Class C | ||||||
Sales | 1,180,431 | $ 10,743,048 | 590,143 | $ 5,726,338 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 151,181 | 1,373,270 | 124,890 | 1,197,694 | ||
Redemptions | (2,435,564) | (22,168,619) | (3,588,913) | (34,592,881) | ||
Net decrease | (1,103,952) | $ (10,052,301) | (2,873,880) | $ (27,668,849) | ||
Class I | ||||||
Sales | 195,677,015 | $ 1,778,704,708 | 138,884,926 | $ 1,320,089,504 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 7,485,180 | 67,982,627 | 4,908,694 | 47,139,306 | ||
Redemptions | (131,390,441) | (1,187,986,860) | (156,108,342) | (1,486,157,857) | ||
Net increase (decrease) | 71,771,754 | $ 658,700,475 | (12,314,722) | $ (118,929,047) |
National Fund | |
Asset Derivatives | |
Futures contracts | $4,363,160 (1) |
(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 | $18,630,246 (1) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | $ (5,724,409)(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 | $117,488,000 |
• | 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 | $ — | $ 891,446 | $ — | $ 891,446 |
Tax-Exempt Municipal Obligations | — | 221,766,518 | — | 221,766,518 |
Total Investments | $ — | $ 222,657,964 | $ — | $ 222,657,964 |
National Fund | ||||
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $ — | $ 43,738,650 | $ — | $ 43,738,650 |
Tax-Exempt Municipal Obligations | — | 3,448,093,792 | — | 3,448,093,792 |
Taxable Municipal Obligations | — | 250,722,768 | — | 250,722,768 |
Total Investments | $ — | $ 3,742,555,210 | $ — | $3,742,555,210 |
Futures Contracts | $ 4,363,160 | $ — | $ — | $ 4,363,160 |
Total | $ 4,363,160 | $ 3,742,555,210 | $ — | $3,746,918,370 |
Boston, Massachusetts
November 20, 2023
Boston, Massachusetts
November 20, 2023
AMT-Free Municipal Income Fund | 100.00% |
National Municipal Income Fund | 92.53% |
Performance Relative to: | ||
Fund | Median of Peer Group | Benchmark Index |
Eaton Vance AMT-Free Municipal Income Fund | Lower | Lower |
Eaton Vance National Municipal Income Fund | Higher | Lower |
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, each Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trusts. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
Item 2. Code of Ethics
The registrant (sometimes referred to as the “Fund”) has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr.
Gorman also has experience serving as an independent trustee and audit committee financial expert of other mutual fund complexes. Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).
Item 4. Principal Accountant Fees and Services
Eaton Vance AMT-Free Municipal Income Fund and Eaton Vance Total Return Bond Fund (the “Fund(s)”) are series of Eaton Vance Mutual Funds Trust (the “Trust”), a Massachusetts business trust, which, including the Funds, contains a total of 31 series (the “Series”). The Trust is registered under the Investment Company Act of 1940 as an open-end management investment company. This Form N-CSR relates to the Funds’ annual reports.
(a)-(d)
The following tables present the aggregate fees billed to each Fund for the Funds’ fiscal years ended September 30, 2022 and September 30, 2023 by the Funds’ principal accountant, Deloitte and Touche LLP (“D&T”), for professional services rendered for the audit of the Funds’ annual financial statements and fees billed for other services rendered by D&T during those periods.
Eaton Vance AMT-Free Municipal Income Fund
Fiscal Years Ended | 9/30/22 | 9/30/23 | ||||||
Audit Fees | $ | 55,550 | $ | 56,000 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 350 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 55,900 | $ | 56,000 | ||||
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Eaton Vance Total Return Bond Fund
Fiscal Years Ended | 9/30/22 | 9/30/23 | ||||||
Audit Fees | $ | 48,650 | $ | 61,600 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 4,650 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 53,300 | $ | 61,600 | ||||
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(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
The various Series comprising the Trust have differing fiscal year ends (January 31, February 28, September 30, October 31, November 30, or December 31). The following table presents the aggregate audit, audit-related, tax, and other fees billed to all of the Series in the Trust by D&T for the last two fiscal years of each Series.
Fiscal Years | 10/31/21 | 11/30/21 | 12/31/21 | 1/31/22 | 2/28/22 | 9/30/22 | 10/31/22 | 11/30/22 | 12/31/22 | 1/31/23 | 2/28/23 | 9/30/23 | ||||||||||||||||||||||||||||||||||||
Audit Fees | $ | 729,872 | $ | 37,050 | $ | 111,700 | $ | 198,900 | $ | 24,050 | $ | 104,200 | $ | 816,633 | $ | 41,150 | $ | 130,600 | $ | 172,250 | $ | 27,150 | $ | 117,600 | ||||||||||||||||||||||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||||||
Tax Fees(2) | $ | 271,569 | $ | 13,000 | $ | 61,738 | $ | 78,353 | $ | 8,478 | $ | 5,000 | $ | 44,100 | $ | 0 | $ | 16,150 | $ | 14,695 | $ | 1,650 | $ | 0 | ||||||||||||||||||||||||
All Other Fees(3) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||||||
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Total | $ | 1,001,441 | $ | 50,050 | $ | 173,438 | $ | 277,253 | $ | 32,528 | $ | 109,200 | $ | 860,733 | $ | 41,150 | $ | 146,750 | $ | 186,945 | $ | 28,800 | $ | 117,600 | ||||||||||||||||||||||||
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(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01(c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed for services rendered to all of the Series in the Trust by D&T for the last two fiscal years of each Series; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the last two fiscal years of each Series.
Fiscal Years | 10/31/21 | 11/30/21 | 12/31/21 | 1/31/22 | 2/28/22 | 9/30/22 | 10/31/22 | 11/30/22 | 12/31/22 | 1/31/23 | 2/28/23 | 9/30/23 | ||||||||||||||||||||||||||||||||||||
Registrant(1) | $ | 271,569 | $ | 13,000 | $ | 61,738 | $ | 78,353 | $ | 8,478 | $ | 5,000 | $ | 44,100 | $ | 0 | $ | 16,150 | $ | 14,695 | $ | 1,650 | $ | 0 | ||||||||||||||||||||||||
Eaton Vance(2) | $ | 51,800 | $ | 51,800 | $ | 51,800 | $ | 51,800 | $ | 51,800 | $ | 52,836 | $ | 52,836 | $ | 52,836 | $ | 52,836 | $ | 52,836 | $ | 52,836 | $ | 52,836 |
(1) | Includes all of the Series of the Trust. During the fiscal years reported above, certain of the Funds were “feeder” funds in a “master-feeder” fund structure or funds of funds. |
(2) | Various subsidiaries of Morgan Stanley act in either an investment advisory and/or service provider capacity with respect to the Series and/or their respective “master” funds (if applicable). |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Mutual Funds Trust | ||
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President |
Date: November 21, 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: November 21, 2023
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President |
Date: November 21, 2023