FIRST TRUST
First Trust Exchange-Traded Fund VIII
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First Trust TCW Opportunistic Fixed Income ETF (FIXD)
First Trust TCW Unconstrained Plus Bond ETF (UCON)
First Trust TCW Securitized Plus ETF (DEED)
First Trust TCW Emerging Markets Debt ETF (EFIX)
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Semi-Annual Report
For the Six Months Ended
February 28, 2022
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2022
Shareholder Letter.......................................................... 1
Fund Performance Overview
First Trust TCW Opportunistic Fixed Income ETF (FIXD).................... 2
First Trust TCW Unconstrained Plus Bond ETF (UCON)....................... 4
First Trust TCW Securitized Plus ETF (DEED).............................. 6
First Trust TCW Emerging Markets Debt ETF (EFIX)......................... 8
Notes to Fund Performance Overview.......................................... 10
Portfolio Management........................................................ 11
Understanding Your Fund Expenses............................................ 12
Portfolio of Investments
First Trust TCW Opportunistic Fixed Income ETF (FIXD).................... 13
First Trust TCW Unconstrained Plus Bond ETF (UCON)....................... 44
First Trust TCW Securitized Plus ETF (DEED).............................. 74
First Trust TCW Emerging Markets Debt ETF (EFIX)......................... 89
Statements of Assets and Liabilities........................................ 93
Statements of Operations.................................................... 94
Statements of Changes in Net Assets......................................... 95
Financial Highlights........................................................ 97
Notes to Financial Statements............................................... 99
Additional Information...................................................... 112
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and/or TCW Investment Management Company LLC ("TCW" or
the "Sub-Advisor") and their respective representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the series of First Trust Exchange-Traded Fund VIII (the "Trust") described in
this report (each such series is referred to as a "Fund" and collectively, as
the "Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and/or Sub-Advisor and their respective representatives
only as of the date hereof. We undertake no obligation to publicly revise or
update these forward-looking statements to reflect events and circumstances that
arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
The statistical information that follows may help you understand each Fund's
performance compared to that of a relevant market benchmark.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor and/or Sub-Advisor are just that: informed opinions. They should not be
considered to be promises or advice. The opinions, like the statistics, cover
the period through the date on the cover of this report. The material risks of
investing in each Fund are spelled out in the prospectus, the statement of
additional information, and other Fund regulatory filings.
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
FEBRUARY 28, 2022
Dear Shareholders:
First Trust is pleased to provide you with the semi-annual report for certain
series of the First Trust Exchange-Traded Fund VIII (the "Funds"), which
contains detailed information about the Funds for the six-month period ended
February 28, 2022.
Interest rates, bond yields and inflation are trending higher in the U.S., and
perhaps what matters most is that all three are moving in tandem, which has not
happened for quite some time. To start, let us focus on bond yields, which, like
interest rates and inflation, have traded at or near their historic lows for
many years. Over the past decade, we have seen the yield on the 10-Year Treasury
Note ("T-Note") climb from its artificial lows to the 3.00% level on two
occasions only to have it reverse course soon thereafter. In 2013, the yield on
the benchmark government bond rose from 1.75% at the start of the year to 3.03%
at the close of trading on December 31, 2013. One year later it stood at 2.17%.
In 2018, the yield rose from 2.41% at the start of the year to a 2018 high of
3.24% on November 8, 2018. At the end of 2019, it yielded 1.92%. In 2022, it has
reached as high as 2.78% (on April 11), representing a significant move from
1.51% at the start of the year. The point is that we have endured substantial
upward moves in the yield on the 10-Year T-Note, but they were not sustained.
Short-term interest rates, as controlled by the Federal Reserve (the "Fed") via
its Federal Funds target rate, only accompanied bond yields higher in one of
those two instances. In 2013, bond yields rose but the Fed did not raise
short-term interest rates at all. In 2017 and 2018, the Fed executed multiple
interest rate hikes, but reversed course in 2019, undoing the entirety of its
2017-2018 tightening phase. On March 16, 2022, the Fed initiated a 25-basis
point ("bps") hike in the Federal Funds target rate. The median member of the
Federal Open Market Committee is signaling another six hikes, totaling 150 bps,
through year-end, according to Brian Wesbury, Chief Economist at First Trust.
That would equate to 175 bps in aggregate in 2022. The Fed also signaled it
could raise interest rates an additional 75-100 bps in 2023. So, for all intents
and purposes, unless something dramatic happens, such as an escalation of the
war between Russia and Ukraine, we believe interest rates are heading much
higher. With respect to inflation, as measured by the Consumer Price Index
("CPI"), it was essentially a non-event when bond yields rose in 2013 and 2018.
The year-over-year changes in the CPI in 2013 and 2018 were 1.5% and 1.9%,
respectively, according to data from the U.S. Bureau of Labor Statistics. The
CPI has averaged 3.0% per year since 1926. In February 2022, the CPI stood at
7.9%. The last time it was this high was 1982.
The current climate for interest rates, bond yields and inflation, indicates
that this time around could be different than what we experienced in 2013 and
2018. By that I mean that higher levels of all three might be sustainable.
Having said that, I do not believe that investors need to shift into panic mode.
The Fed's guidance is reassuring to us in that, as of now, it intends to raise
short-term interest rates slowly and methodically. While we believe the bond
market may be in for a bumpy ride over the next year or so, higher rates and
yields are not necessarily death knells for the stock market. In general, I
believe that investors should be able to make better decisions about where to
position their money moving forward thanks to the in-depth guidance from the
Fed. It could not be more transparent, in my opinion.
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 1
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
The investment objective of the First Trust TCW Opportunistic Fixed Income ETF
(the "Fund") is to seek to maximize long-term total return. Under normal market
conditions, the Fund pursues its objective by investing at least 80% of its net
assets (including investment borrowings) in fixed income securities. The Fund's
investments principally include securities issued or guaranteed by the U.S.
government or its agencies, instrumentalities or U.S. government-sponsored
entities; Treasury Inflation Protected Securities (TIPS); agency and non-agency
residential mortgage-backed securities (RMBS); agency and non-agency commercial
mortgage-backed securities (CMBS); agency and non-agency asset-backed securities
(ABS); U.S. corporate bonds; fixed income securities issued by non-U.S.
corporations and governments, including issuers with significant ties to
emerging market countries; bank loans, including first lien senior secured
floating rate bank loans; municipal bonds; collateralized loan obligations
(CLOs); Rule 144A securities, and other debt securities bearing fixed, floating
or variable interest rates of any maturity. The Fund may also invest in
preferred stock and common stock. The Fund may utilize listed and
over-the-counter derivatives instruments. Shares of the Fund are listed on The
Nasdaq Stock Market LLC under the ticker symbol "FIXD."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months 1 Year 5 Years Inception 5 Years Inception
Ended Ended Ended (2/14/17) Ended (2/14/17)
2/28/22 2/28/22 2/28/22 to 2/28/22 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -4.11% -2.30% 3.18% 3.29% 16.92% 17.72%
Market Price -4.14% -2.68% 3.17% 3.30% 16.88% 17.77%
INDEX PERFORMANCE
Bloomberg U.S. Aggregate Bond Index -4.07% -2.64% 2.71% 2.82% 14.30% 15.05%
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(See Notes to Fund Performance Overview on page 10.)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2017 - FEBRUARY 28, 2022
First Trust TCW Bloomberg
Opportunistic Fixed U.S. Aggregate
Income ETF Bond Index
2/14/17 $10,000 $10,000
2/28/17 10,068 10,066
8/31/17 10,323 10,342
2/28/18 10,130 10,117
8/31/18 10,265 10,233
2/28/19 10,470 10,437
8/31/19 11,325 11,274
2/29/20 11,698 11,657
8/31/20 12,182 12,004
2/28/21 12,048 11,818
8/31/21 12,276 11,994
2/28/22 11,772 11,505
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 2
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) (CONTINUED)
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% OF TOTAL
FUND ALLOCATION NET ASSETS
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U.S. Government Bonds and Notes 34.0%
U.S. Government Agency Mortgage-Backed
Securities 29.4
Corporate Bonds and Notes 20.8
Mortgage-Backed Securities 9.3
Asset-Backed Securities 8.4
Foreign corporate Bonds and Notes 6.7
Foreign Sovereign Bonds and Notes 3.6
Senior Floating-Rate Loan Interests 1.9
U.S. Government Agency Securities 1.1
Municipal Bonds 0.8
Common Stocks 0.0*
Rights 0.0*
U.S. Treasury Bills 4.4
Money Market Funds 2.4
Put Swaptions Purchased 0.0*
Call Options Purchased 0.1
Call Options Written (0.1)
Put Options Written (0.1)
Net Other Assets and Liabilities** (22.7)
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Total 100.0%
=======
* Amount is less than 0.1%.
** Includes variation margin on futures contracts, unrealized appreciation/
depreciation on forward foreign currency contracts and unrealized
appreciation/depreciation on interest rate swap agreements.
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% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
Government/Agency 57.2%
AAA 3.9
AA+ 1.7
AA 1.7
AA- 0.9
A+ 0.6
A 1.8
A- 3.3
BBB+ 5.8
BBB 6.1
BBB- 4.0
BB+ 2.6
BB 1.7
BB- 1.0
B+ 0.3
B 0.8
B- 0.7
CCC+ 0.2
CCC 1.4
CCC- 0.6
CC 2.4
C 0.4
D 0.9
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Total 100.0%
=======
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% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Federal National Mortgage Association, Pool
TBA, 2.00%, 04/15/52 5.2%
U.S. Treasury Note, 1.50%, 02/29/24 4.9
Federal National Mortgage Association, Pool
TBA, 2.50%, 04/15/52 4.3
U.S. Treasury Note, 0.75%, 12/31/23 3.6
U.S. Treasury Note, 1.50%, 01/31/27 3.6
U.S. Treasury Note, 1.25%, 12/31/26 3.3
U.S. Treasury Note, 1.88%, 02/28/27 3.0
U.S. Treasury Bond, 2.00%, 11/15/41 2.8
Federal National Mortgage Association, Pool
TBA, 2.50%, 03/15/52 2.7
U.S. Treasury Bond, 1.88%, 11/15/51 2.1
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Total 35.5%
=======
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(1) The credit quality and ratings information presented above reflect the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including Standard & Poor's Rating Group, a
division of McGraw Hill Companies, Inc., Moody's Investors Service, Inc.,
Fitch Ratings, or a comparably rated NRSRO. For situations in which a
security is rated by more than one NRSRO and the ratings are not
equivalent, the lowest ratings are used. Sub-investment grade ratings are
those rated BB+/Ba1 or lower. Investment grade ratings are those rated
BBB-/Baa3 or higher. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the Fund,
and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S.
Agency mortgage-backed securities appear under "Government/Agency". Credit
ratings are subject to change.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
The investment objective of the First Trust TCW Unconstrained Plus Bond ETF (the
"Fund") is to seek to maximize long-term total return. Under normal market
conditions, the Fund pursues its objective by investing at least 80% of its net
assets (including investment borrowings) in a portfolio of fixed income
securities. The Fund's investment sub-advisor, TCW Investment Management Company
LLC, manages the Fund's portfolio in an "unconstrained" manner, meaning that its
investment universe is not limited to the securities of any particular index and
it has discretion to invest in fixed income securities of any type or credit
quality. The Fund's investments principally include securities issued or
guaranteed by the U.S. government or its agencies, instrumentalities or U.S.
government-sponsored entities; Treasury Inflation Protected Securities (TIPS);
agency and non-agency residential mortgage-backed securities (RMBS); agency and
non-agency commercial mortgage-backed securities (CMBS); agency and non-agency
asset-backed securities (ABS); U.S. corporate bonds; fixed income securities
issued by non-U.S. corporations and governments, including issuers with
significant ties to emerging market countries; bank loans, including first lien
senior secured floating rate bank loans; municipal bonds; collateralized loan
obligations (CLOs); Rule 144A securities, and other debt securities bearing
fixed, floating or variable interest rates of any maturity. The Fund may also
invest in preferred stock and common stock and the Fund may utilize listed and
over-the-counter derivatives. Under normal market conditions, the Fund's average
portfolio duration will vary from between 0 to 10 years. Shares of the Fund are
listed on The NYSE Arca, Inc. under the ticker symbol "UCON."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (6/4/18) Inception (6/4/18)
2/28/22 2/28/22 to 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -1.94% -0.93% 3.78% 14.88%
Market Price -1.98% -1.00% 3.81% 15.01%
INDEX PERFORMANCE
ICE BofA US Dollar 3-Month Deposit Offered Rate
Average Index 0.08% 0.17% 1.33% 5.05%
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(See Notes to Fund Performance Overview on page 10.)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JUNE 4, 2018 - FEBRUARY 28, 2022
First Trust TCW ICE BofA US Dollar
Opportunistic Fixed 3-Month Deposit Offered
Income ETF Rate Average Index
6/4/18 $10,000 $10,000
8/31/18 10,106 10,057
2/28/19 10,323 10,185
8/31/19 10,728 10,318
2/29/20 10,960 10,425
8/31/20 11,261 10,475
2/28/21 11,596 10,487
8/31/21 11,716 10,496
2/28/22 11,488 10,505
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
FUND ALLOCATION NET ASSETS
----------------------------------------------------------
Mortgage-Backed Securities 23.4%
Corporate Bonds and Notes 21.7
Asset-Backed Securities 17.5
U.S. Government Agency Mortgage-Backed
Securities 15.5
Foreign Corporate Bonds and Notes 6.1
Foreign Sovereign Bonds and Notes 3.6
Municipal Bonds 0.2
U.S. Treasury Bills 22.1
Common Stocks 0.0*
Rights 0.0*
Money Market Funds 3.7
Net Other Assets and Liabilities** (13.8)
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Total 100.0%
=======
* Amount is less than 0.1%.
** Includes variation margin on futures contracts and unrealized appreciation/
depreciation on interest rate swap agreements.
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% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
Government/Agency 34.6%
AAA 8.1
AA+ 0.9
AA 2.4
AA- 2.0
A+ 0.5
A 1.6
A- 4.3
BBB+ 5.2
BBB 7.0
BBB- 4.4
BB+ 2.7
BB 2.6
BB- 2.6
B+ 1.4
B 2.4
B- 1.7
CCC+ 0.8
CCC 4.4
CCC- 2.8
CC 5.0
C 1.2
D 1.4
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Total 100.0%
=======
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% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
U.S. Treasury Bill, 0.00%, 07/07/2022 8.7%
U.S. Treasury Bill, 0.00%, 07/14/2022 4.1
Federal National Mortgage Association,
Pool TBA, 2.50%, 04/15/2052 3.5
Federal National Mortgage Association,
Pool TBA, 2.00%, 04/15/2052 3.1
U.S. Treasury Bill, 0.00%, 06/09/2022 1.9
Federal National Mortgage Association,
Pool TBA, 2.50%, 03/15/2052 1.8
Federal National Mortgage Association,
Pool TBA, 3.00%, 04/15/2052 1.3
U.S. Treasury Bill, 0.00%, 06/16/2022 1.3
Federal National Mortgage Association,
Pool TBA, 3.00%, 03/15/2052 1.3
U.S. Treasury Bill, 0.00%, 07/21/2022 1.2
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Total 28.2%
=======
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(1) The credit quality and ratings information presented above reflect the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including Standard & Poor's Rating Group, a
division of McGraw Hill Companies, Inc., Moody's Investors Service, Inc.,
Fitch Ratings, or a comparably rated NRSRO. For situations in which a
security is rated by more than one NRSRO and the ratings are not
equivalent, the lowest ratings are used. Sub-investment grade ratings are
those rated BB+/Ba1 or lower. Investment grade ratings are those rated
BBB-/Baa3 or higher. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the Fund,
and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S.
Agency mortgage-backed securities appear under "Government/Agency". Credit
ratings are subject to change.
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
The First Trust TCW Securitized Plus ETF seeks to maximize long-term total
return. Under normal market conditions, the Fund will invest at least 80% of its
net assets (including investment borrowings) in securitized debt securities,
including asset-backed securities, residential and commercial mortgage-backed
securities and collateralized loan obligations (CLOs). The Fund's investment
sub-advisor, TCW Investment Management Company LLC ("TCW" or the "Sub-Advisor")
seeks to outperform the Bloomberg U.S. Mortgage-Backed Securities Index over
time through the utilization of independent, bottom-up research to identify
securities that are relatively undervalued. Under normal conditions, the Fund's
average portfolio duration varies within two years (plus or minus) of the
portfolio duration of the securities comprising the Bloomberg U.S.
Mortgage-Backed Securities Index. As a separate measure, there is no limit on
the weighted average maturity of the Fund's portfolio. While maturity refers to
the expected life of a security, duration is a measure of the expected price
volatility of a debt security as a result of changes in market rates of
interest. The Fund may utilize listed and over-the-counter derivatives
instruments. Shares of the Fund are listed on The NYSE Arca, Inc. under the
ticker symbol "DEED."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (4/29/20) Inception (4/29/20)
2/28/22 2/28/22 to 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -2.75% -0.97% 2.11% 3.90%
Market Price -3.10% -1.56% 1.91% 3.53%
INDEX PERFORMANCE
Bloomberg U.S. Mortgage-Backed Securities Index -3.15% -2.88% -1.63% -2.97%
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(See Notes to Fund Performance Overview on page 10.)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 29, 2020 - FEBRUARY 28, 2022
Bloomberg
First Trust TCW U.S. Mortgage-Backed
Securitized Plus ETF Securities Index
4/29/20 $10,000 $10,000
8/31/20 10,380 10,036
2/28/21 10,492 9,990
8/31/21 10,684 10,018
2/28/22 10,390 9,703
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 6
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
FUND ALLOCATION NET ASSETS
----------------------------------------------------------
U.S. Government Agency Mortgage-Backed
Securities 60.9%
U.S. Treasury Bills 33.6
Mortgage-Backed Securities 32.7
Asset-Backed Securities 22.8
U.S. Government Agency Securities 3.2
U.S. Government Bonds and Notes 1.6
Foreign Sovereign Bonds And Notes 1.0
Money Market Funds 4.9
Net Other Assets and Liabilities* (60.7)
-------
Total 100.0%
=======
* Includes variation margin on futures contracts and unrealized appreciation/
depreciation on forward foreign currency contracts.
----------------------------------------------------------
% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
Government/Agency 63.7%
AAA 7.6
AA+ 0.9
AA 1.6
AA- 1.1
A+ 0.2
A 2.1
A- 1.5
BBB 0.5
BBB- 0.8
BB 2.4
BB- 0.6
B+ 0.4
B 1.2
B- 1.7
CCC+ 0.5
CCC 4.0
CCC- 1.7
CC 4.8
C 1.3
D 1.4
-------
Total 100.0%
=======
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% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Federal National Mortgage Association,
Pool TBA, 2.00%, 04/15/52 9.5%
Federal National Mortgage Association,
Pool TBA, 2.50%, 04/15/52 6.9
U.S. Treasury Bill, 0.00%, 06/23/22 4.3
Federal National Mortgage Association,
Pool TBA, 2.50%, 03/15/52 4.1
Government National Mortgage Association,
Pool TBA, 2.50%, 03/15/52 3.6
U.S. Treasury Bill, 0.00%, 07/28/22 3.6
U.S. Treasury Bill, 0.00%, 07/21/22 3.5
Federal National Mortgage Association,
Pool TBA, 3.00%, 03/15/52 2.9
Federal National Mortgage Association,
Pool TBA, 2.00%, 03/15/37 2.9
-------
Total 41.3%
=======
-----------------------------
(1) The credit quality and ratings information presented above reflect the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including Standard & Poor's Rating Group, a
division of McGraw Hill Companies, Inc., Moody's Investors Service, Inc.,
Fitch Ratings, or a comparably rated NRSRO. For situations in which a
security is rated by more than one NRSRO and the ratings are not
equivalent, the lowest ratings are used. Sub-investment grade ratings are
those rated BB+/Ba1 or lower. Investment grade ratings are those rated
BBB-/Baa3 or higher. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the Fund,
and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S.
Agency mortgage-backed securities appear under "Government/Agency". Credit
ratings are subject to change.
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
The First Trust TCW Emerging Markets Debt ETF (the "Fund") seeks to provide high
total return from current income and capital appreciation. Under normal market
conditions, the Fund will invest at least 80% of its net assets (including
investment borrowings) in debt securities issued or guaranteed by companies,
financial institutions and government entities located in emerging market
countries. An "emerging market country" is a country that, at the time the Fund
invests in the related security or instrument, is classified as an emerging or
developing economy by any supranational organization such as the World Bank or
the United Nations, or related entities, or is considered an emerging market
country for purposes of constructing a major emerging market securities index.
The Fund's investments include, but are not limited to, debt securities issued
by sovereign entities, quasi-sovereign entities and corporations.
"Quasi-Sovereign" refers to an entity that is either 100% owned by a sovereign
entity or whose debt is 100% guaranteed by a sovereign entity. The Fund may
invest up to 25% of its net assets in securities issued by corporations in
emerging market countries that are not Quasi-Sovereign entities. The Fund will
invest at least 90% of its assets in dollar-denominated securities. The Fund may
utilize listed and over-the-counter derivatives instruments. Shares of the Fund
are listed on The NYSE Arca, Inc. under the ticker symbol "EFIX."
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (2/17/21)Inception (2/17/21)
2/28/22 2/28/22 to 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -9.71% -6.33% -7.76% -7.97%
Market Price -10.41% -7.29% -8.77% -9.00%
INDEX PERFORMANCE
JP Morgan Emerging Market Bond Index Global Diversified -11.48% -7.50% -8.88% -9.14%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 10.)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 17, 2021 - FEBRUARY 28, 2022
First Trust TCW JP Morgan Emerging
Emerging Markets Market Bond Index
Debt ETF Global Diversified
2/17/21 $10,000 $10,000
2/28/21 9,825 9,822
8/31/21 10,193 10,265
2/28/22 9,203 9,086
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
ASSET CLASSIFICATION INVESTMENTS
----------------------------------------------------------
Foreign Sovereign Bonds and Notes 65.3%
Foreign Corporate Bonds and Notes 31.0
Money Market Funds 3.7
-------
Total 100.0%
=======
----------------------------------------------------------
% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
AA 5.0%
AA- 4.9
A- 8.2
BBB 9.4
BBB- 18.2
BB+ 1.1
BB 2.2
BB- 19.9
B+ 2.9
B 10.0
B- 9.4
CCC+ 4.4
CCC 1.1
CCC- 1.9
CC 1.4
-------
Total 100.0%
=======
----------------------------------------------------------
% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Indonesia Asahan Aluminium Persero
PT (USD), 5.45%, 05/15/30 3.5%
Chile Government International Bond
(USD), 2.55%, 01/27/32 3.4
Mexico Government International Bond
(USD), 4.28%, 08/14/41 3.4
Egypt Government International Bond
(USD), 6.59%, 02/21/28 3.2
Panama Government International Bond
(USD), 2.25%, 09/29/32 3.2
Angolan Government International Bond
(USD), 8.25%, 05/09/28 3.0
India Airport Infra (USD), 6.25%, 10/25/25 2.9
Abu Dhabi Government International Bond
(USD), 1.70%, 03/02/31 2.8
Dominican Republic International Bond
(USD), 4.88%, 09/23/32 2.7
Petroleos Mexicanos (USD), 6.63%, 06/15/35 2.7
-------
Total 30.8%
=======
-----------------------------
(1) The credit quality and ratings information presented above reflect the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including Standard & Poor's Rating Group, a
division of McGraw Hill Companies, Inc., Moody's Investors Service, Inc.,
Fitch Ratings, or a comparably rated NRSRO. For situations in which a
security is rated by more than one NRSRO and the ratings are not
equivalent, the lowest ratings are used. Sub-investment grade ratings are
those rated BB+/Ba1 or lower. Investment grade ratings are those rated
BBB-/Baa3 or higher. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the Fund,
and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S.
Agency mortgage-backed securities appear under "Government/Agency." Credit
ratings are subject to change.
Page 9
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period from inception to the first day of secondary market trading in shares of
the Fund, the NAV of each Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
all distributions have been reinvested in each Fund at NAV and Market Price,
respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 10
--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2022 (UNAUDITED)
ADVISOR
First Trust Advisors L.P. ("First Trust") is the investment advisor to the First
Trust TCW Opportunistic Fixed Income ETF ("FIXD"), the First Trust TCW
Unconstrained Plus Bond ETF ("UCON"), the First Trust TCW Securitized Plus ETF
("DEED"), and the First Trust TCW Emerging Markets Debt ETF ("EFIX") (each a
"Fund"). First Trust is responsible for the ongoing monitoring of each Fund's
investment portfolio, managing each Fund's business affairs and providing
certain administrative services necessary for the management of each Fund.
SUB-ADVISOR
TCW Investment Management Company LLC ("TCW" or the "Sub-Advisor") serves as
investment sub-advisor. In this capacity, TCW is responsible for the selection
and ongoing monitoring of the securities in each Fund's investment portfolio.
TCW, with principal offices at 865 South Figueroa Street, Los Angeles,
California 90017, was founded in 1987, and is a wholly-owned subsidiary of The
TCW Group, Inc. ("TCW Group"). TCW, together with TCW Group and its other
subsidiaries, which provide investment management and investment advisory
services, had approximately $250.8 billion under management or committed to
management, including $217.6 billion of U.S. fixed income investments, as of
February 28, 2022.
PORTFOLIO MANAGEMENT TEAM
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
Bryan T. Whalen, CFA, Generalist Portfolio Manager, Co-Chief Investment Officer
and Co-Director in the Fixed Income Group of TCW
Stephen M. Kane, CFA, Generalist Portfolio Manager, Co-Chief Investment Officer
and Co-Director in the Fixed Income Group of TCW
Laird Landmann, Generalist Portfolio Manager and Co-Director in the Fixed Income
Group of TCW
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
Bryan T. Whalen, CFA, Generalist Portfolio Manager, Co-Chief Investment Officer
and Co-Director in the Fixed Income Group of TCW
Mitchell Flack, Specialist Portfolio Manager and Managing Director in the Fixed
Income Group of TCW
Elizabeth J. Crawford, Specialist Portfolio Manager and Managing Director in the
Fixed Income Group of TCW
Harrison Choi, Specialist Portfolio Manager and Managing Director in the Fixed
Income Group of TCW
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
Penelope D. Foley, Group Managing Director at TCW
David I. Robbins, Group Managing Director at TCW
Alex Stanojevic, Group Managing Director at TCW
Page 11
FIRST TRUST EXCHANGE-TRADED FUND VIII
UNDERSTANDING YOUR FUND EXPENSES
FEBRUARY 28, 2022 (UNAUDITED)
As a shareholder of First Trust TCW Opportunistic Fixed Income ETF, First Trust
TCW Unconstrained Plus Bond ETF, First Trust TCW Securitized Plus ETF or First
Trust TCW Emerging Markets Debt ETF (each a "Fund" and collectively, the
"Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing
costs, including management fees, distribution and/or service (12b-1) fees, if
any, and other Fund expenses. This Example is intended to help you understand
your ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended February 28, 2022.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
------------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
SEPTEMBER 1, 2021 FEBRUARY 28, 2022 PERIOD (a) PERIOD (b)
------------------------------------------------------------------------------------------------------------------------------
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
Actual $1,000.00 $ 958.90 0.55% $2.67
Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.55% $2.76
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
Actual $1,000.00 $ 980.60 0.75% $3.68
Hypothetical (5% return before expenses) $1,000.00 $1,021.08 0.75% $3.76
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
Actual $1,000.00 $ 972.50 0.65% $3.18
Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
Actual $1,000.00 $ 902.90 0.85% $4.01
Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26
(a) These expense ratios reflect an expense waiver. See Note 3 in the Notes to
Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (September
1, 2021 through February 28, 2022), multiplied by 181/365 (to reflect the
six-month period).
Page 12
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT BONDS AND NOTES -- 34.0%
$ 65,234,000 U.S. Treasury Bond.................................................. 2.25% 05/15/41 $ 64,900,185
176,714,000 U.S. Treasury Bond.................................................. 2.00% 11/15/41 168,817,093
132,415,000 U.S. Treasury Bond.................................................. 1.88% 11/15/51 123,166,640
56,440,000 U.S. Treasury Bond.................................................. 2.25% 02/15/52 57,299,828
15,554,785 U.S. Treasury Inflation Indexed Bond (a)............................ 0.13% 02/15/51 16,548,200
8,650,266 U.S. Treasury Inflation Indexed Bond (a)............................ 0.13% 02/15/52 9,242,554
220,487,000 U.S. Treasury Note.................................................. 0.75% 12/31/23 217,860,105
112,791,000 U.S. Treasury Note.................................................. 0.88% 01/31/24 111,645,466
293,480,000 U.S. Treasury Note.................................................. 1.50% 02/29/24 293,921,368
204,635,000 U.S. Treasury Note.................................................. 1.25% 12/31/26 200,078,675
217,535,000 U.S. Treasury Note.................................................. 1.50% 01/31/27 215,172,705
177,240,000 U.S. Treasury Note.................................................. 1.88% 02/28/27 178,583,146
30,020,000 U.S. Treasury Note.................................................. 1.88% 02/15/32 30,125,539
--------------
TOTAL U.S. GOVERNMENT BONDS AND NOTES.......................................................... 1,687,361,504
(Cost $1,700,529,983) --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 29.4%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.2%
Federal Home Loan Mortgage Corporation
268,619 Series 2017-4656, Class EZ....................................... 4.00% 02/15/47 295,090
Federal National Mortgage Association
2,178,952 Series 2012-20, Class ZT......................................... 3.50% 03/25/42 2,212,194
2,398,542 Series 2012-84, Class VZ......................................... 3.50% 08/25/42 2,481,561
333,246 Series 2018-38, Class PA......................................... 3.50% 06/25/47 338,574
802,776 Series 2018-43, Class CT......................................... 3.00% 06/25/48 818,491
286,612 Series 2018-86, Class JA......................................... 4.00% 05/25/47 293,352
114,508 Series 2018-94, Class KD......................................... 3.50% 12/25/48 115,962
147,214 Series 2019-1, Class KP.......................................... 3.25% 02/25/49 148,582
121,913 Series 2019-20, Class BA......................................... 3.50% 02/25/48 123,851
63,143 Series 2019-52, Class PA......................................... 3.00% 09/25/49 63,392
Government National Mortgage Association
208,355 Series 2018-115, Class DE........................................ 3.50% 08/20/48 216,205
245,299 Series 2018-124, Class NW........................................ 3.50% 09/20/48 255,491
534,832 Series 2019-12, Class QA......................................... 3.50% 09/20/48 545,364
41,271 Series 2019-71, Class PT......................................... 3.00% 06/20/49 41,809
505,019 Series 2019-119, Class JE........................................ 3.00% 09/20/49 505,971
--------------
8,455,889
--------------
PASS-THROUGH SECURITIES -- 29.2%
Federal Home Loan Mortgage Corporation
68,967 Pool C91981...................................................... 3.00% 02/01/38 70,567
60,411 Pool G07961...................................................... 3.50% 03/01/45 63,483
57,273 Pool G08692...................................................... 3.00% 02/01/46 58,769
1,680,486 Pool G08715...................................................... 3.00% 08/01/46 1,723,750
33,369 Pool G08721...................................................... 3.00% 09/01/46 34,221
383,729 Pool G08726...................................................... 3.00% 10/01/46 394,327
918,751 Pool G08732...................................................... 3.00% 11/01/46 943,948
124,583 Pool G08738...................................................... 3.50% 12/01/46 130,088
239,278 Pool G08741...................................................... 3.00% 01/01/47 245,044
167,213 Pool G08747...................................................... 3.00% 02/01/47 171,191
120,463 Pool G08748...................................................... 3.50% 02/01/47 125,958
See Notes to Financial Statements Page 13
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 543,025 Pool G08750...................................................... 3.00% 03/01/47 $ 554,931
131,803 Pool G08766...................................................... 3.50% 06/01/47 137,517
351,843 Pool G08788...................................................... 3.50% 11/01/47 365,726
1,165,790 Pool G08792...................................................... 3.50% 12/01/47 1,212,430
161,255 Pool G08800...................................................... 3.50% 02/01/48 167,163
238,666 Pool G08816...................................................... 3.50% 06/01/48 247,055
75,970 Pool G08833...................................................... 5.00% 07/01/48 82,548
15,240 Pool G08838...................................................... 5.00% 09/01/48 16,531
250,116 Pool G08843...................................................... 4.50% 10/01/48 265,500
58,727 Pool G08844...................................................... 5.00% 10/01/48 63,710
171,951 Pool G08849...................................................... 5.00% 11/01/48 186,443
520,821 Pool G16085...................................................... 2.50% 02/01/32 529,667
312,032 Pool G16350...................................................... 2.50% 10/01/32 317,270
385,859 Pool G16396...................................................... 3.50% 02/01/33 401,109
1,095,979 Pool G16524...................................................... 3.50% 05/01/33 1,143,174
123,254 Pool G18670...................................................... 3.00% 12/01/32 126,812
36,152 Pool G18691...................................................... 3.00% 06/01/33 37,345
103,055 Pool G18713...................................................... 3.50% 11/01/33 106,694
1,466,880 Pool G60038...................................................... 3.50% 01/01/44 1,544,200
400,169 Pool G60080...................................................... 3.50% 06/01/45 420,464
826,884 Pool G60344...................................................... 4.00% 12/01/45 889,644
261,260 Pool G60440...................................................... 3.50% 03/01/46 274,392
805,844 Pool G60582...................................................... 3.50% 05/01/46 846,139
766,647 Pool G60658...................................................... 3.50% 07/01/46 805,744
353,238 Pool G61556...................................................... 3.50% 08/01/48 367,694
2,373,603 Pool G61748...................................................... 3.50% 11/01/48 2,479,429
790,502 Pool G67700...................................................... 3.50% 08/01/46 830,260
1,796,229 Pool G67703...................................................... 3.50% 04/01/47 1,882,867
6,572,706 Pool G67706...................................................... 3.50% 12/01/47 6,876,113
1,610,593 Pool G67707...................................................... 3.50% 01/01/48 1,693,544
8,638,754 Pool G67708...................................................... 3.50% 03/01/48 9,015,767
1,650,540 Pool G67709...................................................... 3.50% 03/01/48 1,724,207
1,291,377 Pool G67710...................................................... 3.50% 03/01/48 1,345,851
1,927,032 Pool G67714...................................................... 4.00% 07/01/48 2,051,189
2,620,484 Pool G67717...................................................... 4.00% 11/01/48 2,789,672
4,141,932 Pool G67718...................................................... 4.00% 01/01/49 4,390,751
135,269 Pool Q44452...................................................... 3.00% 11/01/46 138,416
250,648 Pool Q50135...................................................... 3.50% 08/01/47 260,819
9,597,079 Pool QA7837...................................................... 3.50% 03/01/50 10,031,547
16,330,781 Pool RA3078...................................................... 3.00% 07/01/50 16,611,901
461,548 Pool RE6029...................................................... 3.00% 02/01/50 462,434
15,368,639 Pool SD0231...................................................... 3.00% 01/01/50 15,645,324
4,354,985 Pool SD7511...................................................... 3.50% 01/01/50 4,535,348
13,382,701 Pool SD7513...................................................... 3.50% 04/01/50 13,947,672
7,690,456 Pool SD7518...................................................... 3.00% 06/01/50 7,831,495
304,679 Pool U90772...................................................... 3.50% 01/01/43 321,306
372,911 Pool U99114...................................................... 3.50% 02/01/44 389,166
747,016 Pool ZA4692...................................................... 3.50% 06/01/46 784,028
390,466 Pool ZM0063...................................................... 4.00% 08/01/45 417,792
Page 14 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 16,705,239 Pool ZM1779...................................................... 3.00% 09/01/46 $ 17,178,004
3,635,121 Pool ZS4667...................................................... 3.00% 06/01/46 3,730,143
5,904,142 Pool ZS4688...................................................... 3.00% 11/01/46 6,062,341
10,058,207 Pool ZS4735...................................................... 3.50% 09/01/47 10,451,876
378,354 Pool ZS8602...................................................... 3.00% 03/01/31 390,673
676,759 Pool ZS9844...................................................... 3.50% 07/01/46 709,995
1,945,717 Pool ZT0277...................................................... 3.50% 10/01/46 2,036,438
880,789 Pool ZT0531...................................................... 3.50% 04/01/47 922,707
839,485 Pool ZT0536...................................................... 3.50% 03/01/48 875,585
2,679,163 Pool ZT0537...................................................... 3.50% 03/01/48 2,797,020
477,239 Pool ZT0542...................................................... 4.00% 07/01/48 507,669
109,835 Pool ZT1403...................................................... 3.50% 11/01/33 113,983
1,368,847 Pool ZT1703...................................................... 4.00% 01/01/49 1,450,169
Federal National Mortgage Association
2,967,764 Pool AL8825...................................................... 3.50% 06/01/46 3,105,079
108,966 Pool AM5673...................................................... 3.65% 04/01/23 110,565
115,199 Pool AN2786...................................................... 2.76% 09/01/36 115,841
1,239,389 Pool AS0225...................................................... 4.00% 08/01/43 1,321,403
1,474,975 Pool AS3134...................................................... 3.50% 08/01/44 1,544,820
375,983 Pool AS6620...................................................... 3.50% 02/01/46 394,566
120,071 Pool AS9334...................................................... 3.00% 03/01/32 123,962
96,056 Pool AS9749...................................................... 4.00% 06/01/47 101,465
92,504 Pool BD7081...................................................... 4.00% 03/01/47 97,858
7,051,074 Pool BE3774...................................................... 4.00% 07/01/47 7,448,472
905,500 Pool BJ2692...................................................... 3.50% 04/01/48 938,326
2,120,000 Pool BL6060...................................................... 2.46% 04/01/40 1,972,100
1,127,281 Pool BM1903...................................................... 3.50% 08/01/47 1,179,265
298,822 Pool BM2000...................................................... 3.50% 05/01/47 311,636
813,139 Pool BM3260...................................................... 3.50% 01/01/48 844,818
490,160 Pool BM4299...................................................... 3.00% 03/01/30 503,204
454,590 Pool BM4304...................................................... 3.00% 02/01/30 466,505
924,750 Pool BM4472...................................................... 3.50% 07/01/48 965,025
1,947,494 Pool BM5585...................................................... 3.00% 11/01/48 1,987,060
15,457,272 Pool BN7755...................................................... 3.00% 09/01/49 15,729,788
1,110,162 Pool CA0854...................................................... 3.50% 12/01/47 1,156,681
537,265 Pool CA0907...................................................... 3.50% 12/01/47 559,776
440,220 Pool CA0996...................................................... 3.50% 01/01/48 458,674
3,298,255 Pool CA1182...................................................... 3.50% 02/01/48 3,436,523
598,611 Pool CA1187...................................................... 3.50% 02/01/48 622,447
425,874 Pool CA1710...................................................... 4.50% 05/01/48 451,605
269,582 Pool CA1711...................................................... 4.50% 05/01/48 285,663
173,081 Pool CA2208...................................................... 4.50% 08/01/48 183,555
548,012 Pool CA2327...................................................... 4.00% 09/01/48 586,099
3,591,738 Pool CA3633...................................................... 3.50% 06/01/49 3,748,942
14,319,349 Pool CA4534...................................................... 3.00% 11/01/49 14,574,152
4,788,081 Pool FM2870...................................................... 3.00% 03/01/50 4,873,873
8,138,750 Pool FM5397...................................................... 3.00% 12/01/50 8,289,697
278,075 Pool MA1146...................................................... 4.00% 08/01/42 299,425
484,799 Pool MA1373...................................................... 3.50% 03/01/43 510,640
See Notes to Financial Statements Page 15
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 498,550 Pool MA2077...................................................... 3.50% 11/01/34 $ 520,116
132,032 Pool MA2145...................................................... 4.00% 01/01/45 141,632
541,367 Pool MA2670...................................................... 3.00% 07/01/46 553,562
514,158 Pool MA2806...................................................... 3.00% 11/01/46 524,842
14,956 Pool MA2896...................................................... 3.50% 02/01/47 15,601
490,743 Pool MA3057...................................................... 3.50% 07/01/47 506,372
226,154 Pool MA3088...................................................... 4.00% 08/01/47 238,208
502,976 Pool MA3210...................................................... 3.50% 12/01/47 522,657
5,677,368 Pool MA3238...................................................... 3.50% 01/01/48 5,878,569
508,927 Pool MA3239...................................................... 4.00% 01/01/48 537,584
237,819 Pool MA3276...................................................... 3.50% 02/01/48 247,041
684,357 Pool MA3332...................................................... 3.50% 04/01/48 709,292
186,801 Pool MA3336...................................................... 3.50% 04/01/38 194,524
133,392 Pool MA3410...................................................... 3.50% 07/01/33 138,511
193,306 Pool MA3537...................................................... 4.50% 12/01/48 204,701
705,267 Pool MA3846...................................................... 3.00% 11/01/49 713,452
10,362,264 Pool MA4093...................................................... 2.00% 08/01/40 10,095,047
7,150,873 Pool MA4128...................................................... 2.00% 09/01/40 6,966,373
7,887,581 Pool MA4152...................................................... 2.00% 10/01/40 7,683,835
4,256,166 Pool MA4176...................................................... 2.00% 11/01/40 4,146,182
14,949,372 Pool MA4364...................................................... 2.00% 06/01/41 14,562,099
12,975,000 Pool TBA (b)..................................................... 1.50% 03/15/37 12,631,872
64,750,000 Pool TBA (b)..................................................... 2.00% 03/15/37 64,284,610
26,700,000 Pool TBA (b)..................................................... 1.50% 04/15/37 25,952,273
76,110,000 Pool TBA (b)..................................................... 2.00% 03/15/52 72,965,029
165,775,000 Pool TBA (b)..................................................... 2.50% 03/15/52 163,561,466
62,525,000 Pool TBA (b)..................................................... 3.00% 03/15/52 63,116,365
327,300,000 Pool TBA (b)..................................................... 2.00% 04/15/52 313,154,045
263,225,000 Pool TBA (b)..................................................... 2.50% 04/15/52 259,128,193
20,775,000 Pool TBA (b)..................................................... 3.00% 04/15/52 20,926,046
Government National Mortgage Association
212,487 Pool MA1157...................................................... 3.50% 07/20/43 225,906
641,089 Pool MA2825...................................................... 3.00% 05/20/45 661,428
220,100 Pool MA3521...................................................... 3.50% 03/20/46 231,061
9,260,740 Pool MA3662...................................................... 3.00% 05/20/46 9,507,510
845,843 Pool MA3663...................................................... 3.50% 05/20/46 884,569
565,089 Pool MA3735...................................................... 3.00% 06/20/46 580,234
11,661,719 Pool MA3937...................................................... 3.50% 09/20/46 12,195,883
161,517 Pool MA4069...................................................... 3.50% 11/20/46 168,717
91,376 Pool MA4195...................................................... 3.00% 01/20/47 93,823
110,082 Pool MA4196...................................................... 3.50% 01/20/47 115,071
544,962 Pool MA4261...................................................... 3.00% 02/20/47 559,535
142,133 Pool MA4262...................................................... 3.50% 02/20/47 148,399
3,716,115 Pool MA4322...................................................... 4.00% 03/20/47 3,920,185
3,817,211 Pool MA4382...................................................... 3.50% 04/20/47 3,982,350
46,955 Pool MA4453...................................................... 4.50% 05/20/47 50,216
48,272 Pool MA4586...................................................... 3.50% 07/20/47 50,309
330,546 Pool MA4588...................................................... 4.50% 07/20/47 351,923
826,647 Pool MA4651...................................................... 3.00% 08/20/47 846,577
Page 16 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Government National Mortgage Association (Continued)
$ 1,227,529 Pool MA4652...................................................... 3.50% 08/20/47 $ 1,280,729
427,379 Pool MA4719...................................................... 3.50% 09/20/47 447,268
55,329 Pool MA4722...................................................... 5.00% 09/20/47 59,609
41,466 Pool MA4777...................................................... 3.00% 10/20/47 42,584
1,065,776 Pool MA4778...................................................... 3.50% 10/20/47 1,109,300
993,974 Pool MA4836...................................................... 3.00% 11/20/47 1,020,613
1,048,462 Pool MA4837...................................................... 3.50% 11/20/47 1,095,388
363,047 Pool MA4838...................................................... 4.00% 11/20/47 383,175
59,537 Pool MA4901...................................................... 4.00% 12/20/47 62,836
265,264 Pool MA4961...................................................... 3.00% 01/20/48 271,942
369,313 Pool MA4962...................................................... 3.50% 01/20/48 382,953
542,012 Pool MA4963...................................................... 4.00% 01/20/48 570,962
276,866 Pool MA5078...................................................... 4.00% 03/20/48 291,658
736,110 Pool MA5136...................................................... 3.50% 04/20/48 767,206
591,602 Pool MA5399...................................................... 4.50% 08/20/48 620,884
226,476 Pool MA5466...................................................... 4.00% 09/20/48 237,882
62,312 Pool MA5467...................................................... 4.50% 09/20/48 65,896
175,044 Pool MA5597...................................................... 5.00% 11/20/48 185,996
211,812 Pool MA5976...................................................... 3.50% 06/20/49 215,885
50,514 Pool MA6030...................................................... 3.50% 07/20/49 51,448
246,066 Pool MA6080...................................................... 3.00% 08/20/49 249,478
44,050,000 Pool TBA (b)..................................................... 2.00% 03/15/52 43,083,262
64,950,000 Pool TBA (b)..................................................... 2.50% 03/15/52 64,907,306
--------------
1,450,852,314
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 1,459,308,203
(Cost $1,465,709,871) --------------
CORPORATE BONDS AND NOTES -- 20.8%
AEROSPACE/DEFENSE -- 0.3%
3,208,000 BAE Systems Holdings, Inc. (c)...................................... 3.85% 12/15/25 3,361,798
8,500,000 Boeing (The) Co..................................................... 1.43% 02/04/24 8,370,989
1,610,000 Boeing (The) Co..................................................... 4.88% 05/01/25 1,713,604
--------------
13,446,391
--------------
AGRICULTURE -- 0.4%
6,965,000 BAT Capital Corp.................................................... 3.56% 08/15/27 7,037,012
4,530,000 BAT Capital Corp.................................................... 4.39% 08/15/37 4,346,889
1,855,000 BAT Capital Corp.................................................... 4.54% 08/15/47 1,700,005
4,250,000 Reynolds American, Inc.............................................. 5.70% 08/15/35 4,649,077
3,735,000 Reynolds American, Inc.............................................. 5.85% 08/15/45 4,040,506
--------------
21,773,489
--------------
AIRLINES -- 0.4%
938,049 American Airlines Pass-Through Trust, Series 2014-1, Class A........ 3.70% 10/01/26 932,288
110,922 American Airlines Pass-Through Trust, Series 2015-2, Class AA....... 3.60% 09/22/27 112,634
3,690,625 American Airlines Pass-Through Trust, Series 2016-1, Class AA....... 3.58% 01/15/28 3,721,586
225,308 Continental Airlines Pass-Through Trust, Series 2007-1, Class A..... 5.98% 04/19/22 226,466
4,551,545 Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA......... 2.00% 06/10/28 4,358,804
8,411,067 JetBlue Pass-Through Trust, Series 2020-1, Class A.................. 4.00% 11/15/32 8,902,504
See Notes to Financial Statements Page 17
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
AIRLINES (CONTINUED)
$ 400,814 US Airways Pass-Through Trust, Series 2012-1, Class A............... 5.90% 10/01/24 $ 423,122
--------------
18,677,404
--------------
AUTO MANUFACTURERS -- 0.2%
390,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 1.27% (d).................. 1.49% 03/28/22 390,162
150,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 1.08% (d).................. 1.38% 08/03/22 150,131
4,000,000 Ford Motor Credit Co. LLC........................................... 2.98% 08/03/22 4,004,820
655,000 Ford Motor Credit Co. LLC........................................... 4.25% 09/20/22 661,874
760,000 General Motors Financial Co., Inc................................... 3.45% 04/10/22 761,527
2,095,000 General Motors Financial Co., Inc................................... 3.15% 06/30/22 2,106,532
--------------
8,075,046
--------------
BANKS -- 5.8%
4,565,000 Bank of America Corp. (e)........................................... 3.00% 12/20/23 4,610,989
13,965,000 Bank of America Corp. (e)........................................... 3.37% 01/23/26 14,245,561
325,000 Bank of America Corp. (e)........................................... 1.73% 07/22/27 310,675
1,540,000 Bank of America Corp. (e)........................................... 2.69% 04/22/32 1,482,121
7,595,000 Bank of America Corp. (e)........................................... 2.97% 02/04/33 7,450,905
19,465,000 Bank of America Corp., Series N (e)................................. 1.66% 03/11/27 18,668,099
1,500,000 Bank of America Corp., Medium-Term Note (e)......................... 1.32% 06/19/26 1,435,112
2,345,000 Bank of America Corp., Medium-Term Note (e)......................... 3.97% 03/05/29 2,456,302
11,320,000 Bank of America Corp., Medium-Term Note (e)......................... 2.09% 06/14/29 10,725,483
210,000 Bank of America Corp., Medium-Term Note (e)......................... 4.27% 07/23/29 224,177
2,839,000 Bank of America Corp., Medium-Term Note (e)......................... 3.97% 02/07/30 2,976,370
2,180,000 Citigroup, Inc. (e)................................................. 3.35% 04/24/25 2,225,764
2,425,000 Citigroup, Inc. (e)................................................. 3.07% 02/24/28 2,448,859
2,375,000 Citigroup, Inc. (e)................................................. 3.52% 10/27/28 2,445,229
2,000,000 Citigroup, Inc. (e)................................................. 2.67% 01/29/31 1,929,858
1,670,000 Citigroup, Inc. (e)................................................. 4.41% 03/31/31 1,810,487
1,600,000 Citigroup, Inc. (e)................................................. 2.57% 06/03/31 1,529,150
13,825,000 Citigroup, Inc. (e)................................................. 3.06% 01/25/33 13,663,173
2,720,000 Fifth Third Bancorp................................................. 2.55% 05/05/27 2,722,316
5,140,000 Goldman Sachs Group (The), Inc...................................... 3.20% 02/23/23 5,205,205
750,000 Goldman Sachs Group (The), Inc. (e)................................. 2.91% 07/24/23 754,134
10,000,000 Goldman Sachs Group (The), Inc...................................... 1.22% 12/06/23 9,893,173
2,995,000 Goldman Sachs Group (The), Inc. (e)................................. 0.93% 10/21/24 2,933,305
1,950,000 Goldman Sachs Group (The), Inc. (e)................................. 3.27% 09/29/25 1,985,963
734,000 Goldman Sachs Group (The), Inc...................................... 3.50% 11/16/26 752,795
955,000 Goldman Sachs Group (The), Inc. (e)................................. 1.09% 12/09/26 899,624
13,860,000 Goldman Sachs Group (The), Inc. (e)................................. 1.43% 03/09/27 13,110,038
9,105,000 Goldman Sachs Group (The), Inc. (e)................................. 1.54% 09/10/27 8,583,598
5,375,000 Goldman Sachs Group (The), Inc. (e)................................. 2.38% 07/21/32 4,985,193
9,165,000 Goldman Sachs Group (The), Inc. (e)................................. 3.10% 02/24/33 9,021,364
13,465,000 JPMorgan Chase & Co. (e)............................................ 0.97% 06/23/25 13,056,709
500,000 JPMorgan Chase & Co................................................. 3.90% 07/15/25 523,770
5,610,000 JPMorgan Chase & Co. (e)............................................ 0.77% 08/09/25 5,398,100
8,015,000 JPMorgan Chase & Co. (e)............................................ 1.56% 12/10/25 7,825,127
1,895,000 JPMorgan Chase & Co. (e)............................................ 2.01% 03/13/26 1,865,744
4,875,000 JPMorgan Chase & Co. (e)............................................ 2.08% 04/22/26 4,813,517
7,940,000 JPMorgan Chase & Co. (e)............................................ 1.58% 04/22/27 7,603,692
3,150,000 JPMorgan Chase & Co. (e)............................................ 2.95% 02/24/28 3,172,143
Page 18 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
$ 2,295,000 JPMorgan Chase & Co. (e)............................................ 2.58% 04/22/32 $ 2,190,832
2,565,000 JPMorgan Chase & Co. (e)............................................ 2.55% 11/08/32 2,451,721
5,230,000 JPMorgan Chase & Co. (e)............................................ 2.96% 01/25/33 5,175,866
495,000 Morgan Stanley (e).................................................. 0.99% 12/10/26 464,253
7,635,000 Morgan Stanley (e).................................................. 1.59% 05/04/27 7,271,250
6,050,000 Morgan Stanley (e).................................................. 2.94% 01/21/33 5,934,113
2,125,000 Morgan Stanley, Global Medium-Term Note (e)......................... 2.24% 07/21/32 1,957,394
15,355,000 Morgan Stanley, Medium-Term Note (e)................................ 1.16% 10/21/25 14,833,003
2,695,000 Morgan Stanley, Medium-Term Note (e)................................ 1.93% 04/28/32 2,427,875
1,035,000 Morgan Stanley, Medium-Term Note (e)................................ 2.51% 10/20/32 977,012
400,000 PNC Bank N.A........................................................ 3.80% 07/25/23 409,900
5,385,000 Wells Fargo & Co. (e)............................................... 2.19% 04/30/26 5,319,603
5,175,000 Wells Fargo & Co., Medium-Term Note (e)............................. 2.41% 10/30/25 5,161,360
8,605,000 Wells Fargo & Co., Medium-Term Note (e)............................. 2.16% 02/11/26 8,504,871
1,600,000 Wells Fargo & Co., Medium-Term Note (e)............................. 3.58% 05/22/28 1,655,189
6,749,000 Wells Fargo & Co., Medium-Term Note (e)............................. 2.39% 06/02/28 6,608,907
5,790,000 Wells Fargo & Co., Medium-Term Note (e)............................. 2.88% 10/30/30 5,693,590
16,370,000 Wells Fargo & Co., Medium-Term Note (f)............................. 3.35% 03/02/33 16,588,092
--------------
289,368,655
--------------
BEVERAGES -- 0.1%
2,700,000 Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc....... 4.90% 02/01/46 3,064,288
1,200,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.60% 04/15/48 1,315,306
200,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.44% 10/06/48 212,987
--------------
4,592,581
--------------
BIOTECHNOLOGY -- 0.2%
1,425,000 Amgen, Inc.......................................................... 3.35% 02/22/32 1,453,223
1,412,000 Amgen, Inc.......................................................... 4.40% 05/01/45 1,496,988
2,425,000 Amgen, Inc.......................................................... 4.40% 02/22/62 2,553,186
175,000 Gilead Sciences, Inc................................................ 3.65% 03/01/26 182,725
5,510,000 Regeneron Pharmaceuticals, Inc...................................... 1.75% 09/15/30 4,925,256
--------------
10,611,378
--------------
CHEMICALS -- 0.2%
4,758,000 International Flavors & Fragrances, Inc. (c)........................ 2.30% 11/01/30 4,424,998
3,114,000 International Flavors & Fragrances, Inc............................. 5.00% 09/26/48 3,559,319
--------------
7,984,317
--------------
COMMERCIAL SERVICES -- 0.1%
2,500,000 RELX Capital, Inc................................................... 3.00% 05/22/30 2,503,710
--------------
DIVERSIFIED FINANCIAL SERVICES -- 0.4%
1,890,000 Air Lease Corp...................................................... 3.25% 03/01/25 1,903,764
940,000 Air Lease Corp., Medium-Term Note................................... 0.70% 02/15/24 911,891
360,000 Air Lease Corp., Medium-Term Note................................... 2.30% 02/01/25 357,274
7,930,000 Capital One Financial Corp. (e)..................................... 1.34% 12/06/24 7,818,966
6,755,000 Discover Financial Services......................................... 3.95% 11/06/24 7,019,908
450,000 Raymond James Financial, Inc........................................ 4.95% 07/15/46 517,560
--------------
18,529,363
--------------
See Notes to Financial Statements Page 19
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
ELECTRIC -- 1.2%
$ 2,000,000 Aep Transmission Co. LLC............................................ 3.75% 12/01/47 $ 2,021,022
4,128,000 Alliant Energy Finance LLC (c)...................................... 3.75% 06/15/23 4,221,694
2,655,000 Alliant Energy Finance LLC (c)...................................... 1.40% 03/15/26 2,477,366
200,000 Ameren Illinois Co.................................................. 3.70% 12/01/47 206,008
3,000,000 Appalachian Power Co., Series Z..................................... 3.70% 05/01/50 2,901,751
750,000 Cleco Power LLC..................................................... 6.00% 12/01/40 940,757
500,000 Consolidated Edison Co. of New York, Inc............................ 4.50% 05/15/58 541,508
1,695,000 Dominion Energy, Inc., Series A..................................... 3.30% 03/15/25 1,731,131
155,000 Duke Energy Carolinas LLC........................................... 3.70% 12/01/47 155,768
7,030,000 Duke Energy Corp.................................................... 2.55% 06/15/31 6,587,021
750,000 Entergy Texas, Inc.................................................. 3.45% 12/01/27 767,688
11,418,000 FirstEnergy Transmission LLC (c).................................... 2.87% 09/15/28 11,026,773
1,250,000 Interstate Power and Light Co....................................... 3.25% 12/01/24 1,279,022
4,855,000 Interstate Power and Light Co....................................... 2.30% 06/01/30 4,665,985
3,000,000 ITC Holdings Corp. (c).............................................. 2.95% 05/14/30 2,957,325
1,750,000 Jersey Central Power & Light Co. (c)................................ 4.30% 01/15/26 1,843,042
830,000 Metropolitan Edison Co. (c)......................................... 4.00% 04/15/25 852,701
2,253,000 Metropolitan Edison Co. (c)......................................... 4.30% 01/15/29 2,428,215
10,000,000 Niagara Mohawk Power Corp. (c)...................................... 3.03% 06/27/50 8,493,554
825,000 Public Service Co. of New Mexico.................................... 3.85% 08/01/25 846,106
700,000 Trans-Allegheny Interstate Line Co. (c)............................. 3.85% 06/01/25 724,554
1,505,000 Xcel Energy, Inc.................................................... 4.80% 09/15/41 1,661,618
--------------
59,330,609
--------------
FOOD -- 0.3%
721,000 Kraft Heinz Foods Co................................................ 5.00% 07/15/35 813,829
6,885,000 Kraft Heinz Foods Co................................................ 5.20% 07/15/45 7,802,977
2,755,000 Kraft Heinz Foods Co................................................ 4.88% 10/01/49 3,054,606
380,000 Post Holdings, Inc. (c)............................................. 4.63% 04/15/30 358,585
3,150,000 Post Holdings, Inc. (c)............................................. 4.50% 09/15/31 2,921,184
--------------
14,951,181
--------------
FOREST PRODUCTS & PAPER -- 0.0%
2,200,000 Georgia-Pacific LLC (c)............................................. 2.30% 04/30/30 2,122,042
--------------
GAS -- 0.0%
500,000 Piedmont Natural Gas Co., Inc....................................... 3.35% 06/01/50 460,955
400,000 Southern Co. Gas Capital Corp....................................... 5.88% 03/15/41 500,190
200,000 Spire, Inc.......................................................... 3.54% 02/27/24 202,203
--------------
1,163,348
--------------
HEALTHCARE-PRODUCTS -- 0.3%
525,000 Alcon Finance Corp. (c)............................................. 2.75% 09/23/26 528,268
1,500,000 Alcon Finance Corp. (c)............................................. 2.60% 05/27/30 1,432,618
3,015,000 DENTSPLY SIRONA, Inc................................................ 3.25% 06/01/30 3,055,088
3,680,000 Mozart Debt Merger Sub, Inc. (c).................................... 3.88% 04/01/29 3,478,391
6,000,000 PerkinElmer, Inc.................................................... 2.55% 03/15/31 5,727,536
--------------
14,221,901
--------------
HEALTHCARE-SERVICES -- 1.5%
120,000 Anthem, Inc......................................................... 3.65% 12/01/27 126,061
2,300,000 Anthem, Inc......................................................... 2.88% 09/15/29 2,303,622
2,105,000 Bon Secours Mercy Health, Inc., Series 20-2......................... 2.10% 06/01/31 1,966,014
Page 20 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
HEALTHCARE-SERVICES (CONTINUED)
$ 11,208,000 Centene Corp........................................................ 2.45% 07/15/28 $ 10,574,972
4,135,000 CommonSpirit Health................................................. 2.76% 10/01/24 4,176,710
1,985,000 CommonSpirit Health................................................. 3.35% 10/01/29 2,006,034
1,475,000 CommonSpirit Health................................................. 2.78% 10/01/30 1,440,445
950,000 HCA, Inc............................................................ 5.25% 04/15/25 1,021,165
1,400,000 HCA, Inc............................................................ 7.69% 06/15/25 1,573,229
11,164,000 HCA, Inc............................................................ 5.25% 06/15/26 12,104,135
3,250,000 HCA, Inc............................................................ 4.50% 02/15/27 3,449,396
2,625,000 HCA, Inc............................................................ 7.05% 12/01/27 3,030,129
8,233,000 HCA, Inc............................................................ 4.13% 06/15/29 8,636,673
500,000 Humana, Inc......................................................... 3.15% 12/01/22 504,796
360,000 Humana, Inc......................................................... 2.90% 12/15/22 363,639
5,410,000 Humana, Inc......................................................... 2.15% 02/03/32 4,974,845
2,500,000 ModivCare Escrow Issuer, Inc. (c)................................... 5.00% 10/01/29 2,357,000
5,000,000 Molina Healthcare, Inc. (c)......................................... 4.38% 06/15/28 4,987,325
2,500,000 Molina Healthcare, Inc. (c)......................................... 3.88% 05/15/32 2,429,262
200,000 New York and Presbyterian (The) Hospital............................ 3.56% 08/01/36 215,053
4,075,000 UnitedHealth Group, Inc............................................. 3.05% 05/15/41 3,908,840
160,000 UnitedHealth Group, Inc............................................. 4.45% 12/15/48 183,724
905,000 UnitedHealth Group, Inc............................................. 3.25% 05/15/51 878,349
2,630,000 Universal Health Services, Inc. (c)................................. 1.65% 09/01/26 2,500,834
--------------
75,712,252
--------------
INSURANCE -- 0.9%
5,090,000 Athene Global Funding, SOFR + 0.70% (c) (d)......................... 0.75% 05/24/24 5,096,852
5,585,000 Athene Global Funding (c)........................................... 1.99% 08/19/28 5,168,550
2,605,000 Athene Global Funding (c)........................................... 2.72% 01/07/29 2,515,500
1,650,000 Farmers Exchange Capital (c)........................................ 7.05% 07/15/28 1,973,986
2,200,000 Farmers Exchange Capital II (c) (e)................................. 6.15% 11/01/53 2,683,258
1,770,000 Farmers Exchange Capital III (c) (e)................................ 5.45% 10/15/54 2,068,551
600,000 Farmers Insurance Exchange (c)...................................... 8.63% 05/01/24 675,901
3,495,000 Farmers Insurance Exchange (c) (e).................................. 4.75% 11/01/57 3,842,035
7,000,000 National General Holdings Corp. (c)................................. 6.75% 05/15/24 7,703,018
1,525,000 Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (c) (d)........ 2.49% 12/15/24 1,525,719
4,630,000 New York Life Insurance Co. (c)..................................... 3.75% 05/15/50 4,755,517
1,790,000 Teachers Insurance & Annuity Association of America (c)............. 4.90% 09/15/44 2,087,612
3,910,000 Teachers Insurance & Annuity Association of America (c)............. 4.27% 05/15/47 4,227,644
1,980,000 Teachers Insurance & Annuity Association of America (c) (e)......... 4.38% 09/15/54 2,018,859
--------------
46,343,002
--------------
INTERNET -- 0.1%
4,825,000 Amazon.com, Inc..................................................... 2.88% 05/12/41 4,624,855
--------------
LODGING -- 0.1%
4,385,000 Hyatt Hotels Corp................................................... 1.80% 10/01/24 4,296,737
--------------
MEDIA -- 1.0%
5,000,000 CCO Holdings LLC / CCO Holdings Capital Corp........................ 4.50% 05/01/32 4,748,925
2,475,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 4.91% 07/23/25 2,627,589
1,410,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 2.30% 02/01/32 1,250,713
See Notes to Financial Statements Page 21
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
MEDIA (CONTINUED)
$ 1,471,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.38% 04/01/38 $ 1,560,355
6,920,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.38% 05/01/47 7,321,103
100,000 Comcast Corp........................................................ 3.97% 11/01/47 104,105
2,625,000 Cox Communications, Inc. (c)........................................ 2.60% 06/15/31 2,473,299
4,670,000 Cox Enterprises, Inc. (c)........................................... 7.38% 07/15/27 5,674,895
2,810,000 CSC Holdings LLC (c)................................................ 4.13% 12/01/30 2,527,244
5,580,000 CSC Holdings LLC (c)................................................ 4.50% 11/15/31 5,085,612
8,275,000 Diamond Sports Group LLC / Diamond Sports Finance Co. (c)........... 5.38% 08/15/26 3,406,983
4,000,000 Paramount Global.................................................... 4.20% 05/19/32 4,178,014
4,640,000 Time Warner Cable LLC............................................... 5.50% 09/01/41 4,944,321
1,380,000 Walt Disney (The) Co................................................ 3.60% 01/13/51 1,396,957
--------------
47,300,115
--------------
MISCELLANEOUS MANUFACTURING -- 0.1%
943,000 General Electric Co., Medium-Term Note, 3 Mo. LIBOR +
0.38% (d)........................................................ 0.70% 05/05/26 928,855
2,304,000 General Electric Co., Medium-Term Note.............................. 6.75% 03/15/32 2,976,194
--------------
3,905,049
--------------
OIL & GAS -- 0.1%
635,000 Exxon Mobil Corp.................................................... 4.23% 03/19/40 698,962
1,330,000 Exxon Mobil Corp.................................................... 4.33% 03/19/50 1,503,128
400,000 Hess Corp........................................................... 5.60% 02/15/41 458,690
2,879,000 Occidental Petroleum Corp........................................... (g) 10/10/36 1,551,162
--------------
4,211,942
--------------
PACKAGING & CONTAINERS -- 0.3%
3,000,000 Amcor Finance USA, Inc.............................................. 3.63% 04/28/26 3,141,538
1,995,000 Amcor Flexibles North America, Inc.................................. 2.63% 06/19/30 1,933,030
4,157,000 Berry Global, Inc................................................... 1.57% 01/15/26 3,965,104
2,125,000 Berry Global, Inc. (c).............................................. 4.88% 07/15/26 2,156,800
2,650,000 Berry Global, Inc................................................... 1.65% 01/15/27 2,475,152
3,670,000 WRKCo, Inc.......................................................... 3.00% 06/15/33 3,546,678
--------------
17,218,302
--------------
PHARMACEUTICALS -- 1.4%
4,997,000 AbbVie, Inc......................................................... 4.50% 05/14/35 5,554,025
4,150,000 AbbVie, Inc......................................................... 4.40% 11/06/42 4,457,606
1,870,000 AbbVie, Inc......................................................... 4.45% 05/14/46 2,014,276
1,895,000 Bayer US Finance II LLC (c)......................................... 3.88% 12/15/23 1,948,427
1,045,000 Bayer US Finance II LLC (c)......................................... 3.38% 07/15/24 1,066,408
625,000 Bayer US Finance II LLC (c)......................................... 2.85% 04/15/25 625,720
11,880,000 Bayer US Finance II LLC (c)......................................... 4.25% 12/15/25 12,494,195
3,160,000 Bayer US Finance II LLC (c)......................................... 4.38% 12/15/28 3,374,697
815,000 Bayer US Finance II LLC (c)......................................... 4.63% 06/25/38 876,780
1,750,000 Bayer US Finance II LLC (c)......................................... 4.40% 07/15/44 1,769,232
2,540,000 Bayer US Finance II LLC (c)......................................... 4.88% 06/25/48 2,781,072
1,534,000 Becton Dickinson and Co............................................. 3.36% 06/06/24 1,573,729
2,107,000 Becton Dickinson and Co............................................. 3.73% 12/15/24 2,181,941
1,000,000 Becton Dickinson and Co............................................. 6.70% 08/01/28 1,202,923
Page 22 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PHARMACEUTICALS (CONTINUED)
$ 5,000,000 Bristol-Myers Squibb Co. (f)........................................ 3.55% 03/15/42 $ 5,098,764
2,000,000 Cigna Corp.......................................................... 3.40% 03/01/27 2,077,372
75,000 Cigna Corp.......................................................... 3.05% 10/15/27 76,635
1,030,000 Cigna Corp.......................................................... 3.88% 10/15/47 1,008,843
2,279,000 Cigna Corp.......................................................... 3.40% 03/15/51 2,077,496
150,000 CVS Health Corp..................................................... 3.88% 07/20/25 157,019
4,225,000 CVS Health Corp..................................................... 1.75% 08/21/30 3,820,098
1,850,000 CVS Health Corp..................................................... 5.13% 07/20/45 2,143,240
10,430,000 CVS Health Corp..................................................... 5.05% 03/25/48 12,141,983
--------------
70,522,481
--------------
PIPELINES -- 0.6%
375,000 Energy Transfer L.P................................................. 4.20% 04/15/27 389,541
198,000 Energy Transfer L.P................................................. 5.50% 06/01/27 218,631
2,030,000 Energy Transfer L.P................................................. 4.95% 06/15/28 2,187,449
3,200,000 Energy Transfer L.P................................................. 4.90% 03/15/35 3,339,751
260,000 Energy Transfer L.P................................................. 5.15% 03/15/45 264,933
2,600,000 Energy Transfer L.P................................................. 6.13% 12/15/45 2,918,012
3,606,000 Energy Transfer L.P................................................. 5.40% 10/01/47 3,858,761
3,601,000 Energy Transfer L.P................................................. 5.00% 05/15/50 3,744,722
3,640,000 NGPL PipeCo LLC (c)................................................. 4.88% 08/15/27 3,937,192
150,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 2.85% 01/31/23 151,201
425,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.55% 12/15/29 419,851
1,350,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.80% 09/15/30 1,355,347
716,000 Rockies Express Pipeline LLC (c).................................... 4.95% 07/15/29 693,926
1,500,000 Rockies Express Pipeline LLC (c).................................... 4.80% 05/15/30 1,453,770
1,360,000 Rockies Express Pipeline LLC (c).................................... 6.88% 04/15/40 1,389,322
329,909 Ruby Pipeline LLC (h)............................................... 8.00% 04/01/22 285,650
1,775,000 TransMontaigne Partners L.P. / TLP Finance Corp..................... 6.13% 02/15/26 1,731,051
--------------
28,339,110
--------------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
250,000 Alexandria Real Estate Equities, Inc................................ 4.30% 01/15/26 267,527
612,000 Alexandria Real Estate Equities, Inc................................ 4.50% 07/30/29 677,320
4,320,000 American Campus Communities Operating Partnership L.P............... 3.75% 04/15/23 4,387,850
4,545,000 American Campus Communities Operating Partnership L.P............... 3.30% 07/15/26 4,696,003
332,000 American Campus Communities Operating Partnership L.P............... 3.63% 11/15/27 344,718
215,000 American Tower Corp................................................. 3.00% 06/15/23 218,346
785,000 Boston Properties L.P............................................... 3.20% 01/15/25 803,378
1,593,000 Boston Properties L.P............................................... 3.25% 01/30/31 1,589,872
625,000 CC Holdings GS V LLC / Crown Castle GS III Corp..................... 3.85% 04/15/23 638,748
750,000 CubeSmart L.P....................................................... 4.38% 02/15/29 816,704
3,425,000 CyrusOne L.P. / CyrusOne Finance Corp............................... 2.90% 11/15/24 3,468,463
1,090,000 CyrusOne L.P. / CyrusOne Finance Corp............................... 3.45% 11/15/29 1,147,983
3,985,000 CyrusOne L.P. / CyrusOne Finance Corp............................... 2.15% 11/01/30 3,874,934
1,150,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 11/01/23 1,200,281
4,785,000 GLP Capital L.P. / GLP Financing II, Inc............................ 3.35% 09/01/24 4,852,081
7,701,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 04/15/26 8,249,850
1,210,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.30% 01/15/29 1,317,451
3,525,000 GLP Capital L.P. / GLP Financing II, Inc............................ 4.00% 01/15/30 3,530,950
895,000 Healthcare Realty Trust, Inc........................................ 3.63% 01/15/28 923,142
See Notes to Financial Statements Page 23
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
$ 2,000,000 Healthcare Trust of America Holdings L.P............................ 3.10% 02/15/30 $ 1,983,404
5,490,000 Healthcare Trust of America Holdings L.P............................ 2.00% 03/15/31 4,980,824
3,930,000 Hudson Pacific Properties L.P....................................... 3.95% 11/01/27 4,110,192
1,000,000 Hudson Pacific Properties L.P....................................... 4.65% 04/01/29 1,088,225
740,000 Invitation Homes Operating Partnership L.P.......................... 2.30% 11/15/28 700,463
1,000,000 Kilroy Realty L.P................................................... 3.45% 12/15/24 1,025,897
860,000 Kilroy Realty L.P................................................... 2.50% 11/15/32 785,073
1,300,000 Kimco Realty Corp................................................... 3.40% 11/01/22 1,315,770
200,000 Life Storage L.P.................................................... 3.88% 12/15/27 212,199
1,135,000 Life Storage L.P.................................................... 2.20% 10/15/30 1,059,801
1,605,000 LXP Industrial Trust................................................ 2.70% 09/15/30 1,532,320
1,837,000 LXP Industrial Trust................................................ 2.38% 10/01/31 1,696,083
350,000 Piedmont Operating Partnership L.P.................................. 3.40% 06/01/23 354,485
670,000 Piedmont Operating Partnership L.P.................................. 3.15% 08/15/30 657,317
300,000 SL Green Operating Partnership L.P.................................. 3.25% 10/15/22 302,930
550,000 SL Green Realty Corp................................................ 4.50% 12/01/22 558,049
1,000,000 Ventas Realty L.P................................................... 2.65% 01/15/25 1,006,163
220,000 Ventas Realty L.P................................................... 2.50% 09/01/31 207,825
2,150,000 Ventas Realty L.P................................................... 4.88% 04/15/49 2,475,667
75,000 Welltower, Inc...................................................... 4.50% 01/15/24 78,192
1,125,000 Welltower, Inc...................................................... 4.00% 06/01/25 1,178,824
--------------
70,315,304
--------------
RETAIL -- 0.3%
7,335,000 7-Eleven, Inc. (c).................................................. 0.80% 02/10/24 7,167,563
5,035,000 Michaels (The) Cos., Inc. (c)....................................... 7.88% 05/01/29 4,415,015
4,930,000 Starbucks Corp...................................................... 3.00% 02/14/32 4,896,457
--------------
16,479,035
--------------
SEMICONDUCTORS -- 0.2%
2,505,000 Broadcom, Inc....................................................... 4.30% 11/15/32 2,641,486
2,000,000 Broadcom, Inc. (c).................................................. 3.47% 04/15/34 1,931,742
6,300,000 Intel Corp.......................................................... 3.05% 08/12/51 5,718,582
--------------
10,291,810
--------------
SOFTWARE -- 0.2%
140,000 Change Healthcare Holdings LLC / Change Healthcare Finance,
Inc. (c)......................................................... 5.75% 03/01/25 139,335
1,400,000 Fiserv, Inc......................................................... 2.25% 06/01/27 1,370,130
510,000 Fiserv, Inc......................................................... 2.65% 06/01/30 485,289
10,000 Oracle Corp......................................................... 2.88% 03/25/31 9,555
2,535,000 Oracle Corp......................................................... 3.60% 04/01/50 2,199,381
8,397,000 Oracle Corp......................................................... 3.95% 03/25/51 7,696,679
--------------
11,900,369
--------------
TELECOMMUNICATIONS -- 2.7%
4,945,000 AT&T, Inc........................................................... 2.55% 12/01/33 4,588,999
3,175,000 AT&T, Inc........................................................... 4.50% 05/15/35 3,480,799
3,500,000 AT&T, Inc........................................................... 5.25% 03/01/37 4,110,700
3,140,000 AT&T, Inc........................................................... 4.30% 12/15/42 3,249,856
8,270,000 AT&T, Inc........................................................... 4.75% 05/15/46 9,168,100
3,880,000 AT&T, Inc........................................................... 4.50% 03/09/48 4,154,214
Page 24 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
$ 14,047,000 AT&T, Inc........................................................... 3.80% 12/01/57 $ 13,202,846
2,500,000 CommScope, Inc. (c)................................................. 4.75% 09/01/29 2,335,312
1,985,000 Level 3 Financing, Inc. (c)......................................... 3.40% 03/01/27 1,939,921
4,525,000 Level 3 Financing, Inc. (c)......................................... 3.75% 07/15/29 4,000,281
4,240,000 Level 3 Financing, Inc. (c)......................................... 3.88% 11/15/29 4,056,790
4,500,000 SES GLOBAL Americas Holdings G.P. (c)............................... 5.30% 03/25/44 4,708,192
5,780,938 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (c)......................................... 4.74% 03/20/25 5,958,640
22,145,000 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (c)......................................... 5.15% 03/20/28 23,849,345
4,987,000 T-Mobile USA, Inc................................................... 2.25% 02/15/26 4,818,165
5,090,000 T-Mobile USA, Inc. (c).............................................. 2.25% 02/15/26 4,917,678
4,915,000 T-Mobile USA, Inc................................................... 3.75% 04/15/27 5,114,007
6,980,000 T-Mobile USA, Inc................................................... 3.88% 04/15/30 7,221,729
4,600,000 T-Mobile USA, Inc................................................... 2.55% 02/15/31 4,303,152
2,845,000 T-Mobile USA, Inc................................................... 4.38% 04/15/40 2,941,309
750,000 T-Mobile USA, Inc................................................... 4.50% 04/15/50 781,327
2,585,000 Verizon Communications, Inc......................................... 2.55% 03/21/31 2,482,942
13,975,000 Verizon Communications, Inc. (c).................................... 2.36% 03/15/32 13,055,584
--------------
134,439,888
--------------
TRANSPORTATION -- 0.0%
2,465,000 Union Pacific Corp.................................................. 3.50% 02/14/53 2,470,869
--------------
TOTAL CORPORATE BONDS AND NOTES................................................................ 1,035,722,535
(Cost $1,068,813,913) --------------
MORTGAGE-BACKED SECURITIES -- 9.3%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 6.4%
Ajax Mortgage Loan Trust
3,076,396 Series 2019-F, Class A1, steps up to 3.86% on 11/25/26 (c) (j)... 2.86% 07/25/59 3,033,070
Alternative Loan Trust
5,618,371 Series 2005-16, Class A4, 1 Mo. LIBOR + 0.48% (d)................ 0.67% 06/25/35 5,202,026
6,511,852 Series 2005-56, Class 1A1, 1 Mo. LIBOR + 1.46% (d)............... 1.65% 11/25/35 6,388,614
6,558,321 Series 2005-67CB, Class A1....................................... 5.50% 01/25/36 5,955,530
2,769,428 Series 2007-13, Class A1......................................... 6.00% 06/25/47 1,946,624
American Home Mortgage Assets Trust
12,761,316 Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (d). 0.80% 02/25/47 6,576,461
American Home Mortgage Investment Trust
1,785,422 Series 2005-4, Class 1A1, 1 Mo. LIBOR + 0.58% (d)................ 0.77% 11/25/45 1,745,596
Banc of America Funding Trust
598,780 Series 2014-R6, Class 2A13 (c) (k)............................... 0.37% 07/26/36 588,511
Bear Stearns Mortgage Funding Trust
106,432 Series 2006-AR1, Class 1A1, 1 Mo. LIBOR + 0.21% (d).............. 0.40% 07/25/36 101,945
2,594,200 Series 2006-AR3, Class 1A1, 1 Mo. LIBOR + 0.18% (d).............. 0.37% 10/25/36 2,484,405
3,566,540 Series 2006-AR5, Class 2A1, 1 Mo. LIBOR + 0.19% (d).............. 0.38% 01/25/37 3,342,599
191,363 Series 2007-AR5, Class 1A1G, 1 Mo. LIBOR + 0.16% (d)............. 0.35% 06/25/47 182,381
CIM Trust
7,197,752 Series 2018-R6, Class A1, 1 Mo. LIBOR + 1.08% (c) (d)............ 1.18% 09/25/58 7,123,942
3,361,643 Series 2019-R1, Class A (c)...................................... 3.25% 10/25/58 3,146,151
4,023,701 Series 2019-R4, Class A1 (c)..................................... 3.00% 10/25/59 3,959,015
6,554,581 Series 2020-R3, Class A1A (c).................................... 4.00% 01/26/60 6,505,828
See Notes to Financial Statements Page 25
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
CIM Trust (Continued)
$ 8,793,174 Series 2020-R4, Class A1A (c) (l)................................ 3.30% 06/25/60 $ 8,542,317
21,112,000 Series 2020-R7, Class A1B (c) (l)................................ 2.25% 12/27/61 17,908,292
19,352,272 Series 2021-R3, Class A1A (c).................................... 1.95% 06/25/57 19,027,214
8,226,925 Series 2021-NR3, Class A1, steps up to 5.57% on
04/26/24 (c) (j).............................................. 2.57% 06/25/57 8,233,114
22,163,935 Series 2021-NR4, Class A1, steps up to 5.82% on
10/25/24 (c) (j).............................................. 2.82% 10/25/61 21,639,347
CitiMortgage Alternative Loan Trust
2,359,211 Series 2006-A4, Class 1A8........................................ 6.00% 09/25/36 2,279,689
Credit Suisse Mortgage Trust
9,341,746 Series 2007-2, Class 1A4......................................... 5.75% 03/25/37 7,074,611
28,070,038 Series 2007-3, Class 1A1A........................................ 5.84% 04/25/37 9,801,047
16,061,083 Series 2021-RP11, Class PT (c)................................... 3.73% 10/25/61 16,973,365
CSMCM Trust Certificates
700,000 Series 2021-RP11, Class CERT (c)................................. 3.78% 10/27/61 737,713
GMACM Mortgage Loan Trust
1,412,103 Series 2006-AR1, Class 1A1 (k)................................... 2.89% 04/19/36 1,228,147
1,518,920 Series 2006-J1, Class A4......................................... 5.75% 04/25/36 1,494,545
GreenPoint Mortgage Funding Trust
79,619 Series 2006-AR1, Class A1A, 1 Mo. LIBOR + 0.58% (d).............. 0.77% 02/25/36 76,890
GSR Mortgage Loan Trust
22,529,809 Series 2006-OA1, Class 2A2, 1 Mo. LIBOR + 0.52% (d).............. 0.71% 08/25/46 12,134,418
HarborView Mortgage Loan Trust
386,579 Series 2005-10, Class 2A1A, 1 Mo. LIBOR + 0.62% (d).............. 0.79% 11/19/35 335,972
1,237,547 Series 2007-7, Class 1A1, 1 Mo. LIBOR + 1.00% (d)................ 1.19% 10/25/37 1,199,428
HomeBanc Mortgage Trust
755,338 Series 2004-2, Class A1, 1 Mo. LIBOR + 0.74% (d)................. 0.93% 12/25/34 751,145
Impac CMB Trust
205,284 Series 2005-2, Class 1A1, 1 Mo. LIBOR + 0.52% (d)................ 0.71% 04/25/35 204,972
651,976 Series 2005-4, Class 1A1A, 1 Mo. LIBOR + 0.54% (d)............... 0.73% 05/25/35 641,319
IndyMac INDX Mortgage Loan Trust
1,444,129 Series 2005-AR14, Class 2A1A, 1 Mo. LIBOR + 0.60% (d)............ 0.79% 07/25/35 1,329,493
19,012,230 Series 2005-AR29, Class A1 (k)................................... 3.01% 01/25/36 18,188,491
3,501,356 Series 2006-AR6, Class 2A1A, 1 Mo. LIBOR + 0.40% (d)............. 0.59% 06/25/46 3,239,842
4,470,859 Series 2007-FLX4, Class 2A2, 1 Mo. LIBOR + 0.25% (d)............. 0.44% 07/25/37 4,357,838
JP Morgan Mortgage Trust
1,595,556 Series 2006-A4, Class 1A1 (k).................................... 2.88% 06/25/36 1,362,706
Lehman XS Trust
263,564 Series 2006-16N, Class A4A, 1 Mo. LIBOR + 0.38% (d).............. 0.57% 11/25/46 252,752
4,922,999 Series 2007-16N, Class 1A1, 1 Mo. LIBOR + 0.47% (d).............. 0.66% 09/25/47 4,951,269
2,674,822 Series 2007-16N, Class 2A1, 1 Mo. LIBOR + 0.40% (d).............. 0.59% 09/25/47 2,588,453
Merrill Lynch Alternative Note Asset Trust
3,546,883 Series 2007-OAR3, Class A1, 1 Mo. LIBOR + 0.19% (d).............. 0.38% 07/25/47 3,389,728
Morgan Stanley Mortgage Loan Trust
387,093 Series 2004-6AR, Class 1M1, 1 Mo. LIBOR + 0.98% (d).............. 1.16% 07/25/34 392,036
36,249 Series 2005-2AR, Class A, 1 Mo. LIBOR + 0.26% (d)................ 0.45% 04/25/35 36,189
MortgageIT Trust
58,697 Series 2005-5, Class A1, 1 Mo. LIBOR + 0.52% (d)................. 0.71% 12/25/35 59,083
Page 26 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Nomura Resecuritization Trust
$ 1,277,916 Series 2015-5R, Class 1A1 (c).................................... 4.00% 08/26/37 $ 1,296,119
Opteum Mortgage Acceptance Corp.
1,032,952 Series 2005-5, Class 1A1D, 1 Mo. LIBOR + 0.76% (d)............... 0.95% 12/25/35 1,038,979
329,308 Series 2006-1, Class 1APT, 1 Mo. LIBOR + 0.42% (d)............... 0.61% 04/25/36 317,940
PRPM LLC
12,414,740 Series 2021-7, Class A1, steps up to 4.87% on 8/25/24 (c) (j).... 1.87% 08/25/26 12,111,166
22,490,804 Series 2021-10, Class A1, steps up to 5.49% on 10/25/24 (c) (j).. 2.49% 10/25/26 22,151,934
RALI Trust
7,331,469 Series 2007-QS7, Class 1A1....................................... 6.00% 05/25/37 7,114,992
3,570,573 Series 2007-QS9, Class A33....................................... 6.50% 07/25/37 3,468,492
RFMSI Trust
7,751,886 Series 2007-S6, Class 1A4........................................ 6.00% 06/25/37 7,495,261
Structured Adjustable Rate Mortgage Loan Trust
20,927 Series 2004-12, Class 3A1 (k).................................... 2.45% 09/25/34 21,362
24,917,820 Series 2006-2, Class 4A1 (k)..................................... 3.18% 03/25/36 18,686,603
Structured Asset Mortgage Investments II Trust
2,600,590 Series 2006-AR1, Class 3A1, 1 Mo. LIBOR + 0.46% (d).............. 0.65% 02/25/36 2,509,617
7,150,674 Series 2006-AR7, Class A1A, 1 Mo. LIBOR + 0.42% (d).............. 0.61% 08/25/36 6,961,572
3,629,939 Series 2007-AR6, Class A1, 12 Mo. Treasury Average +
1.50% (d)..................................................... 1.60% 08/25/47 3,553,988
WaMu Mortgage Pass-Through Certificates Trust
81,609 Series 2005-AR1, Class A2A1, 1 Mo. LIBOR + 0.68% (d)............. 0.87% 01/25/45 81,635
160,211 Series 2005-AR15, Class A1A1, 1 Mo. LIBOR + 0.52% (d)............ 0.71% 11/25/45 157,758
212,511 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average +
1.00% (d)..................................................... 1.10% 02/25/46 214,210
312,472 Series 2006-AR4, Class 1A1A, 12 Mo. Treasury Average +
0.94% (d)..................................................... 1.02% 05/25/46 309,698
--------------
316,205,449
--------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 2.9%
BX Commercial Mortgage Trust
12,123,973 Series 2019-XL, Class A, 1 Mo. LIBOR + 0.92% (c) (d)............. 1.11% 10/15/36 12,079,181
4,867,191 Series 2020-FOX, Class F, 1 Mo. LIBOR + 4.25% (c) (d)............ 4.44% 11/15/32 4,835,809
Citigroup Commercial Mortgage Trust
14,620,261 Series 2020-WSS, Class A, 1 Mo. LIBOR + 1.95% (c) (d)............ 2.14% 02/15/39 14,641,542
COMM Mortgage Trust
8,249,616 Series 2012-CR4, Class A3........................................ 2.85% 10/15/45 8,286,713
200,339 Series 2012-CR5, Class A3........................................ 2.54% 12/10/45 200,411
315,000 Series 2012-CR5, Class A4........................................ 2.77% 12/10/45 317,071
13,200,000 Series 2013-SFS, Class A2 (c) (k)................................ 2.99% 04/12/35 13,231,519
DBGS Mortgage Trust
10,348,000 Series 2021-W52, Class B, 1 Mo. LIBOR + 1.75% (c) (d)............ 1.94% 10/15/36 10,402,509
DBJPM Mortgage Trust
1,025,000 Series 2016-SFC, Class A (c)..................................... 2.83% 08/10/36 1,004,093
DROP Mortgage Trust
12,284,000 Series 2021-FILE, Class B, 1 Mo. LIBOR + 1.70% (c) (d)........... 1.89% 04/15/26 12,123,662
GS Mortgage Securities Corp. Trust
25,000,000 Series 2012-ALOH, Class A (c).................................... 3.55% 04/10/34 24,945,003
9,581,658 Series 2019-70P, Class A, 1 Mo. LIBOR + 1.00% (c) (d)............ 1.19% 10/15/36 9,476,614
See Notes to Financial Statements Page 27
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Manhattan West
$ 3,855,000 Series 2020-1MW, Class A (c)..................................... 2.13% 09/10/39 $ 3,709,782
NYO Commercial Mortgage Trust
10,675,000 Series 2021-1290, Class A, 1 Mo. LIBOR + 1.10% (c) (d)........... 1.29% 11/15/38 10,494,741
SFAVE Commercial Mortgage Securities Trust
9,265,000 Series 2015-5AVE, Class A2A (c) (k).............................. 3.66% 01/05/43 9,477,917
50,000 Series 2015-5AVE, Class A2B (c) (k).............................. 4.14% 01/05/43 51,337
SFO Commercial Mortgage Trust
10,000,000 Series 2021-555, Class A, 1 Mo. LIBOR + 1.15% (c) (d)............ 1.34% 05/15/38 9,926,100
UBS-Barclays Commercial Mortgage Trust
234,190 Series 2013-C6, Class A3......................................... 2.97% 04/10/46 235,168
--------------
145,439,172
--------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................... 461,644,621
(Cost $473,134,506) --------------
ASSET-BACKED SECURITIES -- 8.4%
ACE Securities Corp. Home Equity Loan Trust
15,711,987 Series 2007-HE1, Class A1, 1 Mo. LIBOR + 0.30% (d)............... 0.49% 01/25/37 10,300,753
13,646,508 Series 2007-WM2, Class A1, 1 Mo. LIBOR + 0.21% (d)............... 0.40% 02/25/37 7,609,883
AGL CLO Ltd.
13,000,000 Series 2021-12A, Class A1, 3 Mo. LIBOR + 1.16% (c) (d)........... 1.41% 07/20/34 13,005,032
AMMC CLO
2,018,831 Series 2016-19A, Class AR, 3 Mo. LIBOR + 1.14% (c) (d)........... 1.38% 10/16/28 2,019,846
Argent Securities, Inc.
157,369 Series 2005-W2, Class M1, 1 Mo. LIBOR + 0.74% (d)................ 0.92% 10/25/35 156,881
Asset Backed Funding Certificates Trust
9,056,376 Series 2006-HE1, Class A2B, 1 Mo. LIBOR + 0.11% (d).............. 0.30% 01/25/37 6,225,801
29,293 Series 2006-OPT1, Class A2, 1 Mo. LIBOR + 0.28% (d).............. 0.47% 09/25/36 29,191
Bardot CLO Ltd.
10,400,000 Series 2019-2A, Class BR, 3 Mo. LIBOR + 1.60% (c) (d)............ 1.86% 10/22/32 10,400,615
Barings CLO Ltd.
305,521 Series 2013-IA, Class AR, 3 Mo. LIBOR + 0.80% (c) (d)............ 1.05% 01/20/28 305,433
12,500,000 Series 2019-2A, Class A2R, 3 Mo. LIBOR + 1.70% (c) (d)........... 1.94% 04/15/36 12,479,455
Brazos Higher Education Authority, Inc.
270,000 Series 2011-1, Class A3, 3 Mo. LIBOR + 1.05% (d)................. 1.23% 11/25/33 269,340
300,000 Series 2011-2, Class A3, 3 Mo. LIBOR + 1.00% (d)................. 1.26% 10/27/36 300,181
Carrington Mortgage Loan Trust
858,927 Series 2006-OPT1, Class M1, 1 Mo. LIBOR + 0.53% (d).............. 0.71% 02/25/36 855,087
CIFC Funding Ltd.
13,500,000 Series 2021-7A, Class A1, 3 Mo. LIBOR + 1.13% (c) (d)............ 1.26% 01/23/35 13,455,045
Citigroup Mortgage Loan Trust
678,329 Series 2006-HE2, Class M1, 1 Mo. LIBOR + 0.44% (d)............... 0.62% 08/25/36 676,242
Dryden Senior Loan Fund
863,046 Series 2013-26A, Class AR, 3 Mo. LIBOR + 0.90% (c) (d)........... 1.14% 04/15/29 859,286
572,000 Series 2013-28A, Class A1LR, 3 Mo. LIBOR + 1.20% (c) (d)......... 1.71% 08/15/30 572,413
ECMC Group Student Loan Trust
1,585,181 Series 2017-2A, Class A, 1 Mo. LIBOR + 1.05% (c) (d)............. 1.24% 05/25/67 1,596,392
EFS Volunteer No 3 LLC
107,484 Series 2012-1, Class A3, 1 Mo. LIBOR + 1.00% (c) (d)............. 1.19% 04/25/33 107,542
Page 28 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Elmwood CLO VI Ltd.
$ 13,400,000 Series 2020-3A, Class BR, 3 Mo. LIBOR + 1.65% (c) (d)............ 1.90% 10/20/34 $ 13,256,728
First Franklin Mortgage Loan Trust
17,697,239 Series 2006-FF13, Class A2C, 1 Mo. LIBOR + 0.32% (d)............. 0.51% 10/25/36 13,920,117
13,040,163 Series 2007-FF2, Class A1, 1 Mo. LIBOR + 0.14% (d)............... 0.33% 03/25/37 8,833,985
GE-WMC Mortgage Securities LLC
569,615 Series 2005-1, Class M1, 1 Mo. LIBOR + 0.66% (d)................. 0.85% 10/25/35 563,963
GoldenTree Loan Management US CLO Ltd.
5,000,000 Series 2020-8A, Class AR, 3 Mo. LIBOR + 1.15% (c) (d)............ 1.40% 10/20/34 5,003,662
GSAA Home Equity Trust
939,306 Series 2005-6, Class M1, 1 Mo. LIBOR + 0.65% (d)................. 0.83% 06/25/35 945,882
GSAMP Trust
14,296,668 Series 2006-NC2, Class A2C, 1 Mo. LIBOR + 0.30% (d).............. 0.49% 06/25/36 9,874,752
10,024,816 Series 2007-FM2, Class A1, 1 Mo. LIBOR + 0.14% (d)............... 0.33% 01/25/37 7,312,642
JP Morgan Mortgage Acquisition Trust
49,660 Series 2006-ACC1, Class M1, 1 Mo. LIBOR + 0.41% (d).............. 0.59% 05/25/36 49,914
2,325,947 Series 2006-WF1, Class A6........................................ 6.50% 07/25/36 926,345
18,671,412 Series 2006-WMC2, Class A4, 1 Mo. LIBOR + 0.30% (d).............. 0.49% 07/25/36 10,825,948
19,755,074 Series 2006-WMC2, Class A5, 1 Mo. LIBOR + 0.50% (d).............. 0.69% 07/25/36 11,665,324
324,718 Series 2007-CH2, Class MV1, 1 Mo. LIBOR + 0.28% (d).............. 0.47% 01/25/37 324,025
Legacy Mortgage Asset Trust
1,591,309 Series 2019-GS4, Class A1 (c) (j)................................ 3.44% 05/25/59 1,595,186
Lehman XS Trust
3,348,417 Series 2006-9, Class A1C, 1 Mo. LIBOR + 0.52% (d)................ 0.71% 05/25/46 3,206,320
Long Beach Mortgage Loan Trust
556,839 Series 2006-1, Class 1A, 1 Mo. LIBOR + 0.44% (d)................. 0.63% 02/25/36 551,544
Magnetite VII Ltd.
4,456,862 Series 2012-7A, Class A1R2, 3 Mo. LIBOR + 0.80% (c) (d).......... 1.04% 01/15/28 4,459,083
Mastr Asset Backed Securities Trust
7,293,270 Series 2006-WMC3, Class A2, 1 Mo. LIBOR + 0.05% (d).............. 0.24% 08/25/36 3,142,664
Merrill Lynch First Franklin Mortgage Loan Trust
304,850 Series 2007-3, Class A2B, 1 Mo. LIBOR + 0.13% (d)................ 0.32% 06/25/37 287,288
Mid-State Trust
133,067 Series 2003-11, Class A1......................................... 4.86% 07/15/38 135,773
Morgan Stanley ABS Capital I, Inc. Trust
10,836,420 Series 2006-HE4, Class A3, 1 Mo. LIBOR + 0.30% (d)............... 0.49% 06/25/36 6,903,818
5,788,454 Series 2006-HE8, Class A2B, 1 Mo. LIBOR + 0.10% (d).............. 0.29% 10/25/36 3,344,269
510,827 Series 2006-NC1, Class M1, 1 Mo. LIBOR + 0.57% (d)............... 0.76% 12/25/35 510,254
6,373,662 Series 2007-HE1, Class A2D, 1 Mo. LIBOR + 0.23% (d).............. 0.42% 11/25/36 4,660,568
27,623,080 Series 2007-HE2, Class A2D, 1 Mo. LIBOR + 0.21% (d).............. 0.40% 01/25/37 16,431,175
7,331,628 Series 2007-NC3, Class A2D, 1 Mo. LIBOR + 0.26% (d).............. 0.45% 05/25/37 6,398,348
Navient Student Loan Trust
234,676 Series 2014-1, Class A3, 1 Mo. LIBOR + 0.51% (d)................. 0.70% 06/25/31 228,499
205,072 Series 2014-3, Class A, 1 Mo. LIBOR + 0.62% (d).................. 0.81% 03/25/83 204,115
172,170 Series 2015-1, Class A2, 1 Mo. LIBOR + 0.60% (d)................. 0.79% 04/25/40 167,819
1,750,000 Series 2016-2A, Class A3, 1 Mo. LIBOR + 1.50% (c) (d)............ 1.69% 06/25/65 1,768,679
3,732,886 Series 2016-5A, Class A, 1 Mo. LIBOR + 1.25% (c) (d)............. 1.44% 06/25/65 3,759,376
300,000 Series 2017-3A, Class A3, 1 Mo. LIBOR + 1.05% (c) (d)............ 1.24% 07/26/66 300,135
3,127,382 Series 2017-5A, Class A, 1 Mo. LIBOR + 0.80% (c) (d)............. 0.99% 07/26/66 3,116,901
New Century Home Equity Loan Trust
1,237,002 Series 2005-4, Class M3, 1 Mo. LIBOR + 0.83% (d)................. 1.01% 09/25/35 1,239,275
See Notes to Financial Statements Page 29
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
OCP CLO Ltd.
$ 6,200,000 Series 2020-19A, Class AR, 3 Mo. LIBOR + 1.15% (c) (d)........... 1.40% 10/20/34 $ 6,195,535
8,620,000 Series 2021-21A, Class B, 3 Mo. LIBOR + 1.70% (c) (d)............ 1.95% 07/20/34 8,628,250
Octagon Investment Partners 46 Ltd.
14,000,000 Series 2020-2A, Class AR, 3 Mo. LIBOR + 1.16% (c) (d)............ 1.40% 07/15/36 14,033,198
OHA Credit Funding 4 Ltd.
12,685,000 Series 2019-4A, Class BR, 3 Mo. LIBOR + 1.65% (c) (d)............ 1.91% 10/22/36 12,681,064
Palmer Square Loan Funding Ltd.
56,208 Series 2019-1A, Class A1, 3 Mo. LIBOR + 1.05% (c) (d)............ 1.30% 04/20/27 56,274
713,602 Series 2019-4A, Class A1, 3 Mo. LIBOR + 0.90% (c) (d)............ 1.16% 10/24/27 711,380
Rad CLO 14 Ltd.
10,000,000 Series 2021-14A, Class B, 3 Mo. LIBOR + 1.65% (c) (d)............ 1.88% 01/15/35 9,924,010
Residential Asset Securities Corp.
125,441 Series 2006-EMX3, Class A3, 1 Mo. LIBOR + 0.56% (d).............. 0.75% 04/25/36 124,304
853,713 Series 2006-KS3, Class M1, 1 Mo. LIBOR + 0.50% (d)............... 0.68% 04/25/36 851,624
Rockford Tower CLO Ltd.
10,000,000 Series 2017-3A, Class A, 3 Mo. LIBOR + 1.19% (c) (d)............. 1.44% 10/20/30 9,968,375
Saxon Asset Securities Trust
594,858 Series 2007-2, Class A2C, 1 Mo. LIBOR + 0.24% (d)................ 0.43% 05/25/47 517,393
Securitized Asset-Backed Receivables LLC Trust
10,778 Series 2006-OP1, Class M2, 1 Mo. LIBOR + 0.59% (d)............... 0.77% 10/25/35 10,784
24,289,515 Series 2006-WM4, Class A1, 1 Mo. LIBOR + 0.38% (c) (d)........... 0.57% 11/25/36 14,148,145
Skyline Aircraft Finance LLC
13,230,339 Series 2020-1, Class A (m) (n)................................... 3.23% 05/10/38 12,776,010
SLC Student Loan Trust
5,054,000 Series 2006-1, Class A6, 3 Mo. LIBOR + 0.16% (d)................. 0.36% 03/15/55 4,872,618
119,063 Series 2006-2, Class A6, 3 Mo. LIBOR + 0.16% (d)................. 0.36% 09/15/39 115,129
1,503,818 Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (d)................ 1.80% 12/15/32 1,521,756
SLM Student Loan Trust
26,527 Series 2003-10A, Class A3, 3 Mo. LIBOR + 0.47% (c) (d)........... 0.67% 12/15/27 26,523
501,761 Series 2005-9, Class A7A, 3 Mo. LIBOR + 0.60% (d)................ 0.86% 01/25/41 489,006
80,000 Series 2007-7, Class B, 3 Mo. LIBOR + 0.75% (d).................. 1.01% 10/27/70 72,902
4,618,942 Series 2008-2, Class A3, 3 Mo. LIBOR + 0.75% (d)................. 1.01% 04/25/23 4,544,473
130,000 Series 2008-2, Class B, 3 Mo. LIBOR + 1.20% (d).................. 1.46% 01/25/83 114,768
700,000 Series 2008-3, Class B, 3 Mo. LIBOR + 1.20% (d).................. 1.46% 04/26/83 653,095
4,654,776 Series 2008-6, Class A4, 3 Mo. LIBOR + 1.10% (d)................. 1.36% 07/25/23 4,638,480
320,000 Series 2008-7, Class B, 3 Mo. LIBOR + 1.85% (d).................. 2.11% 07/26/83 318,495
2,166,979 Series 2008-8, Class A4, 3 Mo. LIBOR + 1.50% (d)................. 1.76% 04/25/23 2,173,012
3,961,610 Series 2011-2, Class A2, 1 Mo. LIBOR + 1.20% (d)................. 1.39% 10/25/34 3,978,182
674,252 Series 2012-2, Class A, 1 Mo. LIBOR + 0.70% (d).................. 0.89% 01/25/29 660,013
656,711 Series 2012-3, Class A, 1 Mo. LIBOR + 0.65% (d).................. 0.84% 12/27/38 654,662
242,489 Series 2012-6, Class A3, 1 Mo. LIBOR + 0.75% (d)................. 0.94% 05/26/26 237,581
3,545,828 Series 2012-7, Class A3, 1 Mo. LIBOR + 0.65% (d)................. 0.84% 05/26/26 3,470,435
555,000 Series 2012-7, Class B, 1 Mo. LIBOR + 1.80% (d).................. 1.99% 09/25/43 552,601
125,526 Series 2013-2, Class A, 1 Mo. LIBOR + 0.45% (d).................. 0.64% 06/25/43 124,029
Soundview Home Loan Trust
6,725,714 Series 2007-OPT4, Class 1A1, 1 Mo. LIBOR + 1.00% (d)............. 1.19% 09/25/37 5,826,347
Structured Asset Investment Loan Trust
720,255 Series 2004-6, Class A3, 1 Mo. LIBOR + 0.80% (d)................. 0.99% 07/25/34 713,005
108,791 Series 2005-2, Class M2, 1 Mo. LIBOR + 0.74% (d)................. 0.92% 03/25/35 108,614
Structured Asset Securities Corp. Mortgage Loan Trust
1,325,706 Series 2005-NC2, Class M5, 1 Mo. LIBOR + 0.93% (d)............... 1.12% 05/25/35 1,323,623
Page 30 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
TAL Advantage VII LLC
$ 10,215,000 Series 2020-1A, Class A (c)...................................... 2.05% 09/20/45 $ 9,915,426
TIF Funding II LLC
8,584,500 Series 2020-1A, Class A (c)...................................... 2.09% 08/20/45 8,344,908
Treman Park CLO Ltd.
417,547 Series 2015-1A, Class ARR, 3 Mo. LIBOR + 1.07% (c) (d)........... 1.32% 10/20/28 417,542
TRESTLES CLO V Ltd.
13,000,000 Series 2021-5A, Class A1, 3 Mo. LIBOR + 1.17% (c) (d)............ 1.33% 10/20/34 13,005,616
Voya CLO Ltd.
13,000,000 Series 2020-1A, Class AR, 3 Mo. LIBOR + 1.15% (c) (d)............ 1.39% 07/16/34 13,016,777
Wachovia Student Loan Trust
804,727 Series 2006-1, Class A6, 3 Mo. LIBOR + 0.17% (c) (d)............. 0.43% 04/25/40 785,246
WaMu Asset-Backed Certificates WaMu Trust
1,112,747 Series 2007-HE2, Class 2A1, 1 Mo. LIBOR + 0.11% (d).............. 0.30% 04/25/37 518,043
3,861,420 Series 2007-HE2, Class 2A2, 1 Mo. LIBOR + 0.19% (d).............. 0.38% 04/25/37 1,814,727
8,274,471 Series 2007-HE2, Class 2A3, 1 Mo. LIBOR + 0.25% (d).............. 0.44% 04/25/37 3,915,717
Wellman Park CLO Ltd.
11,650,000 Series 2021-1A, Class B, 3 Mo. LIBOR + 1.60% (c) (d)............. 1.84% 07/15/34 11,557,016
--------------
TOTAL ASSET-BACKED SECURITIES.................................................................. 418,245,507
(Cost $424,243,127) --------------
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES -- 6.7%
AGRICULTURE -- 0.2%
1,780,000 Imperial Brands Finance PLC (USD) (c)............................... 3.50% 02/11/23 1,796,323
2,325,000 Imperial Brands Finance PLC (USD) (c)............................... 3.13% 07/26/24 2,354,106
5,085,000 Imperial Brands Finance PLC (USD) (c)............................... 4.25% 07/21/25 5,312,853
--------------
9,463,282
--------------
AIRLINES -- 0.0%
615,600 Air Canada Pass-Through Trust, Series 2017-1, Class AA
(USD) (c)........................................................ 3.30% 01/15/30 612,463
--------------
BANKS -- 2.9%
510,000 Credit Suisse Group AG (USD) (c) (e)................................ 2.59% 09/11/25 508,043
4,095,000 Credit Suisse Group AG (USD) (c) (e)................................ 2.19% 06/05/26 3,982,096
13,020,000 Credit Suisse Group AG (USD) (c) (e)................................ 1.31% 02/02/27 12,080,588
3,365,000 Credit Suisse Group AG (USD) (c).................................... 4.28% 01/09/28 3,505,286
4,760,000 Credit Suisse Group AG (USD) (c) (e)................................ 3.09% 05/14/32 4,515,477
980,000 DNB Bank ASA (USD) (c) (e).......................................... 1.13% 09/16/26 934,321
7,000,000 DNB Bank ASA (USD) (c) (e).......................................... 1.61% 03/30/28 6,602,023
400,000 Global Bank Corp. (USD) (e) (o)..................................... 5.25% 04/16/29 385,550
4,330,000 HSBC Holdings PLC (USD) (e)......................................... 2.10% 06/04/26 4,226,594
6,920,000 HSBC Holdings PLC (USD) (e)......................................... 4.29% 09/12/26 7,228,254
1,805,000 HSBC Holdings PLC (USD) (e)......................................... 1.59% 05/24/27 1,704,062
7,100,000 HSBC Holdings PLC (USD) (e)......................................... 2.01% 09/22/28 6,674,348
7,800,000 HSBC Holdings PLC (USD) (e)......................................... 2.21% 08/17/29 7,292,845
2,460,000 HSBC Holdings PLC (USD) (e)......................................... 2.80% 05/24/32 2,326,447
See Notes to Financial Statements Page 31
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
9,420,000 Lloyds Banking Group PLC (USD) (e).................................. 2.91% 11/07/23 $ 9,491,593
1,870,000 Lloyds Banking Group PLC (USD)...................................... 3.90% 03/12/24 1,930,397
4,280,000 Lloyds Banking Group PLC (USD) (e).................................. 3.87% 07/09/25 4,410,063
5,000,000 Lloyds Banking Group PLC (USD) (e).................................. 1.63% 05/11/27 4,749,523
1,285,000 Macquarie Group Ltd. (USD) (c) (e).................................. 3.19% 11/28/23 1,297,163
7,600,000 Macquarie Group Ltd. (USD) (c) (e).................................. 1.34% 01/12/27 7,193,070
5,775,000 Macquarie Group Ltd. (USD) (c) (e).................................. 2.87% 01/14/33 5,460,371
9,800,000 NatWest Group PLC (USD) (e)......................................... 4.27% 03/22/25 10,143,413
10,775,000 Santander UK Group Holdings PLC (USD) (e)........................... 4.80% 11/15/24 11,227,579
10,045,000 Santander UK Group Holdings PLC (USD) (e)........................... 1.09% 03/15/25 9,753,065
1,585,000 Santander UK Group Holdings PLC (USD) (e)........................... 1.53% 08/21/26 1,513,370
2,855,000 Santander UK Group Holdings PLC (USD) (e)........................... 1.67% 06/14/27 2,702,287
1,735,000 Santander UK Group Holdings PLC (USD) (e)........................... 2.47% 01/11/28 1,680,888
1,190,000 Santander UK Group Holdings PLC (USD) (e)........................... 3.82% 11/03/28 1,223,083
7,900,000 UBS AG (USD), SOFR + 0.45% (c) (d).................................. 0.50% 08/09/24 7,892,895
--------------
142,634,694
--------------
BEVERAGES -- 0.4%
8,945,000 Bacardi Ltd. (USD) (c).............................................. 4.45% 05/15/25 9,421,466
245,000 Bacardi Ltd. (USD) (c).............................................. 4.70% 05/15/28 266,859
385,000 Bacardi Ltd. (USD) (c).............................................. 5.30% 05/15/48 456,783
7,000,000 Becle SAB de CV (USD) (c)........................................... 2.50% 10/14/31 6,355,160
1,800,000 Diageo Capital PLC (USD)............................................ 2.13% 04/29/32 1,690,984
--------------
18,191,252
--------------
COMMERCIAL SERVICES -- 0.4%
2,800,000 DP World Crescent Ltd. (USD) (c).................................... 4.85% 09/26/28 3,054,553
1,689,000 IHS Markit Ltd. (USD) (c)........................................... 5.00% 11/01/22 1,720,489
2,500,000 IHS Markit Ltd. (USD)............................................... 3.63% 05/01/24 2,586,010
3,510,000 IHS Markit Ltd. (USD) (c)........................................... 4.75% 02/15/25 3,733,277
5,865,000 IHS Markit Ltd. (USD) (c)........................................... 4.00% 03/01/26 6,236,187
250,000 IHS Markit Ltd. (USD)............................................... 4.75% 08/01/28 282,728
--------------
17,613,244
--------------
DIVERSIFIED FINANCIAL SERVICES -- 0.7%
1,100,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.50% 05/26/22 1,104,685
2,930,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 2.88% 08/14/24 2,935,582
1,000,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.50% 01/15/25 1,015,941
4,296,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 4.45% 10/01/25 4,467,954
15,000,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.00% 10/29/28 14,507,112
1,755,000 Avolon Holdings Funding Ltd. (USD) (c).............................. 2.88% 02/15/25 1,741,384
5,256,000 Avolon Holdings Funding Ltd. (USD) (c).............................. 2.53% 11/18/27 4,930,353
840,000 Fondo Mivivienda S.A. (USD) (o)..................................... 3.50% 01/31/23 848,371
850,000 Park Aerospace Holdings Ltd. (USD) (c).............................. 4.50% 03/15/23 868,075
467,000 Park Aerospace Holdings Ltd. (USD) (c).............................. 5.50% 02/15/24 489,613
--------------
32,909,070
--------------
ELECTRIC -- 0.0%
1,200,000 Empresas Publicas de Medellin ESP (USD) (o)......................... 4.38% 02/15/31 1,044,360
250,000 Mong Duong Finance Holdings B.V. (USD) (o).......................... 5.13% 05/07/29 216,761
--------------
1,261,121
--------------
Page 32 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
ENVIRONMENTAL CONTROL -- 0.0%
2,000,000 GFL Environmental, Inc. (USD) (c)................................... 4.75% 06/15/29 $ 1,892,500
--------------
FOOD -- 0.2%
150,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 5.50% 01/15/30 155,140
1,505,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 3.75% 12/01/31 1,390,725
6,935,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)....................................................... 3.00% 05/15/32 6,102,869
3,000,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 4.38% 02/02/52 2,698,920
--------------
10,347,654
--------------
INTERNET -- 0.1%
2,775,000 Tencent Holdings Ltd. (USD) (c)..................................... 3.98% 04/11/29 2,888,864
4,540,000 Tencent Holdings Ltd. (USD) (c)..................................... 3.84% 04/22/51 4,138,532
--------------
7,027,396
--------------
MEDIA -- 0.0%
345,000 Virgin Media Secured Finance PLC (USD) (c).......................... 5.50% 05/15/29 345,229
--------------
MINING -- 0.1%
2,697,000 Corp. Nacional del Cobre de Chile (USD) (o)......................... 3.15% 01/14/30 2,617,509
2,860,000 Indonesia Asahan Aluminium Persero PT (USD) (c)..................... 6.53% 11/15/28 3,233,116
600,000 Indonesia Asahan Aluminium Persero PT (USD) (c)..................... 5.45% 05/15/30 635,220
--------------
6,485,845
--------------
MISCELLANEOUS MANUFACTURING -- 0.1%
4,186,000 GE Capital International Funding Co. Unlimited Co. (USD)............ 4.42% 11/15/35 4,710,442
--------------
OIL & GAS -- 0.5%
840,000 Ecopetrol SA (USD).................................................. 6.88% 04/29/30 880,152
1,383,000 KazMunayGas National Co. JSC (USD) (o).............................. 5.38% 04/24/30 1,471,166
1,200,000 KazMunayGas National Co. JSC (USD) (c).............................. 3.50% 04/14/33 1,094,312
967,000 KazMunayGas National Co. JSC (USD) (o).............................. 3.50% 04/14/33 881,833
2,504,000 Pertamina Persero PT (USD) (c)...................................... 3.10% 08/27/30 2,406,841
215,000 Petroleos Mexicanos (USD)........................................... 6.63% 06/15/35 195,059
2,430,000 Petroleos Mexicanos (USD)........................................... 6.75% 09/21/47 2,018,601
3,095,000 Petroleos Mexicanos (USD)........................................... 7.69% 01/23/50 2,785,191
1,705,000 Petroleos Mexicanos (USD)........................................... 6.95% 01/28/60 1,417,887
3,613,000 Petronas Capital Ltd. (USD) (c)..................................... 3.50% 04/21/30 3,706,396
1,650,000 Petronas Capital Ltd. (USD) (c)..................................... 2.48% 01/28/32 1,546,776
600,000 Qatar Energy (USD) (o).............................................. 2.25% 07/12/31 566,255
1,800,000 Saudi Arabian Oil Co. (USD) (o)..................................... 1.63% 11/24/25 1,742,731
1,850,000 Shell International Finance B.V. (USD).............................. 4.00% 05/10/46 1,960,489
145,755 Transocean Pontus Ltd. (USD) (c).................................... 6.13% 08/01/25 143,896
484,688 Transocean Poseidon Ltd. (USD) (c).................................. 6.88% 02/01/27 474,201
--------------
23,291,786
--------------
OIL & GAS SERVICES -- 0.1%
1,619,497 Transocean Phoenix 2 Ltd. (USD) (c)................................. 7.75% 10/15/24 1,637,903
2,512,500 Transocean Proteus Ltd. (USD) (c)................................... 6.25% 12/01/24 2,497,048
--------------
4,134,951
--------------
See Notes to Financial Statements Page 33
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
PHARMACEUTICALS -- 0.1%
5,981,000 Endo Dac / Endo Finance LLC / Endo Finco, Inc. (USD) (c)............ 6.00% 06/30/28 $ 3,957,478
--------------
PIPELINES -- 0.0%
1,800,000 Galaxy Pipeline Assets Bidco Ltd. (USD) (c)......................... 2.16% 03/31/34 1,677,800
800,000 Southern Gas Corridor CJSC (USD) (o)................................ 6.88% 03/24/26 896,760
--------------
2,574,560
--------------
RETAIL -- 0.1%
100,000 Alimentation Couche-Tard, Inc. (USD) (c)............................ 3.55% 07/26/27 103,746
4,230,000 Alimentation Couche-Tard, Inc. (USD) (c)............................ 3.80% 01/25/50 4,071,585
--------------
4,175,331
--------------
SAVINGS & LOANS -- 0.3%
4,895,000 Nationwide Building Society (USD) (c) (e)........................... 3.62% 04/26/23 4,909,807
6,645,000 Nationwide Building Society (USD) (c) (e)........................... 3.77% 03/08/24 6,756,047
1,300,000 Nationwide Building Society (USD) (c) (e)........................... 4.36% 08/01/24 1,338,130
4,055,000 Nationwide Building Society (USD) (c) (e)........................... 2.97% 02/16/28 4,046,736
--------------
17,050,720
--------------
TELECOMMUNICATIONS -- 0.5%
400,000 C&W Senior Financing DAC (USD) (c).................................. 6.88% 09/15/27 415,264
2,000,000 Intelsat Jackson Holdings S.A. (USD)................................ 5.50% 08/01/23 858,220
3,860,000 Intelsat Jackson Holdings S.A. (USD) (c)............................ 8.50% 10/15/24 1,740,667
390,000 Intelsat Jackson Holdings S.A. (USD) (c)............................ 9.75% 07/15/25 172,247
15,295,000 Intelsat Jackson Holdings S.A. (USD) (c)............................ 6.50% 03/15/30 15,562,663
500,000 SES S.A. (USD) (c).................................................. 3.60% 04/04/23 506,859
2,777,000 Vodafone Group PLC (USD)............................................ 4.88% 06/19/49 3,082,244
1,375,000 Vodafone Group PLC (USD)............................................ 4.25% 09/17/50 1,386,631
--------------
23,724,795
--------------
TRANSPORTATION -- 0.0%
726,000 Empresa de Transporte de Pasajeros Metro S.A. (USD) (c)............. 3.65% 05/07/30 739,612
--------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 333,143,425
(Cost $341,471,293) --------------
FOREIGN SOVEREIGN BONDS AND NOTES -- 3.6%
BAHRAIN -- 0.0%
1,600,000 Bahrain Government International Bond (USD) (o)..................... 7.00% 01/26/26 1,719,653
--------------
BRAZIL -- 0.1%
1,200,000 Brazilian Government International Bond (USD)....................... 2.88% 06/06/25 1,195,992
600,000 Brazilian Government International Bond (USD)....................... 4.63% 01/13/28 611,367
3,830,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 3,586,067
--------------
5,393,426
--------------
CANADA -- 1.6%
49,740,000 Canadian Government Bond (CAD)...................................... 0.50% 11/01/23 38,677,196
49,740,000 Canadian Government Bond (CAD)...................................... 0.75% 02/01/24 38,718,676
--------------
77,395,872
--------------
CHILE -- 0.1%
2,800,000 Chile Government International Bond (USD)........................... 3.24% 02/06/28 2,845,430
300,000 Chile Government International Bond (USD)........................... 2.55% 01/27/32 283,125
--------------
3,128,555
--------------
Page 34 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
COLOMBIA -- 0.1%
850,000 Colombia Government International Bond (USD)........................ 4.50% 01/28/26 $ 862,457
5,585,000 Colombia Government International Bond (USD)........................ 3.00% 01/30/30 4,819,659
--------------
5,682,116
--------------
DOMINICAN REPUBLIC -- 0.1%
3,485,000 Dominican Republic International Bond (USD) (c)..................... 4.50% 01/30/30 3,232,372
1,680,000 Dominican Republic International Bond (USD) (o)..................... 4.88% 09/23/32 1,533,017
--------------
4,765,389
--------------
EGYPT -- 0.1%
1,300,000 Egypt Government International Bond (USD) (o)....................... 5.25% 10/06/25 1,243,183
1,200,000 Egypt Government International Bond (USD) (c)....................... 7.60% 03/01/29 1,079,650
--------------
2,322,833
--------------
GUATEMALA -- 0.0%
500,000 Guatemala Government Bond (USD) (o)................................. 3.70% 10/07/33 454,125
--------------
HONG KONG -- 0.1%
5,020,000 Airport Authority Hong Kong (USD) (c)............................... 3.25% 01/12/52 4,709,694
--------------
HUNGARY -- 0.1%
3,130,000 Hungary Government International Bond (USD) (c)..................... 2.13% 09/22/31 2,826,759
--------------
INDONESIA -- 0.1%
957,000 Indonesia Government International Bond (USD)....................... 2.85% 02/14/30 950,951
2,600,000 Perusahaan Penerbit SBSN Indonesia III (USD) (c).................... 2.80% 06/23/30 2,561,858
--------------
3,512,809
--------------
JAPAN -- 0.2%
1,290,000,000 Japan Treasury Discount Bill, Series 1041 (JPY)..................... (g) 03/07/22 11,220,991
--------------
MEXICO -- 0.2%
5,000,000 Mexico Government International Bond (USD).......................... 3.75% 01/11/28 5,170,125
4,372,000 Mexico Government International Bond (USD).......................... 2.66% 05/24/31 4,033,389
1,400,000 Mexico Government International Bond (USD).......................... 4.75% 04/27/32 1,495,900
--------------
10,699,414
--------------
OMAN -- 0.0%
1,700,000 Oman Government International Bond (USD) (o)........................ 5.63% 01/17/28 1,737,825
--------------
PANAMA -- 0.1%
5,583,000 Panama Government International Bond (USD).......................... 3.16% 01/23/30 5,484,404
500,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 442,215
--------------
5,926,619
--------------
PARAGUAY -- 0.1%
3,300,000 Paraguay Government International Bond (USD) (c).................... 4.95% 04/28/31 3,436,158
647,000 Paraguay Government International Bond (USD) (c).................... 2.74% 01/29/33 566,940
--------------
4,003,098
--------------
PERU -- 0.1%
4,775,000 Peruvian Government International Bond (USD)........................ 2.84% 06/20/30 4,604,437
--------------
PHILIPPINES -- 0.0%
1,570,000 Philippine Government International Bond (USD)...................... 2.46% 05/05/30 1,499,493
240,000 Philippine Government International Bond (USD)...................... 1.65% 06/10/31 212,567
--------------
1,712,060
--------------
See Notes to Financial Statements Page 35
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
QATAR -- 0.1%
4,024,000 Qatar Government International Bond (USD) (o)....................... 4.50% 04/23/28 $ 4,475,452
1,900,000 Qatar Government International Bond (USD) (o)....................... 3.75% 04/16/30 2,054,478
--------------
6,529,930
--------------
ROMANIA -- 0.1%
3,000,000 Romanian Government International Bond (USD) (o).................... 3.00% 02/14/31 2,755,170
--------------
SAUDI ARABIA -- 0.1%
1,660,000 Saudi Government International Bond (USD) (o)....................... 3.25% 10/26/26 1,724,325
3,340,000 Saudi Government International Bond (USD) (o)....................... 3.63% 03/04/28 3,529,695
--------------
5,254,020
--------------
SOUTH AFRICA -- 0.1%
6,024,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 5,892,075
--------------
TURKEY -- 0.0%
1,200,000 Turkey Government International Bond (USD).......................... 3.25% 03/23/23 1,183,428
--------------
UNITED ARAB EMIRATES -- 0.0%
2,037,000 Abu Dhabi Government International Bond (USD) (o)................... 2.50% 09/30/29 2,045,433
--------------
URUGUAY -- 0.1%
3,260,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 3,583,588
--------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 179,059,319
(Cost $187,018,940) --------------
PRINCIPAL STATED
VALUE DESCRIPTION RATE (p) MATURITY (q) VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS -- 1.9%
CABLE AND SATELLITE -- 0.1%
$ 977,500 DIRECTV Financing, LLC, Term Loan, 3 Mo. LIBOR + 5.00%,
0.75% Floor...................................................... 5.75% 08/02/27 974,206
2,326,020 EagleView Technology Corp., Term Loan B, 3 Mo. LIBOR +
3.50%, 0.00% Floor............................................... 3.72% 08/14/25 2,280,337
725,000 Virgin Media Bristol LLC, Term Loan N, 1 Mo. LIBOR + 2.50%,
0.00% Floor...................................................... 2.69% 01/31/28 711,950
--------------
3,966,493
--------------
CONSUMER PRODUCTS -- 0.1%
2,577,031 Zep, Inc., Term Loan B, 3 Mo. LIBOR + 4.00%, 1.00% Floor............ 5.00% 08/11/24 2,493,278
--------------
ENTERTAINMENT -- 0.0%
6,642 Caesars Resort Collection, LLC, Term Loan B, 1 Mo. LIBOR +
2.75%, 0.00% Floor............................................... 2.96% 12/22/24 6,568
--------------
ENVIRONMENTAL -- 0.0%
240,483 GFL Environmental, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%,
0.50% Floor...................................................... 3.50% 05/31/25 239,447
--------------
FINANCE COMPANIES -- 0.2%
4,974,937 Avolon TLB Borrower 1 (U.S.) LLC, Term Loan B, 1 Mo. LIBOR +
2.25%, 0.50% Floor............................................... 2.75% 12/01/27 4,939,416
Page 36 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (p) MATURITY (q) VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
FINANCE COMPANIES (CONTINUED)
$ 5,450,000 Setanta Airecraft Leasing DAC, Term Loan B, 1 Mo. LIBOR +
2.00%, 0.00% Floor............................................... 2.14% 11/05/28 $ 5,414,248
--------------
10,353,664
--------------
FOOD AND BEVERAGE -- 0.0%
175,056 Hostess Brands LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75%
Floor............................................................ 3.00% 08/03/25 172,715
461,911 Hostess Brands LLC, Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75%
Floor............................................................ 3.00% 08/03/25 455,736
--------------
628,451
--------------
HEALTHCARE -- 0.2%
2,133,875 ADMI Corp., Term Loan B, 1 Mo. LIBOR + 3.38%, 0.50%
Floor............................................................ 3.88% 12/23/27 2,098,751
3,597,046 Grifols Worldwide Operations Ltd., Term Loan B, 1 Mo. LIBOR +
2.00%, 0.00% Floor............................................... 2.21% 11/15/27 3,512,840
1,880,246 ICON Luxemburg S.A.R.L., Term Loan, 3 Mo. LIBOR + 2.50%,
0.50% Floor...................................................... 3.00% 07/01/28 1,857,420
600,000 Mozart Borrower L.P., Term Loan B, 1 Mo. LIBOR + 3.25%,
0.50% Floor...................................................... 3.75% 10/21/28 593,718
1,461,880 Pathway Vet Alliance LLC, Term Loan A, 1 Mo. LIBOR + 3.75%,
0.00% Floor...................................................... 3.96% 03/31/27 1,447,992
2,000,000 Phoenix Newco, Inc., Term Loan, 1 Mo. LIBOR + 3.50%, 0.50%
Floor............................................................ 4.00% 11/15/28 1,982,500
468,465 PRA Health Sciences, Inc., Term Loan, 1 Mo. LIBOR + 2.50%,
0.50% Floor...................................................... 3.00% 07/01/28 462,777
--------------
11,955,998
--------------
INSURANCE -- 0.1%
4,950,014 AmWINS Group, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%,
0.75% Floor...................................................... 3.00% 02/19/28 4,867,250
--------------
LEISURE -- 0.1%
3,369,363 Cineworld Group PLC (Crown), Priority Term Loan B-1, Fixed Rate
at 15.25% (r).................................................... 15.25% 05/23/24 3,976,555
--------------
MEDIA ENTERTAINMENT -- 0.0%
942,766 Diamond Sports Group, LLC, Term Loan, 1 Mo. LIBOR + 3.25%,
0.00% Floor...................................................... 3.36% 08/24/26 349,766
--------------
MEDICAL EQUIPMENT & DEVICES -- 0.1%
4,222,777 Avantor Funding, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.50%
Floor............................................................ 2.75% 11/06/27 4,177,551
--------------
PACKAGING -- 0.2%
1,273,386 Berry Global, Inc., Term Loan Z, 1 Mo. LIBOR + 1.75%, 0.00%
Floor............................................................ 1.88% 07/01/26 1,250,312
3,128,983 Charter NEX U.S., Inc., Term Loan, 1 Mo. LIBOR + 3.75%, 0.75%
Floor............................................................ 4.50% 12/01/27 3,112,212
1,534,500 Plaze, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor.......... 4.50% 08/03/26 1,503,810
2,213,066 Proampac PG Borrower LLC, Term Loan B, 1 Mo. LIBOR + 3.75%,
0.75% Floor...................................................... 4.50% 11/03/25 2,194,808
--------------
8,061,142
--------------
See Notes to Financial Statements Page 37
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (p) MATURITY (q) VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
PHARMACEUTICALS -- 0.3%
$ 4,943,243 Elanco Animal Health, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%,
0.00% Floor...................................................... 1.86% 08/01/27 $ 4,828,955
4,317,375 Horizon Therapeutics USA, Inc., Term Loan B, 1 Mo. LIBOR +
2.00%, 0.50% Floor............................................... 2.50% 03/15/28 4,254,427
2,363,125 Jazz Financing LUX S.A.R.L., Term Loan B, 1 Mo. LIBOR +
3.50%, 0.50% Floor............................................... 4.00% 05/05/28 2,352,491
3,856,667 Organon & Co., Term Loan, 1 Mo. LIBOR + 3.00%, 0.50%
Floor............................................................ 3.50% 06/02/28 3,836,188
--------------
15,272,061
--------------
RESTAURANTS -- 0.1%
3,677,366 Northeast Foods LLC, Term Loan B, 3 Mo. LIBOR + 3.75%, 2.21%
Floor............................................................ 5.96% 07/20/25 3,567,045
--------------
SERVICES -- 0.0%
1,682,287 Spin Holdco, Inc., Term Loan, 1 Mo. LIBOR + 4.00%, 0.75%
Floor............................................................ 4.75% 03/04/28 1,671,537
--------------
TECHNOLOGY -- 0.2%
3,969,543 Commscope, Inc., Term Loan B2, 1 Mo. LIBOR + 3.25%, 0.00%
Floor............................................................ 3.46% 04/04/26 3,867,844
3,300,000 NortonLifeLock, Inc., Tern Loan B, 1 Mo. SOFR + 2.00%, 0.50%
Floor............................................................ 2.50% 01/28/29 3,257,364
3,981,212 Waystar Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 4.00%,
0.00% Floor...................................................... 4.21% 10/23/26 3,961,306
--------------
11,086,514
--------------
TELECOMMUNICATIONS -- 0.0%
583,333 Intelsat Jackson Holdings S.A., DIP Term Loan DD, 1 Mo. LIBOR
+ 4.75%, 1.00% Floor............................................. 5.75% 07/13/22 574,403
--------------
WIRELINES -- 0.2%
7,360,000 Level 3 Financing, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%,
0.00% Floor...................................................... 1.96% 03/01/27 7,178,649
2,224,798 Lumen Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%,
0.00% Floor...................................................... 2.46% 03/15/27 2,164,306
--------------
9,342,955
--------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS...................................................... 92,590,678
(Cost $93,631,274) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY SECURITIES -- 1.1%
52,905,000 Federal Home Loan Banks............................................. 1.04% 06/14/24 52,451,264
(Cost $52,905,000) --------------
MUNICIPAL BONDS -- 0.8%
CALIFORNIA -- 0.2%
3,960,000 City of San Francisco CA Public Utilities Commission Water
Rev.............................................................. 2.83% 11/01/41 3,761,638
2,585,000 Los Angeles CA Unif School District................................. 5.75% 07/01/34 3,253,034
Page 38 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MUNICIPAL BONDS (CONTINUED)
CALIFORNIA (CONTINUED)
$ 4,715,000 Regents of the Univ of CA Medical Center Pooled Rev................. 3.26% 05/15/60 $ 4,820,186
--------------
11,834,858
--------------
MASSACHUSETTS -- 0.0%
1,845,000 Massachusetts Sch Bldg Auth......................................... 2.97% 10/15/32 1,893,993
--------------
NEW JERSEY -- 0.1%
2,000,000 NJ St Turnpike Auth Rev............................................. 1.86% 01/01/31 1,892,522
500,000 NJ St Turnpike Auth Rev............................................. 3.73% 01/01/36 541,169
--------------
2,433,691
--------------
NEW YORK -- 0.5%
3,170,000 City of New York NY................................................. 3.62% 04/01/31 3,366,307
3,620,000 City of New York NY................................................. 1.92% 08/01/31 3,412,501
1,225,000 Metro Transprtn Auth................................................ 5.18% 11/15/49 1,505,522
400,000 New York City NY Transitional Fin Auth Rev Qualified Sch Constr,
Ser BD G-3....................................................... 5.27% 05/01/27 460,357
970,000 New York City NY Transitional Fin Auth Rev, Ser A-3................. 3.96% 08/01/32 1,058,418
6,940,000 New York City NY Transitional Fin Auth Rev, Ser B-3................. 1.85% 08/01/32 6,481,696
5,140,000 New York State Urban Development Corp............................... 2.97% 03/15/34 5,159,517
2,690,000 NY St Dorm Auth..................................................... 5.00% 03/15/24 2,864,006
1,405,000 NY St Dorm Auth..................................................... 2.96% 02/15/32 1,438,344
--------------
25,746,668
--------------
TOTAL MUNICIPAL BONDS.......................................................................... 41,909,210
(Cost $42,838,006) --------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
COMMON STOCKS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
59,704 Intelsat Jackson Emergence S.A. (i) (m) (n) (s)................................................ 0
(Cost $2,000,073) --------------
RIGHTS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
6,253 Intelsat Jackson Holdings S.A., Series A (i) (m) (n) (s)....................................... 0
6,253 Intelsat Jackson Holdings S.A., Series B (i) (m) (n) (s)....................................... 0
--------------
TOTAL RIGHTS................................................................................... 0
(Cost $0) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. TREASURY BILLS -- 4.4%
$ 102,010,000 U.S. Treasury Bill.................................................. (g) 06/09/22 101,906,503
14,260,000 U.S. Treasury Bill.................................................. (g) 06/23/22 14,240,319
48,750,000 U.S. Treasury Bill.................................................. (g) 07/07/22 48,662,438
18,990,000 U.S. Treasury Bill.................................................. (g) 07/14/22 18,952,417
34,890,000 U.S. Treasury Bill.................................................. (g) 07/21/22 34,816,602
--------------
TOTAL U.S. TREASURY BILLS...................................................................... 218,578,279
(Cost $218,734,806) --------------
See Notes to Financial Statements Page 39
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 2.4%
121,008,879 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 0.01% (t)... $ 121,008,879
(Cost $121,008,879) --------------
TOTAL INVESTMENTS -- 122.8%...................................................................... 6,101,023,424
(Cost $6,192,039,671) --------------
NOTIONAL EXERCISE EXPIRATION
DESCRIPTION COUNTERPARTY AMOUNT RATE DATE VALUE
---------------------------------------------------- -------------- -------------- ----------- ------------ --------------
PUT SWAPTIONS PURCHASED -- 0.0%
30 Year Interest Rate Swap, Pays 2.75% Semi-
Annual, Receives 3 Mo. LIBOR Quarterly Barclays PLC $ 19,380,000 2.75% 01/23/54 755,775
(Cost $571,710) --------------
NUMBER OF NOTIONAL EXERCISE EXPIRATION
CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE
-------------- ---------------------------------------------------- -------------- ----------- ------------ --------------
PURCHASED OPTIONS -- 0.1%
CALL OPTIONS PURCHASED -- 0.1%
2,010 90 Day Eurodollar Futures Options Call.............. $ 493,831,875 $ 98.00 12/19/22 2,688,375
3,185 Eurodollar 1-Year Mid-Curve Options Futures
Call............................................. 785,102,500 98.75 09/16/22 537,469
--------------
TOTAL CALL OPTIONS PURCHASED................................................................... 3,225,844
(Cost $3,937,830) --------------
TOTAL PURCHASED OPTIONS......................................................................... 3,225,844
(Cost $3,937,830) --------------
WRITTEN OPTIONS -- (0.2)%
CALL OPTIONS WRITTEN -- (0.1)%
(2,010) 90 Day Eurodollar Futures Options Call.............. (493,831,875) 98.25 12/19/22 (1,909,500)
(3,185) Eurodollar 1-Year Mid-Curve Options Futures
Call............................................. (785,102,500) 99.00 09/16/22 (318,500)
(1,505) Eurodollar 2-Year Mid-Curve Options Futures
Call............................................. (370,982,500) 98.25 09/16/22 (799,531)
--------------
TOTAL CALL OPTIONS WRITTEN..................................................................... (3,027,531)
(Premiums received $3,574,036) --------------
PUT OPTIONS WRITTEN -- (0.1)%
(2,010) 90 Day Eurodollar Futures Options Put............... (493,831,875) 97.25 12/19/22 (577,875)
(4,778) Eurodollar 1-Year Mid-Curve Options Futures
Put.............................................. (1,177,777,000) 97.63 09/16/22 (3,105,700)
(1,505) Eurodollar 2-Year Mid-Curve Options Futures
Put.............................................. (370,982,500) 98.25 09/16/22 (1,777,782)
--------------
TOTAL PUT OPTIONS WRITTEN...................................................................... (5,461,357)
(Premiums received $5,489,853) --------------
TOTAL WRITTEN OPTIONS.......................................................................... (8,488,888)
(Premiums received $9,063,889) --------------
NET OTHER ASSETS AND LIABILITIES -- (22.7)%.................................................... (1,128,844,746)
--------------
NET ASSETS -- 100.0%........................................................................... $4,967,671,409
==============
Page 40 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
FORWARD FOREIGN CURRENCY CONTRACTS AT FEBRUARY 28, 2022 (See Note 2E - Forward Foreign Currency Contracts in the Notes to Financial
Statements):
PURCHASE VALUE SALE VALUE UNREALIZED
SETTLEMENT AMOUNT AMOUNT AS OF AS OF APPRECIATION
DATE COUNTERPARTY PURCHASED SOLD 2/28/2022 2/28/2022 (DEPRECIATION)
-------------- -------------- ----------------- ------------------ ---------------- ---------------- --------------
03/07/2022 GSIL USD 11,364,157 JPY 1,290,000,000 $ 11,364,157 $ 11,222,790 $ 141,367
04/08/2022 Citi USD 76,856,501 CAD 98,570,000 76,856,501 77,778,715 (922,214)
--------------
Net Unrealized Appreciation (Depreciation) $ (780,847)
==============
Counterparty Abbreviations:
Citi - Citibank N.A.
GSIL - Goldman Sachs International, London
FUTURES CONTRACTS AT FEBRUARY 28, 2022 (See Note 2D - Futures Contracts in the Notes to Financial Statements):
UNREALIZED
APPRECIATION
NUMBER OF (DEPRECIATION)/
FUTURES CONTRACTS POSITION CONTRACTS EXPIRATION DATE NOTIONAL VALUE VALUE
---------------------------------- -------------- --------------- ------------------ ----------------- --------------
Ultra U.S. Treasury Bond Futures Long 22 Jun-2022 $ 4,090,625 $ 59,613
U.S. 2-Year Treasury Notes Short 41 Jun-2022 (8,824,289) (19,607)
-------------- --------------
$ (4,733,664) $ 40,006
============== ==============
INTEREST RATE SWAP AGREEMENTS AT FEBRUARY 28, 2022 (see Note 2F - Swap Agreements in the Notes to Financial Statements):
UNREALIZED
APPRECIATION
EXPIRATION (DEPRECIATION)/
COUNTERPARTY FLOATING RATE DATE NOTIONAL VALUE FIXED RATE VALUE
--------------------------------- ---------------- --------------- ------------------ ----------------- --------------
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 $ 117,450,000 1.026%(1) $ (2,340,403)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 86,880,000 1.034%(1) (1,717,870)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 58,725,000 1.073%(1) (1,117,106)
Citibank, Global Markets, Inc. 3 month LIBOR(2) 09/28/2025 145,575,000 1.390%(2) (1,826,231)
Citibank, Global Markets, Inc. 3 month LIBOR(3) 12/07/2025 143,170,000 1.688%(3) (914,648)
Citibank, Global Markets, Inc. 3 month LIBOR(4) 07/24/2053 9,810,000 1.773%(4) 528,597
Citibank, Global Markets, Inc. 3 month LIBOR(4) 07/24/2053 7,260,000 1.785%(4) 370,576
Citibank, Global Markets, Inc. 3 month LIBOR(4) 07/24/2053 4,905,000 1.808%(4) 225,295
Citibank, Global Markets, Inc. 3 month LIBOR(5) 09/28/2053 12,425,000 1.870%(5) 383,322
Citibank, Global Markets, Inc. 3 month LIBOR(6) 12/07/2053 11,970,000 1.743%(6) 703,494
-------------- --------------
$ 598,170,000 $ (5,704,974)
============== ==============
(1) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.
(2) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 09/28/2023 and no interest is being accrued
until that date.
(3) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 12/07/2023 and no interest is being accrued
until that date.
(4) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.
(5) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 09/28/2023 and no interest is being accrued
until that date.
(6) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 12/07/2023 and no interest is being accrued
until that date.
See Notes to Financial Statements Page 41
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
(a) Security whose principal value is adjusted in accordance with changes to
the country's Consumer Price Index. Interest is calculated on the basis of
the current adjusted principal value.
(b) All or a portion of this security is part of a mortgage dollar roll
agreement (see Note 2K - Mortgage Dollar Rolls in the Notes to Financial
Statements).
(c) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended (the "1933 Act"), and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P.,
the Fund's Advisor (the "Advisor"). Although market instability can result
in periods of increased overall market illiquidity, liquidity for each
security is determined based on security specific factors and assumptions,
which require subjective judgment. At February 28, 2022, securities noted
as such amounted to $960,056,341 or 19.3% of net assets.
(d) Floating or variable rate security.
(e) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at February 28, 2022. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
(f) When-issued security. The interest rate shown reflects the rate in effect
at February 28, 2022. Interest will begin accruing on the security's first
settlement date.
(g) Zero coupon security.
(h) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the 1933 Act,
and may be resold in transactions exempt from registration, normally to
qualified institutional buyers (see Note 2C - Restricted Securities in the
Notes to Financial Statements).
(i) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by First Trust Advisors L.P.
(the "Advisor").
(j) Step-up security. A security where the coupon increases or steps up at a
predetermined date.
(k) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.
(l) Weighted Average Coupon security. Coupon is based on the blended interest
rate of the underlying holdings, which may have different coupons. The
coupon may change in any period.
(m) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).
(n) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940, as
amended. At February 28, 2022, securities noted as such are valued at
$12,776,010 or 0.3% of net assets.
(o) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.
(p) Senior Floating-Rate Loan Interests ("Senior Loans") in which the Fund
invests generally pay interest at rates which are periodically
predetermined by reference to a base lending rate plus a premium. These
base lending rates are generally (i) the lending rate offered by one or
more major European banks, such as the LIBOR, (ii) the Secured Overnight
Financing Rate ("SOFR") obtained from the U.S. Department of the
Treasury's Office of Financial Research, (iii) the prime rate offered by
one or more United States banks or (iv) the certificate of deposit rate.
Certain Senior Loans are subject to a LIBOR or SOFR floor that establishes
a minimum LIBOR or SOFR rate. When a range of rates is disclosed, the Fund
holds more than one contract within the same tranche with identical LIBOR
or SOFR period, spread and floor, but different LIBOR or SOFR reset dates.
(q) Senior Loans generally are subject to mandatory and/or optional
prepayment. As a result, the actual remaining maturity of Senior Loans may
be substantially less than the stated maturities shown.
(r) The issuer will pay interest on the loans in cash and in Payment-In-Kind
("PIK") interest. Interest paid in cash will accrue at the rate of 7.00%
per annum ("Cash Interest Rate") and PIK interest will accrue on the loan
at the rate of 8.25% per annum. For the six months ended February 28,
2022, the Fund received a portion of the interest in cash and PIK interest
with a principal value of $137,705 for Cineworld Group PLC.
(s) Non-income producing security.
(t) Rate shown reflects yield as of February 28, 2022.
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TBA - To-Be-Announced Security
Currency Abbreviations:
CAD - Canadian Dollar
JPY - Japanese Yen
USD - United States Dollar
Page 42 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
U.S. Government Bonds and Notes...................... $1,687,361,504 $ -- $1,687,361,504 $ --
U.S. Government Agency Mortgage-Backed Securities.... 1,459,308,203 -- 1,459,308,203 --
Corporate Bonds and Notes*........................... 1,035,722,535 -- 1,035,722,535 --
Mortgage-Backed Securities........................... 461,644,621 -- 461,644,621 --
Asset-Backed Securities.............................. 418,245,507 -- 405,469,497 12,776,010
Foreign Corporate Bonds and Notes*................... 333,143,425 -- 333,143,425 --
Foreign Sovereign Bonds and Notes**.................. 179,059,319 -- 179,059,319 --
Senior Floating-Rate Loan Interests*................. 92,590,678 -- 92,590,678 --
U.S. Government Agency Securities.................... 52,451,264 -- 52,451,264 --
Municipal Bonds***................................... 41,909,210 -- 41,909,210 --
Common Stocks*....................................... --**** -- -- --****
Rights*.............................................. --**** -- -- --****
U.S. Treasury Bills.................................. 218,578,279 -- 218,578,279 --
Money Market Funds................................... 121,008,879 121,008,879 -- --
-------------- -------------- -------------- --------------
Total Investments.................................... 6,101,023,424 121,008,879 5,967,238,535 12,776,010
Put Swaptions Purchased.............................. 755,775 -- 755,775 --
Call Options Purchased............................... 3,225,844 3,225,844 -- --
Forward Foreign Currency Contracts................... 141,367 -- 141,367 --
Futures Contracts*****............................... 59,613 59,613 -- --
Interest Rate Swap Agreements........................ 2,211,284 -- 2,211,284 --
-------------- -------------- -------------- --------------
Total................................................ $6,107,417,307 $ 124,294,336 $5,970,346,961 $ 12,776,010
============== ============== ============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Call Options Written................................. $ (3,027,531) $ (3,027,531) $ -- $ --
Put Options Written.................................. (5,461,357) (5,461,357) -- --
Forward Foreign Currency Contracts................... (922,214) -- (922,214) --
Futures Contracts*****............................... (19,607) (19,607) -- --
Interest Rate Swap Agreements........................ (7,916,258) -- (7,916,258) --
-------------- -------------- -------------- --------------
Total................................................ $ (17,346,967) $ (8,508,495) $ (8,838,472) $ --
============== ============== ============== ==============
* See Portfolio of Investments for industry breakout.
** See Portfolio of Investments for country breakout.
*** See Portfolio of Investments for state breakout.
**** Investment is valued at $0.
***** Includes cumulative appreciation/depreciation on futures contracts as
reported in the Futures Contracts table. Only the current day's variation
margin is presented on the Statements of Assets and Liabilities.
Level 3 Investments that are fair valued by the Advisor's Pricing Committee are
footnoted in the Portfolio of Investments. All Level 3 values are based on
unobservable inputs.
See Notes to Financial Statements Page 43
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES -- 23.4%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 14.0%
Adjustable Rate Mortgage Trust
$ 93,451 Series 2005-8, Class 3A21 (a).................................... 2.65% 11/25/35 $ 81,353
Ajax Mortgage Loan Trust
4,018,823 Series 2021-D, Class A, steps up to 5.00% on 02/25/25 (b) (c).... 2.00% 03/25/60 3,900,157
Alternative Loan Trust
757,999 Series 2005-13CB, Class A8....................................... 5.50% 05/25/35 747,122
259,985 Series 2005-16, Class A3, 1 Mo. LIBOR + 0.50% (d)................ 0.69% 06/25/35 241,017
800,757 Series 2005-65CB, Class 2A4...................................... 5.50% 12/25/35 708,061
73,767 Series 2005-76, Class 1A1, 12 Mo. Treasury Average + 1.48% (d)... 1.58% 01/25/36 74,248
293,998 Series 2006-33CB, Class 2A1...................................... 6.00% 11/25/36 220,240
975,425 Series 2007-15CB, Class A6....................................... 5.75% 07/25/37 763,625
491,957 Series 2007-OA6, Class A1B, 1 Mo. LIBOR + 0.20% (d).............. 0.59% 06/25/37 476,104
American Home Mortgage Assets Trust
1,413,556 Series 2006-1, Class 1A1, 1 Mo. LIBOR + 0.21% (d)................ 0.40% 05/25/46 1,343,146
1,475,049 Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (d)..... 0.80% 02/25/47 760,156
3,460,306 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.13% (d)................. 0.31% 03/25/47 3,288,301
American Home Mortgage Investment Trust
600,551 Series 2005-4, Class 1A1, 1 Mo. LIBOR + 0.58% (d)................ 0.77% 11/25/45 587,155
Banc of America Funding Trust
748,459 Series 2007-1, Class TA3A, 1 Mo. LIBOR + 0.32% (d)............... 0.51% 01/25/37 699,708
2,536,588 Series 2007-2, Class TA4, 1 Mo. LIBOR + 0.80% (d)................ 0.99% 03/25/37 2,530,418
BCAP LLC Trust
411,256 Series 2007-AA3, Class 1A1A, 1 Mo. LIBOR + 0.42% (d)............. 0.61% 04/25/37 397,597
668,723 Series 2015-RR2, Class 25A3 (a) (b).............................. 0.52% 10/28/36 666,094
Bear Stearns ALT-A Trust
812,529 Series 2004-8, Class M1, 1 Mo. LIBOR + 0.92% (d)................. 1.10% 09/25/34 821,192
1,898,057 Series 2006-1, Class 21A2 (a).................................... 2.93% 02/25/36 1,576,612
Bear Stearns Mortgage Funding Trust
588,174 Series 2006-AR1, Class 1A1, 1 Mo. LIBOR + 0.21% (d).............. 0.40% 07/25/36 563,378
521,273 Series 2006-AR3, Class 1A1, 1 Mo. LIBOR + 0.18% (d).............. 0.37% 10/25/36 499,210
195,162 Series 2007-AR1, Class 1A1, 1 Mo. LIBOR + 0.16% (d).............. 0.35% 01/25/37 186,916
184,143 Series 2007-AR3, Class 1A1, 1 Mo. LIBOR + 0.14% (d).............. 0.33% 03/25/37 176,668
CIM Trust
159,950 Series 2018-R6, Class A1, 1 Mo. LIBOR + 1.08% (b) (d)............ 1.18% 09/25/58 158,310
729,318 Series 2020-R7, Class A1A (b) (e)................................ 2.25% 12/27/61 710,009
1,381,209 Series 2021-R3, Class A1A (b).................................... 1.95% 06/25/57 1,358,009
1,651,066 Series 2021-R5, Class A1A (b).................................... 2.00% 08/25/61 1,605,802
Citigroup Mortgage Loan Trust
537,986 Series 2005-8, Class 2A4A........................................ 5.50% 09/25/35 533,120
1,207,119 Series 2009-10, Class 2A2 (b).................................... 7.00% 12/25/35 1,087,421
Credit Suisse Mortgage Trust
52,200 Series 2014-2R, Class 28A1 (a) (b)............................... 3.00% 06/27/37 51,875
907,407 Series 2014-8R, Class 3A2 (a) (b)................................ 3.99% 02/27/36 823,281
1,632,800 Series 2014-11R, Class 17A2, 1 Mo. LIBOR + 0.15% (b) (d)......... 0.26% 12/27/36 1,540,395
4,966,230 Series 2020-RPL3, Class A1 (a) (b)............................... 2.69% 03/25/60 4,928,849
4,632,080 Series 2020-RPL6, Class A1 (b)................................... 2.69% 03/25/59 4,606,013
1,649,659 Series 2021-RPL4, Class A1 (b)................................... 1.80% 12/27/60 1,612,939
3,580,000 Series 2022-RPL1 (b)............................................. 3.78% 02/25/62 3,738,025
CSMCM Trust Certificates
150,000 Series 2022-RPL1 (b)............................................. 3.78% 02/27/62 156,621
Page 44 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Deutsche Alt-A Securities Mortgage Loan Trust
$ 1,426,673 Series 2007-AR3, Class 2A5, 1 Mo. LIBOR + 0.40% (d).............. 0.59% 06/25/37 $ 1,374,464
DSLA Mortgage Loan Trust
51,320 Series 2004-AR4, Class 2A1A, 1 Mo. LIBOR + 0.72% (d)............. 0.89% 01/19/45 44,207
5,622,048 Series 2005-AR3, Class 1A, 1 Mo. LIBOR + 0.52% (d)............... 0.69% 07/19/45 4,831,922
First Horizon Alternative Mortgage Securities Trust
37,315 Series 2004-AA4, Class A1 (a).................................... 2.31% 10/25/34 38,626
1,836,154 Series 2005-AA4, Class 2A1 (a)................................... 2.38% 06/25/35 1,794,700
2,641,425 Series 2007-FA1, Class A4........................................ 6.25% 03/25/37 1,638,280
GreenPoint Mortgage Funding Trust
43,928 Series 2006-AR1, Class A1A, 1 Mo. LIBOR + 0.58% (d).............. 0.77% 02/25/36 42,422
4,733,718 Series 2006-AR6, Class A3A, 1 Mo. LIBOR + 0.44% (d).............. 0.63% 10/25/46 4,819,109
375,095 Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.20% (d)............. 0.39% 03/25/47 362,408
596,023 Series 2007-AR2, Class 2A1, 1 Mo. LIBOR + 0.40% (d).............. 0.59% 05/25/37 596,372
GreenPoint MTA Trust
276,066 Series 2005-AR3, Class 1A1, 1 Mo. LIBOR + 0.48% (d).............. 0.67% 08/25/45 235,980
HarborView Mortgage Loan Trust
177,921 Series 2005-9, Class 2A1A, 1 Mo. LIBOR + 0.68% (d)............... 0.85% 06/20/35 174,666
490,272 Series 2005-9, Class 2A1C, 1 Mo. LIBOR + 0.90% (d)............... 1.07% 06/20/35 485,529
756,259 Series 2007-7, Class 1A1, 1 Mo. LIBOR + 1.00% (d)................ 1.19% 10/25/37 732,965
Headlands Residential LLC
62,679 Series 2018-RPL1, Class A (b).................................... 3.88% 08/25/24 62,786
HomeBanc Mortgage Trust
4,057,000 Series 2005-3, Class M4, 1 Mo. LIBOR + 1.01% (d)................. 1.19% 07/25/35 4,080,287
67,630 Series 2005-4, Class A1, 1 Mo. LIBOR + 0.54% (d)................. 0.73% 10/25/35 67,725
Impac CMB Trust
53,192 Series 2005-1, Class 1A1, 1 Mo. LIBOR + 0.52% (d)................ 0.71% 04/25/35 52,336
4,536,256 Series 2005-5, Class A1, 1 Mo. LIBOR + 0.64% (d)................. 0.83% 08/25/35 4,428,925
3,692,944 Series 2005-8, Class 1A, 1 Mo. LIBOR + 0.52% (d)................. 0.71% 02/25/36 3,641,850
IndyMac INDX Mortgage Loan Trust
1,611,107 Series 2005-16IP, Class A1, 1 Mo. LIBOR + 0.64% (d).............. 0.83% 07/25/45 1,416,937
3,774,369 Series 2006-AR2, Class 1A1B, 1 Mo. LIBOR + 0.42% (d)............. 0.61% 04/25/46 3,615,416
517,262 Series 2006-AR4, Class A1A, 1 Mo. LIBOR + 0.42% (d).............. 0.61% 05/25/46 501,015
232,915 Series 2006-AR21, Class A1, 1 Mo. LIBOR + 0.24% (d).............. 0.43% 08/25/36 230,915
160,014 Series 2007-FLX2, Class A1C, 1 Mo. LIBOR + 0.19% (d)............. 0.38% 04/25/37 154,996
JP Morgan Alternative Loan Trust
2,990,182 Series 2006-S1, Class 1A19....................................... 6.50% 03/25/36 2,283,241
677,035 Series 2006-S1, Class 3A4........................................ 6.18% 03/25/36 662,702
58,587 Series 2007-S1, Class A2, 1 Mo. LIBOR + 0.68% (d)................ 0.87% 04/25/47 58,398
Legacy Mortgage Asset Trust
4,437,484 Series 2020-GS2, Class A1, steps up to 5.75% on
03/26/23 (b) (c) ............................................. 2.75% 03/25/60 4,449,608
Lehman Mortgage Trust
803,184 Series 2006-1, Class 1A5......................................... 5.50% 02/25/36 583,495
Lehman XS Trust
155,587 Series 2005-5N, Class 3A1A, 1 Mo. LIBOR + 0.30% (d).............. 0.49% 11/25/35 155,171
754,182 Series 2006-2N, Class 2A1, 12 Mo. Treasury Average + 2.02% (d)... 2.12% 02/25/36 762,447
3,462,727 Series 2006-4N, Class A1D1, 1 Mo. LIBOR + 0.66% (d).............. 0.85% 04/25/46 3,321,359
608,286 Series 2007-12N, Class 1A3A, 1 Mo. LIBOR + 0.20% (d)............. 0.39% 07/25/47 619,341
1,568,064 Series 2007-16N, Class 1A1, 1 Mo. LIBOR + 0.47% (d).............. 0.66% 09/25/47 1,577,068
See Notes to Financial Statements Page 45
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
MASTR Adjustable Rate Mortgages Trust
$ 606,093 Series 2004-14, Class B1, 1 Mo. LIBOR + 2.15% (d)................ 2.34% 01/25/35 $ 638,196
3,005,874 Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average +
0.80% (d)..................................................... 0.90% 12/25/46 2,738,108
4,209,195 Series 2007-1, Class I2A3, 12 Mo. Treasury Average +
0.74% (d)..................................................... 0.84% 01/25/47 4,156,471
361,821 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.30% (d)................. 0.49% 03/25/47 353,480
4,700,000 Series 2007-HF2, Class A2, 1 Mo. LIBOR + 1.10% (d)............... 1.29% 09/25/37 2,297,622
Merrill Lynch Mortgage Investors Trust
132,430 Series 2003-D, Class A, 1 Mo. LIBOR + 0.62% (d).................. 0.81% 08/25/28 131,971
197,018 Series 2004-E, Class A2B, 6 Mo. LIBOR + 0.72% (d)................ 0.88% 11/25/29 192,589
Morgan Stanley Resecuritization Trust
71,821 Series 2014-R8, Class 3B1, 12 Mo. Treasury Average +
0.75% (b) (d)................................................. 0.84% 06/26/47 71,776
Nomura Resecuritization Trust
2,079,594 Series 2014-1R, Class 1A13, 1 Mo. LIBOR + 0.32% (b) (d).......... 0.43% 10/26/36 2,039,642
Opteum Mortgage Acceptance Corp Trust
4,542,460 Series 2006-1, Class 1AC1, 1 Mo. LIBOR + 0.60% (d)............... 0.79% 04/25/36 4,429,999
PHH Alternative Mortgage Trust
1,573,508 Series 2007-2, Class 1A4, 1 Mo. LIBOR + 0.60% (d)................ 0.79% 05/25/37 1,550,374
PRPM LLC
2,104,165 Series 2021-9, Class A1 (b)...................................... 2.36% 10/25/26 2,053,151
5,041,688 Series 2021-10, Class A1, steps up to 5.49% on 10/26/24 (b) (c).. 2.49% 10/25/26 4,965,725
RALI Trust
1,634,614 Series 2005-QO1, Class A1, 1 Mo. LIBOR + 0.30% (d)............... 0.49% 08/25/35 1,366,783
2,657,430 Series 2006-QO10, Class A1, 1 Mo. LIBOR + 0.32% (d).............. 0.51% 01/25/37 2,546,749
505,441 Series 2006-QS6, Class 1A15...................................... 6.00% 06/25/36 490,885
2,609,782 Series 2007-QA3, Class A1, 1 Mo. LIBOR + 0.10% (d)............... 0.29% 05/25/37 2,568,560
3,196,983 Series 2007-QA3, Class A2, 1 Mo. LIBOR + 0.17% (d)............... 0.36% 05/25/37 3,195,172
1,104,722 Series 2007-QH4, Class A1, 1 Mo. LIBOR + 0.19% (d)............... 0.38% 05/25/37 1,062,654
1,023,768 Series 2007-QH9, Class A1 (a).................................... 1.33% 11/25/37 982,783
2,528,231 Series 2007-QS9, Class A33....................................... 6.50% 07/25/37 2,455,950
Structured Adjustable Rate Mortgage Loan Trust
25,958 Series 2005-12, Class 3A1 (a).................................... 2.39% 06/25/35 24,001
400,430 Series 2006-11, Class 1A1, 1 Mo. LIBOR + 0.32% (d)............... 0.51% 12/25/36 394,246
624,278 Series 2007-4, Class 1A1, 1 Mo. LIBOR + 0.48% (d)................ 0.67% 05/25/37 645,261
598,906 Series 2007-4, Class 1A2, 1 Mo. LIBOR + 0.44% (d)................ 0.63% 05/25/37 585,178
Structured Asset Mortgage Investments II Trust
134,133 Series 2003-AR3, Class A1, 1 Mo. LIBOR + 0.68% (d)............... 0.84% 11/19/33 134,346
306,012 Series 2005-AR2, Class 2A1, 1 Mo. LIBOR + 0.46% (d).............. 0.65% 05/25/45 295,915
490,863 Series 2006-AR1, Class 3A1, 1 Mo. LIBOR + 0.46% (d).............. 0.65% 02/25/36 473,691
377,603 Series 2006-AR3, Class 12A1, 1 Mo. LIBOR + 0.44% (d)............. 0.63% 05/25/36 358,593
425,113 Series 2006-AR4, Class 3A1, 1 Mo. LIBOR + 0.38% (d).............. 0.57% 06/25/36 401,487
38,264 Series 2006-AR5, Class 1A1, 1 Mo. LIBOR + 0.42% (d).............. 0.61% 05/25/36 37,495
1,753,752 Series 2006-AR6, Class 2A1, 1 Mo. LIBOR + 0.38% (d).............. 0.57% 07/25/46 1,488,500
977,464 Series 2006-AR8, Class A1A, 1 Mo. LIBOR + 0.40% (d).............. 0.59% 10/25/36 948,890
435,145 Series 2007-AR1, Class 1A1, 1 Mo. LIBOR + 0.32% (d).............. 0.51% 01/25/37 421,212
166,150 Series 2007-AR1, Class 2A1, 1 Mo. LIBOR + 0.18% (d).............. 0.37% 01/25/37 160,248
656,013 Series 2007-AR6, Class A1, 12 Mo. Treasury Average +
1.50% (d)..................................................... 1.60% 08/25/47 642,287
Page 46 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
TBW Mortgage-Backed Trust
$ 238,920 Series 2006-4, Class A4.......................................... 6.66% 09/25/36 $ 236,223
WaMu Mortgage Pass-Through Certificates Trust
133,041 Series 2004-AR12, Class A2A, 1 Mo. LIBOR + 0.78% (d)............. 0.97% 10/25/44 128,123
2,594,542 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average +
1.00% (d)..................................................... 1.10% 02/25/46 2,615,299
49,490 Series 2006-AR11, Class 1A, 12 Mo. Treasury Average +
0.96% (d)..................................................... 1.06% 09/25/46 46,595
3,035,963 Series 2007-OA4, Class 1A, 12 Mo. Treasury Average +
0.77% (d)..................................................... 0.87% 05/25/47 2,942,343
839,883 Series 2007-OA5, Class 1A, 12 Mo. Treasury Average +
0.75% (d)..................................................... 0.85% 06/25/47 809,094
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
2,255,785 Series 2006-AR6, Class 2A, 12 Mo. Treasury Average +
0.96% (d)..................................................... 1.06% 08/25/46 1,571,601
711,771 Series 2007-OC1, Class A4, 1 Mo. LIBOR + 0.32% (d)............... 0.51% 01/25/47 736,443
Wells Fargo Mortgage Backed Securities Trust
244,930 Series 2007-AR5, Class A1 (a).................................... 2.91% 10/25/37 240,837
--------------
150,743,363
--------------
COMMERCIAL MORTGAGE-BACKED OBLIGATIONS -- 9.4%
AREIT Trust
1,460,000 Series 2020-CRE4, Class B, SOFR + 4.26% (b) (d).................. 4.31% 04/15/37 1,460,290
BAMLL Commercial Mortgage Securities Trust
1,625,000 Series 2020-BHP3, Class A, 1 Mo. LIBOR + 1.90% (b) (d)........... 2.09% 03/15/37 1,622,833
Banc of America Commercial Mortgage Trust
14,983,452 Series 2015-UBS7, Class XA, IO (a)............................... 0.79% 09/15/48 367,030
Bayview Commercial Asset Trust
756,689 Series 2005-4A, Class A1, 1 Mo. LIBOR + 0.45% (b) (d)............ 0.64% 01/25/36 725,959
BBCMS Mortgage Trust
3,140,000 Series 2020-BID, Class A, 1 Mo. LIBOR + 2.14% (b) (d)............ 2.33% 10/15/37 3,143,811
2,300,000 Series 2020-BID, Class C, 1 Mo. LIBOR + 3.64% (b) (d)............ 3.83% 10/15/37 2,305,290
BDS Ltd.
2,000,000 Series 2020-FL6, Class C, SOFR + 2.36% (b) (d)................... 2.41% 09/15/35 1,999,298
1,125,000 Series 2020-FL6, Class D, SOFR + 2.86% (b) (d)................... 2.91% 09/15/35 1,124,925
3,377,153 Series 2021-FL8, Class A, 1 Mo. LIBOR + 0.92% (b) (d)............ 1.06% 01/18/36 3,322,835
Benchmark Mortgage Trust
1,159,813 Series 2018-B6, Class A2......................................... 4.20% 10/10/51 1,185,681
1,810,000 Series 2020-IG2, Class UBRD (a) (b).............................. 3.51% 09/15/48 1,744,596
2,275,000 Series 2022-B32, Class AS (a).................................... 3.41% 01/15/55 2,289,542
BFLD Trust
2,304,000 Series 2019-DPLO, Class A, 1 Mo. LIBOR + 1.09% (b) (d)........... 1.28% 10/15/34 2,283,040
782,000 Series 2021-FPM, Class A, 1 Mo. LIBOR + 1.60% (b) (d)............ 1.79% 06/15/38 775,369
BLOX Trust
1,570,000 Series 2021-BLOX, Class D, 1 Mo. LIBOR + 1.75% (b) (d)........... 1.94% 09/15/26 1,530,231
BWAY Mortgage Trust
1,700,000 Series 2015-1740, Class A (b).................................... 2.92% 01/10/35 1,679,544
BX Commercial Mortgage Trust
3,420,000 Series 2020-VIV3, Class B (a) (b)................................ 3.54% 03/09/44 3,370,054
See Notes to Financial Statements Page 47
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED OBLIGATIONS (CONTINUED)
BX Commercial Mortgage Trust (Continued)
$ 3,350,000 Series 2020-VIV4, Class A (b).................................... 2.84% 03/09/44 $ 3,245,291
1,800,000 Series 2021-21M, Class E, 1 Mo. LIBOR + 2.17% (b) (d)............ 2.36% 10/15/36 1,747,757
2,845,000 Series 2022-AHP, Class AS, 1 Mo. CME Term SOFR +
1.49% (b) (d)................................................. 1.54% 01/17/39 2,827,608
BX Trust
2,800,000 Series 2019-OC11, Class A (b).................................... 3.20% 12/09/41 2,806,694
2,500,000 Series 2021-BXMF, Class B, 1 Mo. LIBOR + 1.04% (b) (d)........... 1.23% 10/15/26 2,447,812
2,250,000 Series 2021-VIEW, Class A, 1 Mo. LIBOR + 1.28% (b) (d)........... 1.47% 06/15/23 2,232,385
BXMT Ltd.
1,175,000 Series 2020-FL3, Class A, SOFR + 1.51% (b) (d)................... 1.56% 11/15/37 1,175,706
CAMB Commercial Mortgage Trust
1,000,000 Series 2019-LIFE, Class F, 1 Mo. LIBOR + 2.55% (b) (d)........... 2.74% 12/15/37 985,666
Citigroup Commercial Mortgage Trust
976,637 Series 2020-WSS, Class B, 1 Mo. LIBOR + 2.00% (b) (d)............ 2.11% 02/15/39 978,105
COMM Mortgage Trust
1,220,000 Series 2012-CR1, Class B......................................... 4.61% 05/15/45 1,219,063
1,304,000 Series 2012-CR4, Class AM........................................ 3.25% 10/15/45 1,301,210
1,521,672 Series 2012-CR4, Class XA, IO (a)................................ 1.68% 10/15/45 8,026
1,355,061 Series 2014-CR14, Class A2....................................... 3.15% 02/10/47 1,350,528
4,601,344 Series 2020-CBM, Class XCP, IO (a) (b)........................... 0.60% 02/10/37 76,543
21,254,000 Series 2020-SBX, Class X, IO (a) (b)............................. 0.58% 01/10/38 442,615
Credit Suisse Mortgage Trust
1,700,000 Series 2019-UVIL, Class D (a) (b)................................ 3.28% 12/15/41 1,516,280
2,180,000 Series 2020-TMIC, Class A, 1 Mo. LIBOR + 3.00%, 3.25%
Floor (b) (d)................................................. 3.25% 12/15/35 2,173,185
25,699,000 Series 2021-980M, Class X, IO (a) (b)............................ 0.99% 07/15/31 1,043,326
Csail Commercial Mortgage Trust
1,350,000 Series 2015-C2, Class C (a)...................................... 4.19% 06/15/57 1,258,579
DBWF Mortgage Trust
600,000 Series 2016-85T, Class A (b)..................................... 3.79% 12/10/36 622,920
DROP Mortgage Trust
1,000,000 Series 2021-FILE, Class B, 1 Mo. LIBOR + 1.70% (b) (d)........... 1.89% 04/15/26 986,947
GPMT Ltd.
1,560,872 Series 2021-FL3, Class A, 1 Mo. LIBOR + 1.25% (b) (d)............ 1.39% 07/16/35 1,561,887
GS Mortgage Securities Corp Trust
2,600,000 Series 2020-UPTN, Class XA, IO (a) (b)........................... 0.35% 02/10/37 26,897
GS Mortgage Securities Trust
431,155 Series 2012-GCJ7, Class AS....................................... 4.09% 05/10/45 431,029
2,376,428 Series 2013-GC14, Class A4....................................... 3.96% 08/10/46 2,408,384
1,381,806 Series 2014-GC18, Class A3....................................... 3.80% 01/10/47 1,401,533
85,464,718 Series 2016-GS4, Class XA, IO (a)................................ 0.57% 11/10/49 1,979,773
Hilton USA Trust
2,753,000 Series 2016-SFP, Class C (b)..................................... 4.12% 11/05/35 2,752,500
3,161,000 Series 2016-SFP, Class F (b)..................................... 6.16% 11/05/35 3,158,940
JP Morgan Chase Commercial Mortgage Securities Trust
2,059,934 Series 2014-C20, Class A4A2 (b).................................. 3.54% 07/15/47 2,071,788
37,550,608 Series 2016-JP3, Class XA, IO (a)................................ 1.38% 08/15/49 1,864,091
1,321,000 Series 2021-1440, Class B, 1 Mo. LIBOR + 1.75% (b) (d)........... 1.94% 03/15/36 1,307,814
700,000 Series 2021-1440, Class C, 1 Mo. LIBOR + 2.30% (b) (d)........... 2.49% 03/15/36 691,181
Page 48 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED OBLIGATIONS (CONTINUED)
Life Mortgage Trust
$ 1,110,756 Series 2021-BMR, Class G, 1 Mo. LIBOR + 2.95% (b) (d)............ 3.14% 03/15/38 $ 1,083,697
Med Trust
1,400,000 Series 2021-MDLN, Class G, 1 Mo. LIBOR + 5.25% (b) (d)........... 5.44% 11/15/38 1,375,514
Morgan Stanley Capital I Trust
1,576,550 Series 2016-UB12, Class A3....................................... 3.34% 12/15/49 1,594,388
28,358,281 Series 2018-H4, Class XA, IO (a)................................. 0.84% 12/15/51 1,340,720
1,050,000 Series 2018-MP, Class A (a) (b).................................. 4.28% 07/11/40 1,114,930
MSCG Trust
1,645,000 Series 2018-SELF, Class E, 1 Mo. LIBOR + 2.15% (b) (d)........... 2.34% 10/15/37 1,616,609
One Market Plaza Trust
3,176,000 Series 2017-1MKT, Class A (b).................................... 3.61% 02/10/32 3,164,941
PFP Ltd.
1,035,000 Series 2019-5, Class B, 1 Mo. LIBOR + 1.65% (b) (d).............. 1.78% 04/14/36 1,034,115
RBS Commercial Funding, Inc. Trust
1,285,000 Series 2013-GSP, Class A (a) (b)................................. 3.83% 01/15/32 1,307,274
Ready Capital Mortgage Financing LLC
1,100,000 Series 2020-FL4, Class AS, 1 Mo. LIBOR + 3.10% (b) (d)........... 3.21% 02/25/35 1,112,606
SFAVE Commercial Mortgage Securities Trust
545,000 Series 2015-5AVE, Class C (a) (b)................................ 4.39% 01/05/43 463,167
STWD Mortgage Trust
2,040,000 Series 2021-LIH, Class A, 1 Mo. LIBOR + 0.86% (b) (d)............ 1.05% 11/15/36 1,997,054
1,550,000 Series 2021-LIH, Class AS, 1 Mo. LIBOR + 1.26% (b) (d)........... 1.45% 11/15/36 1,518,014
VMC Finance LLC
779,000 Series 2021-FL4, Class B, 1 Mo. LIBOR + 1.80% (b) (d)............ 1.94% 06/16/36 771,824
Wells Fargo Commercial Mortgage Trust
10,467,000 Series 2021-SAVE, Class XCP, IO (a) (b).......................... 10.12% 02/15/40 320,395
--------------
100,847,639
--------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................... 251,591,002
(Cost $253,594,119) --------------
CORPORATE BONDS AND NOTES -- 21.2%
ADVERTISING -- 0.1%
1,525,000 National CineMedia LLC (b).......................................... 5.88% 04/15/28 1,355,115
--------------
AEROSPACE/DEFENSE -- 0.1%
635,000 Boeing (The) Co..................................................... 1.43% 02/04/24 625,362
--------------
AGRICULTURE -- 0.2%
30,000 BAT Capital Corp.................................................... 2.73% 03/25/31 27,507
1,250,000 BAT Capital Corp.................................................... 4.54% 08/15/47 1,145,556
645,000 Reynolds American, Inc.............................................. 5.85% 08/15/45 697,758
--------------
1,870,821
--------------
AIRLINES -- 0.1%
312,683 American Airlines Pass-Through Trust, Series 2014-1, Class A........ 3.70% 10/01/26 310,762
75,103 Continental Airlines Pass-Through Trust, Series 2007-1, Class A. 5.98% 04/19/22 75,489
560,738 JetBlue Pass-Through Trust, Series 2020-1, Class A.................. 4.00% 11/15/32 593,500
471,025 United Airlines Pass-Through Trust, Series 2013-1, Class A.......... 4.30% 08/15/25 483,425
113,868 US Airways Pass-Through Trust, Series 2012-1, Class A............... 5.90% 10/01/24 120,205
--------------
1,583,381
--------------
See Notes to Financial Statements Page 49
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
AUTO MANUFACTURERS -- 0.1%
$ 500,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 1.27% (d).................. 1.49% 03/28/22 $ 500,208
80,000 General Motors Financial Co., Inc................................... 3.45% 04/10/22 80,161
--------------
580,369
--------------
BANKS -- 5.1%
3,000,000 Bank of America Corp. (f)........................................... 3.00% 12/20/23 3,030,223
300,000 Bank of America Corp. (f)........................................... 2.69% 04/22/32 288,725
1,500,000 Bank of America Corp. (f)........................................... 2.57% 10/20/32 1,422,266
2,490,000 Bank of America Corp. (f)........................................... 2.97% 02/04/33 2,442,759
2,305,000 Bank of America Corp., Series N (f)................................. 1.66% 03/11/27 2,210,633
750,000 Bank of America Corp., Medium-Term Note (f)......................... 2.02% 02/13/26 737,902
390,000 Bank of America Corp., Medium-Term Note (f)......................... 3.82% 01/20/28 406,765
815,000 Bank of America Corp., Medium-Term Note (f)......................... 2.09% 06/14/29 772,197
465,000 Bank of America Corp., Medium-Term Note (f)......................... 3.97% 02/07/30 487,500
165,000 Bank of America Corp., Medium-Term Note (f)......................... 2.88% 10/22/30 161,910
100,000 Citigroup, Inc. (f)................................................. 2.88% 07/24/23 100,581
500,000 Citigroup, Inc. (f)................................................. 3.35% 04/24/25 510,496
520,000 Citigroup, Inc. (f)................................................. 3.07% 02/24/28 525,116
225,000 Citigroup, Inc. (f)................................................. 4.08% 04/23/29 237,229
315,000 Citigroup, Inc. (f)................................................. 2.67% 01/29/31 303,953
1,390,000 Citigroup, Inc. (f)................................................. 4.41% 03/31/31 1,506,932
630,000 Citigroup, Inc. (f)................................................. 2.57% 06/03/31 602,103
520,000 Citigroup, Inc. (f)................................................. 2.56% 05/01/32 493,856
1,765,000 Citigroup, Inc. (f)................................................. 3.06% 01/25/33 1,744,340
135,000 Comerica, Inc. (f).................................................. 5.63% (g) 140,737
1,615,000 Goldman Sachs Group (The), Inc. (f)................................. 0.93% 10/21/24 1,581,732
2,110,000 Goldman Sachs Group (The), Inc. (f)................................. 1.43% 03/09/27 1,995,828
6,340,000 Goldman Sachs Group (The), Inc. (f)................................. 3.10% 02/24/33 6,240,638
2,690,000 Goldman Sachs Group (The), Inc., Series D (f)....................... 2.38% 07/21/32 2,494,915
130,000 JPMorgan Chase & Co. (f)............................................ 0.70% 03/16/24 128,446
1,110,000 JPMorgan Chase & Co. (f)............................................ 0.97% 06/23/25 1,076,342
705,000 JPMorgan Chase & Co. (f)............................................ 0.77% 08/09/25 678,371
355,000 JPMorgan Chase & Co. (f)............................................ 2.01% 03/13/26 349,519
1,150,000 JPMorgan Chase & Co. (f)............................................ 1.58% 04/22/27 1,101,290
780,000 JPMorgan Chase & Co. (f)............................................ 1.47% 09/22/27 737,194
675,000 JPMorgan Chase & Co. (f)............................................ 2.95% 02/24/28 679,745
200,000 JPMorgan Chase & Co. (f)............................................ 4.01% 04/23/29 211,066
470,000 JPMorgan Chase & Co. (f)............................................ 2.58% 04/22/32 448,667
525,000 JPMorgan Chase & Co. (f)............................................ 2.55% 11/08/32 501,814
2,465,000 JPMorgan Chase & Co. (f)............................................ 2.96% 01/25/33 2,439,486
540,000 Morgan Stanley (f).................................................. 0.79% 01/22/25 525,212
6,195,000 Morgan Stanley (f).................................................. 2.94% 01/21/33 6,076,336
510,000 Morgan Stanley, Global Medium-Term Note, Series G................... 3.70% 10/23/24 528,022
465,000 Morgan Stanley, Global Medium-Term Note, Series G (f)............... 2.24% 07/21/32 428,324
215,000 Morgan Stanley, Medium-Term Note (f)................................ 2.51% 10/20/32 202,954
385,000 Wells Fargo & Co. (f)............................................... 5.01% 04/04/51 474,155
510,000 Wells Fargo & Co., Medium-Term Note (f)............................. 3.58% 05/22/28 527,592
665,000 Wells Fargo & Co., Medium-Term Note (f)............................. 2.39% 06/02/28 651,196
250,000 Wells Fargo & Co., Medium-Term Note................................. 4.15% 01/24/29 266,841
5,830,000 Wells Fargo & Co., Medium-Term Note (f) (h)......................... 3.35% 03/02/33 5,907,671
--------------
54,379,579
--------------
Page 50 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
BEVERAGES -- 0.2%
$ 775,000 Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc....... 4.90% 02/01/46 $ 879,564
215,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.60% 04/15/48 235,659
390,000 Constellation Brands, Inc........................................... 4.25% 05/01/23 401,119
720,000 Primo Water Holdings, Inc. (b)...................................... 4.38% 04/30/29 671,440
--------------
2,187,782
--------------
BIOTECHNOLOGY -- 0.2%
505,000 Amgen, Inc.......................................................... 3.35% 02/22/32 515,002
520,000 Amgen, Inc.......................................................... 4.40% 02/22/62 547,487
1,000,000 Illumina, Inc....................................................... 2.55% 03/23/31 948,596
--------------
2,011,085
--------------
CHEMICALS -- 0.1%
475,000 International Flavors & Fragrances, Inc. (b)........................ 1.23% 10/01/25 453,317
175,000 Unifrax Escrow Issuer Corp. (b)..................................... 5.25% 09/30/28 167,856
625,000 Unifrax Escrow Issuer Corp. (b)..................................... 7.50% 09/30/29 571,341
--------------
1,192,514
--------------
COMMERCIAL SERVICES -- 0.5%
836,000 Adtalem Global Education, Inc. (b).................................. 5.50% 03/01/28 749,353
800,000 HealthEquity, Inc. (b).............................................. 4.50% 10/01/29 762,480
1,365,000 Hertz (The) Corp. (b)............................................... 5.00% 12/01/29 1,274,999
1,475,000 Prime Security Services Borrower LLC / Prime Finance, Inc. (b).. 3.38% 08/31/27 1,366,701
1,000,000 Rent-A-Center, Inc. (b)............................................. 6.38% 02/15/29 958,755
61,000 Service Corp. International......................................... 4.63% 12/15/27 61,687
--------------
5,173,975
--------------
COMPUTERS -- 0.0%
465,000 NCR Corp. (b)....................................................... 5.13% 04/15/29 458,074
--------------
CONSUMER SERVICES -- 0.0%
375,000 Carriage Services, Inc. (b)......................................... 4.25% 05/15/29 354,366
--------------
DIVERSIFIED FINANCIAL SERVICES -- 0.2%
570,000 Air Lease Corp...................................................... 3.88% 07/03/23 583,198
1,390,000 Air Lease Corp...................................................... 2.20% 01/15/27 1,334,796
300,000 Air Lease Corp., Medium-Term Note................................... 2.88% 01/15/26 299,264
--------------
2,217,258
--------------
ELECTRIC -- 1.0%
75,000 Alliant Energy Finance LLC (b)...................................... 3.75% 06/15/23 76,702
2,045,000 Alliant Energy Finance LLC (b)...................................... 3.60% 03/01/32 2,063,402
1,285,000 American Electric Power Co., Inc.................................... 2.03% 03/15/24 1,283,719
365,000 Appalachian Power Co., Series X..................................... 3.30% 06/01/27 378,632
1,000,000 Duke Energy Corp.................................................... 3.75% 04/15/24 1,032,807
100,000 Evergy Metro, Inc................................................... 4.20% 06/15/47 108,174
1,254,000 FirstEnergy Corp., Series C......................................... 3.40% 03/01/50 1,083,594
955,000 FirstEnergy Transmission LLC (b).................................... 2.87% 09/15/28 922,278
750,000 Jersey Central Power & Light Co. (b)................................ 4.70% 04/01/24 780,705
100,000 Metropolitan Edison Co. (b)......................................... 3.50% 03/15/23 101,104
750,000 MidAmerican Energy Co............................................... 3.95% 08/01/47 796,917
550,000 NextEra Energy Capital Holdings, Inc., 3 Mo. LIBOR + 0.27% (d).. 0.75% 02/22/23 549,533
345,000 NextEra Energy Capital Holdings, Inc................................ 0.65% 03/01/23 341,774
500,000 Pennsylvania Electric Co. (b)....................................... 4.15% 04/15/25 517,931
See Notes to Financial Statements Page 51
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
ELECTRIC (CONTINUED)
$ 100,000 Puget Sound Energy, Inc............................................. 4.22% 06/15/48 $ 107,841
450,000 Southwestern Electric Power Co., Series M........................... 4.10% 09/15/28 477,620
--------------
10,622,733
--------------
ELECTRICAL COMPONENT & EQUIPMENT -- 0.1%
1,122,000 Energizer Holdings, Inc. (b)........................................ 4.38% 03/31/29 1,014,008
--------------
ENGINEERING & CONSTRUCTION -- 0.1%
1,113,000 Artera Services LLC (b)............................................. 9.03% 12/04/25 1,118,148
--------------
ENTERTAINMENT -- 0.2%
189,000 Caesars Entertainment, Inc. (b)..................................... 6.25% 07/01/25 196,119
125,000 Caesars Entertainment, Inc. (b)..................................... 4.63% 10/15/29 119,100
515,000 Churchill Downs, Inc. (b)........................................... 5.50% 04/01/27 523,330
600,000 Cinemark USA, Inc. (b).............................................. 5.25% 07/15/28 568,476
763,000 WMG Acquisition Corp. (b)........................................... 3.75% 12/01/29 729,992
--------------
2,137,017
--------------
ENVIRONMENTAL CONTROL -- 0.1%
200,000 Clean Harbors, Inc. (b)............................................. 4.88% 07/15/27 200,836
1,153,000 Waste Pro USA, Inc. (b)............................................. 5.50% 02/15/26 1,088,432
--------------
1,289,268
--------------
FOOD -- 0.7%
500,000 Chobani LLC / Chobani Finance Corp., Inc. (b)....................... 4.63% 11/15/28 482,115
300,000 Kraft Heinz Foods Co................................................ 3.75% 04/01/30 307,290
186,000 Kraft Heinz Foods Co................................................ 4.25% 03/01/31 197,741
1,650,000 Kraft Heinz Foods Co................................................ 5.20% 07/15/45 1,869,994
240,000 Kraft Heinz Foods Co................................................ 4.38% 06/01/46 246,000
765,000 Kraft Heinz Foods Co................................................ 4.88% 10/01/49 848,194
20,000 Pilgrim's Pride Corp. (b)........................................... 5.88% 09/30/27 20,580
286,000 Pilgrim's Pride Corp. (b)........................................... 4.25% 04/15/31 276,705
1,200,000 Pilgrim's Pride Corp. (b)........................................... 3.50% 03/01/32 1,099,848
1,515,000 Post Holdings, Inc. (b)............................................. 4.63% 04/15/30 1,429,622
550,000 Post Holdings, Inc. (b)............................................. 4.50% 09/15/31 510,048
387,000 Smithfield Foods, Inc. (b).......................................... 5.20% 04/01/29 424,293
--------------
7,712,430
--------------
FOREST PRODUCTS & PAPER -- 0.1%
755,000 Clearwater Paper Corp. (b).......................................... 4.75% 08/15/28 710,912
--------------
GAS -- 0.0%
155,000 Southern Co. Gas Capital Corp....................................... 5.88% 03/15/41 193,824
--------------
HEALTHCARE-PRODUCTS -- 0.3%
1,600,000 Alcon Finance Corp. (b)............................................. 3.00% 09/23/29 1,586,130
208,000 Hologic, Inc. (b)................................................... 4.63% 02/01/28 215,011
646,000 Mozart Debt Merger Sub, Inc. (b).................................... 3.88% 04/01/29 610,609
1,000,000 PerkinElmer, Inc.................................................... 2.25% 09/15/31 917,012
--------------
3,328,762
--------------
HEALTHCARE-SERVICES -- 1.6%
635,000 Barnabas Health, Inc., Series 2012.................................. 4.00% 07/01/28 673,810
135,000 Centene Corp........................................................ 4.25% 12/15/27 138,358
1,378,000 Centene Corp........................................................ 2.45% 07/15/28 1,300,171
Page 52 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
HEALTHCARE-SERVICES (CONTINUED)
$ 1,396,000 Centene Corp........................................................ 3.00% 10/15/30 $ 1,332,825
500,000 Centene Corp........................................................ 2.50% 03/01/31 462,623
250,000 CommonSpirit Health................................................. 3.35% 10/01/29 252,649
370,000 CommonSpirit Health................................................. 2.78% 10/01/30 361,332
750,000 Encompass Health Corp............................................... 4.63% 04/01/31 708,851
120,000 HCA, Inc............................................................ 5.00% 03/15/24 126,255
90,000 HCA, Inc............................................................ 5.25% 04/15/25 96,742
260,000 HCA, Inc............................................................ 5.25% 06/15/26 281,895
360,000 HCA, Inc............................................................ 7.05% 12/01/27 415,561
1,300,000 HCA, Inc............................................................ 5.88% 02/01/29 1,458,015
417,000 HCA, Inc............................................................ 4.13% 06/15/29 437,446
520,000 HCA, Inc............................................................ 2.38% 07/15/31 478,423
1,830,000 HCA, Inc............................................................ 5.50% 06/15/47 2,140,671
470,000 HCA, Inc............................................................ 5.25% 06/15/49 534,383
365,000 HCA, Inc., Medium-Term Note......................................... 7.58% 09/15/25 410,851
100,000 Humana, Inc......................................................... 3.15% 12/01/22 100,959
1,550,000 ModivCare Escrow Issuer, Inc. (b)................................... 5.00% 10/01/29 1,461,340
700,000 Molina Healthcare, Inc. (b)......................................... 4.38% 06/15/28 698,226
919,000 Molina Healthcare, Inc. (b)......................................... 3.88% 11/15/30 903,722
325,000 Molina Healthcare, Inc. (b)......................................... 3.88% 05/15/32 315,804
874,000 Prime Healthcare Services, Inc. (b)................................. 7.25% 11/01/25 894,862
62,000 Tenet Healthcare Corp............................................... 4.63% 07/15/24 62,301
250,000 Tenet Healthcare Corp. (b).......................................... 4.88% 01/01/26 250,960
178,000 Tenet Healthcare Corp. (b).......................................... 4.63% 06/15/28 174,234
1,000,000 Tenet Healthcare Corp. (b).......................................... 4.38% 01/15/30 966,550
--------------
17,439,819
--------------
INSURANCE -- 0.9%
437,000 Acrisure LLC / Acrisure Finance, Inc. (b)........................... 4.25% 02/15/29 411,313
550,000 AmWINS Group, Inc. (b).............................................. 4.88% 06/30/29 524,565
1,060,000 Aon Corp. / Aon Global Holdings PLC................................. 3.90% 02/28/52 1,063,261
1,560,000 Athene Global Funding (b)........................................... 1.99% 08/19/28 1,443,677
675,000 Athene Global Funding (b)........................................... 2.72% 01/07/29 651,809
250,000 Farmers Exchange Capital III (b) (f)................................ 5.45% 10/15/54 292,168
775,000 Farmers Insurance Exchange (b)...................................... 8.63% 05/01/24 873,039
465,000 Farmers Insurance Exchange (b) (f).................................. 4.75% 11/01/57 511,172
750,000 MassMutual Global Funding II (b).................................... 3.40% 03/08/26 783,639
1,360,000 Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (b) (d)........ 2.49% 12/15/24 1,360,641
50,000 Teachers Insurance & Annuity Association of America (b)............. 4.27% 05/15/47 54,062
220,000 Teachers Insurance & Annuity Association of America (b)............. 3.30% 05/15/50 206,166
1,260,000 Teachers Insurance & Annuity Association of America (b) (f)......... 4.38% 09/15/54 1,284,729
--------------
9,460,241
--------------
INTERNET -- 0.2%
1,775,000 Netflix, Inc........................................................ 5.88% 02/15/25 1,930,224
--------------
LODGING -- 0.1%
1,050,000 Boyd Gaming Corp. (b)............................................... 4.75% 06/15/31 1,032,633
--------------
MACHINERY-DIVERSIFIED -- 0.1%
1,000,000 OT Merger Corp. (b)................................................. 7.88% 10/15/29 892,595
--------------
See Notes to Financial Statements Page 53
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
MEDIA -- 1.2%
$ 624,000 Cable One, Inc. (b)................................................. 4.00% 11/15/30 $ 577,974
609,000 CCO Holdings LLC / CCO Holdings Capital Corp. (b)................... 4.50% 08/15/30 584,147
1,850,000 CCO Holdings LLC / CCO Holdings Capital Corp. (b)................... 4.75% 02/01/32 1,798,598
295,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 2.30% 02/01/32 261,674
370,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.38% 05/01/47 391,446
325,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.75% 04/01/48 359,692
542,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.13% 07/01/49 553,128
470,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 4.80% 03/01/50 460,173
173,000 Cox Communications, Inc. (b)........................................ 3.15% 08/15/24 176,709
170,000 Cox Communications, Inc. (b)........................................ 2.60% 06/15/31 160,176
900,000 Cox Enterprises, Inc. (b)........................................... 7.38% 07/15/27 1,093,663
20,000 CSC Holdings LLC (b)................................................ 5.38% 02/01/28 19,500
687,000 CSC Holdings LLC (b)................................................ 6.50% 02/01/29 696,670
565,000 CSC Holdings LLC (b)................................................ 4.13% 12/01/30 508,147
500,000 CSC Holdings LLC (b)................................................ 3.38% 02/15/31 426,626
725,000 CSC Holdings LLC (b)................................................ 4.50% 11/15/31 660,765
1,772,000 Diamond Sports Group LLC / Diamond Sports Finance Co. (b)........... 5.38% 08/15/26 729,568
1,377,000 Diamond Sports Group LLC / Diamond Sports Finance Co. (b)........... 6.63% 08/15/27 333,922
450,000 Directv Financing LLC / Directv Financing Co.-Obligor, Inc. (b)..... 5.88% 08/15/27 450,715
1,205,000 Gray Escrow II, Inc. (b)............................................ 5.38% 11/15/31 1,149,437
1,145,000 Sinclair Television Group, Inc. (b)................................. 4.13% 12/01/30 1,026,584
450,000 Time Warner Cable LLC............................................... 5.50% 09/01/41 479,514
390,000 Walt Disney (The) Co................................................ 4.00% 10/01/23 404,083
--------------
13,302,911
--------------
OIL & GAS -- 0.2%
105,000 Antero Resources Corp. (b).......................................... 8.38% 07/15/26 115,361
210,000 Exxon Mobil Corp.................................................... 4.33% 03/19/50 237,336
1,118,000 Occidental Petroleum Corp........................................... (i) 10/10/36 602,362
800,000 Sunoco L.P. / Sunoco Finance Corp................................... 4.50% 05/15/29 768,040
196,000 Sunoco L.P. / Sunoco Finance Corp. (b).............................. 4.50% 04/30/30 187,555
--------------
1,910,654
--------------
OIL & GAS SERVICES -- 0.1%
536,000 Archrock Partners L.P. / Archrock Partners Finance Corp. (b)........ 6.25% 04/01/28 536,622
340,000 USA Compression Partners L.P. / USA Compression Finance Corp........ 6.88% 04/01/26 341,909
350,000 USA Compression Partners L.P. / USA Compression Finance Corp........ 6.88% 09/01/27 350,731
--------------
1,229,262
--------------
PACKAGING & CONTAINERS -- 0.2%
58,000 Ball Corp........................................................... 4.00% 11/15/23 59,299
1,830,000 Berry Global, Inc. (b).............................................. 4.88% 07/15/26 1,857,386
295,000 Berry Global, Inc................................................... 1.65% 01/15/27 275,536
58,000 Graphic Packaging International LLC................................. 4.88% 11/15/22 58,653
20,000 Mauser Packaging Solutions Holding Co. (b).......................... 5.50% 04/15/24 19,920
60,000 Sealed Air Corp. (b)................................................ 5.50% 09/15/25 62,926
Page 54 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PACKAGING & CONTAINERS (CONTINUED)
$ 20,000 Sealed Air Corp. (b)................................................ 4.00% 12/01/27 $ 19,833
--------------
2,353,553
--------------
PHARMACEUTICALS -- 1.6%
725,000 180 Medical, Inc. (b)............................................... 3.88% 10/15/29 697,262
1,495,000 AbbVie, Inc......................................................... 4.55% 03/15/35 1,646,985
433,000 AbbVie, Inc......................................................... 4.50% 05/14/35 481,267
105,000 AbbVie, Inc......................................................... 4.05% 11/21/39 110,152
200,000 AbbVie, Inc......................................................... 4.45% 05/14/46 215,431
450,000 AbbVie, Inc......................................................... 4.25% 11/21/49 478,099
810,000 Bayer US Finance II LLC (b)......................................... 2.85% 04/15/25 810,933
180,000 Bayer US Finance II LLC (b)......................................... 4.25% 12/15/25 189,306
880,000 Bayer US Finance II LLC (b)......................................... 4.38% 12/15/28 939,789
265,000 Bayer US Finance II LLC (b)......................................... 4.63% 06/25/38 285,088
1,960,000 Bayer US Finance II LLC (b)......................................... 4.40% 07/15/44 1,981,540
400,000 Bayer US Finance II LLC (b)......................................... 4.88% 06/25/48 437,964
1,495,000 Becton Dickinson and Co............................................. 2.82% 05/20/30 1,469,636
330,000 Cigna Corp.......................................................... 4.38% 10/15/28 358,081
400,000 Cigna Corp.......................................................... 4.90% 12/15/48 453,207
950,000 CVS Health Corp..................................................... 2.75% 12/01/22 957,221
1,820,000 CVS Health Corp..................................................... 5.05% 03/25/48 2,118,735
447,000 Elanco Animal Health, Inc........................................... 5.77% 08/28/23 460,991
1,000,000 Embecta Corp. (b)................................................... 5.00% 02/15/30 987,920
1,105,000 Option Care Health, Inc. (b)........................................ 4.38% 10/31/29 1,067,739
1,347,000 Organon & Co. / Organon Foreign Debt Co-Issuer B.V. (b)............. 5.13% 04/30/31 1,338,231
--------------
17,485,577
--------------
PIPELINES -- 0.7%
50,000 Energy Transfer L.P................................................. 4.00% 10/01/27 51,777
930,000 Energy Transfer L.P................................................. 5.40% 10/01/47 995,188
470,000 Energy Transfer L.P................................................. 5.00% 05/15/50 488,759
594,000 Energy Transfer L.P., Series B (f).................................. 6.63% (g) 538,313
765,000 Global Partners L.P. / GLP Finance Corp............................. 6.88% 01/15/29 777,630
250,000 Kinder Morgan, Inc.................................................. 5.55% 06/01/45 285,956
607,000 NGL Energy Operating LLC / NGL Energy Finance Corp. (b)............. 7.50% 02/01/26 610,217
845,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.55% 12/15/29 834,763
350,000 Rockies Express Pipeline LLC (b).................................... 4.95% 07/15/29 339,210
100,000 Rockies Express Pipeline LLC (b).................................... 6.88% 04/15/40 102,156
598,788 Ruby Pipeline LLC (j)............................................... 8.00% 04/01/22 518,457
774,000 TransMontaigne Partners L.P. / TLP Finance Corp..................... 6.13% 02/15/26 754,836
1,705,000 Venture Global Calcasieu Pass LLC (b)............................... 4.13% 08/15/31 1,690,533
--------------
7,987,795
--------------
REAL ESTATE INVESTMENT TRUSTS -- 1.3%
75,000 Alexandria Real Estate Equities, Inc., Class E...................... 3.45% 04/30/25 77,721
895,000 American Assets Trust L.P........................................... 3.38% 02/01/31 867,322
75,000 American Campus Communities Operating Partnership L.P............... 3.75% 04/15/23 76,178
500,000 American Campus Communities Operating Partnership L.P............... 4.13% 07/01/24 519,464
560,000 American Campus Communities Operating Partnership L.P............... 3.63% 11/15/27 581,453
250,000 Boston Properties L.P............................................... 2.75% 10/01/26 250,893
200,000 Boston Properties L.P............................................... 3.40% 06/21/29 204,635
550,000 Camden Property Trust............................................... 2.95% 12/15/22 554,807
See Notes to Financial Statements Page 55
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
$ 500,000 CubeSmart L.P....................................................... 4.38% 02/15/29 $ 544,469
515,000 CyrusOne L.P. / CyrusOne Finance Corp............................... 2.90% 11/15/24 521,535
1,310,000 CyrusOne L.P. / CyrusOne Finance Corp............................... 3.45% 11/15/29 1,379,686
200,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 11/01/23 208,745
845,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 04/15/26 905,223
175,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.75% 06/01/28 194,152
185,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.30% 01/15/29 201,428
465,000 GLP Capital L.P. / GLP Financing II, Inc............................ 4.00% 01/15/30 465,785
490,000 Healthcare Realty Trust, Inc........................................ 3.63% 01/15/28 505,407
500,000 Hudson Pacific Properties L.P....................................... 3.95% 11/01/27 522,925
175,000 Hudson Pacific Properties L.P....................................... 4.65% 04/01/29 190,439
310,000 Invitation Homes Operating Partnership L.P.......................... 2.30% 11/15/28 293,437
800,000 Iron Mountain Information Management Services, Inc. (b)............. 5.00% 07/15/32 760,804
200,000 Iron Mountain, Inc. (b)............................................. 5.25% 07/15/30 198,293
200,000 Iron Mountain, Inc. (b)............................................. 4.50% 02/15/31 187,274
400,000 Kilroy Realty L.P................................................... 3.45% 12/15/24 410,359
400,000 Kilroy Realty L.P................................................... 4.38% 10/01/25 420,889
500,000 Kimco Realty Corp................................................... 3.40% 11/01/22 506,065
505,000 Lexington Realty Trust.............................................. 2.70% 09/15/30 482,132
117,000 MGM Growth Properties Operating Partnership L.P. / MGP Finance
Co-Issuer, Inc................................................... 5.63% 05/01/24 121,601
109,000 MGM Growth Properties Operating Partnership L.P. / MGP Finance
Co-Issuer, Inc. (b).............................................. 4.63% 06/15/25 112,442
250,000 National Retail Properties, Inc..................................... 3.90% 06/15/24 259,096
250,000 Realty Income Corp.................................................. 4.63% 11/01/25 268,899
325,000 SL Green Operating Partnership L.P.................................. 3.25% 10/15/22 328,174
300,000 Ventas Realty L.P................................................... 3.75% 05/01/24 309,211
250,000 Ventas Realty L.P................................................... 2.65% 01/15/25 251,541
75,000 Ventas Realty L.P................................................... 4.00% 03/01/28 79,810
--------------
13,762,294
--------------
RETAIL -- 0.4%
750,000 Asbury Automotive Group, Inc. (b)................................... 5.00% 02/15/32 729,165
760,000 Bloomin' Brands, Inc. / OSI Restaurant Partners LLC (b)............. 5.13% 04/15/29 743,824
164,000 FirstCash, Inc. (b)................................................. 4.63% 09/01/28 155,037
788,000 FirstCash, Inc. (b)................................................. 5.63% 01/01/30 783,772
2,170,000 Michaels (The) Cos., Inc. (b)....................................... 7.88% 05/01/29 1,902,797
--------------
4,314,595
--------------
SEMICONDUCTORS -- 0.1%
75,000 Broadcom, Inc....................................................... 3.63% 10/15/24 77,134
295,000 Broadcom, Inc....................................................... 4.30% 11/15/32 311,073
660,000 Broadcom, Inc. (b).................................................. 3.42% 04/15/33 644,331
415,000 Intel Corp.......................................................... 3.73% 12/08/47 418,285
100,000 Intel Corp.......................................................... 3.05% 08/12/51 90,771
--------------
1,541,594
--------------
SOFTWARE -- 0.3%
960,000 Oracle Corp......................................................... 2.88% 03/25/31 917,324
655,000 Oracle Corp......................................................... 3.80% 11/15/37 623,202
490,000 Oracle Corp......................................................... 4.00% 11/15/47 447,032
Page 56 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
SOFTWARE (CONTINUED)
$ 1,081,000 Oracle Corp......................................................... 3.95% 03/25/51 $ 990,843
--------------
2,978,401
--------------
TELECOMMUNICATIONS -- 2.7%
436,000 AT&T, Inc........................................................... 2.25% 02/01/32 401,892
775,000 AT&T, Inc........................................................... 2.55% 12/01/33 719,206
150,000 AT&T, Inc........................................................... 4.50% 05/15/35 164,447
200,000 AT&T, Inc........................................................... 5.25% 03/01/37 234,897
594,000 AT&T, Inc........................................................... 4.85% 03/01/39 655,693
750,000 AT&T, Inc........................................................... 4.30% 12/15/42 776,240
605,000 AT&T, Inc........................................................... 4.75% 05/15/46 670,701
2,720,000 AT&T, Inc........................................................... 3.80% 12/01/57 2,556,542
1,080,000 CommScope, Inc. (b)................................................. 4.75% 09/01/29 1,008,855
456,000 Frontier Communications Holdings LLC (b)............................ 5.00% 05/01/28 443,346
625,000 Level 3 Financing, Inc. (b)......................................... 4.63% 09/15/27 602,147
1,515,000 Level 3 Financing, Inc. (b)......................................... 3.63% 01/15/29 1,329,453
300,000 Level 3 Financing, Inc. (b)......................................... 3.75% 07/15/29 265,212
1,070,000 Level 3 Financing, Inc. (b)......................................... 3.88% 11/15/29 1,023,765
1,800,000 Lumen Technologies, Inc. (b)........................................ 5.38% 06/15/29 1,565,118
342,000 Qwest Corp.......................................................... 7.25% 09/15/25 378,332
335,000 SES GLOBAL Americas Holdings G.P. (b)............................... 5.30% 03/25/44 350,499
542,000 Sprint Corp......................................................... 7.88% 09/15/23 582,989
3,932,500 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (b)......................................... 4.74% 03/20/25 4,053,383
280,000 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (b)......................................... 5.15% 03/20/28 301,550
125,000 T-Mobile USA, Inc................................................... 2.25% 02/15/26 120,768
950,000 T-Mobile USA, Inc. (b).............................................. 2.25% 02/15/26 917,838
74,000 T-Mobile USA, Inc................................................... 4.75% 02/01/28 76,477
1,000,000 T-Mobile USA, Inc................................................... 2.63% 02/15/29 939,545
1,445,000 T-Mobile USA, Inc................................................... 3.88% 04/15/30 1,495,043
700,000 T-Mobile USA, Inc................................................... 2.55% 02/15/31 654,827
2,000,000 T-Mobile USA, Inc................................................... 3.50% 04/15/31 1,965,650
250,000 T-Mobile USA, Inc................................................... 4.38% 04/15/40 258,463
135,000 Verizon Communications, Inc......................................... 2.10% 03/22/28 130,648
3,035,000 Verizon Communications, Inc. (b).................................... 2.36% 03/15/32 2,835,327
1,215,000 Zayo Group Holdings, Inc. (b)....................................... 4.00% 03/01/27 1,156,777
--------------
28,635,630
--------------
TRANSPORTATION -- 0.0%
505,000 Union Pacific Corp.................................................. 3.50% 02/14/53 506,202
--------------
TOTAL CORPORATE BONDS AND NOTES................................................................ 228,880,763
(Cost $234,538,142) --------------
ASSET-BACKED SECURITIES -- 17.5%
321 Henderson Receivables LLC
278,532 Series 2013-2A, Class A (b)...................................... 4.21% 03/15/62 304,573
ABFC Trust
82,315 Series 2007-NC1, Class A2, 1 Mo. LIBOR + 0.30% (b) (d)........... 0.49% 05/25/37 78,670
1,040,235 Series 2007-WMC1, Class A1A, 1 Mo. LIBOR + 1.25% (d)............. 1.44% 06/25/37 851,921
See Notes to Financial Statements Page 57
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
ACE Securities Corp. Home Equity Loan Trust
$ 3,568,549 Series 2006-ASP6, Class A2C, 1 Mo. LIBOR + 0.32% (d)............. 0.51% 12/25/36 $ 1,641,018
865,997 Series 2006-HE3, Class A2C, 1 Mo. LIBOR + 0.30% (d).............. 0.49% 06/25/36 768,009
2,264,248 Series 2007-HE1, Class A1, 1 Mo. LIBOR + 0.30% (d)............... 0.49% 01/25/37 1,484,437
3,121,718 Series 2007-WM2, Class A1, 1 Mo. LIBOR + 0.21% (d)............... 0.40% 02/25/37 1,740,805
AGL CLO Ltd.
1,200,000 Series 2021-12A, Class A1, 3 Mo. LIBOR + 1.16% (b) (d)........... 1.41% 07/20/34 1,200,465
2,000,000 Series 2021-13A, Class A1, 3 Mo. LIBOR + 1.16% (b) (d)........... 1.32% 10/20/34 1,982,000
AIG CLO Ltd.
1,600,000 Series 2018-1A, Class BR, 3 Mo. LIBOR + 1.70% (b) (d)............ 1.95% 04/20/32 1,591,472
AIMCO CLO
2,600,000 Series 2015-AA, Class BR2, 3 Mo. LIBOR + 1.60% (b) (d)........... 1.84% 10/17/34 2,588,437
Aimco CLO Ltd.
2,100,000 Series 2020-11A, Class AR, 3 Mo. LIBOR + 1.13% (b) (d)........... 1.37% 10/17/34 2,089,501
Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through
Certificates
534,677 Series 2002-AR1, Class M1, 1 Mo. LIBOR + 1.07% (d)............... 1.18% 09/25/32 559,387
Apidos CLO XXXVII
1,625,000 Series 2021-37A, Class B, 3 Mo. LIBOR + 1.60% (b) (d)............ 1.73% 10/22/34 1,622,627
Ares LXII CLO Ltd.
2,000,000 Series 2021-62A, Class B, 3 Mo. LIBOR + 1.65% (b) (d)............ 1.87% 01/25/34 2,000,091
Argent Securities Trust
1,330,054 Series 2006-W2, Class A2B, 1 Mo. LIBOR + 0.38% (d)............... 0.57% 03/25/36 920,862
Argent Securities, Inc., Asset-Backed Pass-Through Certificates
154,541 Series 2005-W3, Class M1, 1 Mo. LIBOR + 0.66% (d)................ 0.85% 11/25/35 152,724
2,200,000 Series 2005-W3, Class M2, 1 Mo. LIBOR + 0.69% (d)................ 0.88% 11/25/35 2,094,172
BCMSC Trust
2,369,065 Series 2000-A, Class A5.......................................... 8.32% 06/15/30 532,703
BNC Mortgage Loan Trust
1,512,299 Series 2006-2, Class A4, 1 Mo. LIBOR + 0.32% (d)................. 0.51% 11/25/36 1,489,030
CAL Funding IV Ltd.
1,319,375 Series 2020-1A, Class A (b)...................................... 2.22% 09/25/45 1,281,445
Carrington Mortgage Loan Trust
11,833 Series 2005-NC5, Class M1, 1 Mo. LIBOR + 0.72% (d)............... 0.91% 10/25/35 11,940
Carvana Auto Receivables Trust
5,450 Series 2020-P1, Class R (b)...................................... (i) 09/08/27 1,402,246
3,300 Series 2021-N2, Class R (b)...................................... (i) 03/10/28 1,783,049
2,800 Series 2021-P4, Class R (b)...................................... (i) 09/11/28 1,590,064
C-BASS TRUST
2,811,391 Series 2007-CB1, Class AF2 (c)................................... 3.18% 01/25/37 1,197,744
2,784,781 Series 2007-CB1, Class AF3 (c)................................... 3.18% 01/25/37 1,186,373
Cedar Funding XIV CLO Ltd.
1,850,000 Series 2021-14A, Class A, 3 Mo. LIBOR + 1.10% (b) (d)............ 1.34% 07/15/33 1,844,233
CF Hippolyta LLC
3,743,688 Series 2020-1, Class A1 (b)...................................... 1.69% 07/15/60 3,624,629
CIT Education Loan Trust
3,597,870 Series 2005-1, Class A4, 3 Mo. LIBOR + 0.16% (d)................. 0.36% 12/15/33 3,463,376
Citigroup Mortgage Loan Trust
2,939,288 Series 2006-HE3, Class A2B, 1 Mo. LIBOR + 0.20% (d).............. 0.39% 12/25/36 2,394,367
Citigroup Mortgage Loan Trust, Inc.
416,368 Series 2007-WFH3, Class M1, 1 Mo. LIBOR + 0.26% (d).............. 0.45% 06/25/37 412,012
Page 58 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Cologix Data Centers US Issuer LLC
$ 1,960,000 Series 2021-1A, Class A2 (b)..................................... 3.30% 12/26/51 $ 1,940,808
Conseco Finance Corp.
2,096,996 Series 1999-3, Class A8.......................................... 7.06% 02/01/31 2,029,666
CoreVest American Finance Trust
405,000 Series 2020-1, Class A2 (b)...................................... 2.30% 03/15/50 386,787
1,382,434 Series 2020-1, Class XA, IO (a) (b).............................. 2.67% 03/15/50 114,791
1,092,027 Series 2020-3, Class XA, IO (a) (b).............................. 3.67% 08/15/53 124,016
1,250,000 Series 2020-3, Class XB, IO (a) (b).............................. 2.62% 08/15/53 201,831
1,640,000 Series 2020-4, Class B (b)....................................... 1.71% 12/15/52 1,541,280
Countrywide Asset-Backed Certificates
99,128 Series 2006-6, Class 1A1, 1 Mo. LIBOR + 0.34% (d)................ 0.53% 09/25/36 98,927
Credit-Based Asset Servicing & Securitization LLC
957,000 Series 2006-MH1, Class B1 (b) (c)................................ 6.25% 10/25/36 968,117
CWABS Asset-Backed Certificates Trust
1,600,000 Series 2005-17, Class MV2, 1 Mo. LIBOR + 0.72% (d)............... 0.91% 05/25/36 1,575,801
DataBank Issuer
2,245,000 Series 2021-1A, Class A2 (b)..................................... 2.06% 02/27/51 2,153,877
Dryden CLO Ltd.
625,000 Series 2019-72A, Class BR, 3 Mo. LIBOR + 1.65% (b) (d)........... 2.16% 05/15/32 620,615
3,100,000 Series 2020-85A, Class AR, 3 Mo. LIBOR + 1.15% (b) (d)........... 1.39% 10/15/35 3,077,990
Eaton Vance CLO Ltd.
1,800,000 Series 2019-1A, Class AR, 3 Mo. LIBOR + 1.10% (b) (d)............ 1.34% 04/15/31 1,803,687
1,750,000 Series 2020-1A, Class AR, 3 Mo. LIBOR + 1.17% (b) (d)............ 1.41% 10/15/34 1,748,695
ECMC Group Student Loan Trust
1,761,312 Series 2017-2A, Class A, 1 Mo. LIBOR + 1.05% (b) (d)............. 1.24% 05/25/67 1,773,769
1,984,313 Series 2021-1A, Class A1B, 1 Mo. LIBOR + 0.57% (b) (d)........... 0.76% 11/25/70 1,971,190
Elmwood CLO VI Ltd.
2,600,000 Series 2020-3A, Class BR, 3 Mo. LIBOR + 1.65% (b) (d)............ 1.90% 10/20/34 2,572,201
EquiFirst Mortgage Loan Trust
29,360 Series 2005-1, Class M3, 1 Mo. LIBOR + 0.72% (d)................. 0.91% 04/25/35 29,384
First Franklin Mortgage Loan Trust
68,885 Series 2006-FF11, Class 2A3, 1 Mo. LIBOR + 0.30% (d)............. 0.49% 08/25/36 67,395
Flatiron CLO Ltd.
1,000,000 Series 2021-1A, Class B, 3 Mo. LIBOR + 1.60% (b) (d)............. 1.85% 07/19/34 1,000,121
Fremont Home Loan Trust
45,831 Series 2005-D, Class 2A4, 1 Mo. LIBOR + 0.68% (d)................ 0.87% 11/25/35 45,618
GCI Funding I LLC
1,354,017 Series 2021-1, Class A (b)....................................... 2.38% 06/18/46 1,318,920
Goldentree Loan Management US CLO Ltd.
1,200,000 Series 2019-4A, Class AR, 3 Mo. LIBOR + 1.11% (b) (d)............ 1.37% 04/24/31 1,194,353
Golub Capital Partners CLO L.P.
1,575,000 Series 2021-54A, Class A, 3 Mo. LIBOR + 1.53% (b) (d)............ 1.65% 08/05/33 1,572,061
GPMT Ltd.
2,500,000 Series 2019-FL2, Class AS, 1 Mo. LIBOR + 1.60% (b) (d)........... 1.77% 02/22/36 2,490,935
GSAA Home Equity Trust
349,727 Series 2007-8, Class A3, 1 Mo. LIBOR + 0.90% (d)................. 1.09% 08/25/37 351,756
GSAMP Trust
989,047 Series 2006-HE4, Class A2D, 1 Mo. LIBOR + 0.52% (d).............. 0.71% 06/25/36 973,863
1,207,475 Series 2007-FM2, Class A1, 1 Mo. LIBOR + 0.14% (d)............... 0.33% 01/25/37 880,797
See Notes to Financial Statements Page 59
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
HPS Loan Management Ltd.
$ 1,225,000 Series 10A-16, Class A1RR, 3 Mo. LIBOR + 1.14% (b) (d)........... 1.39% 04/20/34 $ 1,225,484
2,700,000 Series 2021-16A, Class B, 3 Mo. LIBOR + 1.70% (b) (d)............ 1.96% 01/23/35 2,691,255
Invitation Homes Trust
1,141,062 Series 2018-SFR4, Class A, 1 Mo. LIBOR + 1.10% (b) (d)........... 1.22% 01/17/38 1,138,580
JP Morgan Mortgage Acquisition Trust
721,905 Series 2006-CH2, Class AF6, steps up to 6.04% after Redemption
Date (c)...................................................... 5.54% 10/25/36 533,579
626,709 Series 2006-WF1, Class A5........................................ 6.91% 07/25/36 249,403
991,575 Series 2007-CH2, Class AF6, steps up to 6.05% after Redemption
Date (c)...................................................... 4.47% 01/25/37 671,792
Lehman XS Trust
1,492,205 Series 2006-15, Class A4, 1 Mo. LIBOR + 0.34% (d)................ 0.53% 10/25/36 1,471,095
3,929,533 Series 2006-19, Class A3, 1 Mo. LIBOR + 0.50% (d)................ 0.69% 12/25/36 3,610,502
2,066,547 Series 2007-11, Class A3, 1 Mo. LIBOR + 0.52% (d)................ 0.71% 02/25/47 2,031,021
Long Beach Mortgage Loan Trust
2,339,243 Series 2006-8, Class 2A3, 1 Mo. LIBOR + 0.32% (d)................ 0.51% 09/25/36 875,132
Mastr Asset Backed Securities Trust
128,382 Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (d)............... 0.35% 11/25/36 93,360
1,703,147 Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.22% (d)............... 0.41% 08/25/36 835,757
Merrill Lynch First Franklin Mortgage Loan Trust
1,853,814 Series 2007-1, Class A1, 1 Mo. LIBOR + 0.14% (d)................. 0.33% 04/25/37 1,079,092
3,401,295 Series 2007-5, Class 1A, 1 Mo. LIBOR + 0.85% (d)................. 1.04% 10/25/37 2,713,325
Merrill Lynch Mortgage Investors Trust
3,087,066 Series 2006-HE6, Class A2C, 1 Mo. LIBOR + 0.46% (d).............. 0.65% 11/25/37 1,470,825
Morgan Stanley ABS Capital I, Inc. Trust
1,951,791 Series 2006-HE8, Class A2B, 1 Mo. LIBOR + 0.10% (d).............. 0.29% 10/25/36 1,127,644
1,889,703 Series 2006-HE8, Class A2C, 1 Mo. LIBOR + 0.14% (d).............. 0.33% 10/25/36 1,096,942
1,333,143 Series 2007-HE4, Class A2B, 1 Mo. LIBOR + 0.18% (d).............. 0.37% 02/25/37 560,575
1,963,014 Series 2007-NC3, Class A2D, 1 Mo. LIBOR + 0.26% (d).............. 0.45% 05/25/37 1,713,132
Navient Student Loan Trust
2,062,310 Series 2006-1, Class A6, 3 Mo. LIBOR + 0.45% (b) (d)............. 0.93% 08/23/36 2,045,630
25,757 Series 2014-1, Class A3, 1 Mo. LIBOR + 0.51% (d)................. 0.70% 06/25/31 25,080
967,000 Series 2016-2A, Class A3, 1 Mo. LIBOR + 1.50% (b) (d)............ 1.69% 06/25/65 977,321
1,763,568 Series 2016-5A, Class A, 1 Mo. LIBOR + 1.25% (b) (d)............. 1.44% 06/25/65 1,776,083
4,269,000 Series 2018-2A, Class A3, 1 Mo. LIBOR + 0.75% (b) (d)............ 0.94% 03/25/67 4,218,682
2,500,000 Series 2019-3A, Class B, 1 Mo. LIBOR + 1.55% (b) (d)............. 1.74% 07/25/68 2,500,679
Neuberger Berman Loan Advisers CLO Ltd.
1,300,000 Series 2021-43A, Class A, 3 Mo. LIBOR + 1.13% (b) (d)............ 1.37% 07/17/35 1,297,434
NovaStar Mortgage Funding Trust
724,833 Series 2007-2, Class A1A, 1 Mo. LIBOR + 0.20% (d)................ 0.39% 09/25/37 711,398
OCP CLO Ltd.
1,500,000 Series 2021-21A, Class B, 3 Mo. LIBOR + 1.70% (b) (d)............ 1.95% 07/20/34 1,501,436
Octagon Investment Partners 46 Ltd.
2,100,000 Series 2020-2A, Class AR, 3 Mo. LIBOR + 1.16% (b) (d)............ 1.40% 07/15/36 2,104,980
OHA Credit Funding Ltd.
2,000,000 Series 2019-3A, Class AR, 3 Mo. LIBOR + 1.14% (b) (d)............ 1.39% 07/02/35 1,995,524
Palmer Square CLO Ltd.
3,100,000 Series 2020-3A, Class A1AR, 3 Mo. LIBOR + 1.08% (b) (d).......... 1.59% 11/15/31 3,095,594
Progress Residential Trust
1,889,000 Series 2019-SFR2, Class E (b).................................... 4.14% 05/17/36 1,871,783
1,200,000 Series 2019-SFR3, Class F (b).................................... 3.87% 09/17/36 1,174,056
Page 60 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Regata XII Funding Ltd.
$ 1,600,000 Series 2019-1A, Class BR, 3 Mo. LIBOR + 1.60% (b) (d)............ 1.84% 10/15/32 $ 1,588,533
Residential Asset Mortgage Products, Inc.
1,400,000 Series 2006-NC2, Class M1, 1 Mo. LIBOR + 0.54% (d)............... 0.73% 02/25/36 1,359,977
2,375,200 Series 2006-RZ2, Class M1, 1 Mo. LIBOR + 0.33% (d)............... 0.68% 05/25/36 2,348,956
Residential Asset Securities Corp.
69,566 Series 2005-KS11, Class M2, 1 Mo. LIBOR + 0.63% (d).............. 0.82% 12/25/35 69,552
88,621 Series 2006-KS3, Class M1, 1 Mo. LIBOR + 0.33% (d)............... 0.68% 04/25/36 88,404
Rockford Tower CLO Ltd.
1,325,000 Series 2019-2A, Class BR, 3 Mo. LIBOR + 1.65% (b) (d)............ 2.13% 08/20/32 1,325,483
Sabey Data Center Issuer LLC
1,785,000 Series 2020-1, Class A2 (b)...................................... 3.81% 04/20/45 1,819,039
Saxon Asset Securities Trust
1,370,022 Series 2006-1, Class M1, 1 Mo. LIBOR + 0.47% (d)................. 0.65% 03/25/36 1,364,282
Securitized Asset Backed Receivables LLC Trust
2,515,315 Series 2006-CB5, Class A3, 1 Mo. LIBOR + 0.28% (d)............... 0.47% 06/25/36 1,970,808
Skyline Aircraft Finance LLC
661,517 Series 2020-1, Class A (k) (l)................................... 3.23% 05/10/38 638,800
SLC Student Loan Trust
1,083,501 Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (d)................ 1.80% 12/15/32 1,096,425
SLM Student Loan EDC Repackaging Trust
1,000 Series 2013-M1, Class M1R (b).................................... (i) 10/28/29 893,114
SLM Student Loan Trust
2,226,462 Series 2006-2, Class B, 3 Mo. LIBOR + 0.22% (d).................. 0.48% 01/25/41 2,075,384
3,400 Series 2006-2, Class R........................................... (i) 01/25/41 1,456,005
2,501,278 Series 2007-1, Class B, 3 Mo. LIBOR + 0.22% (d).................. 0.48% 01/27/42 2,309,434
1,375 Series 2007-4, Class R........................................... (i) 01/25/42 585,493
905,000 Series 2007-7, Class B, 3 Mo. LIBOR + 0.75% (d).................. 1.01% 10/27/70 824,703
300,000 Series 2008-2, Class B, 3 Mo. LIBOR + 1.20% (d).................. 1.46% 01/25/83 264,849
300,000 Series 2008-3, Class B, 3 Mo. LIBOR + 1.20% (d).................. 1.46% 04/26/83 279,898
865,463 Series 2008-4, Class A4, 3 Mo. LIBOR + 1.65% (d)................. 1.91% 07/25/22 870,172
2,550,340 Series 2008-5, Class A4, 3 Mo. LIBOR + 1.70% (d)................. 1.96% 07/25/23 2,558,497
650,000 Series 2008-5, Class B, 3 Mo. LIBOR + 1.85% (d).................. 2.11% 07/25/73 642,752
300,000 Series 2008-6, Class B, 3 Mo. LIBOR + 1.85% (d).................. 2.11% 07/26/83 298,414
220,000 Series 2008-8, Class B, 3 Mo. LIBOR + 2.25% (d).................. 2.51% 10/25/75 222,514
2,145,188 Series 2008-9, Class A, 3 Mo. LIBOR + 1.50% (d).................. 1.76% 04/25/23 2,151,067
800,000 Series 2008-9, Class B, 3 Mo. LIBOR + 2.25% (d).................. 2.51% 10/25/83 803,130
100,000 Series 2012-7, Class B, 1 Mo. LIBOR + 1.80% (d).................. 1.99% 09/25/43 99,568
Soundview Home Loan Trust
2,210,197 Series 2007-OPT1, Class 2A3, 1 Mo. LIBOR + 0.21% (d)............. 0.40% 06/25/37 1,874,199
220,072 Series 2007-OPT2, Class 2A4, 1 Mo. LIBOR + 0.25% (d)............. 0.44% 07/25/37 197,852
Specialty Underwriting & Residential Finance Trust
3,028,194 Series 2006-AB3, Class A2C, 1 Mo. LIBOR + 0.24% (d).............. 0.67% 09/25/37 2,495,615
Stack Infrastructure Issuer LLC
2,425,000 Series 2019-1A, Class A2 (b)..................................... 4.54% 02/25/44 2,476,907
Structured Asset Securities Corp Mortgage Loan Trust
4,812,094 Series 2005-2XS, Class M1, 1 Mo. LIBOR + 0.71% (d)............... 0.89% 02/25/35 4,732,695
1,111,839 Series 2006-BC3, Class A3, 1 Mo. LIBOR + 0.32% (d)............... 0.51% 10/25/36 1,072,248
Structured Receivables Finance LLC
87,910 Series 2010-B, Class A (b)....................................... 3.73% 08/15/36 89,153
See Notes to Financial Statements Page 61
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
STWD Ltd.
$ 2,483,000 Series 2019-FL1, Class AS, 1 Mo. CME Term SOFR +
1.51% (b) (d)................................................. 1.61% 07/15/38 $ 2,476,923
TAL Advantage VII LLC
2,106,250 Series 2020-1A, Class A (b)...................................... 2.05% 09/20/45 2,044,480
Textainer Marine Containers VIII Ltd.
1,731,217 Series 2020-2A, Class A (b)...................................... 2.10% 09/20/45 1,679,412
TRESTLES CLO V Ltd.
1,900,000 Series 2021-5A, Class A1, 3 Mo. LIBOR + 1.17% (b) (d)............ 1.33% 10/20/34 1,900,821
Tricon American Homes Trust
1,400,000 Series 2017-SFR2, Class E (b).................................... 4.22% 01/17/36 1,399,446
TRTX Issuer Ltd.
2,303,000 Series 2019-FL3, Class AS, 30 Day Average SOFR +
1.56% (b) (d)................................................. 1.61% 10/15/34 2,296,944
Wachovia Student Loan Trust
1,585,525 Series 2006-1, Class B, 3 Mo. LIBOR + 0.24% (b) (d).............. 0.50% 04/25/40 1,484,495
WaMu Asset-Backed Certificates WaMu Trust
1,654,894 Series 2007-HE2, Class 2A3, 1 Mo. LIBOR + 0.25% (d).............. 0.44% 04/25/37 783,144
Washington Mutual Asset-Backed Certificates WMABS Trust
450,065 Series 2006-HE5, Class 1A, 1 Mo. LIBOR + 0.16% (d)............... 0.34% 10/25/36 391,995
--------------
TOTAL ASSET-BACKED SECURITIES.................................................................. 188,399,390
(Cost $192,446,028) --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 15.5%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.2%
Federal Home Loan Mortgage Corporation
240,774 Series 2019-4919, Class FP, 1 Mo. LIBOR + 0.45% (d).............. 0.64% 09/25/49 243,802
Federal National Mortgage Association
1,027,340 Series 2011-116, Class SA, IO, 1 Mo. LIBOR (multiply) -1 +
6.00% (m)..................................................... 5.81% 11/25/41 122,250
71,179 Series 2011-130, Class NW, 1 Mo. LIBOR + 1.20% (d)............... 1.31% 12/25/41 72,740
146,228 Series 2012-56, Class FK, 1 Mo. LIBOR + 0.45% (d)................ 0.64% 06/25/42 148,195
168,674 Series 2012-128, Class UA........................................ 2.50% 06/25/42 171,497
1,345,726 Series 2013-18, Class MI, IO..................................... 3.00% 02/25/33 82,741
291,359 Series 2019-33, Class FN, 1 Mo. LIBOR + 0.40% (d)................ 0.59% 07/25/49 293,833
Government National Mortgage Association
1,104,450 Series 2003-110, Class S, IO, 1 Mo. LIBOR (multiply) -1 +
6.60% (m)..................................................... 6.44% 10/20/33 91,898
1,131,723 Series 2018-63, Class IO, IO..................................... 4.00% 09/20/47 158,591
309,144 Series 2019-86, Class FE, 1 Mo. LIBOR + 0.40% (d)................ 0.56% 07/20/49 313,227
217,605 Series 2020-133, Class FA (e).................................... 0.50% 02/20/49 218,771
--------------
1,917,545
--------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 2.4%
Federal Home Loan Mortgage Corporation Multiclass Certificates
11,285,335 Series 2021-P009, Class X, IO (a)................................ 1.46% 01/25/31 860,493
Federal Home Loan Mortgage Corporation Multifamily PC REMIC
Trust
4,095,000 Series 2019-P002, Class X, IO (e)................................ 1.14% 07/25/33 430,446
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass-Through Certificates
8,139,000 Series 2012-K021, Class X3, IO (a)............................... 1.96% 07/25/40 14,355
2,500,000 Series 2012-K022, Class X3, IO (a)............................... 1.81% 08/25/40 18,378
11,075,000 Series 2013-K025, Class X3, IO (a)............................... 1.75% 11/25/40 118,995
Page 62 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass-Through Certificates (Continued)
$ 30,000,000 Series 2013-K026, Class X3, IO (a)............................... 1.80% 12/25/40 $ 379,293
72,712,943 Series 2013-K031, Class X1, IO (a)............................... 0.18% 04/25/23 148,436
17,023,918 Series 2013-K035, Class X1, IO (a)............................... 0.32% 08/25/23 79,331
4,000,000 Series 2013-K035, Class X3, IO (a)............................... 1.79% 12/25/41 95,495
2,500,000 Series 2014-K037, Class X3, IO (a)............................... 2.21% 01/25/42 97,688
31,213,639 Series 2014-K039, Class X1, IO (a)............................... 0.70% 07/25/24 452,595
2,145,000 Series 2014-K039, Class X3, IO (a)............................... 2.11% 08/25/42 119,631
938,587 Series 2014-K715, Class X3, IO (a)............................... 3.62% 02/25/41 4,451
9,278,159 Series 2015-K042, Class X1, IO (a)............................... 1.03% 12/25/24 232,254
116,156,930 Series 2015-K043, Class X1, IO (a)............................... 0.52% 12/25/24 1,550,765
13,852,236 Series 2015-K044, Class X1, IO (a)............................... 0.71% 01/25/25 221,501
8,434,676 Series 2015-K045, Class X1, IO (a)............................... 0.43% 11/25/25 89,085
20,449,223 Series 2015-K048, Class X3, IO (a)............................... 1.49% 08/25/43 937,167
16,051,474 Series 2015-K051, Class X1, IO (a)............................... 0.52% 09/25/25 256,307
142,073 Series 2015-K719, Class X1, IO (a)............................... 0.63% 06/25/22 9
777,573 Series 2015-K720, Class X1, IO (a) (n)........................... 0.50% 08/25/22 406
6,897,149 Series 2016-K056, Class X3, IO (a)............................... 2.11% 06/25/44 558,168
4,716,308 Series 2016-K057, Class X1, IO (a)............................... 1.17% 07/25/26 202,915
1,900,000 Series 2016-K060, Class X3, IO (a)............................... 1.90% 12/25/44 149,837
26,082,170 Series 2016-K723, Class X3, IO (a)............................... 1.91% 10/25/34 776,471
133,658 Series 2016-KF25, Class A, 1 Mo. LIBOR + 0.48% (d)............... 0.59% 10/25/23 133,814
4,931,312 Series 2016-KIR1, Class X, IO (a)................................ 1.05% 03/25/26 184,354
3,668,617 Series 2016-KS06, Class X, IO (a)................................ 1.05% 08/25/26 121,831
4,884,283 Series 2016-KS07, Class X, IO (a)................................ 0.64% 09/25/25 100,730
39,543,029 Series 2016-KW01, Class X1, IO (a)............................... 0.97% 01/25/26 1,201,187
10,082,400 Series 2017-K726, Class X1, IO (a)............................... 0.89% 04/25/24 160,049
2,230,000 Series 2017-K728, Class X3, IO (a)............................... 1.95% 11/25/45 106,989
3,630,000 Series 2018-K078, Class X3, IO (a)............................... 2.21% 06/25/46 441,718
125,000 Series 2018-K155, Class A3....................................... 3.75% 04/25/33 138,891
3,804,757 Series 2018-KF56, Class A, 1 Mo. LIBOR + 0.56% (d)............... 0.67% 11/25/28 3,826,949
125,000 Series 2018-W5FX, Class AFX (a).................................. 3.34% 04/25/28 132,198
1,362,230 Series 2019-KC04, Class X1, IO (a)............................... 1.25% 12/25/26 53,030
7,157,231 Series 2019-KC05, Class X1, IO (a)............................... 1.20% 06/25/27 290,440
899,947 Series 2019-KF66, Class A, 1 Mo. LIBOR + 0.52% (d)............... 0.63% 07/25/29 906,623
168,895 Series 2019-KF73, Class AL, 1 Mo. LIBOR + 0.60% (d).............. 0.71% 11/25/29 169,832
5,617,715 Series 2019-KLU1, Class X3, IO (a)............................... 3.97% 01/25/31 772,690
1,800,000 Series 2019-KS11, Class XFX, IO (a).............................. 1.60% 06/25/29 165,856
316,338 Series 2020-KF75, Class AL, 1 Mo. LIBOR + 0.51% (d).............. 0.62% 12/25/29 318,009
243,130 Series 2020-KF80, Class AL, 1 Mo. LIBOR + 0.44% (d).............. 0.55% 06/25/30 244,473
578,245 Series 2020-KF84, Class AL, 1 Mo. LIBOR + 0.30% (d).............. 0.41% 07/25/30 579,307
819,982 Series 2020-KF85, Class AL, 1 Mo. LIBOR + 0.30% (d).............. 0.41% 08/25/30 822,044
429,608 Series 2020-KF86, Class AL, 1 Mo. LIBOR + 0.29% (d).............. 0.40% 08/25/27 430,499
1,375,235 Series 2020-KF87, Class AL, 1 Mo. LIBOR + 0.35% (d).............. 0.46% 08/25/30 1,379,653
970,868 Series 2020-KF88, Class AL, 1 Mo. LIBOR + 0.33% (d).............. 0.44% 09/25/30 972,734
Federal National Mortgage Association
186,197 Series 2012-M4, Class X1, IO (a) (e) (n)......................... 0.15% 04/25/22 5
2,248,026 Series 2015-M4, Class X2, IO (a) (n)............................. 2.46% 07/25/22 528
113,513 Series 2016-M2, Class AL......................................... 3.47% 04/25/36 112,399
See Notes to Financial Statements Page 63
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 47,393 Series 2016-M2, Class X3, IO (a) (n)............................. 2.12% 04/25/36 $ 8
2,083,878 Series 2016-M4, Class X2, IO (a)................................. 2.64% 01/25/39 43,768
164,390 Series 2016-M11, Class X2, IO (a)................................ 2.93% 07/25/39 2,446
515,715 Series 2018-M10, Class A1 (a).................................... 3.36% 07/25/28 532,646
6,100,000 Series 2019-M29, Class X4, IO.................................... 0.70% 03/25/29 228,501
Government National Mortgage Association
150,854 Series 2011-119, Class D......................................... 3.51% 04/16/45 152,479
646,210 Series 2011-142, Class B (e)..................................... 3.37% 02/16/44 646,810
427,416 Series 2013-125, Class IO, IO (e)................................ 0.20% 10/16/54 6,556
430,377 Series 2013-162, Class C (e)..................................... 3.00% 01/16/44 432,438
937,511 Series 2014-52, Class D (e)...................................... 3.64% 05/16/46 947,328
909,896 Series 2014-125, Class IO, IO (e)................................ 0.94% 11/16/54 30,416
1,281,199 Series 2015-30, Class B.......................................... 3.05% 08/16/47 1,289,410
--------------
25,874,110
--------------
PASS-THROUGH SECURITIES -- 12.9%
Federal Home Loan Mortgage Corporation
564,985 Pool WN0006...................................................... 3.42% 07/01/30 607,439
Federal National Mortgage Association
295,744 Pool 464400...................................................... 5.97% 01/01/40 324,244
468,537 Pool AM2974...................................................... 4.10% 04/01/43 504,414
1,516,157 Pool AM9897...................................................... 3.50% 09/01/35 1,617,559
6,550,000 Pool TBA (o)..................................................... 2.00% 03/15/52 6,279,345
21,275,000 Pool TBA (o)..................................................... 2.50% 03/15/52 20,990,922
14,825,000 Pool TBA (o)..................................................... 3.00% 03/15/52 14,965,216
37,875,000 Pool TBA (o)..................................................... 2.00% 04/15/52 36,238,037
41,875,000 Pool TBA (o)..................................................... 2.50% 04/15/52 41,223,262
15,825,000 Pool TBA (o)..................................................... 3.00% 04/15/52 15,940,057
--------------
138,690,495
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 166,482,150
(Cost $166,944,547) --------------
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES -- 6.1%
BANKS -- 2.1%
1,025,000 ABN AMRO Bank N.V. (USD) (b) (f).................................... 2.47% 12/13/29 982,232
365,000 Credit Suisse Group AG (USD)........................................ 3.75% 03/26/25 374,819
205,000 Credit Suisse Group AG (USD) (b) (f)................................ 2.59% 09/11/25 204,214
1,275,000 Credit Suisse Group AG (USD) (b) (f)................................ 2.19% 06/05/26 1,239,847
520,000 Credit Suisse Group AG (USD) (b) (f)................................ 1.31% 02/02/27 482,481
420,000 Credit Suisse Group AG (USD) (b) (f)................................ 3.09% 05/14/32 398,424
955,000 DNB Bank ASA (USD) (b) (f).......................................... 0.86% 09/30/25 924,432
435,000 DNB Bank ASA (USD) (b) (f).......................................... 1.61% 03/30/28 410,269
200,000 Global Bank Corp. (USD) (f) (p)..................................... 5.25% 04/16/29 192,775
590,000 HSBC Holdings PLC (USD) (f)......................................... 0.98% 05/24/25 570,845
Page 64 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
525,000 HSBC Holdings PLC (USD) (f)......................................... 1.59% 05/24/27 $ 495,641
2,070,000 HSBC Holdings PLC (USD) (f)......................................... 2.01% 09/22/28 1,945,901
1,440,000 HSBC Holdings PLC (USD) (f)......................................... 2.21% 08/17/29 1,346,371
115,000 Lloyds Banking Group PLC (USD) (f).................................. 2.86% 03/17/23 115,069
3,755,000 Lloyds Banking Group PLC (USD) (f).................................. 2.91% 11/07/23 3,783,538
200,000 Lloyds Banking Group PLC (USD)...................................... 3.90% 03/12/24 206,460
365,000 Lloyds Banking Group PLC (USD) (f).................................. 3.87% 07/09/25 376,092
390,000 Macquarie Group Ltd. (USD) (b) (f).................................. 3.19% 11/28/23 393,692
565,000 Macquarie Group Ltd. (USD) (b) (f).................................. 1.34% 01/12/27 534,748
40,000 Macquarie Group Ltd. (USD) (b) (f).................................. 2.69% 06/23/32 37,564
1,070,000 Macquarie Group Ltd. (USD) (b) (f).................................. 2.87% 01/14/33 1,011,705
1,575,000 NatWest Group PLC (USD) (f)......................................... 4.27% 03/22/25 1,630,191
1,420,000 Santander UK Group Holdings PLC (USD) (f)........................... 4.80% 11/15/24 1,479,644
525,000 Santander UK Group Holdings PLC (USD) (f)........................... 1.09% 03/15/25 509,742
2,390,000 Santander UK Group Holdings PLC (USD) (f)........................... 1.67% 06/14/27 2,262,160
430,000 Santander UK Group Holdings PLC (f)................................. 2.47% 01/11/28 416,589
--------------
22,325,445
--------------
BEVERAGES -- 0.2%
505,000 Bacardi Ltd. (USD) (b).............................................. 2.75% 07/15/26 501,836
670,000 Bacardi Ltd. (USD) (b).............................................. 4.70% 05/15/28 729,779
265,000 Bacardi Ltd. (USD) (b).............................................. 5.30% 05/15/48 314,409
1,000,000 Becle SAB de CV (USD) (b)........................................... 2.50% 10/14/31 907,880
--------------
2,453,904
--------------
BIOTECHNOLOGY -- 0.1%
640,000 Grifols Escrow Issuer S.A. (USD) (b)................................ 4.75% 10/15/28 603,984
--------------
CHEMICALS -- 0.1%
925,000 EverArc Escrow Sarl (USD) (b)....................................... 5.00% 10/30/29 857,063
275,000 Herens Holdco Sarl (USD) (b)........................................ 4.75% 05/15/28 257,403
--------------
1,114,466
--------------
COMMERCIAL SERVICES -- 0.3%
200,000 DP World Crescent Ltd. (USD) (b).................................... 4.85% 09/26/28 218,182
1,430,000 IHS Markit Ltd. (USD) (b)........................................... 5.00% 11/01/22 1,456,661
980,000 IHS Markit Ltd. (USD) (b)........................................... 4.75% 02/15/25 1,042,339
215,000 IHS Markit Ltd. (USD)............................................... 4.75% 08/01/28 243,146
--------------
2,960,328
--------------
DIVERSIFIED FINANCIAL SERVICES -- 0.5%
110,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.50% 05/26/22 110,468
55,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 4.13% 07/03/23 56,273
900,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.50% 01/15/25 914,347
115,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.88% 01/23/28 117,126
1,940,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.30% 01/30/32 1,843,567
100,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 3.95% 07/01/24 102,433
325,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 2.88% 02/15/25 322,478
1,975,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 2.53% 11/18/27 1,852,634
82,000 Park Aerospace Holdings Ltd. (USD) (b).............................. 5.50% 02/15/24 85,971
--------------
5,405,297
--------------
See Notes to Financial Statements Page 65
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
ELECTRIC -- 0.0%
250,000 Mong Duong Finance Holdings B.V. (USD) (p).......................... 5.13% 05/07/29 $ 216,761
--------------
ENVIRONMENTAL CONTROL -- 0.1%
1,000,000 GFL Environmental, Inc. (USD) (b)................................... 4.00% 08/01/28 926,070
300,000 Waste Connections, Inc. (USD)....................................... 2.60% 02/01/30 294,537
--------------
1,220,607
--------------
FOOD -- 0.2%
675,000 JBS USA LUX S.A. / JBS USA Finance, Inc. (USD) (b).................. 6.75% 02/15/28 711,808
443,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (b)........................................................ 5.50% 01/15/30 458,179
1,350,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (b)........................................................ 3.75% 12/01/31 1,247,495
--------------
2,417,482
--------------
INTERNET -- 0.1%
200,000 Tencent Holdings Ltd. (USD) (b)..................................... 3.68% 04/22/41 184,547
200,000 Tencent Holdings Ltd. (USD) (b)..................................... 3.84% 04/22/51 182,314
--------------
366,861
--------------
MACHINERY-DIVERSIFIED -- 0.0%
222,000 Titan Acquisition Ltd. / Titan Co-Borrower LLC (USD) (b)............ 7.75% 04/15/26 217,946
--------------
MEDIA -- 0.0%
270,000 Virgin Media Secured Finance PLC (USD) (b).......................... 5.50% 05/15/29 270,179
100,000 Virgin Media Secured Finance PLC (USD) (b).......................... 4.50% 08/15/30 93,653
--------------
363,832
--------------
MINING -- 0.2%
250,000 Corp. Nacional del Cobre de Chile (USD) (p)......................... 3.15% 01/14/30 242,632
1,200,000 Indonesia Asahan Aluminium Persero PT (USD) (p)..................... 4.75% 05/15/25 1,227,444
700,000 Indonesia Asahan Aluminium Persero PT (USD) (b)..................... 6.53% 11/15/28 791,322
--------------
2,261,398
--------------
MISCELLANEOUS MANUFACTURING -- 0.1%
1,003,000 GE Capital International Funding Co. Unlimited Co. (USD)............ 4.42% 11/15/35 1,128,661
40,000 Ingersoll-Rand Luxembourg Finance S.A. (USD)........................ 3.55% 11/01/24 41,377
--------------
1,170,038
--------------
OIL & GAS -- 0.7%
450,000 Ecopetrol SA (USD).................................................. 6.88% 04/29/30 471,510
200,000 KazMunayGas National Co. JSC (USD) (p).............................. 4.75% 04/19/27 206,500
500,000 KazMunayGas National Co. JSC (USD) (p).............................. 5.38% 04/24/30 531,875
200,000 KazMunayGas National Co. JSC (USD) (p).............................. 3.50% 04/14/33 182,385
1,100,000 Pertamina Persero PT (USD) (b)...................................... 3.10% 08/27/30 1,057,318
370,000 Petroleos Mexicanos (USD)........................................... 6.63% 06/15/35 335,683
105,000 Petroleos Mexicanos (USD)........................................... 6.75% 09/21/47 87,224
180,000 Petroleos Mexicanos (USD)........................................... 7.69% 01/23/50 161,982
110,000 Petroleos Mexicanos (USD)........................................... 6.95% 01/28/60 91,477
1,700,000 Petronas Capital Ltd. (USD) (b)..................................... 3.50% 04/21/30 1,743,945
950,000 Qatar Energy (USD) (p).............................................. 2.25% 07/12/31 896,570
700,000 Saudi Arabian Oil Co. (USD) (p)..................................... 1.63% 11/24/25 677,729
200,000 Saudi Arabian Oil Co. (USD) (b)..................................... 2.25% 11/24/30 186,325
82,410 Transocean Pontus Ltd. (USD) (b).................................... 6.13% 08/01/25 81,359
Page 66 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
OIL & GAS (CONTINUED)
355,313 Transocean Poseidon Ltd. (USD) (b).................................. 6.88% 02/01/27 $ 347,625
--------------
7,059,507
--------------
OIL & GAS SERVICES -- 0.0%
32,500 Transocean Phoenix 2 Ltd. (USD) (b)................................. 7.75% 10/15/24 32,869
307,500 Transocean Proteus Ltd. (USD) (b)................................... 6.25% 12/01/24 305,609
--------------
338,478
--------------
PACKAGING & CONTAINERS -- 0.1%
1,100,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
(USD) (b)........................................................ 5.25% 08/15/27 1,046,846
395,000 Intertape Polymer Group, Inc. (USD) (b)............................. 4.38% 06/15/29 375,053
--------------
1,421,899
--------------
PHARMACEUTICALS -- 0.2%
2,050,000 Endo Dac / Endo Finance LLC / Endo Finco, Inc. (USD) (b)............ 6.00% 06/30/28 1,356,434
365,000 Jazz Securities DAC (USD) (b)....................................... 4.38% 01/15/29 362,160
--------------
1,718,594
--------------
PIPELINES -- 0.1%
400,000 Galaxy Pipeline Assets Bidco Ltd. (USD) (b)......................... 2.16% 03/31/34 372,844
400,000 KazTransGas JSC (USD) (p)........................................... 4.38% 09/26/27 401,993
--------------
774,837
--------------
REAL ESTATE -- 0.1%
605,000 China Aoyuan Group Ltd. (USD) (p)................................... 6.35% 02/08/24 111,925
200,000 China SCE Group Holdings Ltd. (USD) (p)............................. 7.00% 05/02/25 123,500
400,000 Sunac China Holdings Ltd. (USD) (p)................................. 6.50% 01/10/25 159,000
200,000 Times China Holdings Ltd. (USD) (p)................................. 6.75% 07/08/25 70,000
415,000 Zhenro Properties Group Ltd. (USD) (p).............................. 6.63% 01/07/26 47,725
--------------
512,150
--------------
RETAIL -- 0.1%
568,000 1011778 BC ULC / New Red Finance, Inc. (USD) (b).................... 3.50% 02/15/29 536,388
510,000 Alimentation Couche-Tard, Inc. (USD) (b)............................ 3.55% 07/26/27 529,103
--------------
1,065,491
--------------
SAVINGS & LOANS -- 0.3%
630,000 Nationwide Building Society (USD) (b) (f)........................... 3.62% 04/26/23 631,906
135,000 Nationwide Building Society (USD) (b) (f)........................... 3.77% 03/08/24 137,256
1,165,000 Nationwide Building Society (USD) (b) (f)........................... 4.36% 08/01/24 1,199,171
1,520,000 Nationwide Building Society (USD) (b) (f)........................... 2.97% 02/16/28 1,516,902
--------------
3,485,235
--------------
TELECOMMUNICATIONS -- 0.5%
200,000 C&W Senior Financing DAC (USD) (b).................................. 6.88% 09/15/27 207,632
600,000 Intelsat Jackson Holdings S.A. (q).................................. 5.50% 08/01/23 257,466
750,000 Intelsat Jackson Holdings S.A. (b) (q).............................. 8.50% 10/15/24 338,213
303,000 Intelsat Jackson Holdings S.A. (b) (q).............................. 9.75% 07/15/25 133,823
1,929,000 Intelsat Jackson Holdings S.A. (USD) (b)............................ 6.50% 03/15/30 1,962,757
200,000 SES S.A. (USD) (b).................................................. 3.60% 04/04/23 202,744
1,235,000 Vmed O2 UK Financing I PLC (USD) (b)................................ 4.25% 01/31/31 1,138,040
400,000 Vmed O2 UK Financing I PLC (USD) (b)................................ 4.75% 07/15/31 384,040
250,000 Vodafone Group PLC (USD)............................................ 5.25% 05/30/48 290,321
See Notes to Financial Statements Page 67
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
113,000 Vodafone Group PLC (USD)............................................ 4.88% 06/19/49 $ 125,421
580,000 Vodafone Group PLC (USD)............................................ 4.25% 09/17/50 584,906
--------------
5,625,363
--------------
TRANSPORTATION -- 0.0%
200,000 Empresa de Transporte de Pasajeros Metro S.A. (USD) (b)............. 3.65% 05/07/30 203,750
--------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 65,303,653
(Cost $66,988,324) --------------
FOREIGN SOVEREIGN BONDS -- 3.6%
BAHRAIN -- 0.1%
825,000 CBB International Sukuk Co. 7 SPC (USD) (p)......................... 6.88% 10/05/25 909,091
--------------
BRAZIL -- 0.2%
1,450,000 Brazilian Government International Bond (USD)....................... 2.88% 06/06/25 1,445,157
200,000 Brazilian Government International Bond (USD)....................... 4.63% 01/13/28 203,789
1,150,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 1,076,756
--------------
2,725,702
--------------
CHILE -- 0.2%
1,700,000 Chile Government International Bond (USD)........................... 3.24% 02/06/28 1,727,582
600,000 Chile Government International Bond (USD)........................... 2.55% 01/27/32 566,250
--------------
2,293,832
--------------
COLOMBIA -- 0.3%
2,250,000 Colombia Government International Bond (USD)........................ 4.50% 01/28/26 2,282,973
550,000 Colombia Government International Bond (USD)........................ 3.00% 01/30/30 474,631
400,000 Colombia Government International Bond (USD)........................ 3.13% 04/15/31 339,748
--------------
3,097,352
--------------
DOMINICAN REPUBLIC -- 0.2%
1,950,000 Dominican Republic International Bond (USD) (b)..................... 4.50% 01/30/30 1,808,644
350,000 Dominican Republic International Bond (USD) (p)..................... 4.88% 09/23/32 319,379
--------------
2,128,023
--------------
EGYPT -- 0.1%
400,000 Egypt Government International Bond (USD) (b)....................... 5.25% 10/06/25 382,518
200,000 Egypt Government International Bond (USD) (p)....................... 5.25% 10/06/25 191,259
--------------
573,777
--------------
GUATEMALA -- 0.0%
515,000 Guatemala Government Bond (USD) (p)................................. 3.70% 10/07/33 467,749
--------------
HONG KONG -- 0.1%
915,000 Airport Authority Hong Kong (USD) (b)............................... 3.25% 01/12/52 858,440
--------------
HUNGARY -- 0.1%
1,550,000 Hungary Government International Bond (USD) (b)..................... 2.13% 09/22/31 1,399,833
--------------
INDONESIA -- 0.1%
800,000 Indonesia Government International Bond (USD)....................... 2.85% 02/14/30 794,943
500,000 Perusahaan Penerbit SBSN Indonesia III (USD) (b).................... 2.80% 06/23/30 492,665
--------------
1,287,608
--------------
Page 68 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS (CONTINUED)
MEXICO -- 0.4%
2,350,000 Mexico Government International Bond (USD).......................... 3.75% 01/11/28 $ 2,429,959
1,260,000 Mexico Government International Bond (USD).......................... 2.66% 05/24/31 1,162,413
300,000 Mexico Government International Bond (USD).......................... 4.75% 04/27/32 320,550
--------------
3,912,922
--------------
OMAN -- 0.2%
600,000 Oman Government International Bond (USD) (p)........................ 6.75% 10/28/27 644,601
1,450,000 Oman Government International Bond (USD) (p)........................ 5.63% 01/17/28 1,482,263
--------------
2,126,864
--------------
PANAMA -- 0.2%
500,000 Panama Government International Bond (USD).......................... 3.88% 03/17/28 516,250
1,100,000 Panama Government International Bond (USD).......................... 3.16% 01/23/30 1,080,574
800,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 707,544
--------------
2,304,368
--------------
PARAGUAY -- 0.1%
1,100,000 Paraguay Government International Bond (USD) (b).................... 4.95% 04/28/31 1,145,386
400,000 Paraguay Government International Bond (USD) (b).................... 2.74% 01/29/33 350,504
--------------
1,495,890
--------------
PERU -- 0.2%
1,300,000 Peruvian Government International Bond (USD)........................ 4.13% 08/25/27 1,372,436
653,000 Peruvian Government International Bond (USD)........................ 2.84% 06/20/30 629,675
--------------
2,002,111
--------------
PHILIPPINES -- 0.1%
1,100,000 Philippine Government International Bond (USD)...................... 2.46% 05/05/30 1,050,601
300,000 Philippine Government International Bond (USD)...................... 1.95% 01/06/32 271,402
--------------
1,322,003
--------------
QATAR -- 0.2%
1,302,000 Qatar Government International Bond (USD) (p)....................... 4.50% 04/23/28 1,448,071
600,000 Qatar Government International Bond (USD) (p)....................... 3.75% 04/16/30 648,783
--------------
2,096,854
--------------
ROMANIA -- 0.1%
1,150,000 Romanian Government International Bond (USD) (p).................... 3.00% 02/14/31 1,056,149
--------------
SAUDI ARABIA -- 0.2%
1,100,000 Saudi Government International Bond (USD) (p)....................... 3.25% 10/26/26 1,142,625
900,000 Saudi Government International Bond (USD) (p)....................... 3.63% 03/04/28 951,116
200,000 Saudi Government International Bond (USD) (p)....................... 3.25% 10/22/30 206,630
--------------
2,300,371
--------------
SOUTH AFRICA -- 0.2%
1,358,000 Republic of South Africa Government International Bond (USD)........ 4.30% 10/12/28 1,307,211
820,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 802,042
--------------
2,109,253
--------------
UNITED ARAB EMIRATES -- 0.1%
1,100,000 Abu Dhabi Government International Bond (USD) (p)................... 2.50% 09/30/29 1,104,554
--------------
See Notes to Financial Statements Page 69
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS (CONTINUED)
URUGUAY -- 0.2%
500,000 Uruguay Government International Bond (USD)......................... 4.38% 10/27/27 $ 542,000
1,100,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 1,209,186
--------------
1,751,186
--------------
TOTAL FOREIGN SOVEREIGN BONDS.................................................................. 39,323,932
(Cost $41,514,302) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY SECURITIES -- 0.5%
$ 2,520,000 Federal Home Loan Banks (h)......................................... 1.61% 09/04/24 2,516,775
2,515,000 Federal Home Loan Banks (h)......................................... 1.61% 09/04/24 2,511,782
--------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES........................................................ 5,028,557
(Cost $5,035,000) --------------
MUNICIPAL BONDS -- 0.2%
CALIFORNIA -- 0.2%
1,010,000 Los Angeles CA Unif School District................................. 5.75% 07/01/34 1,271,011
500,000 Los Angeles Dept of Water........................................... 6.01% 07/01/39 645,579
75,000 Univ of CA Rev TXBL Gen Ref, Ser AJ................................. 4.60% 05/15/31 84,185
--------------
2,000,775
--------------
COLORADO -- 0.0%
220,000 City & Cnty of Denver Cnty Aprt Rev................................. 2.24% 11/15/30 213,197
--------------
FLORIDA -- 0.0%
105,000 Cnty of Miami-Dade FL Aviation Rev.................................. 3.45% 10/01/30 109,311
--------------
NEW YORK -- 0.0%
50,000 Metro Transprtn Auth................................................ 5.18% 11/15/49 61,450
--------------
TOTAL MUNICIPAL BONDS.......................................................................... 2,384,733
(Cost $2,353,688) --------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
COMMON STOCKS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
15,736 Intelsat Jackson Emergence S.A. (k) (l) (n) (r)................................................ 0
(Cost $527,164) --------------
RIGHTS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
1,648 Intelsat Jackson Holdings S.A., Series A (k) (l) (n) (r)....................................... 0
1,648 Intelsat Jackson Holdings S.A., Series B (k) (l) (n) (r)....................................... 0
--------------
0
--------------
TOTAL RIGHTS................................................................................... 0
(Cost $0) --------------
Page 70 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. TREASURY BILLS -- 22.1%
$ 6,345,000 U.S. Treasury Bill.................................................. (i) 04/21/22 $ 6,343,403
6,315,000 U.S. Treasury Bill.................................................. (i) 05/05/22 6,312,318
23,030,000 U.S. Treasury Bill.................................................. (i) 06/09/22 23,006,634
15,030,000 U.S. Treasury Bill.................................................. (i) 06/16/22 15,012,231
6,925,000 U.S. Treasury Bill.................................................. (i) 06/23/22 6,915,443
102,830,000 U.S. Treasury Bill.................................................. (i) 07/07/22 102,645,302
49,145,000 U.S. Treasury Bill.................................................. (i) 07/14/22 49,047,739
14,115,000 U.S. Treasury Bill.................................................. (i) 07/21/22 14,085,306
9,015,000 U.S. Treasury Bill.................................................. (i) 08/18/22 8,987,797
6,080,000 U.S. Treasury Bill.................................................. (i) 08/25/22 6,060,719
--------------
TOTAL U.S. TREASURY BILLS...................................................................... 238,416,892
(Cost $238,600,599) --------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 3.7%
40,231,867 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 0.01% (s)..... 40,231,867
(Cost $40,231,867) --------------
TOTAL INVESTMENTS -- 113.8%.................................................................... 1,226,042,939
(Cost $1,242,773,780)
NET OTHER ASSETS AND LIABILITIES -- (13.8)%.................................................... (148,899,571)
--------------
NET ASSETS -- 100.0%........................................................................... $1,077,143,368
==============
FUTURES CONTRACTS AT FEBRUARY 28, 2022 (See Note 2D - Futures Contracts in the Notes to Financial Statements):
UNREALIZED
APPRECIATION
NUMBER OF (DEPRECIATION)/
FUTURES CONTRACTS POSITION CONTRACTS EXPIRATION DATE NOTIONAL VALUE VALUE
---------------------------------- -------------- --------------- ------------------ ----------------- --------------
U.S. 5-Year Treasury Notes Long 909 Jun-2022 $ 107,517,656 $ 268,000
Ultra U.S. 10-Year Treasury Notes Short 905 Jun-2022 (127,901,953) (1,320,432)
Ultra U.S. Treasury Bond Futures Short 218 Jun-2022 (40,534,375) (503,532)
------------- --------------
$ (60,918,672) $ (1,555,964)
============= ==============
INTEREST RATE SWAP AGREEMENTS AT FEBRUARY 28, 2022 (see Note 2F - Swap Agreements in the Notes to Financial Statements):
UNREALIZED
APPRECIATION
EXPIRATION (DEPRECIATION)/
COUNTERPARTY FLOATING RATE DATE NOTIONAL VALUE FIXED RATE VALUE
--------------------------------- ---------------- --------------- ------------------ ----------------- --------------
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 $ 6,145,000 1.073%(1) $ (116,894)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 12,290,000 1.026%(1) (244,900)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 9,080,000 1.034%(1) (179,538)
Citibank, Global Markets, Inc. 3 month LIBOR(2) 09/28/2025 20,785,000 1.390%(2) (260,747)
Citibank, Global Markets, Inc. 3 month LIBOR(3) 12/07/2025 32,405,000 1.688%(3) (207,021)
Citibank, Global Markets, Inc. 3 month LIBOR(4) 07/24/2053 515,000 1.808%(4) 23,655
Citibank, Global Markets, Inc. 3 month LIBOR(4) 07/24/2053 1,030,000 1.773%(4) 55,500
Citibank, Global Markets, Inc. 3 month LIBOR(4) 07/24/2053 755,000 1.785%(4) 38,538
Citibank, Global Markets, Inc. 3 month LIBOR(5) 09/28/2053 1,775,000 1.870%(5) 54,760
Citibank, Global Markets, Inc. 3 month LIBOR(6) 12/07/2053 2,710,000 1.743%(6) 159,270
-------------- --------------
$ 87,490,000 $ (677,377)
============== ==============
See Notes to Financial Statements Page 71
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
(1) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.
(2) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 09/28/2023 and no interest is being accrued
until that date.
(3) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.
(4) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.
(5) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.
(6) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 09/28/2023 and no interest is being accrued
until that date.
(a) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.
(b) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended (the "1933 Act") and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P.,
the Fund's Advisor (the "Advisor"). Although market instability can result
in periods of increased overall market illiquidity, liquidity for each
security is determined based on security specific factors and assumptions,
which require subjective judgment. At February 28, 2022, securities noted
as such amounted to $359,127,482 or 33.3% of net assets.
(c) Step-up security. A security where the coupon increases or steps up at a
predetermined date. The coupon rate is determined based on the underlying
investments. The coupon rate resets periodically.
(d) Floating or variable rate security.
(e) Weighted Average Coupon security. Coupon is based on the blended interest
rate of the underlying holdings, which may have different coupons. The
coupon may change in any period.
(f) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at February 28, 2022. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
(g) Perpetual maturity.
(h) When-issued security. The interest rate shown reflects the rate in effect
at February 28, 2022. Interest will begin accruing on the security's first
settlement date.
(i) Zero coupon security.
(j) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the 1933 Act,
and may be resold in transactions exempt from registration, normally to
qualified institutional buyers (see Note 2C - Restricted Securities in the
Notes to Financial Statements).
(k) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).
(l) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940, as
amended. At February 28, 2022, securities noted as such are valued at
$638,800 or 0.0% of net assets.
(m) Inverse floating rate security.
(n) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by the Advisor.
(o) All or a portion of this security is part of a mortgage dollar roll
agreement (see Note 2K - Mortgage Dollar Rolls in the Notes to Financial
Statements).
(p) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.
(q) This issuer is in default and interest is not being accrued by the Fund
nor paid by the issuer.
(r) Non-income producing security.
(s) Rate shown reflects yield as of February 28, 2022.
CME - Chicago Mercantile Exchange
IO - Interest-Only Security - Principal amount shown represents par value
on which interest payments are based.
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TBA - To-Be-Announced Security
Currency Abbreviations:
USD - United States Dollar
Page 72 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Mortgage-Backed Securities........................... $ 251,591,002 $ -- $ 251,591,002 $ --
Corporate Bonds and Notes*........................... 228,880,763 -- 228,880,763 --
Asset-Backed Securities.............................. 188,399,390 -- 187,760,590 638,800
U.S. Government Agency Mortgage-Backed
Securities........................................ 166,482,150 -- 166,482,150 --
Foreign Corporate Bonds and Notes*................... 65,303,653 -- 65,303,653 --
Foreign Sovereign Bonds and Notes**.................. 39,323,932 -- 39,323,932 --
U.S. Government Agency Securities.................... 5,028,557 -- 5,028,557 --
Municipal Bonds***................................... 2,384,733 -- 2,384,733 --
Common Stocks*....................................... --***** -- -- --*****
Rights*.............................................. --***** -- -- --*****
U.S. Treasury Bills.................................. 238,416,892 -- 238,416,892 --
Money Market Funds................................... 40,231,867 40,231,867 -- --
-------------- -------------- -------------- --------------
Total Investments.................................... 1,226,042,939 40,231,867 1,185,172,272 638,800
Futures Contracts****................................ 268,000 268,000 -- --
Interest Rate Swap Agreements........................ 331,723 -- 331,723 --
-------------- -------------- -------------- --------------
Total................................................ $1,226,642,662 $ 40,499,867 $1,185,503,995 $ 638,800
============== ============== ============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Futures Contracts****................................ $ (1,823,964) $ (1,823,964) $ -- $ --
Interest Rate Swap Agreements........................ (1,009,100) -- (1,009,100) --
-------------- -------------- -------------- --------------
Total................................................ $ (2,833,064) $ (1,823,964) $ (1,009,100) $ --
============== ============== ============== ==============
* See Portfolio of Investments for industry breakout.
** See Portfolio of Investments for country breakout.
*** See Portfolio of Investments for state breakout.
**** Includes cumulative appreciation/depreciation on futures contracts as
reported in the Futures Contracts table. Only the current day's variation
margin is presented on the Statements of Assets and Liabilities.
***** Investments is valued at $0.
Level 3 Investments that are fair valued by the Advisor's Pricing Committee are
footnoted in the Portfolio of Investments. All Level 3 values are based on
unobservable inputs.
See Notes to Financial Statements Page 73
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 60.9%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.3%
Federal Home Loan Mortgage Corporation
$ 41,998 Series 2005-3071, Class TF, 1 Mo. LIBOR + 0.30% (a).............. 0.49% 04/15/35 $ 42,094
71,579 Series 2010-3778, Class L........................................ 3.50% 12/15/25 73,671
126,018 Series 2017-360, Class 250....................................... 2.50% 11/15/47 127,161
65,778 Series 2020-4993, Class OP, PO................................... (b) 10/25/58 61,917
Federal National Mortgage Association
138,278 Series 2006-56, Class FE, 1 Mo. LIBOR + 0.43% (a)................ 0.62% 07/25/36 139,532
109,756 Series 2011-47, Class GF, 1 Mo. LIBOR + 0.57% (a)................ 0.76% 06/25/41 111,331
140,947 Series 2018-50, Class BA......................................... 3.00% 07/25/48 143,702
8,142 Series 2018-86, Class JA......................................... 4.00% 05/25/47 8,334
94,911 Series 2019-67, Class FE, 1 Mo. LIBOR + 0.45% (a)................ 0.64% 11/25/49 95,621
--------------
803,363
--------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.3%
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass-Through Certificates
67,804,725 Series 2013-K024, Class X3, IO (c)............................... 1.66% 11/25/40 568,644
1,000,000 Series 2018-K732, Class X3, IO (c)............................... 2.17% 05/25/46 66,436
300,000 Series 2019-KS11, Class XFX, IO (c).............................. 1.60% 06/25/29 27,643
FREMF Mortgage Trust
21,686,166 Series 2017-K726, Class X2B, IO (d).............................. 0.10% 07/25/49 44,101
--------------
706,824
--------------
PASS-THROUGH SECURITIES -- 60.3%
Federal Home Loan Mortgage Corporation
61,557 Pool G08681...................................................... 3.50% 12/01/45 64,466
32,086 Pool G08792...................................................... 3.50% 12/01/47 33,370
117,329 Pool G60659...................................................... 3.50% 08/01/46 123,225
135,635 Pool G61748...................................................... 3.50% 11/01/48 141,682
155,245 Pool G67706...................................................... 3.50% 12/01/47 162,411
198,942 Pool G67710...................................................... 3.50% 03/01/48 207,334
1,951,196 Pool RA5855...................................................... 2.50% 09/01/51 1,929,742
130,597 Pool SD0499...................................................... 3.00% 08/01/50 132,921
70,700 Pool SD7502...................................................... 3.50% 07/01/49 73,400
145,652 Pool SD7511...................................................... 3.50% 01/01/50 151,684
88,922 Pool SD7513...................................................... 3.50% 04/01/50 92,676
87,237 Pool ZM1779...................................................... 3.00% 09/01/46 89,706
Federal National Mortgage Association
34,592 Pool BE3619...................................................... 4.00% 05/01/47 36,543
60,219 Pool CA0995...................................................... 3.50% 01/01/48 62,864
659,183 Pool CA5689...................................................... 3.00% 05/01/50 671,402
77,128 Pool FM2870...................................................... 3.00% 03/01/50 78,510
69,429 Pool MA4093...................................................... 2.00% 08/01/40 67,639
100,726 Pool MA4152...................................................... 2.00% 10/01/40 98,124
155,131 Pool MA4176...................................................... 2.00% 11/01/40 151,123
163,696 Pool MA4204...................................................... 2.00% 12/01/40 159,463
207,846 Pool MA4333...................................................... 2.00% 05/01/41 202,463
1,270,566 Pool MA4387...................................................... 2.00% 07/01/41 1,237,626
1,975,000 Pool TBA (e)..................................................... 1.50% 03/15/37 1,922,771
11,975,000 Pool TBA (e)..................................................... 2.00% 03/15/37 11,888,930
4,150,000 Pool TBA (e)..................................................... 1.50% 04/15/37 4,033,780
Page 74 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 7,875,000 Pool TBA (e)..................................................... 2.00% 03/15/52 $ 7,549,594
16,750,000 Pool TBA (e)..................................................... 2.50% 03/15/52 16,526,343
11,825,000 Pool TBA (e)..................................................... 3.00% 03/15/52 11,936,842
40,475,000 Pool TBA (e)..................................................... 2.00% 04/15/52 38,725,664
28,475,000 Pool TBA (e)..................................................... 2.50% 04/15/52 28,031,818
8,975,000 Pool TBA (e)..................................................... 3.00% 04/15/52 9,040,253
Government National Mortgage Association
55,574 Pool MA3873...................................................... 3.00% 08/20/46 57,062
70,689 Pool MA4382...................................................... 3.50% 04/20/47 73,747
53,557 Pool MA4778...................................................... 3.50% 10/20/47 55,744
38,802 Pool MA4779...................................................... 4.00% 10/20/47 40,851
7,150,000 Pool TBA (e)..................................................... 2.00% 03/15/52 6,993,084
14,875,000 Pool TBA (e)..................................................... 2.50% 03/15/52 14,865,222
--------------
157,710,079
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 159,220,266
(Cost $159,108,530) --------------
MORTGAGE-BACKED SECURITIES -- 32.7%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 18.1%
Alternative Loan Trust
236,350 Series 2005-16, Class A4, 1 Mo. LIBOR + 0.48% (a)................ 0.67% 06/25/35 218,835
102,233 Series 2006-HY12, Class A5 (c)................................... 3.06% 08/25/36 102,518
144,163 Series 2007-5CB, Class 1A11...................................... 6.00% 04/25/37 104,710
128,618 Series 2007-15CB, Class A5....................................... 5.75% 07/25/37 100,690
389,355 Series 2007-HY8C, Class A1, 1 Mo. LIBOR + 0.16% (a).............. 0.35% 09/25/47 378,643
178,200 Series 2007-OA7, Class A1A, 1 Mo. LIBOR + 0.36% (a).............. 0.55% 05/25/47 164,789
American Home Mortgage Assets Trust
379,303 Series 2006-1, Class 1A1, 1 Mo. LIBOR + 0.21% (a)................ 0.40% 05/25/46 360,410
129,729 Series 2006-3, Class 1A1, 12 Mo. Treasury Average + 0.97% (a).... 1.07% 10/25/46 124,342
1,107,657 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.13% (a)................. 0.31% 03/25/47 1,052,598
American Home Mortgage Investment Trust
1,306,312 Series 2006-3, Class 11A1, 1 Mo. LIBOR + 0.36% (a)............... 0.55% 12/25/46 1,258,102
Banc of America Funding Trust
140,010 Series 2007-C, Class 7A1, 1 Mo. LIBOR + 0.42% (a)................ 0.59% 05/20/47 137,012
BCAP LLC Trust
102,930 Series 2006-AA2, Class A1, 1 Mo. LIBOR + 0.34% (a)............... 0.53% 01/25/37 101,057
Bear Stearns ALT-A Trust
517,821 Series 2005-1, Class M2, 1 Mo. LIBOR + 1.13% (a)................. 1.31% 01/25/35 556,720
738,130 Series 2006-1, Class 21A2 (c).................................... 2.93% 02/25/36 613,124
Bear Stearns ARM Trust
194,863 Series 2005-1, Class 2A1 (c)..................................... 2.90% 03/25/35 194,699
Bear Stearns Mortgage Funding Trust
111,165 Series 2006-AR5, Class 2A1, 1 Mo. LIBOR + 0.19% (a).............. 0.38% 01/25/37 104,185
CHL Mortgage Pass-Through Trust
223,138 Series 2004-25, Class 2A1, 1 Mo. LIBOR + 0.68% (a)............... 0.87% 02/25/35 209,467
106,395 Series 2007-20, Class A1......................................... 6.50% 01/25/38 72,411
CIM Trust
283,915 Series 2021-R3, Class A1A (d).................................... 1.95% 06/25/57 279,146
682,574 Series 2021-R4, Class A1A (d).................................... 2.00% 05/01/61 670,390
See Notes to Financial Statements Page 75
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
CIM Trust (Continued)
$ 1,652,952 Series 2021-NR1, Class A1, steps up to 5.57% on
02/25/24 (d) (g).............................................. 2.57% 07/25/55 $ 1,626,885
502,654 Series 2021-NR2, Class A1, steps up to 5.57% on
03/25/24 (d) (g).............................................. 2.57% 07/25/59 494,764
125,363 Series 2021-NR3, Class A1, steps up to 5.57% on
04/25/24 (d) (g).............................................. 2.57% 06/25/57 125,457
Citigroup Mortgage Loan Trust
282,671 Series 2009-10, Class 2A2 (d).................................... 7.00% 12/25/35 254,642
Credit Suisse Mortgage Trust
542,982 Series 2014-8R, Class 3A2 (c) (d)................................ 3.99% 02/27/36 492,642
323,478 Series 2020-RPL2, Class A12 (d).................................. 3.41% 02/25/60 321,900
814,826 Series 2021-RP11, Class PT (d)................................... 3.73% 10/25/61 861,109
541,017 Series 2021-RPL4, Class A1 (d)................................... 1.80% 12/27/60 528,975
CSMCM Trust
29,736 Series 2021-RP11, Class CERT (d)................................. 3.78% 10/27/61 31,338
Deutsche Alt-A Securities Mortgage Loan Trust
208,886 Series 2007-3, Class 2A1, 1 Mo. LIBOR + 0.75% (a)................ 0.94% 10/25/47 194,995
332,890 Series 2007-AR3, Class 2A5, 1 Mo. LIBOR + 0.40% (a).............. 0.59% 06/25/37 320,708
DSLA Mortgage Loan Trust
433,992 Series 2005-AR6, Class 2A1A, 1 Mo. LIBOR + 0.58% (a)............. 0.75% 10/19/45 424,154
GreenPoint Mortgage Funding Trust
174,473 Series 2005-AR4, Class G41B, 1 Mo. LIBOR + 0.20% (a)............. 0.39% 10/25/45 164,332
GreenPoint MTA Trust
338,505 Series 2005-AR1, Class A2, 1 Mo. LIBOR + 0.44% (a)............... 0.63% 06/25/45 324,761
29,060 Series 2005-AR3, Class 1A1, 1 Mo. LIBOR + 0.48% (a).............. 0.67% 08/25/45 24,840
GSR Mortgage Loan Trust
242,630 Series 2006-OA1, Class 2A2, 1 Mo. LIBOR + 0.52% (a).............. 0.71% 08/25/46 130,679
Impac CMB Trust
240,595 Series 2007-A, Class A, 1 Mo. LIBOR + 0.50% (a) (d).............. 0.69% 05/25/37 240,126
IndyMac IMSC Mortgage Loan Trust
1,136,938 Series 2007-F2, Class 1A4........................................ 6.00% 07/25/37 1,101,505
IndyMac INDX Mortgage Loan Trust
147,328 Series 2005-AR29, Class A1 (c)................................... 3.01% 01/25/36 140,945
1,130,050 Series 2006-AR2, Class 1A1B, 1 Mo. LIBOR + 0.42% (a)............. 0.61% 04/25/46 1,082,460
76,396 Series 2006-AR3, Class 2A1A (c).................................. 2.90% 03/25/36 66,153
62,691 Series 2006-AR9, Class 3A2, 1 Mo. LIBOR + 0.35% (a).............. 0.54% 06/25/36 57,402
632,904 Series 2006-AR13, Class A3 (c)................................... 2.89% 07/25/36 543,096
160,596 Series 2006-AR19, Class 5A2 (c).................................. 2.95% 08/25/36 139,813
540,064 Series 2006-AR31, Class A3 (c)................................... 3.06% 11/25/36 535,985
808,460 Series 2007-AR21, Class 6A1 (c).................................. 2.69% 09/25/37 683,946
112,285 Series 2007-FLX2, Class A1A, 1 Mo. LIBOR + 0.16% (a)............. 0.35% 04/25/37 107,791
888,101 Series 2007-FLX3, Class A1, 1 Mo. LIBOR + 0.24% (a).............. 0.43% 06/25/37 860,210
JP Morgan Alternative Loan Trust
434,923 Series 2006-A1, Class 1A1, 1 Mo. LIBOR + 0.46% (a)............... 0.65% 03/25/36 425,639
Lanebrook Mortgage Transaction PLC
GBP 952,044 Series 2021-1, Class X1, SONIA + 2.90% (a)....................... 2.98% 07/20/58 1,272,514
Lehman XS Trust
$ 873,609 Series 2005-7N, Class 1A1A, 1 Mo. LIBOR + 0.54% (a).............. 0.73% 12/25/35 860,346
1,317,342 Series 2006-4N, Class A1D1, 1 Mo. LIBOR + 0.66% (a).............. 0.85% 04/25/46 1,263,560
Page 76 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Lehman XS Trust (Continued)
$ 480,597 Series 2006-10N, Class 1A4A, 1 Mo. LIBOR + 0.60% (a)............. 0.79% 07/25/46 $ 422,085
208,098 Series 2007-12N, Class 1A3A, 1 Mo. LIBOR + 0.20% (a)............. 0.39% 07/25/47 211,880
432,569 Series 2007-16N, Class 1A1, 1 Mo. LIBOR + 0.47% (a).............. 0.66% 09/25/47 435,053
LHOME Mortgage Trust
1,275,000 Series 2021-RTL3, Class A1, steps up to 3.36% on
04/25/24 (d) (g).............................................. 2.36% 09/25/26 1,244,117
Luminent Mortgage Trust
1,408,221 Series 2005-1, Class A1, 1 Mo. LIBOR + 0.52% (a)................. 0.71% 11/25/35 1,389,553
1,021,079 Series 2007-1, Class 1A1, 1 Mo. LIBOR + 0.32% (a)................ 0.51% 11/25/36 996,494
MASTR Adjustable Rate Mortgages Trust
1,186,529 Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average
+ 0.80% (a)................................................... 0.89% 12/25/46 1,080,832
617,508 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.30% (a)................. 0.49% 03/25/47 603,272
1,800,000 Series 2007-HF2, Class A2, 1 Mo. LIBOR + 1.10% (a)............... 1.29% 09/25/37 879,940
PRPM LLC
1,301,642 Series 2021-1, Class A1, steps up to 5.12% on
01/25/24 (d) (g).............................................. 2.12% 01/25/26 1,280,757
1,514,519 Series 2021-3, Class A1, steps up to 4.87% on
04/25/24 (d) (g).............................................. 1.87% 04/25/26 1,474,532
1,405,675 Series 2021-10, Class A1, steps up to 5.49% on
10/25/24 (d) (g).............................................. 2.49% 10/25/26 1,384,496
1,462,555 Series 2021-11, Class A1, steps up to 5.49% on
11/25/24 (d) (g).............................................. 2.49% 11/25/26 1,439,010
RALI Trust
510,710 Series 2005-QO1, Class A1, 1 Mo. LIBOR + 0.30% (a)............... 0.49% 08/25/35 427,031
136,034 Series 2006-QA6, Class A1, 1 Mo. LIBOR + 0.38% (a)............... 0.57% 07/25/36 138,899
3,291,851 Series 2006-QO2, Class A1, 1 Mo. LIBOR + 0.44% (a)............... 0.63% 02/25/46 896,559
226,536 Series 2006-QS7, Class A2........................................ 6.00% 06/25/36 215,757
365,701 Series 2007-QH4, Class A1, 1 Mo. LIBOR + 0.19% (a)............... 0.38% 05/25/37 351,775
423,055 Series 2007-QH9, Class A1 (c).................................... 1.33% 11/25/37 406,118
110,746 Series 2007-QS1, Class 1A4....................................... 6.00% 01/25/37 106,046
197,634 Series 2007-QS2, Class A4........................................ 6.25% 01/25/37 188,821
Residential Asset Securitization Trust
252,494 Series 2006-A8, Class 3A4........................................ 6.00% 08/25/36 168,896
RFMSI Trust
639,749 Series 2006-S10, Class 1A1....................................... 6.00% 10/25/36 620,244
Structured Adjustable Rate Mortgage Loan Trust
810,320 Series 2005-17, Class 3A1 (c).................................... 2.85% 08/25/35 786,395
447,058 Series 2006-12, Class 1A1, 1 Mo. LIBOR + 0.32% (a)............... 0.51% 01/25/37 431,139
Structured Asset Mortgage Investments II Trust
246,243 Series 2005-AR8, Class A2, 12 Mo. Treasury Average + 1.48% (a)... 1.57% 02/25/36 243,267
668,096 Series 2006-AR6, Class 2A1, 1 Mo. LIBOR + 0.38% (a).............. 0.57% 07/25/46 567,048
1,357,930 Series 2006-AR7, Class A1A, 1 Mo. LIBOR + 0.42% (a).............. 0.61% 08/25/36 1,322,019
165,539 Series 2006-AR7, Class A1BG, 1 Mo. LIBOR + 0.12% (a)............. 0.31% 08/25/36 157,147
894,036 Series 2007-AR1, Class 2A1, 1 Mo. LIBOR + 0.18% (a).............. 0.37% 01/25/37 862,279
50,344 Series 2007-AR3, Class 2A1, 1 Mo. LIBOR + 0.19% (a).............. 0.38% 09/25/47 48,514
WaMu Mortgage Pass-Through Certificates Trust
360,822 Series 2005-AR8, Class 2AC2, 1 Mo. LIBOR + 0.92% (a)............. 1.11% 07/25/45 358,340
163,024 Series 2005-AR17, Class A1A2, 1 Mo. LIBOR + 0.58% (a)............ 0.77% 12/25/45 155,490
See Notes to Financial Statements Page 77
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
WaMu Mortgage Pass-Through Certificates Trust (Continued)
$ 59,224 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average +
1.00% (a)..................................................... 1.10% 02/25/46 $ 59,698
991,111 Series 2006-AR17, Class 1A1A, 12 Mo. Treasury Average +
0.81% (a)..................................................... 0.90% 12/25/46 956,487
1,103,987 Series 2007-OA4, Class 1A, 12 Mo. Treasury Average +
0.77% (a)..................................................... 0.87% 05/25/47 1,069,943
Washington Mutual Mortgage Pass-Through Certificates WMALT
678,663 Series 2006-AR6, Class 2A, 12 Mo. Treasury Average +
0.96% (a)..................................................... 1.06% 08/25/46 472,823
905,160 Series 2006-AR10, Class A2A, 1 Mo. LIBOR + 0.34% (a)............. 0.53% 12/25/36 881,459
--------------
47,241,735
--------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 14.6%
BAMLL Commercial Mortgage Securities Trust
105,000 Series 2018-PARK, Class A (c) (d)................................ 4.09% 08/10/38 112,814
BBCMS Mortgage Trust
120,000 Series 2015-SRCH, Class A2 (d)................................... 4.20% 08/10/35 126,930
1,065,000 Series 2020-BID, Class A, 1 Mo. LIBOR + 2.14% (a) (d)............ 2.33% 10/15/37 1,066,292
545,000 Series 2020-BID, Class D, 1 Mo. LIBOR + 4.63% (a) (d)............ 4.82% 10/15/37 546,626
BDS Ltd.
662,000 Series 2020-FL6, Class C, SOFR + 2.36% (a) (d)................... 2.41% 09/15/35 661,768
Benchmark Mortgage Trust
117,000 Series 2020-B18, Class AGNF (d).................................. 4.14% 07/15/53 111,955
BF Mortgage Trust
450,000 Series 2019-NYT, Class A, 1 Mo. LIBOR + 1.20% (a) (d)............ 1.39% 12/15/35 445,799
BFLD Trust
450,000 Series 2020-EYP, Class F, 1 Mo. LIBOR + 4.20% (a) (d)............ 4.39% 10/15/35 442,629
943,000 Series 2020-OBRK, Class A, 1 Mo. LIBOR + 2.05% (a) (d)........... 2.24% 11/15/28 936,851
200,000 Series 2021-FPM, Class B, 1 Mo. LIBOR + 2.50% (a) (d)............ 2.69% 06/15/38 198,461
BPR Trust
286,402 Series 2021-WILL, Class A, 1 Mo. LIBOR + 1.75% (a) (d)........... 1.94% 06/15/38 284,250
BWAY Mortgage Trust
19,065,208 Series 2013-1515, Class XA, IO (c) (d)........................... 0.59% 03/10/33 267,056
BX Commercial Mortgage Trust
35,000 Series 2018-IND, Class G, 1 Mo. LIBOR + 2.05% (a) (d)............ 2.24% 11/15/35 34,787
990,294 Series 2020-FOX, Class F, 1 Mo. LIBOR + 4.25% (a) (d)............ 4.44% 11/15/32 983,909
750,000 Series 2021-SOAR, Class J, 1 Mo. LIBOR + 3.75% (a) (d)........... 3.94% 06/15/38 729,442
850,000 Series 2021-XL2, Class J, 1 Mo. LIBOR + 3.89% (a) (d)............ 4.08% 10/15/38 829,684
BXMT Ltd.
860,000 Series 2020-FL3, Class AS, SOFR + 1.86% (a) (d).................. 1.91% 11/15/37 862,408
CALI Mortgage Trust
100,000 Series 2019-101C, Class A (d).................................... 3.96% 03/10/39 105,600
CAMB Commercial Mortgage Trust
890,000 Series 2019-LIFE, Class G, 1 Mo. LIBOR + 3.25% (a) (d)........... 3.44% 12/15/37 873,539
Citigroup Commercial Mortgage Trust
1,073,057 Series 2012-GC8, Class XA, IO (c) (d)............................ 1.72% 09/10/45 2,319
741,860 Series 2013-GC15, Class XA, IO (c)............................... 0.82% 09/10/46 7,749
4,479,215 Series 2016-P3, Class XA, IO (c)................................. 1.66% 04/15/49 219,447
668,997 Series 2020-WSS, Class A, 1 Mo. LIBOR + 1.95% (a) (d)............ 2.14% 02/15/39 669,970
COMM Mortgage Trust
317,000 Series 2012-CR4, Class AM........................................ 3.25% 10/15/45 316,322
Page 78 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
COMM Mortgage Trust (Continued)
$ 4,635,949 Series 2012-CR4, Class XA, IO (c)................................ 1.68% 10/15/45 $ 24,451
7,411,256 Series 2013-CR12, Class XA, IO (c)............................... 1.10% 10/10/46 106,994
1,109,859 Series 2013-LC13, Class XA, IO (c)............................... 0.99% 08/10/46 13,274
24,576,626 Series 2014-CR14, Class XA, IO (c)............................... 0.54% 02/10/47 222,854
32,690,178 Series 2014-CR16, Class XA, IO (c)............................... 0.95% 04/10/47 571,840
1,584,930 Series 2014-UBS2, Class XA, IO (c)............................... 1.11% 03/10/47 27,820
21,116,159 Series 2014-UBS3, Class XA, IO (c)............................... 1.06% 06/10/47 404,577
11,151,000 Series 2014-UBS3, Class XB, IO (c) (d)........................... 0.32% 06/10/47 76,484
15,931,835 Series 2014-UBS6, Class XA, IO (c)............................... 0.86% 12/10/47 314,840
7,000,000 Series 2015-LC21, Class XE, IO (c) (d)........................... 1.08% 07/10/48 234,570
35,000 Series 2020-CX, Class E (c) (d).................................. 2.68% 11/10/46 30,046
Credit Suisse Mortgage Trust
815,000 Series 2018-SITE, Class A (d).................................... 4.28% 04/15/36 820,507
182,000 Series 2019-UVIL, Class B (c) (d)................................ 3.28% 12/15/41 178,238
800,000 Series 2020-TMIC, Class A, 1 Mo. LIBOR + 3.00%, 3.25%
Floor (a) (d)................................................. 3.25% 12/15/35 797,499
611,000 Series 2021-BPNY, Class A, 1 Mo. LIBOR + 3.71% (a) (d)........... 3.91% 08/15/23 610,156
CSAIL Commercial Mortgage Trust
21,603,050 Series 2015-C2, Class XA, IO (c)................................. 0.74% 06/15/57 408,855
6,087,488 Series 2015-C4, Class XA, IO (c)................................. 0.81% 11/15/48 155,616
2,968,242 Series 2016-C5, Class XA, IO (c)................................. 0.93% 11/15/48 83,118
DBGS Mortgage Trust
548,258 Series 2018-BIOD, Class E, 1 Mo. LIBOR + 1.70% (a) (d)........... 1.83% 05/15/35 542,536
DBUBS Mortgage Trust
120,000 Series 2017-BRBK, Class A (d).................................... 3.45% 10/10/34 121,936
DC Office Trust
75,000 Series 2019-MTC, Class A (d)..................................... 2.97% 09/15/45 74,148
DROP Mortgage Trust
386,000 Series 2021-FILE, Class B, 1 Mo. LIBOR + 1.70% (a) (d)........... 1.89% 04/15/26 380,962
European Loan Conduit DAC
EUR 594,291 Series 36A, Class E, 3 Mo. EURIBOR + 3.35% (a) (d)............... 3.35% 02/17/30 663,961
Frost CMBS DAC
GBP 800,000 Series 2021-1A, Class GBB, SONIA + 1.65% (a) (d)................. 1.84% 11/22/26 1,068,692
GPMT Ltd.
$ 980,383 Series 2021-FL3, Class A, 1 Mo. LIBOR + 1.25% (a) (d)............ 1.39% 07/16/35 981,020
Grace Trust
1,000,000 Series 2020-GRCE, Class X, IO (c) (d)............................ 0.30% 12/10/40 24,625
GS Mortgage Securities Corp. II.................................
5,716,134 Series 2013-GC10, Class XA, IO (c)............................... 1.47% 02/10/46 54,128
450,000 Series 2021-ARDN, Class B, 1 Mo. LIBOR + 1.65% (a) (d)........... 1.84% 11/15/36 450,563
GS Mortgage Securities Corp. Trust
763,434 Series 2019-BOCA, Class A, 1 Mo. LIBOR + 1.20% (a) (d)........... 1.39% 06/15/38 758,125
1,075,000 Series 2020-TWN3, Class A, 1 Mo. LIBOR + 2.00% (a) (d)........... 2.19% 11/15/37 1,074,226
GS Mortgage Securities Trust
158,934 Series 2011-GC5, Class AS (d).................................... 5.16% 08/10/44 159,479
1,967,415 Series 2011-GC5, Class XA, IO (c) (d)............................ 0.00% 08/10/44 19
29,609,502 Series 2015-GC28, Class XA, IO (c)............................... 0.98% 02/10/48 712,224
Hilton USA Trust
700,000 Series 2016-SFP, Class C (d)..................................... 4.12% 11/05/35 699,873
See Notes to Financial Statements Page 79
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Hudson Yards Mortgage Trust
$ 75,000 Series 2019-55HY, Class A (c) (d)................................ 2.94% 12/10/41 $ 74,761
JP Morgan Chase Commercial Mortgage Securities Trust
4,699,441 Series 2013-C16, Class XA, IO (c)................................ 0.86% 12/15/46 53,424
1,856,304 Series 2013-LC11, Class XA, IO (c)............................... 1.23% 04/15/46 19,179
600,511 Series 2014-C20, Class A4A2 (d).................................. 3.54% 07/15/47 603,966
18,351,923 Series 2014-C20, Class XA, IO (c)................................ 0.86% 07/15/47 220,238
800,000 Series 2020-ACE, Class A (d)..................................... 3.29% 01/10/37 797,325
374,000 Series 2021-1440, Class B, 1 Mo. LIBOR + 1.75% (a) (d)........... 1.94% 03/15/36 370,267
JPMBB Commercial Mortgage Securities Trust
975,300 Series 2015-C32, Class XA, IO (c)................................ 1.20% 11/15/48 24,063
JPMCC Commercial Mortgage Securities Trust
11,935,061 Series 2017-JP5, Class XA, IO (c)................................ 0.95% 03/15/50 436,697
JPMDB Commercial Mortgage Securities Trust
6,131,399 Series 2016-C2, Class XA, IO (c)................................. 1.55% 06/15/49 288,690
Last Mile Logistics Pan Euro Finance DAC
EUR 716,788 Series 1A, Class E, 3 Mo. EURIBOR + 2.70% (a) (d)................ 2.70% 08/17/33 797,864
MF1 Ltd.
$ 452,662 Series 2020-FL3, Class A, SOFR + 2.16 (a) (d).................... 2.26% 07/15/35 454,333
1,050,000 Series 2020-FL3, Class C, SOFR + 4.61 (a) (d).................... 4.71% 07/15/35 1,059,618
MHC Commercial Mortgage Trust
205,000 Series 2021-MHC, Class E, 1 Mo. LIBOR + 2.10% (a) (d)............ 2.29% 04/15/38 201,476
Morgan Stanley Bank of America Merrill Lynch Trust
1,842,045 Series 2013-C13, Class XA, IO (c)................................ 0.94% 11/15/46 23,490
4,861,687 Series 2014-C14, Class XA, IO (c)................................ 0.96% 02/15/47 68,175
10,712,279 Series 2015-C20, Class XA, IO (c)................................ 1.26% 02/15/48 292,915
31,279,795 Series 2015-C25, Class XA, IO (c)................................ 1.05% 10/15/48 893,998
MSCG Trust
1,000,000 Series 2018-SELF, Class F, 1 Mo. LIBOR + 3.05% (a) (d)........... 3.24% 10/15/37 981,076
Natixis Commercial Mortgage Securities Trust
435,000 Series 2019-FAME, Class A (d).................................... 3.05% 08/15/36 428,708
One Bryant Park Trust
125,000 Series 2019-OBP, Class A (d)..................................... 2.52% 09/15/54 120,812
One Market Plaza Trust
1,055,000 Series 2017-1MKT, Class C (d).................................... 4.02% 02/10/32 1,049,351
417,000 Series 2017-1MKT, Class D (d).................................... 4.15% 02/10/32 413,165
SFAVE Commercial Mortgage Securities Trust
690,000 Series 2015-5AVE, Class A2A (c) (d).............................. 3.66% 01/05/43 705,857
340,000 Series 2015-5AVE, Class A2B (c) (d).............................. 4.14% 01/05/43 349,088
Shops at Crystals Trust
170,000 Series 2016-CSTL, Class A (d).................................... 3.13% 07/05/36 169,681
SLG Office Trust
385,000 Series 2021-OVA, Class G (d)..................................... 2.85% 07/15/41 299,767
SMRT
105,000,000 Series 2022-MINI, Class XCP, IO (c) (d).......................... 0.70% 01/15/23 635,072
UBS Commercial Mortgage Trust
21,030 Series 2012-C1, Class XA, IO (c) (d)............................. 1.65% 05/10/45 3
UBS-Barclays Commercial Mortgage Trust
4,425,885 Series 2012-C2, Class XA, IO (c) (d)............................. 1.25% 05/10/63 6,211
600,334 Series 2012-C3, Class XA, IO (c) (d)............................. 1.81% 08/10/49 2,781
Page 80 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Wells Fargo Commercial Mortgage Trust
$ 8,666,379 Series 2015-C26, Class XA, IO (c)................................ 1.20% 02/15/48 $ 256,206
14,957,416 Series 2015-C27, Class XA, IO (c)................................ 0.86% 02/15/48 321,291
28,506,114 Series 2015-C28, Class XA, IO (c)................................ 0.60% 05/15/48 455,257
3,484,483 Series 2015-C30, Class XA, IO (c)................................ 0.89% 09/15/58 91,198
1,967,380 Series 2015-LC22, Class XA, IO (c)............................... 0.78% 09/15/58 45,615
6,911,058 Series 2015-NXS3, Class XA, IO (c)............................... 1.01% 09/15/57 187,403
3,907,857 Series 2016-C33, Class XA, IO (c)................................ 1.61% 03/15/59 211,577
5,823,000 Series 2016-C37, Class XEF, IO (c) (d)........................... 1.60% 12/15/49 378,461
WFRBS Commercial Mortgage Trust
598,709 Series 2012-C9, Class XA, IO (c) (d)............................. 1.85% 11/15/45 2,690
3,530,407 Series 2014-C20, Class XA, IO (c)................................ 0.91% 05/15/47 56,033
1,021,330 Series 2014-C22, Class XA, IO (c)................................ 0.79% 09/15/57 16,299
4,925,973 Series 2014-C24, Class XA, IO (c)................................ 0.85% 11/15/47 94,184
30,040,694 Series 2014-LC14, Class XA, IO (c)............................... 1.25% 03/15/47 570,175
--------------
38,213,303
--------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................... 85,455,038
(Cost $86,428,581) --------------
ASSET-BACKED SECURITIES -- 22.8%
Accredited Mortgage Loan Trust
82,183 Series 2005-1, Class M2, 1 Mo. LIBOR + 1.04% (a)................. 1.22% 04/25/35 82,264
ACE Securities Corp. Home Equity Loan Trust
91,473 Series 2006-OP2, Class A1, 1 Mo. LIBOR + 0.16% (a)............... 0.34% 08/25/36 89,365
1,506,629 Series 2007-HE1, Class A1, 1 Mo. LIBOR + 0.30% (a)............... 0.49% 01/25/37 987,743
AGL CLO 7 Ltd.
1,000,000 Series 2020-7A, Class BR, 3 Mo. LIBOR + 1.70% (a) (d)............ 1.94% 07/15/34 1,003,500
AIG CLO Ltd.
320,000 Series 2018-1A, Class BR, 3 Mo. LIBOR + 1.70% (a) (d)............ 1.95% 04/20/32 318,294
Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through Ctfs
290,000 Series 2005-R11, Class M3, 1 Mo. LIBOR + 0.75% (a)............... 0.94% 01/25/36 288,641
AMMC CLO
450,000 Series 2013-13A, Class A1R2, 3 Mo. LIBOR + 1.05% (a) (d)......... 1.32% 07/24/29 449,602
107,959 Series 2016-19A, Class AR, 3 Mo. LIBOR + 1.14% (a) (d)........... 1.38% 10/16/28 108,013
AMSR Trust
605,000 Series 2020-SFR3, Class G (d).................................... 4.99% 09/17/37 603,482
1,776,000 Series 2020-SFR5, Class A (d).................................... 1.38% 11/17/37 1,702,091
Antares CLO Ltd.
1,200,000 Series 2020-1A, Class A1R, 3 Mo. LIBOR + 1.46% (a) (d)........... 1.59% 10/23/33 1,197,502
Ares LXII CLO Ltd.
700,000 Series 2021-62A, Class B, 3 Mo. LIBOR + 1.65% (a) (d)............ 1.87% 01/25/34 700,032
Argent Securities Trust
777,177 Series 2006-M1, Class A2C, 1 Mo. LIBOR + 0.30% (a)............... 0.49% 07/25/36 316,461
Argent Securities, Inc., Asset-Backed Pass-Through Certificates
600,000 Series 2005-W3, Class M2, 1 Mo. LIBOR + 0.69% (a)................ 0.88% 11/25/35 571,138
218,258 Series 2005-W5, Class A2D, 1 Mo. LIBOR + 0.64% (a)............... 0.83% 01/25/36 211,902
Blackrock DLF VIII-L CLO Trust
132,273 Series 2021-1A, Class A, 3 Mo. LIBOR + 1.35% (a) (d)............. 1.59% 04/17/32 132,320
BlueMountain CLO XXX Ltd.
750,000 Series 2020-30A, Class BR, 3 Mo. CME Term SOFR +
1.90% (a) (d)................................................. 2.12% 04/15/35 750,005
See Notes to Financial Statements Page 81
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Boyce Park CLO Ltd.
$ 1,178,571 Series 2022-1A, Class M2, IO (f) (g) (h) (i)..................... 0.00% 04/21/35 $ 0
1,100,000 Series 2022-1A, Class SUB (d) (f) (g) (h)........................ 0.00% 04/21/35 968,000
Carvana Auto Receivables Trust
528,616 Series 2021-N3, Class N (d)...................................... 2.53% 06/12/28 528,624
C-BASS Mortgage Loan Trust
882,721 Series 2007-CB3, Class A3 (g).................................... 3.31% 03/25/37 446,082
1,015,129 Series 2007-CB3, Class A4 (g).................................... 3.31% 03/25/37 512,811
C-BASS Trust
207,365 Series 2006-CB7, Class A5, 1 Mo. LIBOR + 0.24% (a)............... 0.43% 10/25/36 173,252
1,001,917 Series 2007-CB1, Class AF1B (g).................................. 3.18% 01/25/37 426,635
CF Hippolyta LLC
1,086,194 Series 2020-1, Class A1 (d)...................................... 1.69% 07/15/60 1,051,650
CIFC Funding Ltd.
700,000 Series 2022-2A, Class INCB (d) (f) (h)........................... 0.00% 04/19/35 623,700
Citigroup Mortgage Loan Trust, Inc.
156,750 Series 2007-WFH3, Class M1, 1 Mo. LIBOR + 0.26% (a).............. 0.45% 06/25/37 155,111
Cologix Data Centers US Issuer LLC
715,000 Series 2021-1A, Class A2 (d)..................................... 3.30% 12/26/51 707,999
CoreVest American Finance Trust
237,000 Series 2017-1, Class D (d)....................................... 4.36% 10/15/49 237,296
2,967,940 Series 2021-2, Class XA, IO (c) (d).............................. 3.00% 07/15/54 337,678
Credit-Based Asset Servicing and Securitization LLC
148,248 Series 2007-CB6, Class A1, 1 Mo. LIBOR + 0.12% (a) (d)........... 0.31% 07/25/37 116,655
CWABS Asset-Backed Certificates Trust
126,296 Series 2005-1, Class MV6, 1 Mo. LIBOR + 1.10% (a)................ 1.28% 07/25/35 126,506
350,000 Series 2005-17, Class MV2, 1 Mo. LIBOR + 0.72% (a)............... 0.91% 05/25/36 344,706
Dryden CLO Ltd.
615,000 Series 2019-72A, Class BR, 3 Mo. LIBOR + 1.65% (a) (d)........... 2.16% 05/15/32 610,685
Eaton Vance CLO Ltd.
575,000 Series 2019-1A, Class AR, 3 Mo. LIBOR + 1.10% (a) (d)............ 1.34% 04/15/31 576,178
Elmwood CLO VI Ltd.
600,000 Series 2020-3A, Class BR, 3 Mo. LIBOR + 1.65% (a) (d)............ 1.90% 10/20/34 593,585
First Franklin Mortgage Loan Trust
565,000 Series 2006-FF7, Class 2A4, 1 Mo. LIBOR + 0.48% (a).............. 0.67% 05/25/36 530,971
430,531 Series 2006-FF11, Class 2A3, 1 Mo. LIBOR + 0.30% (a)............. 0.49% 08/25/36 421,219
Flexential Issuer
610,000 Series 2021-1A, Class A2 (d)..................................... 3.25% 11/27/51 596,639
Fremont Home Loan Trust
71,278 Series 2005-A, Class M3, 1 Mo. LIBOR + 0.74% (a)................. 0.92% 01/25/35 70,687
GCI Funding I LLC
999,142 Series 2021-1, Class A (d)....................................... 2.38% 06/18/46 973,244
GoldenTree Loan Opportunities IX Ltd.
389,448 Series 2014-9A, Class AR2, 3 Mo. LIBOR + 1.11% (a) (d)........... 1.41% 10/29/29 389,563
Golub Capital Partners CLO L.P.
1,100,000 Series 2021-54A, Class A, 3 Mo. LIBOR + 1.53% (a) (d)............ 1.85% 08/05/33 1,097,947
GPMT Ltd.
900,000 Series 2019-FL2, Class AS, 1 Mo. LIBOR + 1.60% (a) (d)........... 1.77% 02/22/36 896,737
GSAA Home Equity Trust
1,900,000 Series 2007-5, Class 1F3B........................................ 6.00% 05/25/37 237,361
Page 82 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
GSAA Trust
$ 1,522,634 Series 2007-6, Class 3A1A, 1 Mo. LIBOR + 0.42% (a)............... 0.61% 05/25/47 $ 1,243,892
GSAMP Trust
163,611 Series 2005-HE6, Class M2, 1 Mo. LIBOR + 0.68% (a)............... 0.86% 11/25/35 162,705
300,000 Series 2006-HE3, Class A2D, 1 Mo. LIBOR + 0.50% (a).............. 0.69% 05/25/46 294,141
HPS Loan Management Ltd.
1,000,000 Series 15A-19, Class A1R (a) (d) (h)............................. 0.00% 01/22/35 1,000,255
HSI Asset Securitization Corp. Trust
216,529 Series 2006-WMC1, Class A4, 1 Mo. LIBOR + 0.50% (a).............. 0.69% 07/25/36 125,060
ITE Rail Fund Levered L.P.
1,162,528 Series 2021-3A, Class A (d)...................................... 2.21% 06/28/51 1,114,969
JP Morgan Mortgage Acquisition Corp.
157,389 Series 2006-FRE1, Class M1, 1 Mo. LIBOR + 0.59% (a).............. 0.77% 05/25/35 156,996
JP Morgan Mortgage Acquisition Trust
1,474,369 Series 2006-WMC2, Class A4, 1 Mo. LIBOR + 0.30% (a).............. 0.49% 07/25/36 854,860
132,689 Series 2006-WMC4, Class A1A, 1 Mo. LIBOR + 0.13% (a)............. 0.32% 12/25/36 99,300
Lehman XS Trust
373,052 Series 2006-15, Class A4, 1 Mo. LIBOR + 0.34% (a)................ 0.53% 10/25/36 367,774
LoanCore Issuer Ltd.
1,350,000 Series 2018-CRE1, Class AS, 1 Mo. LIBOR + 1.50% (a) (d).......... 1.69% 05/15/28 1,352,042
Long Beach Mortgage Loan Trust
54,905 Series 2005-WL2, Class M2, 1 Mo. LIBOR + 0.74% (a)............... 0.92% 08/25/35 55,492
3,875,112 Series 2006-9, Class 2A4, 1 Mo. LIBOR + 0.23% (a)................ 0.42% 10/25/36 1,619,356
308,931 Series 2006-10, Class 2A3, 1 Mo. LIBOR + 0.16% (a)............... 0.35% 11/25/36 130,536
Madison Park Funding XLV Ltd.
825,000 Series 2020-45A, Class BR, 3 Mo. LIBOR + 1.70% (a) (d)........... 1.94% 07/15/34 825,364
Mastr Asset Backed Securities Trust
370,000 Series 2005-WMC1, Class M5, 1 Mo. LIBOR + 1.01% (a).............. 1.19% 03/25/35 366,955
1,618,578 Series 2006-HE2, Class A3, 1 Mo. LIBOR + 0.30% (a)............... 0.49% 06/25/36 791,371
Merrill Lynch First Franklin Mortgage Loan Trust
366,185 Series 2007-1, Class A1, 1 Mo. LIBOR + 0.14% (a)................. 0.33% 04/25/37 213,154
716,214 Series 2007-3, Class A2B, 1 Mo. LIBOR + 0.13% (a)................ 0.32% 06/25/37 674,953
Merrill Lynch Mortgage Investors Trust
1,223,614 Series 2006-HE6, Class A2B, 1 Mo. LIBOR + 0.30% (a).............. 0.49% 11/25/37 570,976
1,000,000 Series 2006-OPT1, Class A2D, 1 Mo. LIBOR + 0.24% (a)............. 0.43% 08/25/37 919,992
Morgan Stanley Capital I, Inc., Trust
178,411 Series 2006-HE1, Class A4, 1 Mo. LIBOR + 0.58% (a)............... 0.77% 01/25/36 175,816
26,368 Series 2006-NC2, Class A2D, 1 Mo. LIBOR + 0.58% (a).............. 0.77% 02/25/36 26,239
Navient Student Loan Trust
320,000 Series 2015-3, Class B, 1 Mo. LIBOR + 1.50% (a).................. 1.69% 10/25/58 317,380
975,000 Series 2019-3A, Class B, 1 Mo. LIBOR + 1.55% (a) (d)............. 1.74% 07/25/68 975,265
Nelnet Student Loan Trust
371,753 Series 2005-4, Class B, 3 Mo. LIBOR + 0.28% (a).................. 0.49% 09/22/35 340,407
215,000 Series 2014-4A, Class A2, 1 Mo. LIBOR + 0.95% (a) (d)............ 1.14% 11/25/48 217,153
370,000 Series 2015-3A, Class A3, 1 Mo. LIBOR + 0.90% (a) (d)............ 1.09% 06/25/54 362,551
Nomura Home Equity Loan, Inc., Home Equity Loan Trust
33,256 Series 2006-HE1, Class M1, 1 Mo. LIBOR + 0.62% (a)............... 0.80% 02/25/36 33,252
Oakwood Mortgage Investors, Inc.
930,019 Series 1999-C, Class A2.......................................... 7.48% 08/15/27 850,367
582,662 Series 2001-C, Class A2.......................................... 5.92% 06/15/31 91,279
Option One Mortgage Loan Trust
370,099 Series 2007-4, Class 2A3, 1 Mo. LIBOR + 0.24% (a)................ 0.43% 04/25/37 256,840
See Notes to Financial Statements Page 83
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Ownit Mortgage Loan Trust
$ 709,779 Series 2006-6, Class A2C, 1 Mo. LIBOR + 0.32% (a)................ 0.51% 09/25/37 $ 427,686
Palmer Square CLO Ltd.
400,000 Series 2018-1A, Class A1, 3 Mo. LIBOR + 1.03% (a) (d)............ 1.27% 04/18/31 398,906
Park Avenue Institutional Advisers CLO Ltd.
150,000 Series 2018-1A, Class A2R, 3 Mo. LIBOR + 1.60% (a) (d)........... 1.85% 10/20/31 149,161
Park Place Securities Inc Asset-Backed Pass-Through Certificates
312,885 Series 2004-WHQ2, Class M4, 1 Mo. LIBOR + 1.58% (a).............. 1.76% 02/25/35 314,154
338,020 Series 2004-WWF1, Class M5, 1 Mo. LIBOR + 1.80% (a).............. 1.99% 12/25/34 339,480
PRET LLC
1,235,000 Series 2022-RN1, Class A1, steps up to 6.72% on
02/25/25 (d) (f) (g).......................................... 3.72% 07/25/51 1,234,999
Progress Residential Trust
1,169,000 Series 2019-SFR3, Class F (d).................................... 3.87% 09/17/36 1,143,726
RASC Trust
576,000 Series 2005-KS11, Class M3, 1 Mo. LIBOR + 0.66% (a).............. 0.85% 12/25/35 570,439
Rockford Tower CLO Ltd.
775,000 Series 2021-1A, Class A1, 3 Mo. LIBOR + 1.17% (a) (d)............ 1.42% 07/20/34 775,173
Sabey Data Center Issuer LLC
650,000 Series 2020-1, Class A2 (d)...................................... 3.81% 04/20/45 662,395
Saxon Asset Securities Trust
83,383 Series 2005-1, Class M2, 1 Mo. LIBOR + 0.72% (a)................. 0.91% 05/25/35 82,169
Securitized Asset Backed Receivables LLC Trust
1,172,095 Series 2006-CB5, Class A3, 1 Mo. LIBOR + 0.28% (a)............... 0.47% 06/25/36 918,364
77,194 Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.48% (a)............... 0.67% 03/25/36 76,455
388,812 Series 2007-NC2, Class A2B, 1 Mo. LIBOR + 0.14% (a).............. 0.33% 01/25/37 367,950
SLC Student Loan Trust
676,718 Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (a)................ 1.80% 12/15/32 684,790
SLM Student Loan Trust
65,000 Series 2008-4, Class B, 3 Mo. LIBOR + 1.85% (a).................. 2.11% 04/25/73 63,751
662,003 Series 2008-5, Class A4, 3 Mo. LIBOR + 1.70% (a)................. 1.96% 07/25/23 664,120
65,000 Series 2008-5, Class B, 3 Mo. LIBOR + 1.85% (a).................. 2.11% 07/25/73 64,275
581,847 Series 2008-6, Class A4, 3 Mo. LIBOR + 1.10% (a)................. 1.36% 07/25/23 579,810
Small Business Lending Trust
630,000 Series 2019-A, Class D (d)....................................... 6.30% 07/15/26 630,176
Soundview Home Loan Trust
1,441,956 Series 2007-OPT1, Class 1A1, 1 Mo. LIBOR + 0.20% (a)............. 0.39% 06/25/37 1,245,776
359,800 Series 2007-OPT1, Class 2A2, 1 Mo. LIBOR + 0.15% (a)............. 0.34% 06/25/37 303,270
210,566 Series 2007-OPT3, Class 1A1, 1 Mo. LIBOR + 0.17% (a)............. 0.36% 08/25/37 198,025
700,000 Series 2007-OPT3, Class 2A4, 1 Mo. LIBOR + 0.25% (a)............. 0.44% 08/25/37 643,567
Specialty Underwriting & Residential Finance Trust
1,300,611 Series 2006-AB3, Class A2C, 1 Mo. LIBOR + 0.48% (a).............. 0.67% 09/25/37 1,071,868
Stratus CLO Ltd.
925,000 Series 2021-3A, Class SUB (d).................................... 0.00% 12/29/29 870,737
Structured Asset Securities Corp. Mortgage Loan Trust
72,668 Series 2006-OPT1, Class A1, 1 Mo. LIBOR + 0.18% (a).............. 0.37% 04/25/36 72,077
TAL Advantage VII LLC
489,469 Series 2020-1A, Class A (d)...................................... 2.05% 09/20/45 475,114
Textainer Marine Containers VIII Ltd.
865,608 Series 2020-2A, Class A (d)...................................... 2.10% 09/20/45 839,706
87,108 Series 2020-3A, Class A (d)...................................... 2.11% 09/20/45 84,389
Page 84 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
TRESTLES CLO V Ltd.
$ 2,000,000 Series 2021-5A, Class A1, 3 Mo. LIBOR + 1.17% (a) (d)............ 1.33% 10/20/34 $ 2,000,864
TRP LLC
286,833 Series 2021-1, Class A (d)....................................... 2.07% 06/19/51 276,351
VOYA CLO
175,000 Series 2017-2A, Class A2AR, 3 Mo. LIBOR + 1.65% (a) (d).......... 1.89% 06/07/30 175,273
Wachovia Student Loan Trust
829,394 Series 2006-1, Class B, 3 Mo. LIBOR + 0.24% (a) (d).............. 0.50% 04/25/40 776,545
WaMu Asset-Backed Certificates WaMuTrust
1,121,683 Series 2007-HE1, Class 2A4, 1 Mo. LIBOR + 0.23% (a).............. 0.42% 01/25/37 686,742
--------------
TOTAL ASSET-BACKED SECURITIES.................................................................. 59,718,851
(Cost $60,383,910) --------------
U.S. GOVERNMENT AGENCY SECURITIES -- 3.2%
2,770,000 Federal Home Loan Banks............................................. 1.04% 06/14/24 2,746,243
760,000 Federal Home Loan Banks............................................. 1.61% 09/04/24 759,027
760,000 Federal Home Loan Banks............................................. 1.61% 09/04/24 759,028
4,230,000 Federal Home Loan Banks............................................. 1.20% 12/23/24 4,185,045
--------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES........................................................ 8,449,343
(Cost $8,520,000) --------------
U.S. GOVERNMENT BONDS AND NOTES -- 1.6%
960,000 U.S. Treasury Bond.................................................. 2.00% 11/15/41 917,100
645,000 U.S. Treasury Bond.................................................. 2.25% 02/15/52 654,826
80,000 U.S. Treasury Note.................................................. 1.88% 02/28/27 80,606
2,455,000 U.S. Treasury Note.................................................. 1.88% 02/15/32 2,463,631
--------------
TOTAL U.S. GOVERNMENT BONDS AND NOTES.......................................................... 4,116,163
(Cost $4,114,529) --------------
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES -- 1.0%
JAPAN -- 1.0%
320,000,000 Japan Treasury Discount Bill, Series 1041 (JPY)..................... (b) 03/07/22 2,783,502
--------------
Total Foreign Sovereign Bonds.................................................................. 2,783,502
(Cost $2,815,622) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. TREASURY BILLS -- 33.6%
$ 11,540,000 U.S. Treasury Bill.................................................. (b) 04/07/22 11,538,870
1,090,000 U.S. Treasury Bill.................................................. (b) 05/26/22 1,089,219
760,000 U.S. Treasury Bill.................................................. (b) 06/09/22 759,229
17,740,000 U.S. Treasury Bill.................................................. (b) 06/23/22 17,715,516
9,565,000 U.S. Treasury Bill.................................................. (b) 07/07/22 9,547,820
14,325,000 U.S. Treasury Bill.................................................. (b) 07/21/22 14,294,865
See Notes to Financial Statements Page 85
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. TREASURY BILLS (CONTINUED)
$ 14,605,000 U.S. Treasury Bill.................................................. (b) 07/28/22 $ 14,570,786
7,980,000 U.S. Treasury Bill.................................................. (b) 08/18/22 7,955,920
10,400,000 U.S. Treasury Bill.................................................. (b) 08/25/22 10,367,019
--------------
TOTAL U.S. TREASURY BILLS...................................................................... 87,839,244
(Cost $87,884,168) --------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 4.9%
12,743,431 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 0.01% (j)..... 12,743,431
(Cost $12,743,431) --------------
TOTAL INVESTMENTS -- 160.7%.................................................................... 420,325,838
(Cost $421,998,771) --------------
NET OTHER ASSETS AND LIABILITIES -- (60.7)%.................................................... (158,838,204)
--------------
NET ASSETS -- 100.0%........................................................................... $ 261,487,634
==============
FORWARD FOREIGN CURRENCY CONTRACTS AT FEBRUARY 28, 2022 (See Note 2E - Forward Foreign Currency Contracts in the Notes to
Financial Statements):
PURCHASE VALUE SALE VALUE UNREALIZED
SETTLEMENT AMOUNT AMOUNT AS OF AS OF APPRECIATION
DATE COUNTERPARTY PURCHASED SOLD 2/28/2022 2/28/2022 (DEPRECIATION)
-------------- -------------- ----------------- ------------------ ---------------- ---------------- --------------
04/08/2022 GS GBP 176,000 USD 237,593 $ 236,169 $ 237,593 $ (1,424)
04/08/2022 Citi USD 676,391 EUR 595,000 676,391 668,251 8,140
04/08/2022 GS USD 824,970 EUR 728,000 824,970 817,624 7,346
04/08/2022 GS USD 2,585,321 GBP 1,927,000 2,585,321 2,585,779 (458)
03/07/2022 GS USD 2,819,016 JPY 320,000,000 2,819,016 2,783,948 35,068
--------------
Net Unrealized Appreciation (Depreciation) $ 48,672
==============
Counterparty Abbreviations:
GS - Goldman Sachs and Co.
Citi - Citigroup Global Markets
FUTURES CONTRACTS AT FEBRUARY 28, 2022 (See Note 2D - Futures Contracts in the
Notes to Financial Statements):
UNREALIZED
APPRECIATION
NUMBER OF (DEPRECIATION)/
FUTURES CONTRACTS POSITION CONTRACTS EXPIRATION DATE NOTIONAL VALUE VALUE
---------------------------------- -------------- --------------- ------------------ ----------------- --------------
U.S. 2-Year Treasury Notes Long 69 Jun-2022 $ 14,850,633 $ 48,351
U.S. 5-Year Treasury Notes Long 156 Jun-2022 18,451,875 45,994
Ultra 10-Year U.S. Treasury Notes Long 62 Jun-2022 8,762,344 115,538
Ultra U.S. Treasury Bond Futures Short 5 Jun-2022 (929,688) (8,980)
-------------- --------------
$ 41,135,164 $ 200,903
============== ==============
(a) Floating or variable rate security.
(b) Zero coupon security.
(c) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.
Page 86 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
(d) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, (the "1933 Act") as amended, and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P.,
the Fund's Advisor. Although market instability can result in periods of
increased overall market illiquidity, liquidity for each security is
determined based on security specific factors and assumptions, which
require subjective judgment. At February 28, 2022, securities noted as
such amounted to $76,349,609 or 29.2% of net assets.
(e) All or a portion of this security is part of a mortgage dollar roll
agreement (see Note 2K - Mortgage Dollar Rolls in the Notes to Financial
Statements).
(f) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940, as
amended. At February 28, 2022, securities noted as such are valued at
$2,826,699 or 1.1% of net assets.
(g) Step-up security. A security where the coupon increases or steps up at a
predetermined date.
(h) When-issued security. The interest rate shown reflects the rate in effect
at February 28, 2022. Interest will begin accruing on the security's first
settlement date.
(i) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the 1933 Act,
and may be resold in transactions exempt from registration, normally to
qualified institutional buyers (see Note 2C - Restricted Securities in the
Notes to Financial Statements).
(j) Rate shown reflects yield as of February 28, 2022.
CME - Chicago Mercantile Exchange
EURIBOR - Euro Interbank Offered Rate
IO - Interest-Only Security - Principal amount shown represents par value
on which interest payments are based.
LIBOR - London Interbank Offered Rate
PO - Principal-Only Security
SOFR - Secured Overnight Financing Rate
SONIA - Sterling Overnight Index Average
TBA - To-Be-Announced Security
Currency Abbreviations:
GBP - British Pound Sterling
EUR - Euro
JPY - Japanese Yen
USD - United States Dollar
See Notes to Financial Statements Page 87
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------- --------------- ---------------- ----------------
U.S. Government Agency Mortgage-Backed Securities.... $ 159,220,266 $ -- $ 159,220,266 $ --
Mortgage-Backed Securities........................... 85,455,038 -- 85,455,038 --
Asset-Backed Securities.............................. 59,718,851 -- 59,718,851 --
U.S. Government Agency Securities.................... 8,449,343 -- 8,449,343 --
U.S. Government Bonds and Notes...................... 4,116,163 -- 4,116,163 --
Foreign Sovereign Bonds and Notes*................... 2,783,502 -- 2,783,502 --
U.S. Treasury Bills.................................. 87,839,244 -- 87,839,244 --
Money Market Funds................................... 12,743,431 12,743,431 -- --
---------------- --------------- ---------------- ----------------
Total Investments.................................... 420,325,838 12,743,431 407,582,407 --
Forward Foreign Currency Contracts................... 50,554 -- 50,554 --
Futures Contracts**.................................. 209,883 209,883 -- --
---------------- --------------- ---------------- ----------------
Total................................................ $ 420,586,275 $ 12,953,314 $ 407,632,961 $ --
================ =============== ================ ================
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------- --------------- ---------------- ----------------
Forward Foreign Currency Contracts................... $ (1,882) $ -- $ (1,882) $ --
Futures Contracts**.................................. (8,980) (8,980) -- --
---------------- --------------- ---------------- ----------------
Total................................................ $ (10,862) $ (8,980) $ (1,882) $ --
================ =============== ================ ================
* See Portfolio of Investments for country breakout.
** Includes cumulative appreciation/depreciation on futures contracts as
reported in the Futures Contracts table. Only the current day's variation
margin is presented on the Statements of Assets and Liabilities.
Page 88 See Notes to Financial Statements
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES -- 64.3%
ANGOLA -- 2.8%
250,000 Angolan Government International Bond (USD) (a)..................... 8.25% 05/09/28 $ 249,687
--------------
ARGENTINA -- 1.3%
66,836 Argentine Republic Government International Bond, steps up to
1.50% on 07/10/22 (USD) (b)...................................... 1.13% 07/09/35 20,007
143,894 Argentine Republic Government International Bond, steps up to
3.50% on 07/10/22 (USD) (b)...................................... 2.50% 07/09/41 49,269
128,605 Argentine Republic Government International Bond, steps up to
3.88% on 07/10/22 (USD) (b)...................................... 2.00% 01/09/38 47,916
--------------
117,192
--------------
BAHRAIN -- 2.1%
200,000 Bahrain Government International Bond (USD) (c)..................... 5.45% 09/16/32 184,870
--------------
BRAZIL -- 2.1%
200,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 187,262
--------------
CAYMAN ISLANDS -- 2.2%
200,000 KSA Sukuk Ltd. (USD) (a)............................................ 2.25% 05/17/31 193,207
--------------
CHILE -- 3.2%
300,000 Chile Government International Bond (USD)........................... 2.55% 01/27/32 283,125
--------------
DOMINICAN REPUBLIC -- 4.1%
250,000 Dominican Republic International Bond (USD) (a)..................... 4.88% 09/23/32 228,127
150,000 Dominican Republic International Bond (USD) (a)..................... 5.30% 01/21/41 129,189
--------------
357,316
--------------
ECUADOR -- 1.8%
154,000 Ecuador Government International Bond, steps up to 2.50% on
08/01/22 (USD) (a) (b)........................................... 1.00% 07/31/35 108,572
55,700 Ecuador Government International Bond, steps up to 5.50% on
08/01/22 (USD) (b) (c)........................................... 5.00% 07/31/30 48,946
--------------
157,518
--------------
EGYPT -- 3.0%
300,000 Egypt Government International Bond (USD) (c)....................... 6.59% 02/21/28 268,547
--------------
GABON -- 2.1%
200,000 Gabon Government International Bond (USD) (c)....................... 6.63% 02/06/31 182,570
--------------
GUATEMALA -- 2.1%
200,000 Guatemala Government Bond (USD) (a)................................. 4.65% 10/07/41 183,752
--------------
HUNGARY -- 2.0%
200,000 Hungary Government International Bond (USD) (a)..................... 2.13% 09/22/31 180,624
--------------
INDONESIA -- 2.2%
200,000 Perusahaan Penerbit SBSN Indonesia III (USD) (a).................... 3.80% 06/23/50 189,750
--------------
IRAQ -- 2.1%
187,500 Iraq International Bond (USD) (c)................................... 5.80% 01/15/28 180,648
--------------
MEXICO -- 5.3%
200,000 Mexico Government International Bond (USD).......................... 3.50% 02/12/34 188,830
300,000 Mexico Government International Bond (USD).......................... 4.28% 08/14/41 282,183
--------------
471,013
--------------
See Notes to Financial Statements Page 89
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
NIGERIA -- 1.9%
200,000 Nigeria Government International Bond (USD) (a)..................... 7.70% 02/23/38 $ 169,170
--------------
PAKISTAN -- 2.1%
200,000 Pakistan Government International Bond (USD) (c).................... 6.88% 12/05/27 186,500
--------------
PANAMA -- 3.0%
300,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 265,329
--------------
PERU -- 2.7%
200,000 Peruvian Government International Bond (USD)........................ 3.00% 01/15/34 185,272
57,000 Peruvian Government International Bond (USD)........................ 3.30% 03/11/41 50,990
--------------
236,262
--------------
PHILIPPINES -- 2.1%
200,000 Philippine Government International Bond (USD)...................... 1.95% 01/06/32 180,935
--------------
QATAR -- 2.5%
200,000 Qatar Government International Bond (USD) (a)....................... 3.75% 04/16/30 216,261
--------------
ROMANIA -- 1.3%
70,000 Romanian Government International Bond (USD) (a).................... 3.00% 02/27/27 68,403
54,000 Romanian Government International Bond (USD) (a).................... 3.00% 02/14/31 49,593
--------------
117,996
--------------
SAUDI ARABIA -- 2.4%
225,000 Saudi Government International Bond (USD) (a)....................... 2.25% 02/02/33 212,119
--------------
TURKEY -- 2.0%
200,000 Turkey Government International Bond (USD).......................... 4.25% 04/14/26 178,556
--------------
UKRAINE -- 1.0%
250,000 Ukraine Government International Bond (USD) (c)..................... 7.75% 09/01/27 88,062
--------------
UNITED ARAB EMIRATES -- 2.7%
250,000 Abu Dhabi Government International Bond (USD) (c)................... 1.70% 03/02/31 233,778
--------------
URUGUAY -- 2.2%
119,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 130,812
55,000 Uruguay Government International Bond (USD)......................... 4.98% 04/20/55 65,244
--------------
196,056
--------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 5,668,105
(Cost $6,277,527) --------------
FOREIGN CORPORATE BONDS AND NOTES -- 30.5%
ELECTRIC -- 2.3%
200,000 Eskom Holdings SOC Ltd. (USD) (c)................................... 6.35% 08/10/28 204,410
--------------
ENGINEERING & CONSTRUCTION -- 2.7%
250,000 India Airport Infra (USD) (a)....................................... 6.25% 10/25/25 238,273
--------------
MINING -- 3.8%
45,000 Freeport-McMoRan, Inc. (USD)........................................ 4.63% 08/01/30 46,524
275,000 Indonesia Asahan Aluminium Persero PT (USD) (a)..................... 5.45% 05/15/30 291,143
--------------
337,667
--------------
Page 90 See Notes to Financial Statements
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
OIL & GAS -- 15.1%
55,000 Ecopetrol S.A. (USD)................................................ 5.88% 11/02/51 $ 46,452
200,000 Gran Tierra Energy, Inc. (USD) (c).................................. 7.75% 05/23/27 180,591
200,000 KazMunayGas National Co. JSC (USD) (a).............................. 3.50% 04/14/33 182,385
200,000 MC Brazil Downstream Trading S.A.R.L. (USD) (a)..................... 7.25% 06/30/31 185,764
200,000 OQ SAOC (USD) (c)................................................... 5.13% 05/06/28 199,607
124,000 Petroleos Mexicanos (USD)........................................... 5.95% 01/28/31 116,297
250,000 Petroleos Mexicanos (USD)........................................... 6.63% 06/15/35 226,812
200,000 Qatar Energy (USD) (a).............................................. 2.25% 07/12/31 188,752
--------------
1,326,660
--------------
PIPELINES -- 2.1%
200,000 Galaxy Pipeline Assets Bidco Ltd. (USD) (a)......................... 2.94% 09/30/40 184,643
--------------
TELECOMMUNICATIONS -- 4.5%
200,000 C&W Senior Financing DAC (USD) (a).................................. 6.88% 09/15/27 207,632
200,000 Millicom International Cellular S.A. (USD) (c)...................... 4.50% 04/27/31 187,420
--------------
395,052
--------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 2,686,705
(Cost $2,832,609) --------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 3.7%
324,967 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 0.01% (d)..... 324,967
(Cost $324,967) --------------
TOTAL INVESTMENTS -- 98.5%..................................................................... 8,679,777
(Cost $9,435,103)
NET OTHER ASSETS AND LIABILITIES -- 1.5%....................................................... 133,236
--------------
NET ASSETS -- 100.0%........................................................................... $ 8,813,013
==============
(a) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended (the "1933 Act"), and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P.,
the Fund's Advisor. Although market instability can result in periods of
increased overall market illiquidity, liquidity for each security is
determined based on security specific factors and assumptions, which
require subjective judgment. At February 28, 2022, securities noted as
such amounted to $3,657,046 or 41.5% of net assets.
(b) Step-up security. A security where the coupon increases or steps up at a
predetermined date.
(c) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.
(d) Rate shown reflects yield as of February 28, 2022.
Currency Abbreviations:
USD - United States Dollar
See Notes to Financial Statements Page 91
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------- --------------- ---------------- ----------------
Foreign Sovereign Bonds and Notes*................... $ 5,668,105 $ -- $ 5,668,105 $ --
Foreign Corporate Bonds and Notes**.................. 2,686,705 -- 2,686,705 --
Money Market Funds................................... 324,967 324,967 -- --
---------------- --------------- ---------------- ----------------
Total Investments.................................... $ 8,679,777 $ 324,967 $ 8,354,810 $ --
================ =============== ================ ================
* See Portfolio of Investments for country breakout.
** See Portfolio of Investments for industry breakout.
Page 92 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 28, 2022 (UNAUDITED)
FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW
OPPORTUNISTIC UNCONSTRAINED SECURITIZED EMERGING
FIXED INCOME PLUS BOND PLUS MARKETS DEBT
ETF ETF ETF ETF
(FIXD) (UCON) (DEED) (EFIX)
--------------- --------------- --------------- ---------------
ASSETS:
Investments, at value.............................. $ 6,101,023,424 $ 1,226,042,939 $ 420,325,838 $ 8,679,777
Options contracts purchased, at value.............. 3,225,844 -- -- --
Swaptions contracts purchased, at value............ 755,775 -- -- --
Swap contracts, at value........................... 2,211,284 331,723 -- --
Cash............................................... 14,310,012 220,795 -- 7,198
Cash segregated as collateral for open futures
contracts....................................... 13,277,000 3,771,576 455,000 --
Cash segregated as collateral for open swap
contracts....................................... 11,544,007 2,275,084 -- --
Unrealized appreciation on forward foreign
currency contracts.............................. 141,367 -- 50,554 --
Due from authorized participant.................... -- 40,250 -- --
Receivables:
Investment securities sold...................... 651,265,204 100,134,881 88,327,434 42,729
Interest........................................ 19,122,996 6,029,650 690,457 97,058
Capital shares sold............................. 15,442,018 1,289,889 -- --
Variation margin................................ 54,359 -- 277,484 --
Dividends....................................... 644 104 58 2
Reclaims........................................ -- -- 1,177 --
--------------- --------------- --------------- ---------------
Total Assets................................. 6,832,373,934 1,340,136,891 510,128,002 8,826,764
--------------- --------------- --------------- ---------------
LIABILITIES:
Options contracts written, at value................ 8,488,888 -- -- --
Swap contracts, at value........................... 7,916,258 1,009,100 -- --
Unrealized depreciation on forward foreign
currency contracts.............................. 922,214 -- 1,882 --
Payables:
Investment securities purchased................. 1,845,305,777 259,165,720 248,497,002 7,198
Investment advisory fees........................ 2,069,388 592,112 141,484 6,553
Variation margin................................ -- 1,754,317 -- --
Other liabilities.................................. -- 472,274 -- --
--------------- --------------- --------------- ---------------
Total Liabilities............................ 1,864,702,525 262,993,523 248,640,368 13,751
--------------- --------------- --------------- ---------------
NET ASSETS......................................... $ 4,967,671,409 $ 1,077,143,368 $ 261,487,634 $ 8,813,013
=============== =============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital.................................... $ 5,195,067,556 $ 1,097,773,681 $ 271,127,641 $ 10,834,139
Par value.......................................... 966,500 417,500 104,500 5,000
Accumulated distributable earnings (loss).......... (228,362,647) (21,047,813) (9,744,507) (2,026,126)
--------------- --------------- --------------- ---------------
NET ASSETS......................................... $ 4,967,671,409 $ 1,077,143,368 $ 261,487,634 $ 8,813,013
=============== =============== =============== ===============
NET ASSET VALUE, per share......................... $ 51.40 $ 25.80 $ 25.02 $ 17.63
=============== =============== =============== ===============
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)... 96,650,002 41,750,002 10,450,002 500,002
=============== =============== =============== ===============
Investments, at cost............................... $ 6,192,039,671 $ 1,242,773,780 $ 421,998,771 $ 9,435,103
=============== =============== =============== ===============
Premiums paid on options contracts purchased....... $ 3,937,830 $ -- $ -- $ --
=============== =============== =============== ===============
Premiums paid on swaptions contracts purchased..... $ 571,710 $ -- $ -- $ --
=============== =============== =============== ===============
Premiums received on options contracts written..... $ 9,063,889 $ -- $ -- $ --
=============== =============== =============== ===============
See Notes to Financial Statements Page 93
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2022 (UNAUDITED)
FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW
OPPORTUNISTIC UNCONSTRAINED SECURITIZED EMERGING
FIXED INCOME PLUS BOND PLUS MARKETS DEBT
ETF ETF ETF ETF
(FIXD) (UCON) (DEED) (EFIX)
--------------- --------------- --------------- ---------------
INVESTMENT INCOME:
Interest........................................... $ 43,735,098 $ 10,477,196 $ 2,475,362 $ 411,244
Dividends.......................................... 4,748 788 6,858 17
--------------- --------------- --------------- ---------------
Total investment income......................... 43,739,846 10,477,984 2,482,220 411,261
--------------- --------------- --------------- ---------------
EXPENSES:
Investment advisory fees........................... 16,791,268 3,403,652 1,023,030 83,467
--------------- --------------- --------------- ---------------
Total expenses.................................. 16,791,268 3,403,652 1,023,030 83,467
Less fees waived by the investment advisor...... (2,583,272) (400,430) (136,404) (8,786)
--------------- --------------- --------------- ---------------
Net expenses.................................... 14,207,996 3,003,222 886,626 74,681
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS)....................... 29,531,850 7,474,762 1,595,594 336,580
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments..................................... (92,361,233) (4,380,604) (7,614,306) (1,089,264)
Purchased options contracts..................... 2,722,450 -- -- --
Written options contracts....................... (4,834,277) -- -- --
Forward foreign currency contracts.............. 3,271,313 133,665 7,755 --
Futures contracts............................... 365,592 2,004,705 (146,887) --
Swap contracts.................................. -- 66,809 -- --
Foreign currency transactions................... (313,378) (115,165) 15,197 (3,448)
--------------- --------------- --------------- ---------------
Net realized gain (loss)........................... (91,149,533) (2,290,590) (7,738,241) (1,092,712)
--------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation) on:
Investments..................................... (148,125,694) (22,425,459) (2,571,543) (816,386)
Purchased swaptions contracts................... 228,386 -- -- --
Purchased options contracts..................... (846,134) -- -- --
Written options contracts....................... 552,329 -- -- --
Forward foreign currency contracts.............. (780,847) -- 47,658 --
Futures contracts............................... 33,370 (1,529,017) 205,578 --
Swap contracts.................................. (5,400,073) (645,488) -- --
Foreign currency translation.................... 124 -- (118) 140
--------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation).................................. (154,338,539) (24,599,964) (2,318,425) (816,246)
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED
GAIN (LOSS)..................................... (245,488,072) (26,890,554) (10,056,666) (1,908,958)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS....................... $ (215,956,222) $ (19,415,792) $ (8,461,072) $ (1,572,378)
=============== =============== =============== ===============
Page 94 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST TCW FIRST TRUST TCW
OPPORTUNISTIC FIXED UNCONSTRAINED
INCOME ETF PLUS BOND ETF
(FIXD) (UCON)
---------------------------------- ----------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
2/28/2022 ENDED 2/28/2022 ENDED
(UNAUDITED) 8/31/2021 (UNAUDITED) 8/31/2021
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............................. $ 29,531,850 $ 64,284,996 $ 7,474,762 $ 6,253,847
Net realized gain (loss).................................. (91,149,533) (18,394,631) (2,290,590) 5,247,642
Net change in unrealized appreciation (depreciation)...... (154,338,539) (9,964,130) (24,599,964) (817,200)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
operations............................................. (215,956,222) 35,926,235 (19,415,792) 10,684,289
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (36,492,876) (135,544,495) (7,630,091) (8,311,326)
Return of capital......................................... -- (3,126,328) -- --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders....................... (36,492,876) (138,670,823) (7,630,091) (8,311,326)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 176,392,658 1,797,708,750 495,871,945 401,649,334
Cost of shares redeemed................................... (253,939,623) (37,801,569) -- --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................... (77,546,965) 1,759,907,181 495,871,945 401,649,334
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets................... (329,996,063) 1,657,162,593 468,826,062 404,022,297
NET ASSETS:
Beginning of period....................................... 5,297,667,472 3,640,504,879 608,317,306 204,295,009
---------------- ---------------- ---------------- ----------------
End of period............................................. $ 4,967,671,409 $ 5,297,667,472 $ 1,077,143,368 $ 608,317,306
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 98,150,002 66,000,002 22,900,002 7,800,002
Shares sold............................................... 3,350,000 32,850,000 18,850,000 15,100,000
Shares redeemed........................................... (4,850,000) (700,000) -- --
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period......................... 96,650,002 98,150,002 41,750,002 22,900,002
================ ================ ================ ================
See Notes to Financial Statements Page 95
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST TCW FIRST TRUST TCW
SECURITIZED EMERGING MARKETS
PLUS ETF DEBT ETF
(DEED) (EFIX)
---------------------------------- ----------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED PERIOD
2/28/2022 ENDED 2/28/2022 ENDED
(UNAUDITED) 8/31/2021 (UNAUDITED) 8/31/2021 (a)
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............................. $ 1,595,594 $ 790,516 $ 336,580 $ 393,399
Net realized gain (loss).................................. (7,738,241) 1,584,680 (1,092,712) (111,065)
Net change in unrealized appreciation (depreciation)...... (2,318,425) 204,936 (816,246) 60,920
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
operations............................................. (8,461,072) 2,580,132 (1,572,378) 343,254
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (3,105,925) (1,603,367) (369,501) (427,501)
Return of capital......................................... -- -- -- --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders....................... (3,105,925) (1,603,367) (369,501) (427,501)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 84,173,406 203,281,137 -- 20,034,040
Cost of shares redeemed................................... (38,662,945) (2,590,248) (9,194,901) --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................... 45,510,461 200,690,889 (9,194,901) 20,034,040
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets................... 33,943,464 201,667,654 (11,136,780) 19,949,793
NET ASSETS:
Beginning of period....................................... 227,544,170 25,876,516 19,949,793 --
---------------- ---------------- ---------------- ----------------
End of period............................................. $ 261,487,634 $ 227,544,170 $ 8,813,013 $ 19,949,793
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 8,750,002 1,000,002 1,000,002 --
Shares sold............................................... 3,250,000 7,850,000 -- 1,000,002
Shares redeemed........................................... (1,550,000) (100,000) (500,000) --
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period......................... 10,450,002 8,750,002 500,002 1,000,002
================ ================ ================ ================
(a) Inception date is February 17, 2021, which is consistent with the
commencement of investment operations and is the date the initial creation
units were established.
Page 96 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31, PERIOD
2/28/2022 --------------------------------------------------------- ENDED
(UNAUDITED) 2021 2020 2019 2018 8/31/2017 (a)
------------ ------------ ------------ ------------ ------------ --------------
Net asset value, beginning of period... $ 53.98 $ 55.16 $ 52.97 $ 49.40 $ 51.01 $ 50.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)........... 0.30 0.76 1.06 1.39 1.15 0.49
Net realized and unrealized
gain (loss)......................... (2.51) (0.34) 2.85 3.63 (1.46) 1.12
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations....... (2.21) 0.42 3.91 5.02 (0.31) 1.61
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income.................. (0.37) (0.81) (1.12) (1.45) (1.30) (0.60)
Net realized gain...................... -- (0.75) (0.60) -- (0.00) (b) --
Return of capital...................... -- (0.04) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions.................... (0.37) (1.60) (1.72) (1.45) (1.30) (0.60)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period......... $ 51.40 $ 53.98 $ 55.16 $ 52.97 $ 49.40 $ 51.01
========== ========== ========== ========== ========== ==========
TOTAL RETURN (c)....................... (4.11)% 0.77% 7.57% 10.33% (0.57)% 3.23%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)... $4,967,671 $5,297,667 $3,640,505 $ 900,459 $ 318,605 $ 51,101
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets.............................. 0.65% (d) 0.65% 0.65% 0.65% 0.65% 0.65% (d)
Ratio of net expenses to average net
assets.............................. 0.55% (d) 0.55% 0.55% 0.55% 0.55% 0.55% (d)
Ratio of net investment income (loss)
to average net assets............... 1.14% (d) 1.34% 1.61% 2.69% 2.29% 1.81% (d)
Portfolio turnover rate (e) (f)........ 214% 497% 431% 246% 358% 231%
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31, PERIOD
2/28/2022 ------------------------------------------ ENDED
(UNAUDITED) 2021 2020 2019 8/31/2018 (a)
------------ ------------ ------------ ------------ --------------
Net asset value, beginning of period.................. $ 26.56 $ 26.19 $ 25.79 $ 25.12 $ 25.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).......................... 0.23 0.53 0.75 0.77 0.17
Net realized and unrealized gain (loss)............... (0.74) 0.52 0.50 0.75 0.10
---------- ---------- ---------- ---------- ----------
Total from investment operations...................... (0.51) 1.05 1.25 1.52 0.27
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................................. (0.24) (0.51) (0.85) (0.81) (0.15)
Net realized gain..................................... (0.01) (0.17) -- (0.04) --
---------- ---------- ---------- ---------- ----------
Total distributions................................... (0.25) (0.68) (0.85) (0.85) (0.15)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period........................ $ 25.80 $ 26.56 $ 26.19 $ 25.79 $ 25.12
========== ========== ========== ========== ==========
TOTAL RETURN (c)...................................... (1.94)% 4.04% 4.97% 6.15% 1.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................. $1,077,143 $ 608,317 $ 204,295 $ 207,606 $ 25,125
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets......... 0.85% (d) 0.85% 0.85% 0.85% 0.85% (d)
Ratio of net expenses to average net assets........... 0.75% (d) 0.75% 0.75% 0.75% 0.75% (d)
Ratio of net investment income (loss) to average net
assets............................................. 1.87% (d) 1.90% 2.88% 3.16% 2.68% (d)
Portfolio turnover rate (e)........................... 82% (g) 190% (g) 111% (g) 40% (g) 70%
(a) Inception dates for FIXD and UCON are February 14, 2017 and June 4, 2018,
respectively, which are consistent with the respective Fund's commencement
of investment operations and are the dates the initial creation units were
established.
(b) Amount is less than $0.01.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(f) The portfolio turnover rate not including mortgage dollar rolls was 131%,
282%, 270%, 223%, 241% and 158% for the periods ending February 28, 2022,
August 31, 2021, August 31, 2020, August 31, 2019, August 31, 2018 and
August 31, 2017, respectively.
(g) The portfolio turnover rate not including mortgage dollar rolls was 16%,
40%, 67% and 39% for the periods ending February 28, 2022, August 31,
2021, August 31, 2020, and August 31, 2019, respectively.
See Notes to Financial Statements Page 97
FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
SIX MONTHS
ENDED YEAR PERIOD
2/28/2022 ENDED ENDED
(UNAUDITED) 8/31/2021 8/31/2020 (a)
------------ ------------ --------------
Net asset value, beginning of period.................. $ 26.01 $ 25.88 $ 25.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).......................... 0.14 0.28 0.08
Net realized and unrealized gain (loss)............... (0.85) 0.47 0.87
---------- ---------- ----------
Total from investment operations...................... (0.71) 0.75 0.95
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................................. (0.21) (0.29) (0.07)
Net realized gain..................................... (0.07) (0.33) --
---------- ---------- ----------
Total distributions................................... (0.28) (0.62) (0.07)
---------- ---------- ----------
Net asset value, end of period........................ $ 25.02 $ 26.01 $ 25.88
========== ========== ==========
TOTAL RETURN (b)...................................... (2.75)% 2.93% 3.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................. $ 261,488 $ 227,544 $ 25,877
Ratios to average net assets:
Ratio of total expenses to average net assets......... 0.75% (c) 0.75% 0.75% (c)
Ratio of net expenses to average net assets........... 0.65% (c) 0.65% 0.65% (c)
Ratio of net investment income (loss) to average net
assets............................................. 1.17% (c) 0.98% 0.94% (c)
Portfolio turnover rate (d) (e)....................... 346% 678% 186%
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
SIX MONTHS
ENDED PERIOD
2/28/2022 ENDED
(UNAUDITED) 8/31/2021 (a)
------------ --------------
Net asset value, beginning of period.................. $ 19.95 $ 20.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).......................... 0.34 0.40
Net realized and unrealized gain (loss)............... (2.26) (0.02)
---------- ----------
Total from investment operations...................... (1.92) 0.38
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................................. (0.40) (0.43)
---------- ----------
Net asset value, end of period........................ $ 17.63 $ 19.95
========== ==========
TOTAL RETURN (b)...................................... (9.71)% 1.93%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................. $ 8,813 $ 19,950
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets......... 0.95% (c) 0.95% (c)
Ratio of net expenses to average net assets........... 0.85% (c) 0.85% (c)
Ratio of net investment income (loss) to average net
assets............................................. 3.83% (c) 3.75% (c)
Portfolio turnover rate (d)........................... 64% 100%
(a) Inception dates for DEED and EFIX are April 29, 2020 and February 17,
2021, respectively, which are consistent with the respective Fund's
commencement of investment operations and are the dates the initial
creation units were established.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived by the investment advisor.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(e) The portfolio turnover rate not including mortgage dollar rolls was 180%,
299% and 21% for the periods ending February 28, 2022, August 31, 2021 and
August 31, 2020, respectively.
Page 98 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
1. ORGANIZATION
First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on February 22,
2016, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of fifty-five funds that are offering shares. This
report covers the four funds (each a "Fund" and collectively, the "Funds")
listed below:
First Trust TCW Opportunistic Fixed Income ETF - (The Nasdaq Stock Market
LLC ("Nasdaq") ticker "FIXD")
First Trust TCW Unconstrained Plus Bond ETF - (NYSE Arca, Inc. ("NYSE
Arca") ticker "UCON")
First Trust TCW Securitized Plus ETF - (NYSE Arca ticker "DEED")
First Trust TCW Emerging Markets Debt ETF - (NYSE Arca ticker "EFIX")
Each Fund represents a separate series of shares of beneficial interest in the
Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on
a continuous basis, at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units."
Each Fund is an actively managed exchange-traded fund. FIXD's, UCON's, and
DEED's investment objective is to seek to maximize long-term total return.
EFIX's investment objective is to seek to provide high total return from current
income and capital appreciation. Each of FIXD and UCON seeks to achieve its
investment objective by investing, under normal market conditions, at least 80%
of its net assets (including investment borrowings) in fixed income securities.
DEED seeks to achieve its investment objective by investing, under normal market
conditions, at least 80% of its net assets (including investment borrowings) in
securitized debt securities. EFIX seeks to achieve its investment objective by
investing, under normal market conditions, at least 80% of its net assets
(including investment borrowings) in debt securities issued or guaranteed by
companies, financial institutions and government entities located in emerging
market countries.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Domestic debt securities and foreign
securities are priced using data reflecting the earlier closing of the principal
markets for those securities. Each Fund's NAV is calculated by dividing the
value of all assets of the Fund (including accrued interest and dividends), less
all liabilities (including accrued expenses and dividends declared but unpaid),
by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act.
Investments valued by the Advisor's Pricing Committee, if any, are footnoted as
such in the footnotes to the Portfolio of Investments. Each Fund's investments
are valued as follows:
Corporate bonds, corporate notes, U.S. government securities,
mortgage-backed securities, asset-backed securities, municipal securities,
capital preferred securities, and other debt securities are fair valued on
the basis of valuations provided by dealers who make markets in such
securities or by a third-party pricing service approved by the Trust's
Board of Trustees, which may use the following valuation inputs when
available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Options on swaps ("swaptions") are valued by a third-party pricing service
using a mathematical model, which incorporates a number of market data
factors, such as the trades and prices of the underlying instruments.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Senior Floating-Rate Loan Interests ("Senior Loans")(1) are not listed on
any securities exchange or board of trade. Senior Loans are typically
bought and sold by institutional investors in individually negotiated
private transactions that function in many respects like an
over-the-counter secondary market, although typically no formal
market-makers exist. This market, while having grown substantially since
its inception, generally has fewer trades and less liquidity than the
secondary market for other types of securities. Some Senior Loans have few
or no trades, or trade infrequently, and information regarding a specific
Senior Loan may not be widely available or may be incomplete. Accordingly,
determinations of the market value of Senior Loans may be based on
infrequent and dated information. Because there is less reliable,
objective data available, elements of judgment may play a greater role in
valuation of Senior Loans than for other types of securities. Typically,
Senior Loans are valued using information provided by a third-party
pricing service. The third-party pricing service primarily uses
over-the-counter pricing from dealer runs and broker quotes from
indicative sheets to value the Senior Loans.
Forward foreign currency contracts are fair valued at the current day's
interpolated foreign exchange rate, as calculated using the current day's
spot rate, and the thirty, sixty, ninety, and one-hundred eighty day
forward rates provided by a third-party pricing service.
Exchange-traded futures contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded futures contracts are fair valued at the mean
of their most recent bid and asked price, if available, and otherwise at
their closing bid price.
Exchange-traded options contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded options contracts are fair valued at the mean
of their most recent bid and asked price, if available, and otherwise at
their closing bid price.
Swaps are fair valued utilizing quotations provided by a third-party
pricing service or, if the third-party pricing service does not provide a
value, by quotes provided by the selling dealer or financial institution.
Fixed income and other debt securities having a remaining maturity of
sixty days or less when purchased are fair valued at cost adjusted for
amortization of premiums and accretion of discounts (amortized cost),
provided the Advisor's Pricing Committee has determined that the use of
amortized cost is an appropriate reflection of fair value given market and
issuer-specific conditions existing at the time of the determination.
Factors that may be considered in determining the appropriateness of the
use of amortized cost include, but are not limited to, the following:
1) the credit conditions in the relevant market and changes thereto;
2) the liquidity conditions in the relevant market and changes thereto;
3) the interest rate conditions in the relevant market and changes thereto
(such as significant changes in interest rates);
4) issuer-specific conditions (such as significant credit deterioration);
and
5) any other market-based data the Advisor's Pricing Committee considers
relevant. In this regard, the Advisor's Pricing Committee may use
last-obtained market-based data to assist it when valuing portfolio
securities using amortized cost.
-----------------------------
(1) The terms "security" and "securities" used throughout the Notes to
Financial Statements include Senior Loans.
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended (the "1933 Act")) for which a third-party pricing service is
unable to provide a market price; securities whose trading has been formally
suspended; a security whose market or fair value price is not available from a
pre-established pricing source; a security with respect to which an event has
occurred that is likely to materially affect the value of the security after the
market has closed but before the calculation of a Fund's NAV or make it
difficult or impossible to obtain a reliable market quotation; and a security
whose price, as provided by the third-party pricing service, does not reflect
the security's fair value. As a general principle, the current fair value of a
security would appear to be the amount which the owner might reasonably expect
to receive for the security upon its current sale. When fair value prices are
used, generally they will differ from market quotations or official closing
prices on the applicable exchanges. A variety of factors may be considered in
determining the fair value of such securities, including, but not limited to,
the following:
1) the fundamental business data relating to the issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the issuer;
5) the credit quality and cash flow of the issuer, based on TCW
Investment Management Company LLC's ("TCW" or the "Sub-Advisor") or
external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities of the
issuer, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management (for corporate debt only);
11) the economic, political and social prospects/developments of the
country of issue and the assessment of the country's government
leaders/officials (for sovereign debt only);
12) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry (for corporate debt only); and
13) other relevant factors.
Because foreign markets may be open on different days than the days during which
investors may transact in the shares of a Fund, the value of the Fund's
securities may change on the days when investors are not able to transact in the
shares of the Fund. The value of the securities denominated in foreign
currencies is converted into U.S. dollars using exchange rates determined daily
as of the close of regular trading on the NYSE.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of February 28, 2022, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded using the effective interest method.
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
The United Kingdom's Financial Conduct Authority (the "FCA"), which regulates
the London Interbank Offered Rates ("LIBOR") announced on March 5, 2021 that it
intended to phase-out all LIBOR reference rates, beginning December 31, 2021.
Since that announcement, the FCA has ceased publication of all non-USD LIBOR
reference rates and the 1-week and 2-month USD LIBOR reference rates as of
December 31, 2021. The remaining USD LIBOR settings will cease to be published
or no longer be representative immediately after June 30, 2023. The
International Swaps and Derivatives Association, Inc. ("ISDA") confirmed that
the FCA's March 5, 2021 announcement of its intention to cease providing LIBOR
reference rates, constituted an index cessation event under the Interbank
Offered Rates ("IBOR") Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks
Protocol for all 35 LIBOR settings and confirmed that the spread adjustment to
be used in ISDA fallbacks was fixed as of the date of the announcement.
In the United States, the Alternative Reference Rates Committee (the "ARRC"), a
group of market participants convened by the Board of Governors of the Federal
Reserve System and the Federal Reserve Bank of New York in cooperation with
other federal and state government agencies, has since 2014 undertaken efforts
to identify U.S. dollar reference interest rates as alternatives to LIBOR and to
facilitate the mitigation of LIBOR-related risks. In June 2017, the ARRC
identified the Secured Overnight Financing Rate ("SOFR"), a broad measure of the
cost of cash overnight borrowing collateralized by U.S. Treasury securities, as
the preferred alternative for U.S. dollar LIBOR. The Federal Reserve Bank of New
York began daily publishing of SOFR in April 2018. There is no assurance that
any alternative reference rate, including SOFR, will be similar to or produce
the same value or economic equivalence as LIBOR or that instruments using an
alternative rate will have the same volume or liquidity.
At this time, it is not possible to predict the full impact of the elimination
of LIBOR and the establishment of an alternative reference rate on the Funds or
their investments.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. Each
Fund maintains liquid assets with a current value at least equal to the amount
of its when-issued, delayed-delivery or forward purchase commitments until
payment is made. At February 28, 2022, FIXD, UCON, and DEED held $21,686,856,
$10,936,228 and $2,591,955, respectively, of when-issued or delayed-delivery
securities. At February 28, 2022, FIXD, UCON, and DEED held $1,103,710,467,
$135,636,839 and $151,514,301, respectively, of forward purchase commitments.
C. RESTRICTED SECURITIES
FIXD, UCON, and DEED invest in restricted securities, which are securities that
may not be offered for public sale without first being registered under the 1933
Act. Prior to registration, restricted securities may only be resold in
transactions exempt from registration under Rule 144A under the 1933 Act,
normally to qualified institutional buyers. As of February 28, 2022, FIXD, UCON,
and DEED held restricted securities as shown in the following table that the
Advisor has deemed illiquid pursuant to procedures adopted by the Trust's Board
of Trustees. Although market instability can result in periods of increased
overall market illiquidity, liquidity for each security is determined based on
security-specific factors and assumptions, which require subjective judgment.
Each Fund does not have the right to demand that such securities be registered.
These securities are valued according to the valuation procedures as stated in
the Portfolio Valuation note (Note 2A) and are not expressed as a discount to
the carrying value of a comparable unrestricted security. There are no
unrestricted securities with the same maturity dates and yields for these
issuers.
ACQUISITION PRINCIPAL CURRENT CARRYING % OF
SECURITIES DATE VALUE PRICE COST VALUE NET ASSETS
-------------------------------------------------------------------------------------------------------------------
FIXD
Ruby Pipeline LLC, 8.00%,
04/01/22 12/08/2017 $ 329,909 $ 86.58 $ 330,338 $ 285,650 0.01%
UCON
07/25/2018,
Ruby Pipeline LLC, 8.00%, 04/01/2021,
04/01/22 08/02/2021 598,788 86.58 594,201 518,457 0.05%
DEED
Boyce Park CLO Ltd.
Series 2022-1A, Class M2, IO,
0.00% 04/21/35 01/28/2022 1,178,571 0.00* 0 0 0.00%**
* Amount is less than $0.01.
** Amount is less than 0.01%.
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
D. FUTURES CONTRACTS
Each Fund may purchase or sell (i.e., is long or short) exchange-listed futures
contracts to hedge against changes in interest rates (interest rate risk).
Futures contracts are agreements between a Fund and a counterparty to buy or
sell a specific quantity of an underlying instrument at a specified price and at
a specified date. Depending on the terms of the contract, futures contracts are
settled either through physical delivery of the underlying instrument on the
settlement date or by payment of a cash settlement amount on the settlement
date. Open futures contracts can also be closed out prior to settlement by
entering into an offsetting transaction in a matching futures contract. If a
Fund is not able to enter into an offsetting transaction, the Fund will continue
to be required to maintain margin deposits on the futures contract. When the
contract is closed or expires, a Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed or expired. This gain or loss is included in
"Net realized gain (loss) on futures contracts" on the Statements of Operations.
Upon entering into a futures contract, a Fund must deposit funds, called margin,
with its custodian in the name of the clearing broker equal to a specified
percentage of the current value of the contract. Open futures contacts are
marked-to-market daily with the change in value recognized as a component of
"Net change in unrealized appreciation (depreciation) on futures contracts" on
the Statements of Operations. Pursuant to the contract, a Fund agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as variation margin
and are included in "Variation margin" receivable or payable on the Statements
of Assets and Liabilities. If market conditions change unexpectedly, a Fund may
not achieve the anticipated benefits of the futures contract and may realize a
loss. The use of futures contracts involves the risk of imperfect correlation in
movements in the price of the futures contracts, interest rates and the
underlying instruments.
E. FORWARD FOREIGN CURRENCY CONTRACTS
Each Fund is subject to foreign currency risk in the normal course of pursuing
its investment objective. Forward foreign currency contracts are agreements
between two parties ("Counterparties") to exchange one currency for another at a
future date and at a specified price. Each Fund uses forward foreign currency
contracts to facilitate transactions in foreign securities and to manage the
Fund's foreign currency exposure. These contracts are valued daily, and a Fund's
net equity therein, representing unrealized gain or loss on the contracts as
measured by the difference between the forward foreign exchange rates at the
dates of entry into the contracts and the forward rates at the reporting date,
is included in "Unrealized appreciation (depreciation) on forward foreign
currency contracts" on the Statements of Assets and Liabilities. The change in
unrealized appreciation/(depreciation) is included in "Net change in unrealized
appreciation (depreciation) on forward foreign currency contracts" on the
Statements of Operations. When the forward contract is closed, a Fund records a
realized gain or loss equal to the difference between the proceeds from (or the
cost of) the closing transaction and the Fund's basis in the contract. This
realized gain or loss is included in "Net realized gain (loss) on forward
foreign currency contracts" on the Statements of Operations. Risks arise from
the possible inability of Counterparties to meet the terms of their contracts
and from movement in currency and securities values and interest rates. Due to
the risks, a Fund could incur losses in excess of the net unrealized value shown
on the forward foreign currency contracts table in the Fund's Portfolio of
Investments. In the event of default by the Counterparty, a Fund will provide
notice to the Counterparty of the Fund's intent to convert the currency held by
the Fund into the currency that the Counterparty agreed to exchange with the
Fund. If a Counterparty becomes bankrupt or otherwise fails to perform its
obligations due to financial difficulties, a Fund may experience significant
delays in obtaining any recovery in a bankruptcy or other reorganization
proceeding. The Fund may obtain only limited recovery or may obtain no recovery
in such circumstances.
F. SWAP AGREEMENTS
Each Fund may enter into swap agreements. A swap is a financial instrument that
typically involves the exchange of cash flows between two parties on specified
dates (settlement dates), where the cash flows are based on agreed upon prices,
rates, etc. Payment received or made by the Fund for interest rate swaps, if
any, are recorded on the Statements of Operations as "Net realized gain (loss)
on swap contracts." When an interest rate swap is terminated, the Fund will
record a realized gain or loss equal to the difference between the proceeds from
(or cost of) the closing transaction and the Fund's basis in the contract, if
any. Generally, the basis of the contracts, if any, is the premium received or
paid. Swap agreements are individually negotiated and involve the risk of the
potential inability of the Counterparties to meet the terms of the agreement. In
connection with these agreements, cash and securities may be identified as
collateral in accordance with the terms of the respective swap agreements to
provide assets of value and recourse in the event of default under the swap
agreement or bankruptcy/insolvency of a party to the swap agreement. In the
event of a default by a Counterparty, the Fund will seek withdrawal of the
collateral and may incur certain costs exercising its rights with respect to the
collateral. If a Counterparty becomes bankrupt or otherwise fails to perform its
obligations due to financial difficulties, the Fund may experience significant
delays in obtaining any recovery in a bankruptcy or other reorganization
proceeding. The Fund may obtain only limited recovery or may obtain no recovery
in such circumstances.
Swap agreements may increase or decrease the overall volatility of the
investments of the Fund. The performance of swap agreements may be affected by
changes in the specific interest rate, security, currency, or other factors that
determine the amounts of payments due to and from the Fund. The Fund's maximum
interest rate risk to meet its future payments under swap agreements is equal to
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
the total notional amount as shown on the Portfolio of Investments. The notional
amount represents the U.S. dollar value of the contract as of the day of the
opening transaction or contract reset. When the Fund enters into a swap
agreement, any premium paid is included in "Swap contracts, at value" on the
Statements of Assets and Liabilities.
FIXD and UCON held interest rate swap agreements at February 28, 2022. An
interest rate swap agreement involves the Fund's agreement to exchange a stream
of interest payments for another party's stream of cash flows. Interest rate
swaps do not involve the delivery of securities or other underlying assets or
principal. Accordingly, the risk of loss with respect to interest rate swaps is
limited to the net amount of interest payments that the Fund is contractually
obligated to make.
G. OPTIONS AND SWAPTIONS
FIXD may invest in option contracts to adjust its exposure to interest rate
risk. The primary risk associated with purchasing options is that the value of
the underlying investments may move in such a way that the option is
out-of-the-money (the exercise price of the option exceeds the value of the
underlying investment), the position is worthless at expiration, and the Fund
loses the premium paid. The primary risk associated with selling options is that
the value of the underlying investments may move in such a way that the option
is in-the money (the exercise price of the option exceeds the value of the
underlying investment), the counterparty exercises the option, and the Fund
loses an amount equal to the market value of the option written less the premium
received.
FIXD invests in options on swaps (swaptions), which are transacted
over-the-counter ("OTC") and not on an exchange. The purchaser and writer of a
swaption is buying or granting the right to enter into a previously agreed upon
interest rate or credit default swap agreement (interest rate risk and/or credit
risk) at any time before the expiration of the option. Unlike exchange-traded
options, which are standardized with respect to the underlying instrument,
expiration date, contract size, and strike price, the terms of OTC options
generally are established through negotiation with the other party to the option
contract. Although this type of arrangement allows the purchaser or writer
greater flexibility to tailor an option to its needs, OTC options have the risk
of the potential inability of counterparties to meet the terms of their
contracts. The Fund's maximum equity price risk for purchased options is limited
to the premium initially paid.
FIXD may purchase or write (sell) put and call options on futures contracts and
enter into closing transactions with respect to such options to terminate an
existing position. A futures option gives the holder the right, in return for
the premium paid, to assume a long position (call) or short position (put) in a
futures contract at a specified exercise price prior to the expiration of the
option. Upon exercise of a call option, the holder acquires a long position in
the futures contract and the writer is assigned the opposite short position. In
the case of a put option, the opposite is true. Prior to exercise or expiration,
a futures contract may be closed out by an offsetting purchase or sale of a
futures option of the same series. Options are marked-to-market daily and their
value is affected by changes in the value of the underlying security, changes in
interest rates, changes in the actual or perceived volatility of the securities
markets and the underlying securities, and the remaining time to the option's
expiration. The value of options may also be adversely affected if the market
for the options becomes less liquid or the trading volume diminishes.
When a Fund purchases a call or put option, the premium paid represents the cost
of the call or put option, which is included in "Options contracts purchased, at
value" on the Statements of Assets and Liabilities. When a Fund writes (sells)
an option, an amount equal to the premium received by the Fund is included in
"Options contracts written, at value" on the Statements of Assets and
Liabilities. Options are marked-to-market daily and their value will be affected
by changes in the value and dividend rates of the underlying equity securities,
changes in interest rates, changes in the actual or perceived volatility of the
securities markets and the underlying equity securities and the remaining time
to the options' expiration. The value of options may also be adversely affected
if the market for the options becomes less liquid or trading volume diminishes
When a Fund purchases a call or put swaption, the premium paid represents the
cost of the call or put swaption, which is included in "Swaptions contracts
purchased, at value" on the Statements of Assets and Liabilities and is
subsequently adjusted daily to the current market value of the option purchased.
Fluctuations in the value of the swaptions are recorded in the Statements of
Operations as unrealized appreciation (depreciation) until expired, closed, or
exercised, at which time realized gains (losses) are recognized. If a Fund
elects to allow a put swaption to expire, then the interest rate risk for
purchased swaptions is limited to the premium initially paid. Any gain or loss
on swaptions would be included in "Purchased swaptions contracts" on the
Statements of Operations.
H. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
For financial reporting purposes, the Funds do not offset financial assets and
financial liabilities that are subject to master netting arrangements ("MNAs")
or similar agreements on the Statements of Assets and Liabilities. MNAs provide
the right, in the event of default (including bankruptcy and insolvency) for the
non-defaulting Counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
The Funds do not have the right to offset financial assets and financial
liabilities related to options and swaptions contracts, forward foreign currency
contracts, futures contracts or swap contracts on the Statements of Assets and
Liabilities.
I. FOREIGN CURRENCY
The books and records of the Funds are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investments and items of income and expense are
translated on the respective dates of such transactions. Unrealized gains and
losses on assets and liabilities, other than investments in securities, which
result from changes in foreign currency exchange rates have been included in
"Net change in unrealized appreciation (depreciation) on foreign currency
translation" on the Statements of Operations. Unrealized gains and losses on
investments in securities which result from changes in foreign exchange rates
are included with fluctuations arising from changes in market price and are
shown in "Net change in unrealized appreciation (depreciation) on investments"
on the Statements of Operations. Net realized foreign currency gains and losses
include the effect of changes in exchange rates between trade date and
settlement date on investment security transactions, foreign currency
transactions and interest and dividends received and are included in "Net
realized gain (loss) on foreign currency transactions" on the Statements of
Operations. The portion of foreign currency gains and losses related to
fluctuation in exchange rates between the initial purchase settlement date and
subsequent sale trade date for fixed-income securities is included in "Net
realized gain (loss) on investments" on the Statements of Operations.
J. INTEREST-ONLY SECURITIES
An interest-only security ("IO Security") is the interest-only portion of a
mortgage-backed security that receives some or all of the interest portion of
the underlying mortgage-backed security and little or no principal. A reference
principal value called a notional value is used to calculate the amount of
interest due to the IO Security. IO Securities are sold at a deep discount to
their notional principal amount. Generally speaking, when interest rates are
falling and prepayment rates are increasing, the value of an IO Security will
fall. Conversely, when interest rates are rising and prepayment rates are
decreasing, generally the value of an IO Security will rise. These securities,
if any, are identified on each Fund's Portfolio of Investments.
K. MORTGAGE DOLLAR ROLLS
Each Fund may invest, without limitation, in mortgage dollar rolls. The Funds
intend to enter into mortgage dollar rolls only with high quality securities
dealers and banks, as determined by the Funds' Sub-Advisor. In a mortgage dollar
roll, a Fund will sell (or buy) mortgage-backed securities for delivery on a
specified date and simultaneously contract to repurchase (or sell) substantially
similar (same type, coupon and maturity) securities on a future date. Mortgage
dollar rolls are recorded as separate purchases and sales in a Fund.
L. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
monthly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions in cash may be reinvested automatically in additional whole shares
only if the broker through whom the shares were purchased makes such option
available. Such shares will generally be reinvested by the broker based upon the
market price of those shares and investors may be subject to customary brokerage
commissions charged by the broker.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Funds and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
The tax character of distributions paid by each Fund during the fiscal period
ended August 31, 2021 was as follows:
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Capital Return of
Income Gains Capital
------------- ------------- -------------
First Trust TCW Opportunistic Fixed Income ETF $ 122,548,756 $ 7,363,614 $ 3,126,328
First Trust TCW Unconstrained Plus Bond ETF 7,774,045 537,281 --
First Trust TCW Securitized Plus ETF 1,573,671 29,696 --
First Trust TCW Emerging Markets Debt ETF 427,501 -- --
As of August 31, 2021, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated Net
Undistributed Capital and Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------- ------------- -------------
First Trust TCW Opportunistic Fixed Income ETF $ (5,632,125) $ (23,639,262) $ 53,357,838
First Trust TCW Unconstrained Plus Bond ETF -- 209,148 5,788,922
First Trust TCW Securitized Plus ETF 796,234 -- 1,026,256
First Trust TCW Emerging Markets Debt ETF 5,812 (121,232) 31,173
M. INCOME TAXES
Each Fund intends to qualify or continue to qualify as a regulated investment
company by complying with the requirements under Subchapter M of the Internal
Revenue Code of 1986, as amended, which includes distributing substantially all
of its net investment income and net realized gains to shareholders.
Accordingly, no provision has been made for federal and state income taxes.
However, due to the timing and amount of distributions, each Fund may be subject
to an excise tax of 4% of the amount by which approximately 98% of each Fund's
taxable income exceeds the distributions from such taxable income for the
calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. For FIXD and UCON, the taxable
years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit.
For DEED, the taxable years ended 2020 and 2021 remain open to federal and state
audit. For EFIX, the taxable year ended 2021 remains open to federal and state
audit. As of February 28, 2022, management has evaluated the application of
these standards to the Funds and has determined that no provision for income tax
is required in the Funds' financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At August 31, 2021, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.
Non-Expiring
Capital Loss
Carryforward
-----------------
First Trust TCW Opportunistic Fixed Income ETF $ --
First Trust TCW Unconstrained Plus Bond ETF --
First Trust TCW Securitized Plus ETF --
First Trust TCW Emerging Markets Debt ETF 121,232
Page 106
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal period ended August 31, 2021, the Fund
listed below incurred and elected to defer net late year ordinary or capital
losses as follows:
Qualified Late Year Losses
---------------------------------
Ordinary Losses Capital Losses
--------------- ---------------
First Trust TCW Opportunistic Fixed Income ETF $ -- $23,639,262
As of February 28, 2022, the aggregate cost, gross unrealized appreciation,
gross unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:
Net
Gross Gross Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------------- ---------------- ---------------- ----------------
First Trust TCW Opportunistic Fixed Income ETF $ 6,187,485,322 $ 31,069,386 $ (128,484,368) $ (97,414,982)
First Trust TCW Unconstrained Plus Bond ETF 1,242,773,780 6,510,327 (25,474,509) (18,964,182)
First Trust TCW Securitized Plus ETF 421,998,771 1,704,673 (3,128,031) (1,423,358)
First Trust TCW Emerging Markets Debt ETF 9,435,103 2,794 (758,120) (755,326)
N. EXPENSES
Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the ongoing monitoring of the securities in each Fund's
portfolio, managing the Funds' business affairs and providing certain
administrative services necessary for the management of the Funds.
TCW serves as the Funds' sub-advisor and manages each Fund's portfolio subject
to First Trust's supervision. Pursuant to the Investment Management Agreement,
between the Trust, on behalf of the Funds, and the Advisor, and the Investment
Sub-Advisory Agreement among the Trust, on behalf of the Funds, the Advisor and
TCW, First Trust will supervise TCW and its management of the investment of each
Fund's assets and will pay TCW for its services as the Funds' sub-advisor. TCW
receives a sub-advisory fee equal to 50% of any remaining monthly unitary
management fee paid to the Advisor after the average Fund's expenses accrued
during the most recent twelve months are subtracted from the unitary management
fee for that month. First Trust will also be responsible for each Fund's
expenses, including the cost of transfer agency, sub-advisory, custody, fund
administration, legal, audit and other services, but excluding fee payments
under the Investment Management Agreement, interest, taxes, acquired fund fees
and expenses, if any, brokerage commissions and other expenses connected with
the execution of portfolio transactions, distribution and service fees payable
pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. FIXD, UCON,
DEED, and EFIX have each agreed to pay First Trust an annual unitary management
fee equal to 0.65%, 0.85%, 0.75%, and 0.95%, respectively, of its average daily
net assets. Pursuant to a contractual agreement, First Trust has agreed to waive
management fees of 0.10% of average daily net assets until December 31, 2022 for
FIXD, UCON and DEED and February 10, 2023 for EFIX. The waiver agreement may be
terminated by action of the Trust's Board of Trustees at any time upon 60 days'
written notice by the Trust on behalf of each Fund or by the Funds' investment
advisor only after December 31, 2022 for FIXD, UCON and DEED and February 10,
2023 for EFIX. During the six months ended February 28, 2022, the Advisor waived
fees of $2,583,272, $400,430, $136,404, and $8,786, for FIXD, UCON, DEED, and
EFIX, respectively.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or an index fund.
Additionally, the Lead Independent Trustee and the Chairs of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee Chairs
rotate every three years. The officers and "Interested" Trustee receive no
compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the six months ended February 28, 2022, the cost of purchases and proceeds
from sales and paydowns of U.S. Government securities and non-U.S. Government
securities for each Fund, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
--------------- ---------------
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF
U.S. Government securities $11,983,176,376 $12,196,668,707
Non-U.S. Government securities 811,839,563 401,661,658
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF
U.S. Government securities 567,046,775 481,122,166
Non-U.S. Government securities 486,564,204 85,581,310
FIRST TRUST TCW SECURITIZED PLUS ETF
U.S. Government securities 1,132,153,262 1,117,713,015
Non-U.S. Government securities 72,512,272 26,357,886
FIRST TRUST TCW EMERGING MARKETS DEBT ETF
U.S. Government securities -- --
Non-U.S. Government securities 10,889,595 19,393,330
For the six months ended February 28, 2022, the Funds had no in-kind
transactions.
Page 108
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
5. DERIVATIVE TRANSACTIONS
The following table presents the types of derivatives held by each Fund at
February 28, 2022, the primary underlying risk exposure and the location of
these instruments as presented on the Statements of Assets and Liabilities.
ASSET DERIVATIVES LIABILITY DERIVATIVES
---------------------------------------- ----------------------------------------
DERIVATIVES STATEMENTS OF ASSETS AND STATEMENTS OF ASSETS AND
INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE
------------------ ------------------ -------------------------- ----------- -------------------------- -----------
FIXD
Options contracts Options contracts
Options contracts Interest Rate Risk purchased, at value $ 3,225,844 written, at value $ 8,488,888
Swaption Swaption contracts Swaption contracts
contracts Interest Rate Risk purchased, at value 755,775 written, at value --
Unrealized appreciation Unrealized depreciation
Forward foreign on forward foreign on forward foreign
currency contracts Currency Risk currency contracts 141,367 currency contracts 922,214
Unrealized appreciation Unrealized depreciation
Futures contracts Interest Rate Risk on futures contracts* 59,613 on futures contracts* 19,607
Swap contracts Interest Rate Risk Swap contracts, at value 2,211,284 Swap contracts, at value 7,916,258
UCON
Unrealized appreciation Unrealized depreciation
Futures contracts Interest Rate Risk on futures contracts* 268,000 on futures contracts* 1,823,964
Swap contracts Interest Rate Risk Swap contracts, at value 331,723 Swap contracts, at value 1,009,100
DEED
Unrealized appreciation Unrealized depreciation
Forward foreign on forward foreign on forward foreign
currency contracts Currency Risk currency contracts 50,554 currency contracts 1,882
Unrealized appreciation Unrealized depreciation
Futures contracts Interest Rate Risk on futures contracts* 209,883 on futures contracts* 8,980
* Includes cumulative appreciation/depreciation on futures contracts as
reported in each Fund's Portfolio of Investments. Only the current day's
variation margin is presented on the Statements of Assets and Liabilities.
Page 109
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
The following table presents the amount of net realized gain (loss) and change
in net unrealized appreciation (depreciation) recognized for the six months
ended February 28, 2022, on each Fund's derivative instruments, as well as the
primary underlying risk exposure associated with the instruments.
STATEMENTS OF OPERATIONS LOCATION FIXD UCON DEED
-------------------------------------------------------------------------------------------------------------
CURRENCY RISK EXPOSURE
Net realized gain (loss) on forward foreign currency contracts $ 3,271,313 $ 133,665 $ 7,755
Net change in unrealized appreciation (depreciation) on
forward foreign currency contracts (780,847) -- 47,658
INTEREST RATE RISK EXPOSURE
Net realized gain (loss) on:
Purchased options contracts 2,722,450 -- --
Written options contracts (4,834,277) -- --
Futures contracts 365,592 2,004,705 (146,887)
Swap contracts -- 66,809 --
Net change in unrealized appreciation (depreciation) on:
Purchased swaptions contracts 228,386 -- --
Purchased options contracts (846,134) -- --
Written options contracts 552,329 -- --
Futures contracts 33,370 (1,529,017) 205,578
Swap contracts (5,400,073) (645,488) --
FIXD
During the six months ended February 28, 2022, the premiums for purchased
swaptions contracts opened were $0 and the premiums for purchased swaptions
contracts closed, exercised and expired were $0.
During the six months ended February 28, 2022, the premiums for purchased
options contracts opened were $3,937,830 and the premiums for purchased options
contracts closed, exercised and expired were $1,391,414.
During the six months ended February 28, 2022, the premiums for written options
contracts opened were $9,867,857 and the premiums for written options contracts
closed, exercised and expired were $1,698,390.
During the six months ended February 28, 2022, the notional value of forward
foreign currency contracts opened and closed were $439,705,159 and $351,484,501,
respectively. During the six months ended February 28, 2022, the notional value
of futures contracts opened and closed were $88,371,190 and $91,339,860,
respectively.
For the six months ended February 28, 2022, the average volume of interest rate
swaps was $498,379,834.
UCON
During the six months ended February 28, 2022, the notional value of forward
foreign currency contracts opened and closed were $7,720,009 and $7,720,009,
respectively.
During the six months ended February 28, 2022, the notional value of futures
contracts opened and closed were $647,516,173 and $479,327,211, respectively.
For the six months ended February 28, 2022, the average volume of interest rate
swaps was $66,580,746.
DEED
During the six months ended February 28, 2022, the notional value of forward
foreign currency contracts opened and closed were $15,134,412 and $8,843,156,
respectively.
During the six months ended February 28, 2022, the notional value of futures
contracts opened and closed were $104,018,082 and $64,523,074, respectively.
Page 110
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES
Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to the start of trading
on every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
Authorized Participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various fact-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, in a Creation Unit,
plus the fees described above and, if applicable, any operational processing and
brokerage costs, transfer fees, stamp taxes and part or all of the spread
between the expected bid and offer side of the market related to the securities
comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.
7. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before December 31, 2022 for
FIXD, UCON, and DEED and February 10, 2023 for EFIX.
8. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
9. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
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ADDITIONAL INFORMATION
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns
sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or
more indices or ETF models. As a result, such a fund may be included in one or
more index-tracking exchange-traded funds or mutual funds. Being a component
security of such a vehicle could greatly affect the trading activity involving a
fund, the size of the fund and the market volatility of the fund. Inclusion in
an index could increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods. In addition, index rebalances may potentially result in increased
trading activity in a fund's shares.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
same volume or liquidity. The unavailability or replacement of LIBOR may affect
the value, liquidity or return on certain fund investments and may result in
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
costs incurred in connection with closing out positions and entering into new
trades. Any potential effects of the transition away from LIBOR on the fund or
on certain instruments in which the fund invests can be difficult to ascertain,
and they may vary depending on a variety of factors, and they could result in
losses to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. In February 2022, Russia invaded Ukraine which has caused and could
continue to cause significant market disruptions and volatility within the
markets in Russia, Europe, and the United States. The hostilities and sanctions
resulting from those hostilities could have a significant impact on certain fund
investments as well as fund performance. The outbreak of the respiratory disease
designated as COVID-19 in December 2019 has caused significant volatility and
declines in global financial markets, which have caused losses for investors.
While the development of vaccines has slowed the spread of the virus and allowed
for the resumption of "reasonably" normal business activity in the United
States, many countries continue to impose lockdown measures in an attempt to
slow the spread. Additionally, there is no guarantee that vaccines will be
effective against emerging variants of the disease.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
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FIRST TRUST
First Trust Exchange-Traded Fund VIII
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
INVESTMENT SUB-ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street
Los Angeles, CA 90017
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
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