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, 2023
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2023
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)....................... 42
First Trust TCW Securitized Plus ETF (DEED).............................. 74
First Trust TCW Emerging Markets Debt ETF (EFIX)......................... 85
Statements of Assets and Liabilities........................................ 91
Statements of Operations.................................................... 92
Statements of Changes in Net Assets......................................... 93
Financial Highlights........................................................ 95
Notes to Financial Statements............................................... 97
Additional Information...................................................... 110
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, 2023
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, 2023.
As I write this letter in late March, the global financial and banking sectors
are sifting through the rubble of several bank failures in the U.S. and
absorbing the news of a merger between two of Switzerland's largest banks. As
many investors may be aware, despite this news, the Federal Reserve (the "Fed")
announced an additional 25 basis point increase to the Federal Funds target rate
(upper bound) at their March 22, 2023 meeting. This brings the Federal Funds
target rate (upper bound) to 5.0%, its highest level since June 2006. The Fed's
resolve in fighting inflation is notable, but they find themselves in an
unenviable situation, in my opinion. On the one hand, if the Fed becomes overly
restrictive, they could run the risk of ushering in an economic recession. On
the other hand, inflation (which we will discuss further in a moment) is still
well-above the Fed's stated target level of 2.0%, which could indicate that
higher rates may be required to rein in stubbornly high prices.
Since peaking at 9.1% in June 2022, inflation, as measured by the trailing
12-month rate of change in the Consumer Price Index ("CPI"), has been trending
downward. While this is welcome news, the CPI, which stood at 6.0% on February
28, 2023, is still at a level not seen since 1990, according to data from the
U.S. Bureau of Labor Statistics (excluding October 2021, when it was trending
towards its June 2022 peak of 9.1%). In a positive sign, inflation does not
appear to have slowed the pace of U.S. consumer spending. In January 2023,
consumer spending, as measured by personal consumption expenditures ("PCE"),
grew by 1.8% month-over-month, the largest increase in the metric since March
2021, according to Reuters. There is no way to know if this trend will continue,
but a healthy consumer, as measured by continued growth in PCE, may be the key
to the U.S. avoiding a recession, in my opinion.
The Federal Reserve Bank of New York reported that an inverted U.S. yield curve
is a historically reliable signal that a recession could occur in the next
twelve months, according to Forbes. As of March 22, 2023, the yield on the
2-Year Treasury Note ("T-Note") stood 50 basis points above the yield on the
10-Year T-Note. Brian Wesbury, Chief Economist at First Trust, recently noted
that an inverted yield curve "is consistent with risk aversion among investors
and in Corporate America. We expect prolonged weakness in business investment in
equipment as well as in commercial construction. And, after surging rapidly last
year, the pace of inventory accumulation should cool off too. Combined, these
should pose a big headwind for gross domestic product growth later this year."
Whether these headwinds grow into an economic recession remains to be seen, but
the Fed will be paying close attention as they try to achieve their best-case
scenario of a "soft landing" for the U.S. economy.
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 and covenant lite 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)
2/28/23 2/28/23 2/28/23 to 2/28/23 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV* -2.79% -11.64% 0.53% 0.65% 2.68% 4.02%
Market Price -2.36% -11.53% 0.58% 0.68% 2.92% 4.20%
INDEX PERFORMANCE
Bloomberg U.S. Aggregate Bond Index -2.13% -9.72% 0.53% 0.63% 2.67% 3.87%
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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, 2023
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 11,699 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
8/31/22 10,700 10,613
2/28/23 10,402 10,387
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
Performance in securitized product investment strategies can be impacted from
the benefits of purchasing odd lot positions. The impact of these investments
can be particularly meaningful when funds have limited assets under management
and may not be a sustainable source of performance as a fund grows in size.
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.
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* On January 3, 2023, the fair value methodology used to value the senior
loan investments held by the Fund was changed. Prior to that date, the
senior loans were valued using the bid side price provided by a pricing
service. After such date, the senior loans were valued using the midpoint
between the bid and ask price provided by a pricing service. The change in
the Fund's fair value methodology on January 3, 2023, resulted in a
one-time increase in the Fund's net asset value of approximately $0.005
per share on that date, which represented a positive impact on the Fund's
performance of 0.01%. Without the change to the pricing methodology, the
performance of the Fund on a NAV basis would have been -2.81%, -11.66%,
0.53%, 0.65%, 2.66%, and 3.99% in the six-months, one-year, five-years
average annual, since inception average annual, five-years cumulative, and
since inception cumulative periods ended February 28, 2023, respectively.
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
FUND ALLOCATION NET ASSETS
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U.S. Government Agency Mortgage-
Backed Securities 32.5%
U.S. Government Bonds and Notes 28.9
Corporate Bonds and Notes 21.8
Asset-Backed Securities 12.2
Mortgage-Backed Securities 10.4
Foreign corporate Bonds and Notes 6.2
Senior Floating-Rate Loan Interests 1.8
Foreign Sovereign Bonds and Notes 1.0
Municipal Bonds 0.7
U.S. Government Agency Securities 0.7
Common Stocks 0.0*
Rights 0.0*
U.S. Treasury Bills 0.4
Money Market Funds 2.1
Net Other Assets and Liabilities** (18.7)
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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 53.6%
AAA 3.0
AA+ 0.5
AA 2.0
AA- 1.2
A+ 0.7
A 1.5
A- 4.6
BBB+ 5.2
BBB 6.7
BBB- 6.1
BB+ 2.6
BB 1.5
BB- 1.5
B+ 0.6
B 0.8
B- 1.2
CCC+ 0.2
CCC 1.8
CCC- 0.5
CC 3.1
C 0.1
D 1.0
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Total 100.0%
=======
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% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
U.S. Treasury Note, 4.00%, 02/29/28 5.4%
U.S. Treasury Note, 4.13%, 01/31/25 4.7
U.S. Treasury Bond, 2.00%, 11/15/41 3.6
Federal National Mortgage Association, Pool
TBA, 4.50%, 03/15/53 3.1
Federal National Mortgage Association, Pool
TBA, 5.00%, 03/15/53 2.9
U.S. Treasury Note, 4.63%, 02/28/25 2.9
U.S. Treasury Bond, 3.63%, 02/15/53 2.5
Federal National Mortgage Association, Pool
TBA, 2.00%, 04/15/53 2.4
Federal National Mortgage Association, Pool
TBA, 2.50%, 04/15/53 2.2
U.S. Treasury Bond, 2.38%, 02/15/42 1.7
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Total 31.4%
=======
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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 S&P Global Ratings, Moody's Investors
Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations
in which a security is rated by more than one NRSRO and the ratings are
not equivalent, the 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, including up to 70% of its net assets in high yield (or "junk")
securities, up to 60% of its net assets in securities issuers with significant
ties to emerging market countries and up to 50% of its net assets in securities
denominated in non-U.S. currencies. 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 and covenant
lite 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)
2/28/23 2/28/23 to 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV 0.56% -3.14% 2.28% 11.27%
Market Price -0.27% -3.66% 2.19% 10.80%
INDEX PERFORMANCE
ICE BofA US Dollar 3-Month Deposit Offered Rate
Average Index 1.97% 2.62% 1.60% 7.80%
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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, 2023
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 10,497
2/28/22 11,489 10,505
8/31/22 11,065 10,572
2/28/23 11,127 10,780
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
Performance in securitized product investment strategies can be impacted from
the benefits of purchasing odd lot positions. The impact of these investments
can be particularly meaningful when funds have limited assets under management
and may not be a sustainable source of performance as a fund grows in size.
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
FUND ALLOCATION NET ASSETS
----------------------------------------------------------
Mortgage-Backed Securities 25.0%
Corporate Bonds and Notes 21.0
Asset-Backed Securities 20.0
U.S. Government Agency Mortgage-
Backed Securities 17.4
Foreign Corporate Bonds and Notes 5.8
Foreign Sovereign Bonds and Notes 3.4
U.S. Government Agency Securities 1.8
Municipal Bonds 0.1
Common Stocks 0.0*
Rights 0.0*
U.S. Treasury Bills 20.1
Net Other Assets and Liabilities** (14.6)
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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.
----------------------------------------------------------
% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
Government/Agency 34.3%
AAA 6.1
AA+ 0.7
AA 2.7
AA- 1.7
A+ 0.5
A 1.9
A- 4.1
BBB+ 3.6
BBB 8.1
BBB- 7.0
BB+ 2.9
BB 2.7
BB- 2.1
B+ 1.6
B 2.0
B- 2.2
CCC+ 1.4
CCC 5.4
CCC- 1.9
CC 4.8
C 1.0
D 1.3
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Total 100.0%
=======
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% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Federal National Mortgage Association,
Pool TBA, 5.00%, 03/15/53 3.4%
Federal National Mortgage Association,
Pool TBA, 2.50%, 04/15/53 3.2
U.S. Treasury Bill, 0.00%, 06/08/23 3.0
Federal National Mortgage Association,
Pool TBA, 2.00%, 04/15/53 3.0
U.S. Treasury Bill, 0.00%, 06/01/23 2.9
U.S. Treasury Bill, 0.00%, 05/18/23 2.6
U.S. Treasury Bill, 0.00%, 07/06/23 2.3
U.S. Treasury Bill, 0.00%, 05/11/23 2.0
U.S. Treasury Bill, 0.00%, 05/25/23 1.8
Federal National Mortgage Association,
Pool TBA, 3.00%, 03/15/53 1.7
-------
Total 25.9%
=======
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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 S&P Global Ratings, Moody's Investors
Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations
in which a security is rated by more than one NRSRO and the ratings are
not equivalent, the 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)
2/28/23 2/28/23 to 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV -4.22% -12.21% -3.19% -8.79%
Market Price -4.23% -12.25% -3.33% -9.16%
INDEX PERFORMANCE
Bloomberg U.S. Mortgage-Backed Securities Index -2.47% -9.10% -4.33% -11.80%
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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, 2023
First Trust TCW Bloomberg Barclays U.S.
Securitized Plus ETF Mortgage-Backed 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
8/31/22 9,523 9,043
2/28/23 9,121 8,820
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
Performance in securitized product investment strategies can be impacted from
the benefits of purchasing odd lot positions. The impact of these investments
can be particularly meaningful when funds have limited assets under management
and may not be a sustainable source of performance as a fund grows in size.
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
FUND ALLOCATION NET ASSETS
----------------------------------------------------------
U.S. Government Agency Mortgage-
Backed Securities 64.1%
Mortgage-Backed Securities 31.7
Asset-Backed Securities 25.3
U.S. Government Bonds and Notes 5.6
U.S. Treasury Bills 0.7
Money Market Funds 14.6
Net Other Assets and Liabilities* (42.0)
-------
Total 100.0%
=======
* Includes variation margin on futures contracts and unrealized appreciation
on forward foreign currency contracts.
----------------------------------------------------------
% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
Government/Agency 54.3%
AAA 3.9
AA+ 1.0
AA 4.3
AA- 2.4
A+ 0.5
A 0.5
A- 1.5
BBB 1.6
BBB- 1.4
BB 3.2
BB- 0.5
B+ 0.6
B 1.6
B- 3.3
CCC+ 0.5
CCC 4.9
CCC- 1.7
CC 6.9
C 2.1
D 3.3
-------
Total 100.0%
=======
----------------------------------------------------------
% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Government National Mortgage Association,
Pool TBA, 2.50%, 03/15/53 5.9%
Federal National Mortgage Association,
Pool TBA, 2.50%, 04/15/53 5.2
Federal National Mortgage Association,
Pool TBA, 5.00%, 03/15/53 4.6
Federal National Mortgage Association,
Pool TBA, 2.00%, 04/15/53 4.1
Federal National Mortgage Association,
Pool TBA, 4.50%, 03/15/53 2.7
U.S. Treasury Note, 4.63%, 02/28/25 2.2
Federal National Mortgage Association,
Pool BQ7056, 2.00%, 01/01/52 1.7
Federal National Mortgage Association,
Pool CB3151, 2.00%, 03/01/52 1.6
Federal National Mortgage Association,
Pool TBA, 2.00%, 03/15/53 1.6
Federal National Mortgage Association,
Pool TBA, 3.50%, 03/15/53 1.5
-------
Total 31.1%
=======
-----------------------------
(1) The credit quality and ratings information presented above reflect the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including S&P Global Ratings, Moody's Investors
Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations
in which a security is rated by more than one NRSRO and the ratings are
not equivalent, the 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)
2/28/23 2/28/23 to 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV 1.76% -8.16% -7.96% -15.48%
Market Price 2.30% -6.92% -7.86% -15.30%
INDEX PERFORMANCE
JP Morgan Emerging Market Bond Index Global Diversified 2.13% -8.64% -8.76% -16.99%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 10.)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 17, 2021 - FEBRUARY 28, 2023
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 10,264
2/28/22 9,204 9,086
8/31/22 8,305 8,128
2/28/23 8,452 8,301
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
FUND ALLOCATION NET ASSETS
----------------------------------------------------------
Foreign Sovereign Bonds and Notes 60.9%
Foreign Corporate Bonds and Notes 35.4
Money Market Funds 1.8
Net Other Assets and Liabilities* 1.9
-------
Total 100.0%
=======
* Includes unrealized appreciation/depreciation on forward foreign currency
contracts.
----------------------------------------------------------
% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
AA 1.3%
AA- 2.3
A 5.0
A- 3.3
BBB 8.9
BBB- 22.3
BB+ 6.2
BB 7.9
BB- 19.0
B+ 5.2
B 8.0
B- 5.5
CCC+ 1.6
CCC 0.5
CCC- 1.9
CC 1.1
-------
Total 100.0%
=======
----------------------------------------------------------
% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Qatar Energy (USD), 3.13%, 07/12/41 2.3%
Dominican Republic International Bond
(USD), 4.50%, 01/30/30 2.2
Petroleos Mexicanos (USD), 6.49%, 01/23/27 2.0
Turkey Government International Bond
(USD), 9.38%, 01/19/33 2.0
Bahrain Government International Bond
(USD), 5.25%, 01/25/33 1.8
Saudi Government International Bond
(USD), 4.88%, 07/18/33 1.8
Hungary Government International Bond
(USD), 5.25%, 06/16/29 1.7
KazMunayGas National Co. JSC (USD)
5.75%, 04/19/47 1.7
Gaci First Investment Co. (USD), 5.38%,
10/13/22 1.6
Indonesia Asahan Aluminium Persero PT
(USD), 5.45%, 05/15/30 1.6
-------
Total 18.7%
=======
-----------------------------
(1) The credit quality and ratings information presented above reflect the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including S&P Global Ratings, Moody's Investors
Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations
in which a security is rated by more than one NRSRO and the ratings are
not equivalent, the 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, 2023 (UNAUDITED)
ADVISOR
First Trust Advisors L.P. ("First Trust") is the investment advisor to First
Trust TCW Opportunistic Fixed Income ETF ("FIXD"), First Trust TCW Unconstrained
Plus Bond ETF ("UCON"), First Trust TCW Securitized Plus ETF ("DEED"), and 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 to each Fund. 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 $207 billion under management or committed to
management, including $181.4 billion of U.S. fixed income investments and $11.4
billion of Emerging Markets Fixed Income, as of February 28, 2023.
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, 2023 (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, 2023.
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, 2022 FEBRUARY 28, 2023 PERIOD (a) PERIOD (b)
------------------------------------------------------------------------------------------------------------------------------
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
Actual $1,000.00 $ 972.10 0.58% $2.84
Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.58% $2.91
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
Actual $1,000.00 $1,005.60 0.79% $3.93
Hypothetical (5% return before expenses) $1,000.00 $1,020.88 0.79% $3.96
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
Actual $1,000.00 $ 957.80 0.68% $3.30
Hypothetical (5% return before expenses) $1,000.00 $1,021.42 0.68% $3.41
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
Actual $1,000.00 $1,017.60 0.85% $4.25
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, 2022 through February 28, 2023), 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, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 32.5%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.2%
Federal Home Loan Mortgage Corporation
$ 279,563 Series 2017-4656, Class EZ....................................... 4.00% 02/15/47 $ 260,414
Federal National Mortgage Association
1,750,792 Series 2012-20, Class ZT......................................... 3.50% 03/25/42 1,618,602
1,902,147 Series 2012-84, Class VZ......................................... 3.50% 08/25/42 1,746,626
225,266 Series 2018-38, Class PA......................................... 3.50% 06/25/47 214,037
646,669 Series 2018-43, Class CT......................................... 3.00% 06/25/48 573,536
168,294 Series 2018-86, Class JA......................................... 4.00% 05/25/47 162,050
82,842 Series 2018-94, Class KD......................................... 3.50% 12/25/48 76,934
99,345 Series 2019-1, Class KP.......................................... 3.25% 02/25/49 90,698
56,681 Series 2019-20, Class BA......................................... 3.50% 02/25/48 54,858
48,598 Series 2019-52, Class PA......................................... 3.00% 09/25/49 41,985
Government National Mortgage Association
175,594 Series 2018-115, Class DE........................................ 3.50% 08/20/48 165,222
195,611 Series 2018-124, Class NW........................................ 3.50% 09/20/48 184,047
326,474 Series 2019-12, Class QA......................................... 3.50% 09/20/48 311,165
27,860 Series 2019-71, Class PT......................................... 3.00% 06/20/49 25,412
368,422 Series 2019-119, Class JE........................................ 3.00% 09/20/49 329,723
--------------
5,855,309
--------------
PASS-THROUGH SECURITIES -- 32.3%
Federal Home Loan Mortgage Corporation
57,004 Pool C91981...................................................... 3.00% 02/01/38 52,124
51,872 Pool G07961...................................................... 3.50% 03/01/45 48,557
49,760 Pool G08692...................................................... 3.00% 02/01/46 44,953
1,443,166 Pool G08715...................................................... 3.00% 08/01/46 1,301,368
28,558 Pool G08721...................................................... 3.00% 09/01/46 25,731
327,937 Pool G08726...................................................... 3.00% 10/01/46 296,053
793,167 Pool G08732...................................................... 3.00% 11/01/46 712,285
104,427 Pool G08738...................................................... 3.50% 12/01/46 96,981
207,432 Pool G08741...................................................... 3.00% 01/01/47 186,600
144,917 Pool G08747...................................................... 3.00% 02/01/47 130,309
101,384 Pool G08748...................................................... 3.50% 02/01/47 94,087
470,608 Pool G08750...................................................... 3.00% 03/01/47 422,997
110,410 Pool G08766...................................................... 3.50% 06/01/47 102,452
292,922 Pool G08788...................................................... 3.50% 11/01/47 271,431
971,007 Pool G08792...................................................... 3.50% 12/01/47 899,615
131,059 Pool G08800...................................................... 3.50% 02/01/48 121,327
198,699 Pool G08816...................................................... 3.50% 06/01/48 183,934
54,524 Pool G08833...................................................... 5.00% 07/01/48 54,609
10,606 Pool G08838...................................................... 5.00% 09/01/48 10,617
184,147 Pool G08843...................................................... 4.50% 10/01/48 180,871
40,630 Pool G08844...................................................... 5.00% 10/01/48 40,668
117,271 Pool G08849...................................................... 5.00% 11/01/48 117,300
421,358 Pool G16085...................................................... 2.50% 02/01/32 391,555
254,216 Pool G16350...................................................... 2.50% 10/01/32 234,992
303,947 Pool G16396...................................................... 3.50% 02/01/33 292,640
884,187 Pool G16524...................................................... 3.50% 05/01/33 851,254
98,826 Pool G18670...................................................... 3.00% 12/01/32 93,354
28,590 Pool G18691...................................................... 3.00% 06/01/33 26,866
80,491 Pool G18713...................................................... 3.50% 11/01/33 77,485
See Notes to Financial Statements Page 13
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (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)
$ 1,281,545 Pool G60038...................................................... 3.50% 01/01/44 $ 1,204,319
341,097 Pool G60080...................................................... 3.50% 06/01/45 319,091
695,487 Pool G60344...................................................... 4.00% 12/01/45 674,220
221,984 Pool G60440...................................................... 3.50% 03/01/46 207,340
683,384 Pool G60582...................................................... 3.50% 05/01/46 636,781
652,701 Pool G60658...................................................... 3.50% 07/01/46 616,242
293,436 Pool G61556...................................................... 3.50% 08/01/48 272,867
2,022,505 Pool G61748...................................................... 3.50% 11/01/48 1,885,693
674,841 Pool G67700...................................................... 3.50% 08/01/46 629,205
5,594,627 Pool G67706...................................................... 3.50% 12/01/47 5,216,240
1,373,109 Pool G67707...................................................... 3.50% 01/01/48 1,284,488
7,382,778 Pool G67708...................................................... 3.50% 03/01/48 6,865,113
1,403,846 Pool G67709...................................................... 3.50% 03/01/48 1,310,217
1,596,107 Pool G67714...................................................... 4.00% 07/01/48 1,541,198
2,183,857 Pool G67717...................................................... 4.00% 11/01/48 2,108,726
3,366,376 Pool G67718...................................................... 4.00% 01/01/49 3,231,494
118,276 Pool Q44452...................................................... 3.00% 11/01/46 106,318
209,990 Pool Q50135...................................................... 3.50% 08/01/47 194,713
8,523,467 Pool QA7837...................................................... 3.50% 03/01/50 7,906,010
21,618,465 Pool QD8259...................................................... 3.00% 03/01/52 19,033,279
15,078,380 Pool QE0312...................................................... 2.00% 04/01/52 12,313,633
22,139,591 Pool QE0521...................................................... 2.50% 04/01/52 18,794,901
13,995,202 Pool RA3078...................................................... 3.00% 07/01/50 12,479,350
386,624 Pool RE6029...................................................... 3.00% 02/01/50 333,785
13,242,409 Pool SD0231...................................................... 3.00% 01/01/50 11,833,307
3,612,273 Pool SD7511...................................................... 3.50% 01/01/50 3,347,195
11,313,996 Pool SD7513...................................................... 3.50% 04/01/50 10,508,283
6,636,783 Pool SD7518...................................................... 3.00% 06/01/50 5,929,659
14,793,484 Pool SD8189...................................................... 2.50% 01/01/52 12,558,264
18,626,687 Pool SD8194...................................................... 2.50% 02/01/52 15,808,230
22,592,642 Pool SD8205...................................................... 2.50% 04/01/52 19,178,329
19,268,805 Pool SD8212...................................................... 2.50% 05/01/52 16,355,766
254,199 Pool U90772...................................................... 3.50% 01/01/43 237,245
308,923 Pool U99114...................................................... 3.50% 02/01/44 288,350
635,449 Pool ZA4692...................................................... 3.50% 06/01/46 591,100
294,781 Pool ZM0063...................................................... 4.00% 08/01/45 282,874
14,522,706 Pool ZM1779...................................................... 3.00% 09/01/46 13,119,332
3,094,168 Pool ZS4667...................................................... 3.00% 06/01/46 2,789,467
5,097,102 Pool ZS4688...................................................... 3.00% 11/01/46 4,571,969
8,238,179 Pool ZS4735...................................................... 3.50% 09/01/47 7,525,900
295,760 Pool ZS8602...................................................... 3.00% 03/01/31 279,444
586,141 Pool ZS9844...................................................... 3.50% 07/01/46 544,778
1,637,195 Pool ZT0277...................................................... 3.50% 10/01/46 1,522,933
744,297 Pool ZT0531...................................................... 3.50% 04/01/47 693,159
717,434 Pool ZT0536...................................................... 3.50% 03/01/48 666,356
2,278,728 Pool ZT0537...................................................... 3.50% 03/01/48 2,124,294
395,284 Pool ZT0542...................................................... 4.00% 07/01/48 381,248
81,996 Pool ZT1403...................................................... 3.50% 11/01/33 78,854
1,112,538 Pool ZT1703...................................................... 4.00% 01/01/49 1,066,731
Page 14 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (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
$ 2,487,904 Pool AL8825...................................................... 3.50% 06/01/46 $ 2,315,017
113,049 Pool AN2786...................................................... 2.76% 09/01/36 95,310
1,031,452 Pool AS0225...................................................... 4.00% 08/01/43 992,828
1,327,337 Pool AS3134...................................................... 3.50% 08/01/44 1,241,696
301,347 Pool AS6620...................................................... 3.50% 02/01/46 280,562
94,623 Pool AS9334...................................................... 3.00% 03/01/32 89,282
73,649 Pool AS9749...................................................... 4.00% 06/01/47 70,545
77,048 Pool BD7081...................................................... 4.00% 03/01/47 73,127
5,895,585 Pool BE3774...................................................... 4.00% 07/01/47 5,655,333
764,567 Pool BJ2692...................................................... 3.50% 04/01/48 706,965
948,162 Pool BM1903...................................................... 3.50% 08/01/47 883,048
253,246 Pool BM2000...................................................... 3.50% 05/01/47 235,861
674,473 Pool BM3260...................................................... 3.50% 01/01/48 624,180
329,016 Pool BM4299...................................................... 3.00% 03/01/30 317,420
294,019 Pool BM4304...................................................... 3.00% 02/01/30 284,187
795,329 Pool BM4472...................................................... 3.50% 07/01/48 740,705
1,698,875 Pool BM5585...................................................... 3.00% 11/01/48 1,519,615
13,230,242 Pool BN7755...................................................... 3.00% 09/01/49 11,827,458
28,606,424 Pool BQ6913...................................................... 2.00% 12/01/51 23,375,477
47,793,220 Pool BQ7006...................................................... 2.00% 01/01/52 39,047,866
9,334,012 Pool BV8515...................................................... 3.00% 05/01/52 8,223,322
977,453 Pool CA0854...................................................... 3.50% 12/01/47 907,899
459,302 Pool CA0907...................................................... 3.50% 12/01/47 426,620
383,708 Pool CA0996...................................................... 3.50% 01/01/48 356,404
2,811,145 Pool CA1182...................................................... 3.50% 02/01/48 2,611,109
468,359 Pool CA1187...................................................... 3.50% 02/01/48 434,536
326,281 Pool CA1710...................................................... 4.50% 05/01/48 319,547
214,899 Pool CA1711...................................................... 4.50% 05/01/48 210,398
126,942 Pool CA2208...................................................... 4.50% 08/01/48 124,533
469,597 Pool CA2327...................................................... 4.00% 09/01/48 453,195
2,981,460 Pool CA3633...................................................... 3.50% 06/01/49 2,774,890
12,335,517 Pool CA4534...................................................... 3.00% 11/01/49 11,027,633
4,142,249 Pool FM2870...................................................... 3.00% 03/01/50 3,683,816
7,067,612 Pool FM5397...................................................... 3.00% 12/01/50 6,314,220
29,174,461 Pool FS1598...................................................... 2.00% 04/01/52 23,813,883
224,932 Pool MA1146...................................................... 4.00% 08/01/42 216,192
406,578 Pool MA1373...................................................... 3.50% 03/01/43 379,004
412,793 Pool MA2077...................................................... 3.50% 11/01/34 394,727
111,718 Pool MA2145...................................................... 4.00% 01/01/45 107,208
463,988 Pool MA2670...................................................... 3.00% 07/01/46 417,804
446,656 Pool MA2806...................................................... 3.00% 11/01/46 403,074
12,493 Pool MA2896...................................................... 3.50% 02/01/47 11,583
406,163 Pool MA3057...................................................... 3.50% 07/01/47 376,615
182,485 Pool MA3088...................................................... 4.00% 08/01/47 174,588
424,004 Pool MA3210...................................................... 3.50% 12/01/47 393,043
4,745,652 Pool MA3238...................................................... 3.50% 01/01/48 4,394,272
403,634 Pool MA3239...................................................... 4.00% 01/01/48 385,582
198,800 Pool MA3276...................................................... 3.50% 02/01/48 183,915
575,688 Pool MA3332...................................................... 3.50% 04/01/48 531,460
See Notes to Financial Statements Page 15
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (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)
$ 155,619 Pool MA3336...................................................... 3.50% 04/01/38 $ 147,260
105,032 Pool MA3410...................................................... 3.50% 07/01/33 100,997
141,233 Pool MA3537...................................................... 4.50% 12/01/48 138,542
588,235 Pool MA3846...................................................... 3.00% 11/01/49 510,659
9,313,457 Pool MA4093...................................................... 2.00% 08/01/40 7,949,092
6,412,913 Pool MA4128...................................................... 2.00% 09/01/40 5,473,457
7,145,374 Pool MA4152...................................................... 2.00% 10/01/40 6,098,611
3,834,688 Pool MA4176...................................................... 2.00% 11/01/40 3,272,915
13,676,059 Pool MA4364...................................................... 2.00% 06/01/41 11,672,243
18,798,573 Pool MA4548...................................................... 2.50% 02/01/52 15,959,693
35,450,000 Pool TBA (a)..................................................... 2.00% 03/15/53 28,885,519
36,250,000 Pool TBA (a)..................................................... 2.50% 03/15/53 30,720,459
76,775,000 Pool TBA (a)..................................................... 3.00% 03/15/53 67,557,502
2,325,000 Pool TBA (a)..................................................... 3.50% 03/15/53 2,117,021
46,525,000 Pool TBA (a)..................................................... 4.00% 03/15/53 43,682,613
133,450,000 Pool TBA (a)..................................................... 4.50% 03/15/53 128,612,437
123,700,000 Pool TBA (a)..................................................... 5.00% 03/15/53 121,631,891
123,300,000 Pool TBA (a)..................................................... 2.00% 04/15/53 100,602,686
105,900,000 Pool TBA (a)..................................................... 2.50% 04/15/53 89,861,941
Government National Mortgage Association
180,335 Pool MA1157...................................................... 3.50% 07/20/43 170,089
531,876 Pool MA2825...................................................... 3.00% 05/20/45 487,241
179,079 Pool MA3521...................................................... 3.50% 03/20/46 167,159
7,606,271 Pool MA3662...................................................... 3.00% 05/20/46 6,930,026
687,308 Pool MA3663...................................................... 3.50% 05/20/46 642,420
463,970 Pool MA3735...................................................... 3.00% 06/20/46 421,877
9,437,167 Pool MA3937...................................................... 3.50% 09/20/46 8,836,451
129,998 Pool MA4069...................................................... 3.50% 11/20/46 121,127
75,408 Pool MA4195...................................................... 3.00% 01/20/47 68,403
89,849 Pool MA4196...................................................... 3.50% 01/20/47 83,984
451,641 Pool MA4261...................................................... 3.00% 02/20/47 408,710
115,786 Pool MA4262...................................................... 3.50% 02/20/47 108,095
2,913,345 Pool MA4322...................................................... 4.00% 03/20/47 2,794,395
3,080,043 Pool MA4382...................................................... 3.50% 04/20/47 2,866,946
36,365 Pool MA4453...................................................... 4.50% 05/20/47 35,953
38,742 Pool MA4586...................................................... 3.50% 07/20/47 36,175
248,817 Pool MA4588...................................................... 4.50% 07/20/47 245,356
681,149 Pool MA4651...................................................... 3.00% 08/20/47 616,676
983,076 Pool MA4652...................................................... 3.50% 08/20/47 917,281
340,410 Pool MA4719...................................................... 3.50% 09/20/47 318,642
41,339 Pool MA4722...................................................... 5.00% 09/20/47 41,545
33,941 Pool MA4777...................................................... 3.00% 10/20/47 30,725
848,637 Pool MA4778...................................................... 3.50% 10/20/47 791,677
811,326 Pool MA4836...................................................... 3.00% 11/20/47 737,270
842,983 Pool MA4837...................................................... 3.50% 11/20/47 785,643
282,739 Pool MA4838...................................................... 4.00% 11/20/47 271,273
46,937 Pool MA4901...................................................... 4.00% 12/20/47 45,033
217,412 Pool MA4961...................................................... 3.00% 01/20/48 197,329
292,625 Pool MA4962...................................................... 3.50% 01/20/48 273,729
Page 16 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (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)
$ 425,531 Pool MA4963...................................................... 4.00% 01/20/48 $ 408,306
215,348 Pool MA5078...................................................... 4.00% 03/20/48 206,619
588,450 Pool MA5136...................................................... 3.50% 04/20/48 548,701
448,850 Pool MA5399...................................................... 4.50% 08/20/48 441,175
178,323 Pool MA5466...................................................... 4.00% 09/20/48 170,066
47,103 Pool MA5467...................................................... 4.50% 09/20/48 45,727
125,355 Pool MA5597...................................................... 5.00% 11/20/48 125,887
142,986 Pool MA5976...................................................... 3.50% 06/20/49 130,560
37,244 Pool MA6030...................................................... 3.50% 07/20/49 33,945
205,972 Pool MA6080...................................................... 3.00% 08/20/49 181,638
53,275,000 Pool TBA (a)..................................................... 2.50% 03/15/53 46,091,199
17,325,000 Pool TBA (a)..................................................... 4.50% 03/15/53 16,803,220
--------------
1,158,872,670
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 1,164,727,979
(Cost $1,234,922,609) --------------
U.S. GOVERNMENT BONDS AND NOTES -- 28.9%
210,809,000 U.S. Treasury Bond.................................................. 2.00% 11/15/41 152,461,846
90,055,000 U.S. Treasury Bond.................................................. 2.38% 02/15/42 69,347,626
110,340,000 U.S. Treasury Bond.................................................. 3.63% 02/15/53 105,081,609
8,765,500 U.S. Treasury Inflation Indexed Note (b)............................ 0.63% 07/15/32 8,108,896
198,304,000 U.S. Treasury Note.................................................. 4.13% 01/31/25 195,739,991
121,815,000 U.S. Treasury Note.................................................. 4.63% 02/28/25 121,429,570
62,200,000 U.S. Treasury Note.................................................. 4.00% 02/15/26 61,342,321
16,806,000 U.S. Treasury Note.................................................. 3.88% 12/31/27 16,561,788
60,493,000 U.S. Treasury Note.................................................. 3.50% 01/31/28 58,659,306
228,800,000 U.S. Treasury Note.................................................. 4.00% 02/29/28 227,119,750
19,527,000 U.S. Treasury Note.................................................. 3.50% 02/15/33 18,884,745
--------------
TOTAL U.S. GOVERNMENT BONDS AND NOTES.......................................................... 1,034,737,448
(Cost $1,080,395,971) --------------
CORPORATE BONDS AND NOTES -- 21.8%
AEROSPACE/DEFENSE -- 0.4%
3,208,000 BAE Systems Holdings, Inc. (c)...................................... 3.85% 12/15/25 3,080,415
8,500,000 Boeing (The) Co..................................................... 1.43% 02/04/24 8,175,836
1,610,000 Boeing (The) Co..................................................... 4.88% 05/01/25 1,588,043
--------------
12,844,294
--------------
AGRICULTURE -- 0.5%
3,715,000 BAT Capital Corp.................................................... 3.56% 08/15/27 3,385,805
1,400,000 BAT Capital Corp.................................................... 2.73% 03/25/31 1,093,851
4,530,000 BAT Capital Corp.................................................... 4.39% 08/15/37 3,521,967
1,855,000 BAT Capital Corp.................................................... 4.54% 08/15/47 1,333,517
2,500,000 BAT Capital Corp.................................................... 5.65% 03/16/52 2,111,980
4,250,000 Reynolds American, Inc.............................................. 5.70% 08/15/35 3,870,221
3,735,000 Reynolds American, Inc.............................................. 5.85% 08/15/45 3,211,130
--------------
18,528,471
--------------
AIRLINES -- 0.4%
863,597 American Airlines Pass-Through Trust, Series 2014-1, Class A........ 3.70% 10/01/26 779,278
See Notes to Financial Statements Page 17
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
AIRLINES (CONTINUED)
$ 103,814 American Airlines Pass-Through Trust, Series 2015-2, Class AA....... 3.60% 09/22/27 $ 94,692
3,453,175 American Airlines Pass-Through Trust, Series 2016-1, Class AA....... 3.58% 01/15/28 3,144,514
4,252,576 Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA......... 2.00% 06/10/28 3,726,279
7,822,134 JetBlue Pass-Through Trust, Series 2020-1, Class A.................. 4.00% 11/15/32 7,204,898
348,413 US Airways Pass-Through Trust, Series 2012-1, Class A............... 5.90% 10/01/24 348,229
--------------
15,297,890
--------------
BANKS -- 6.9%
325,000 Bank of America Corp. (d)........................................... 1.73% 07/22/27 286,415
3,580,000 Bank of America Corp. (d)........................................... 2.69% 04/22/32 2,904,928
1,455,000 Bank of America Corp. (d)........................................... 2.57% 10/20/32 1,159,117
20,965,000 Bank of America Corp., Series N (d)................................. 1.66% 03/11/27 18,679,566
1,300,000 Bank of America Corp., Series N (d)................................. 2.65% 03/11/32 1,056,719
8,965,000 Bank of America Corp., Medium-Term Note (d)......................... 2.55% 02/04/28 8,018,135
1,345,000 Bank of America Corp., Medium-Term Note (d)......................... 3.97% 03/05/29 1,249,628
11,320,000 Bank of America Corp., Medium-Term Note (d)......................... 2.09% 06/14/29 9,522,578
2,839,000 Bank of America Corp., Medium-Term Note (d)......................... 3.97% 02/07/30 2,599,213
5,265,000 Bank of America Corp., Medium-Term Note (d)......................... 1.92% 10/24/31 4,084,647
2,180,000 Citigroup, Inc. (d)................................................. 0.98% 05/01/25 2,059,489
2,375,000 Citigroup, Inc. (d)................................................. 3.52% 10/27/28 2,175,710
4,110,000 Citigroup, Inc. (d)................................................. 2.98% 11/05/30 3,501,714
2,000,000 Citigroup, Inc. (d)................................................. 2.67% 01/29/31 1,665,497
1,670,000 Citigroup, Inc. (d)................................................. 4.41% 03/31/31 1,553,727
6,040,000 Citigroup, Inc. (d)................................................. 2.57% 06/03/31 4,957,082
720,000 Citigroup, Inc. (d)................................................. 2.56% 05/01/32 578,618
15,740,000 Citigroup, Inc. (d)................................................. 3.06% 01/25/33 12,933,359
10,000,000 Goldman Sachs Group (The), Inc...................................... 1.22% 12/06/23 9,697,930
1,995,000 Goldman Sachs Group (The), Inc. (d)................................. 0.93% 10/21/24 1,931,348
950,000 Goldman Sachs Group (The), Inc. (d)................................. 3.27% 09/29/25 913,734
9,860,000 Goldman Sachs Group (The), Inc. (d)................................. 1.43% 03/09/27 8,694,681
9,105,000 Goldman Sachs Group (The), Inc. (d)................................. 1.54% 09/10/27 7,910,305
845,000 Goldman Sachs Group (The), Inc. (d)................................. 2.64% 02/24/28 755,557
1,345,000 Goldman Sachs Group (The), Inc. (d)................................. 1.99% 01/27/32 1,034,190
7,710,000 Goldman Sachs Group (The), Inc. (d)................................. 2.38% 07/21/32 6,060,338
6,060,000 Goldman Sachs Group (The), Inc. (d)................................. 2.65% 10/21/32 4,835,317
13,465,000 JPMorgan Chase & Co. (d)............................................ 0.97% 06/23/25 12,640,813
8,015,000 JPMorgan Chase & Co. (d)............................................ 1.56% 12/10/25 7,453,876
1,895,000 JPMorgan Chase & Co. (d)............................................ 1.04% 02/04/27 1,664,751
10,455,000 JPMorgan Chase & Co. (d)............................................ 1.58% 04/22/27 9,253,168
1,445,000 JPMorgan Chase & Co. (d)............................................ 2.07% 06/01/29 1,218,988
2,625,000 JPMorgan Chase & Co. (d)............................................ 2.74% 10/15/30 2,215,983
3,900,000 JPMorgan Chase & Co. (d)............................................ 1.95% 02/04/32 3,030,390
3,145,000 JPMorgan Chase & Co. (d)............................................ 2.58% 04/22/32 2,550,081
4,790,000 JPMorgan Chase & Co. (d)............................................ 2.55% 11/08/32 3,832,663
495,000 Morgan Stanley (d).................................................. 0.99% 12/10/26 435,661
4,615,000 Morgan Stanley (d).................................................. 2.48% 09/16/36 3,445,582
7,135,000 Morgan Stanley, Global Medium-Term Note (d)......................... 1.51% 07/20/27 6,231,492
1,975,000 Morgan Stanley, Global Medium-Term Note (d)......................... 2.24% 07/21/32 1,537,372
13,355,000 Morgan Stanley, Medium-Term Note (d)................................ 1.16% 10/21/25 12,375,958
6,860,000 Morgan Stanley, Medium-Term Note (d)................................ 1.93% 04/28/32 5,243,328
6,165,000 PNC Financial Services Group (The), Inc. (d)........................ 5.07% 01/24/34 5,965,570
Page 18 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
$ 1,525,000 US Bancorp (d)...................................................... 5.85% 10/21/33 $ 1,573,290
5,635,000 US Bancorp (d)...................................................... 4.84% 02/01/34 5,397,020
4,320,000 Wells Fargo & Co. (d)............................................... 2.19% 04/30/26 4,018,624
10,185,000 Wells Fargo & Co., Medium-Term Note (d)............................. 3.53% 03/24/28 9,435,676
9,444,000 Wells Fargo & Co., Medium-Term Note (d)............................. 2.39% 06/02/28 8,355,578
5,790,000 Wells Fargo & Co., Medium-Term Note (d)............................. 2.88% 10/30/30 4,936,263
14,170,000 Wells Fargo & Co., Medium-Term Note (d)............................. 3.35% 03/02/33 11,989,740
--------------
245,621,409
--------------
BEVERAGES -- 0.1%
4,300,000 Constellation Brands, Inc........................................... 2.88% 05/01/30 3,654,764
--------------
BIOTECHNOLOGY -- 0.4%
3,510,000 Amgen, Inc. (e)..................................................... 5.25% 03/02/33 3,486,940
3,510,000 Amgen, Inc. (e)..................................................... 5.60% 03/02/43 3,468,302
1,412,000 Amgen, Inc.......................................................... 4.40% 05/01/45 1,182,239
3,510,000 Amgen, Inc. (e)..................................................... 5.65% 03/02/53 3,483,600
1,510,000 Regeneron Pharmaceuticals, Inc...................................... 1.75% 09/15/30 1,176,652
--------------
12,797,733
--------------
CHEMICALS -- 0.2%
5,498,000 International Flavors & Fragrances, Inc. (c)........................ 2.30% 11/01/30 4,248,588
3,114,000 International Flavors & Fragrances, Inc............................. 5.00% 09/26/48 2,582,777
--------------
6,831,365
--------------
COMMERCIAL SERVICES -- 0.1%
1,730,000 Global Payments, Inc................................................ 5.40% 08/15/32 1,655,224
2,366,000 Global Payments, Inc................................................ 5.95% 08/15/52 2,191,152
--------------
3,846,376
--------------
COMPUTERS -- 0.0%
370,000 NCR Corp. (c)....................................................... 5.25% 10/01/30 306,326
--------------
DIVERSIFIED FINANCIAL SERVICES -- 0.5%
1,890,000 Air Lease Corp...................................................... 3.25% 03/01/25 1,794,381
940,000 Air Lease Corp...................................................... 3.38% 07/01/25 886,943
3,000,000 Air Lease Corp...................................................... 4.63% 10/01/28 2,804,256
360,000 Air Lease Corp., Medium-Term Note................................... 2.30% 02/01/25 336,304
7,930,000 Capital One Financial Corp. (d)..................................... 1.34% 12/06/24 7,644,849
3,755,000 Discover Financial Services......................................... 3.95% 11/06/24 3,656,367
--------------
17,123,100
--------------
ELECTRIC -- 1.5%
4,128,000 Alliant Energy Finance LLC (c)...................................... 3.75% 06/15/23 4,105,733
2,655,000 Alliant Energy Finance LLC (c)...................................... 1.40% 03/15/26 2,305,087
200,000 Ameren Illinois Co.................................................. 3.70% 12/01/47 159,389
6,605,000 American Electric Power Co., Inc. (e)............................... 5.63% 03/01/33 6,608,856
3,000,000 Appalachian Power Co., Series Z..................................... 3.70% 05/01/50 2,263,673
750,000 Cleco Power LLC..................................................... 6.00% 12/01/40 741,270
500,000 Consolidated Edison Co. of New York, Inc............................ 4.50% 05/15/58 416,014
1,695,000 Dominion Energy, Inc., Series A..................................... 3.30% 03/15/25 1,621,451
2,375,000 Duke Energy Carolinas LLC........................................... 5.35% 01/15/53 2,344,604
2,000,000 Duke Energy Corp.................................................... 3.85% 06/15/34 1,917,885
750,000 Entergy Texas, Inc.................................................. 3.45% 12/01/27 689,471
See Notes to Financial Statements Page 19
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
ELECTRIC (CONTINUED)
$ 9,101,000 FirstEnergy Transmission LLC (c).................................... 2.87% 09/15/28 $ 7,958,791
3,855,000 Interstate Power and Light Co....................................... 2.30% 06/01/30 3,158,824
1,500,000 ITC Holdings Corp. (c).............................................. 2.95% 05/14/30 1,280,908
1,750,000 Jersey Central Power & Light Co. (c)................................ 4.30% 01/15/26 1,679,760
830,000 Metropolitan Edison Co. (c)......................................... 4.00% 04/15/25 791,674
2,253,000 Metropolitan Edison Co. (c)......................................... 4.30% 01/15/29 2,104,553
10,000,000 Niagara Mohawk Power Corp. (c)...................................... 3.03% 06/27/50 6,566,872
825,000 Public Service Co. of New Mexico.................................... 3.85% 08/01/25 788,404
3,480,000 Southwestern Public Service Co., Series 9........................... 5.15% 06/01/52 3,294,904
700,000 Trans-Allegheny Interstate Line Co. (c)............................. 3.85% 06/01/25 672,007
2,310,000 Tucson Electric Power Co............................................ 5.50% 04/15/53 2,281,211
1,505,000 Xcel Energy, Inc.................................................... 4.80% 09/15/41 1,351,464
--------------
55,102,805
--------------
ENTERTAINMENT -- 0.5%
9,840,000 Warnermedia Holdings, Inc. (c)...................................... 5.05% 03/15/42 7,978,783
11,190,000 Warnermedia Holdings, Inc. (c)...................................... 5.14% 03/15/52 8,779,249
--------------
16,758,032
--------------
FOOD -- 0.2%
643,000 Chobani LLC / Chobani Finance Corp., Inc. (c)....................... 4.63% 11/15/28 561,075
2,885,000 Kraft Heinz Foods Co................................................ 5.20% 07/15/45 2,663,740
1,000,000 Pilgrim's Pride Corp. (c)........................................... 5.88% 09/30/27 981,175
3,570,000 Pilgrim's Pride Corp................................................ 3.50% 03/01/32 2,762,336
--------------
6,968,326
--------------
GAS -- 0.1%
500,000 Piedmont Natural Gas Co., Inc....................................... 3.35% 06/01/50 341,427
3,856,000 Southern Co. Gas Capital Corp....................................... 5.88% 03/15/41 3,894,831
200,000 Spire, Inc.......................................................... 3.54% 02/27/24 195,418
--------------
4,431,676
--------------
HEALTHCARE-PRODUCTS -- 0.2%
525,000 Alcon Finance Corp. (c)............................................. 2.75% 09/23/26 481,661
1,500,000 Alcon Finance Corp. (c)............................................. 2.60% 05/27/30 1,261,854
3,015,000 DENTSPLY SIRONA, Inc................................................ 3.25% 06/01/30 2,571,017
5,000,000 PerkinElmer, Inc.................................................... 2.55% 03/15/31 4,027,444
--------------
8,341,976
--------------
HEALTHCARE-SERVICES -- 1.3%
2,105,000 Bon Secours Mercy Health, Inc., Series 20-2......................... 2.10% 06/01/31 1,664,969
1,845,000 Centene Corp........................................................ 4.25% 12/15/27 1,706,533
9,311,000 Centene Corp........................................................ 2.45% 07/15/28 7,827,199
2,982,000 Centene Corp........................................................ 3.00% 10/15/30 2,439,261
2,135,000 CommonSpirit Health................................................. 2.76% 10/01/24 2,049,737
1,520,000 CommonSpirit Health................................................. 3.35% 10/01/29 1,320,453
475,000 CommonSpirit Health................................................. 2.78% 10/01/30 398,264
3,250,000 HCA, Inc. (c)....................................................... 3.13% 03/15/27 2,958,955
8,233,000 HCA, Inc............................................................ 4.13% 06/15/29 7,500,692
3,800,000 HCA, Inc............................................................ 3.50% 09/01/30 3,270,393
3,250,000 HCA, Inc. (c)....................................................... 3.63% 03/15/32 2,749,710
4,330,000 HCA, Inc. (c)....................................................... 4.63% 03/15/52 3,409,548
1,719,000 ModivCare Escrow Issuer, Inc. (c)................................... 5.00% 10/01/29 1,456,096
Page 20 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
HEALTHCARE-SERVICES (CONTINUED)
$ 140,000 Molina Healthcare, Inc. (c)......................................... 4.38% 06/15/28 $ 127,288
8,228,000 Molina Healthcare, Inc. (c)......................................... 3.88% 05/15/32 6,763,745
200,000 New York and Presbyterian (The) Hospital............................ 3.56% 08/01/36 169,091
160,000 UnitedHealth Group, Inc............................................. 4.45% 12/15/48 142,398
2,630,000 Universal Health Services, Inc...................................... 1.65% 09/01/26 2,284,716
--------------
48,239,048
--------------
INSURANCE -- 1.2%
3,505,000 Arthur J Gallagher & Co. (e)........................................ 5.75% 03/02/53 3,491,494
5,090,000 Athene Global Funding, SOFR Compound Index + 0.70% (c) (f).......... 5.28% 05/24/24 5,059,604
2,145,000 Athene Global Funding (c)........................................... 3.21% 03/08/27 1,919,780
5,585,000 Athene Global Funding (c)........................................... 1.99% 08/19/28 4,567,633
2,605,000 Athene Global Funding (c)........................................... 2.72% 01/07/29 2,192,152
1,650,000 Farmers Exchange Capital (c)........................................ 7.05% 07/15/28 1,680,324
2,200,000 Farmers Exchange Capital II (c) (d)................................. 6.15% 11/01/53 2,162,480
1,770,000 Farmers Exchange Capital III (c) (d)................................ 5.45% 10/15/54 1,624,128
600,000 Farmers Insurance Exchange (c)...................................... 8.63% 05/01/24 610,932
3,495,000 Farmers Insurance Exchange (c) (d).................................. 4.75% 11/01/57 2,744,167
7,000,000 National General Holdings Corp. (c)................................. 6.75% 05/15/24 6,977,866
1,525,000 Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (c) (f)........ 7.06% 12/15/24 1,525,078
1,665,000 New York Life Insurance Co. (c)..................................... 3.75% 05/15/50 1,312,932
1,790,000 Teachers Insurance & Annuity Association of America (c)............. 4.90% 09/15/44 1,652,356
3,910,000 Teachers Insurance & Annuity Association of America (c)............. 4.27% 05/15/47 3,354,129
1,980,000 Teachers Insurance & Annuity Association of America (c) (d)......... 4.38% 09/15/54 1,903,534
--------------
42,778,589
--------------
INTERNET -- 0.1%
1,905,000 Meta Platforms, Inc................................................. 4.45% 08/15/52 1,581,007
1,945,000 Netflix, Inc........................................................ 4.63% 05/15/29 2,048,202
--------------
3,629,209
--------------
LODGING -- 0.1%
4,385,000 Hyatt Hotels Corp................................................... 1.80% 10/01/24 4,138,199
--------------
MEDIA -- 0.9%
875,000 Cable One, Inc. (c)................................................. 4.00% 11/15/30 683,051
1,475,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 4.91% 07/23/25 1,443,821
1,410,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 2.30% 02/01/32 1,038,391
1,471,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.38% 04/01/38 1,232,252
6,920,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.38% 05/01/47 5,520,460
1,960,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.25% 04/01/53 1,534,396
3,570,000 Cox Communications, Inc. (c)........................................ 2.60% 06/15/31 2,885,643
4,670,000 Cox Enterprises, Inc. (c)........................................... 7.38% 07/15/27 4,895,116
5,000,000 CSC Holdings LLC (c)................................................ 6.50% 02/01/29 4,243,875
8,275,000 Diamond Sports Group LLC / Diamond Sports Finance Co. (c)........... 5.38% 08/15/26 938,799
8,320,000 Time Warner Cable LLC............................................... 5.50% 09/01/41 7,013,186
--------------
31,428,990
--------------
See Notes to Financial Statements Page 21
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
MISCELLANEOUS MANUFACTURING -- 0.0%
$ 943,000 General Electric Co., Medium-Term Note, 3 Mo. LIBOR +
0.38% (f)........................................................ 5.19% 05/05/26 $ 935,112
--------------
PACKAGING & CONTAINERS -- 0.4%
3,000,000 Amcor Finance USA, Inc.............................................. 3.63% 04/28/26 2,833,697
1,000,000 Amcor Flexibles North America, Inc.................................. 2.63% 06/19/30 829,732
4,157,000 Berry Global, Inc................................................... 1.57% 01/15/26 3,707,473
2,125,000 Berry Global, Inc. (c).............................................. 4.88% 07/15/26 2,036,834
2,650,000 Berry Global, Inc................................................... 1.65% 01/15/27 2,275,901
3,670,000 WRKCo, Inc.......................................................... 3.00% 06/15/33 2,964,722
--------------
14,648,359
--------------
PHARMACEUTICALS -- 0.9%
1,045,000 Bayer US Finance II LLC (c)......................................... 3.38% 07/15/24 1,015,574
625,000 Bayer US Finance II LLC (c)......................................... 2.85% 04/15/25 589,108
7,880,000 Bayer US Finance II LLC (c)......................................... 4.25% 12/15/25 7,624,859
3,160,000 Bayer US Finance II LLC (c)......................................... 4.38% 12/15/28 2,972,762
815,000 Bayer US Finance II LLC (c)......................................... 4.63% 06/25/38 710,870
1,750,000 Bayer US Finance II LLC (c)......................................... 4.40% 07/15/44 1,401,549
2,540,000 Bayer US Finance II LLC (c)......................................... 4.88% 06/25/48 2,207,062
2,107,000 Becton Dickinson and Co............................................. 3.73% 12/15/24 2,048,998
2,000,000 Cigna Corp.......................................................... 3.40% 03/01/27 1,873,957
75,000 Cigna Corp.......................................................... 3.05% 10/15/27 68,681
1,225,000 CVS Health Corp..................................................... 1.75% 08/21/30 956,860
1,850,000 CVS Health Corp..................................................... 5.13% 07/20/45 1,672,952
8,430,000 CVS Health Corp..................................................... 5.05% 03/25/48 7,572,462
--------------
30,715,694
--------------
PIPELINES -- 0.6%
3,200,000 Energy Transfer L.P................................................. 4.90% 03/15/35 2,880,152
260,000 Energy Transfer L.P................................................. 5.15% 03/15/45 218,587
2,600,000 Energy Transfer L.P................................................. 6.13% 12/15/45 2,437,935
3,606,000 Energy Transfer L.P................................................. 5.40% 10/01/47 3,105,892
3,980,000 Energy Transfer L.P................................................. 5.00% 05/15/50 3,267,655
3,640,000 NGPL PipeCo LLC (c)................................................. 4.88% 08/15/27 3,480,865
425,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.55% 12/15/29 368,953
1,350,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.80% 09/15/30 1,176,700
716,000 Rockies Express Pipeline LLC (c).................................... 4.95% 07/15/29 623,493
1,500,000 Rockies Express Pipeline LLC (c).................................... 4.80% 05/15/30 1,298,447
1,360,000 Rockies Express Pipeline LLC (c).................................... 6.88% 04/15/40 1,115,318
1,468,000 Sabine Pass Liquefaction LLC........................................ 4.50% 05/15/30 1,375,914
--------------
21,349,911
--------------
REAL ESTATE INVESTMENT TRUSTS -- 1.6%
612,000 Alexandria Real Estate Equities, Inc................................ 4.50% 07/30/29 583,302
500,000 American Assets Trust L.P........................................... 3.38% 02/01/31 396,064
4,665,000 American Homes 4 Rent L.P........................................... 3.38% 07/15/51 3,039,347
3,500,000 American Tower Corp. (e)............................................ 5.65% 03/15/33 3,484,040
184,000 CubeSmart L.P....................................................... 2.25% 12/15/28 153,885
750,000 CubeSmart L.P....................................................... 4.38% 02/15/29 696,997
1,135,000 CubeSmart L.P....................................................... 2.50% 02/15/32 887,785
543,000 Extra Space Storage L.P............................................. 3.90% 04/01/29 492,994
Page 22 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
$ 615,000 Extra Space Storage L.P............................................. 2.55% 06/01/31 $ 489,786
3,300,000 Extra Space Storage L.P............................................. 2.35% 03/15/32 2,530,621
1,210,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.30% 01/15/29 1,145,670
10,798,000 GLP Capital L.P. / GLP Financing II, Inc............................ 4.00% 01/15/30 9,466,542
1,722,000 GLP Capital L.P. / GLP Financing II, Inc............................ 3.25% 01/15/32 1,369,399
895,000 Healthcare Realty Holdings L.P...................................... 3.63% 01/15/28 806,247
2,000,000 Healthcare Realty Holdings L.P...................................... 3.10% 02/15/30 1,706,358
6,975,000 Healthcare Realty Holdings L.P...................................... 2.00% 03/15/31 5,331,404
283,000 Healthcare Realty Holdings L.P...................................... 2.05% 03/15/31 210,151
3,930,000 Hudson Pacific Properties L.P....................................... 3.95% 11/01/27 3,400,643
1,000,000 Hudson Pacific Properties L.P....................................... 4.65% 04/01/29 850,697
740,000 Invitation Homes Operating Partnership L.P.......................... 2.30% 11/15/28 612,583
2,825,000 Invitation Homes Operating Partnership L.P.......................... 2.00% 08/15/31 2,121,872
870,000 Invitation Homes Operating Partnership L.P.......................... 2.70% 01/15/34 651,650
860,000 Kilroy Realty L.P................................................... 2.50% 11/15/32 608,943
1,093,000 Kilroy Realty L.P................................................... 2.65% 11/15/33 751,028
1,135,000 Life Storage L.P.................................................... 2.20% 10/15/30 907,165
535,000 Life Storage L.P.................................................... 2.40% 10/15/31 423,926
1,605,000 LXP Industrial Trust................................................ 2.70% 09/15/30 1,286,204
1,837,000 LXP Industrial Trust................................................ 2.38% 10/01/31 1,395,036
475,000 Physicians Realty L.P............................................... 4.30% 03/15/27 452,092
670,000 Piedmont Operating Partnership L.P.................................. 3.15% 08/15/30 514,093
1,000,000 Ventas Realty L.P................................................... 2.65% 01/15/25 945,343
5,984,000 VICI Properties L.P................................................. 5.13% 05/15/32 5,557,640
350,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 4.63% 06/15/25 336,203
1,275,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 4.50% 09/01/26 1,190,756
55,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 3.75% 02/15/27 49,855
867,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 4.50% 01/15/28 797,842
2,775,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 3.88% 02/15/29 2,415,473
600,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 4.13% 08/15/30 518,810
--------------
58,578,446
--------------
RETAIL -- 0.3%
7,335,000 7-Eleven, Inc. (c).................................................. 0.80% 02/10/24 7,008,177
5,035,000 Michaels (The) Cos., Inc. (c)....................................... 7.88% 05/01/29 3,794,854
--------------
10,803,031
--------------
SEMICONDUCTORS -- 0.1%
2,540,000 Broadcom, Inc. (c).................................................. 3.42% 04/15/33 2,046,370
2,000,000 Broadcom, Inc. (c).................................................. 3.47% 04/15/34 1,584,186
--------------
3,630,556
--------------
SOFTWARE -- 0.6%
1,400,000 Fiserv, Inc......................................................... 2.25% 06/01/27 1,243,009
510,000 Fiserv, Inc......................................................... 2.65% 06/01/30 427,568
4,535,000 Fiserv, Inc. (e).................................................... 5.60% 03/02/33 4,532,043
10,000 Oracle Corp......................................................... 2.88% 03/25/31 8,295
3,000,000 Oracle Corp......................................................... 4.13% 05/15/45 2,260,135
2,050,000 Oracle Corp......................................................... 4.00% 11/15/47 1,501,282
2,535,000 Oracle Corp......................................................... 3.60% 04/01/50 1,719,756
6,267,000 Oracle Corp......................................................... 3.95% 03/25/51 4,506,541
See Notes to Financial Statements Page 23
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
SOFTWARE (CONTINUED)
$ 1,510,000 Oracle Corp......................................................... 6.90% 11/09/52 $ 1,632,332
2,485,000 Oracle Corp......................................................... 5.55% 02/06/53 2,278,868
--------------
20,109,829
--------------
TELECOMMUNICATIONS -- 1.7%
3,175,000 AT&T, Inc........................................................... 4.50% 05/15/35 2,858,467
3,500,000 AT&T, Inc........................................................... 5.25% 03/01/37 3,371,423
145,000 AT&T, Inc........................................................... 4.30% 12/15/42 120,787
5,220,000 AT&T, Inc........................................................... 4.75% 05/15/46 4,494,794
3,880,000 AT&T, Inc........................................................... 4.50% 03/09/48 3,194,977
2,000,000 CommScope, Inc. (c)................................................. 4.75% 09/01/29 1,632,060
2,000,000 Frontier Communications Holdings LLC (c)............................ 5.00% 05/01/28 1,757,020
4,525,000 Level 3 Financing, Inc. (c)......................................... 3.75% 07/15/29 2,850,750
4,500,000 SES GLOBAL Americas Holdings, Inc. (c).............................. 5.30% 03/25/44 3,395,549
2,084,063 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (c)......................................... 4.74% 03/20/25 2,060,601
21,145,000 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (c)......................................... 5.15% 03/20/28 20,918,038
3,415,000 T-Mobile USA, Inc................................................... 3.75% 04/15/27 3,211,911
6,980,000 T-Mobile USA, Inc................................................... 3.88% 04/15/30 6,332,268
6,231,000 T-Mobile USA, Inc................................................... 2.55% 02/15/31 5,088,388
750,000 T-Mobile USA, Inc................................................... 4.50% 04/15/50 622,894
--------------
61,909,927
--------------
TOTAL CORPORATE BONDS AND NOTES................................................................ 781,349,443
(Cost $885,011,234) --------------
ASSET-BACKED SECURITIES -- 12.2%
ACE Securities Corp. Home Equity Loan Trust
14,459,524 Series 2007-HE1, Class A1, 1 Mo. LIBOR + 0.30% (f)............... 4.92% 01/25/37 7,880,694
12,728,883 Series 2007-WM2, Class A1, 1 Mo. LIBOR + 0.21% (f)............... 4.83% 02/25/37 5,642,973
AGL CLO Ltd.
13,000,000 Series 2021-12A, Class A1, 3 Mo. LIBOR + 1.16% (c) (f)........... 5.97% 07/20/34 12,820,174
AMSR Trust
5,000,000 Series 2021-SFR3, Class G (c).................................... 3.80% 10/17/38 4,306,087
Argent Securities, Inc.
105,229 Series 2005-W2, Class M1, 1 Mo. LIBOR + 0.74% (f)................ 5.35% 10/25/35 102,474
Asset Backed Funding Certificates Trust
8,375,410 Series 2006-HE1, Class A2B, 1 Mo. LIBOR + 0.11% (f).............. 4.73% 01/25/37 4,866,706
Bardot CLO Ltd.
10,400,000 Series 2019-2A, Class BR, 3 Mo. LIBOR + 1.60% (c) (f)............ 6.42% 10/22/32 10,160,673
Barings CLO Ltd.
144,780 Series 2013-IA, Class AR, 3 Mo. LIBOR + 0.80% (c) (f)............ 5.61% 01/20/28 144,780
12,500,000 Series 2019-2A, Class A2R, 3 Mo. LIBOR + 1.70% (c) (f)........... 6.49% 04/15/36 12,136,277
Brazos Higher Education Authority, Inc.
245,233 Series 2011-2, Class A3, 3 Mo. LIBOR + 1.00% (f)................. 5.82% 10/27/36 242,698
Carrington Mortgage Loan Trust
18,000,000 Series 2006-NC4, Class A4, 1 Mo. LIBOR + 0.24% (f)............... 4.86% 10/25/36 14,813,048
540,082 Series 2006-OPT1, Class M1, 1 Mo. LIBOR + 0.53% (f).............. 5.14% 02/25/36 526,044
Carvana Auto Receivables Trust
70,350 Series 2022-P3, Class R (c)...................................... (g) 09/10/29 14,026,242
Page 24 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
CF Hippolyta Issuer LLC
$ 9,286,792 Series 2020-1, Class A1 (c)...................................... 1.69% 07/15/60 $ 8,323,966
CIFC Funding Ltd.
5,610,000 Series 2021-7A, Class A1, 3 Mo. LIBOR + 1.13% (c) (f)............ 5.95% 01/23/35 5,520,520
CIM Trust
18,310,881 Series 2023-NR1, Class A1, steps up to 9.00% on
01/01/26 (c) (h) (i)............................................. 6.00% 06/25/62 17,492,385
Citigroup Mortgage Loan Trust
222,921 Series 2006-HE2, Class M1, 1 Mo. LIBOR + 0.44% (f)............... 5.05% 08/25/36 221,996
Dryden Senior Loan Fund
787,995 Series 2013-26A, Class AR, 3 Mo. LIBOR + 0.90% (c) (f)........... 5.69% 04/15/29 782,707
551,841 Series 2013-28A, Class A1LR, 3 Mo. LIBOR + 1.20% (c) (f)......... 6.06% 08/15/30 549,164
ECMC Group Student Loan Trust
1,452,647 Series 2017-2A, Class A, 1 Mo. LIBOR + 1.05% (c) (f)............. 5.67% 05/25/67 1,389,741
EFS Volunteer No 3 LLC
68,647 Series 2012-1, Class A3, 1 Mo. LIBOR + 1.00% (c) (f)............. 5.62% 04/25/33 68,028
Elmwood CLO VI Ltd.
13,400,000 Series 2020-3A, Class BR, 3 Mo. LIBOR + 1.65% (c) (f)............ 6.46% 10/20/34 13,003,585
First Franklin Mortgage Loan Trust
16,168,202 Series 2006-FF13, Class A2C, 1 Mo. LIBOR + 0.32% (f)............. 4.94% 10/25/36 11,029,128
12,071,446 Series 2007-FF2, Class A1, 1 Mo. LIBOR + 0.14% (f)............... 4.76% 03/25/37 6,683,489
GE-WMC Mortgage Securities LLC
377,373 Series 2005-1, Class M1, 1 Mo. LIBOR + 0.66% (f)................. 5.28% 10/25/35 363,725
GoldenTree Loan Management US CLO Ltd.
5,000,000 Series 2020-8A, Class AR, 3 Mo. LIBOR + 1.15% (c) (f)............ 5.96% 10/20/34 4,938,114
GSAA Home Equity Trust
570,652 Series 2005-6, Class M1, 1 Mo. LIBOR + 0.65% (f)................. 5.26% 06/25/35 564,188
GSAMP Trust
12,896,320 Series 2006-NC2, Class A2C, 1 Mo. LIBOR + 0.30% (f).............. 4.92% 06/25/36 6,953,926
9,318,878 Series 2007-FM2, Class A1, 1 Mo. LIBOR + 0.14% (f)............... 4.76% 01/25/37 5,566,454
JP Morgan Mortgage Acquisition Trust
2,199,711 Series 2006-WF1, Class A6........................................ 6.50% 07/25/36 668,407
17,622,568 Series 2006-WMC2, Class A4, 1 Mo. LIBOR + 0.30% (f).............. 4.92% 07/25/36 8,118,858
18,645,356 Series 2006-WMC2, Class A5, 1 Mo. LIBOR + 0.50% (f).............. 5.12% 07/25/36 8,635,912
164,095 Series 2007-CH2, Class MV1, 1 Mo. LIBOR + 0.28% (f).............. 4.90% 01/25/37 163,314
Lehman XS Trust
2,847,741 Series 2006-9, Class A1C, 1 Mo. LIBOR + 0.52% (f)................ 5.14% 05/25/46 2,495,483
Long Beach Mortgage Loan Trust
413,953 Series 2006-1, Class 1A, 1 Mo. LIBOR + 0.44% (f)................. 5.06% 02/25/36 400,818
Magnetite VII Ltd.
3,506,136 Series 2012-7A, Class A1R2, 3 Mo. LIBOR + 0.80% (c) (f).......... 5.59% 01/15/28 3,489,123
Mastr Asset Backed Securities Trust
7,062,852 Series 2006-WMC3, Class A2, 1 Mo. LIBOR + 0.10% (f).............. 4.72% 08/25/36 2,503,874
Merrill Lynch First Franklin Mortgage Loan Trust
273,570 Series 2007-3, Class A2B, 1 Mo. LIBOR + 0.26% (f)................ 4.88% 06/25/37 213,115
Mid-State Trust
100,937 Series 2003-11, Class A1......................................... 4.86% 07/15/38 97,432
Morgan Stanley ABS Capital I, Inc. Trust
10,098,456 Series 2006-HE4, Class A3, 1 Mo. LIBOR + 0.30% (f)............... 4.92% 06/25/36 5,305,184
5,447,627 Series 2006-HE8, Class A2B, 1 Mo. LIBOR + 0.10% (f).............. 4.72% 10/25/36 2,469,419
267,911 Series 2006-NC1, Class M1, 1 Mo. LIBOR + 0.57% (f)............... 5.19% 12/25/35 264,294
5,877,192 Series 2007-HE1, Class A2D, 1 Mo. LIBOR + 0.23% (f).............. 4.85% 11/25/36 3,538,650
See Notes to Financial Statements Page 25
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Morgan Stanley ABS Capital I, Inc. Trust (Continued)
$ 25,964,754 Series 2007-HE2, Class A2D, 1 Mo. LIBOR + 0.21% (f).............. 4.83% 01/25/37 $ 12,989,644
6,646,568 Series 2007-NC3, Class A2D, 1 Mo. LIBOR + 0.26% (f).............. 4.88% 05/25/37 4,738,055
Navient Student Loan Trust
186,807 Series 2014-1, Class A3, 1 Mo. LIBOR + 0.51% (f)................. 5.13% 06/25/31 183,018
3,387,676 Series 2016-5A, Class A, 1 Mo. LIBOR + 1.25% (c) (f)............. 5.87% 06/25/65 3,381,847
290,885 Series 2017-3A, Class A3, 1 Mo. LIBOR + 1.05% (c) (f)............ 5.67% 07/26/66 289,239
New Century Home Equity Loan Trust
566,482 Series 2005-4, Class M3, 1 Mo. LIBOR + 0.83% (f)................. 5.44% 09/25/35 560,942
New Residential Mortgage Loan Trust
16,615,000 Series 2022-SFR2, Class B (c).................................... 3.75% 09/04/39 14,987,506
15,000,000 Series 2022-SFR2, Class E1 (c)................................... 4.00% 09/04/39 12,641,161
OCP CLO Ltd.
6,200,000 Series 2020-19A, Class AR, 3 Mo. LIBOR + 1.15% (c) (f)........... 5.96% 10/20/34 6,091,500
8,530,000 Series 2021-21A, Class B, 3 Mo. LIBOR + 1.70% (c) (f)............ 6.51% 07/20/34 8,282,232
Octagon Investment Partners 46 Ltd.
14,000,000 Series 2020-2A, Class AR, 3 Mo. LIBOR + 1.16% (c) (f)............ 5.95% 07/15/36 13,790,000
OHA Credit Funding 4 Ltd.
12,685,000 Series 2019-4A, Class BR, 3 Mo. LIBOR + 1.65% (c) (f)............ 6.47% 10/22/36 12,396,638
Progress Residential Trust
9,120,000 Series 2021-SFR2, Class G (c).................................... 4.25% 04/19/38 7,987,576
4,130,000 Series 2021-SFR3, Class G (c).................................... 4.25% 05/17/26 3,612,017
Rad CLO 14 Ltd.
10,000,000 Series 2021-14A, Class B, 3 Mo. LIBOR + 1.65% (c) (f)............ 6.44% 01/15/35 9,832,065
Residential Asset Securities Corp.
75,034 Series 2006-EMX3, Class A3, 1 Mo. LIBOR + 0.28% (f).............. 5.18% 04/25/36 73,899
588,158 Series 2006-KS3, Class M1, 1 Mo. LIBOR + 0.33% (f)............... 4.84% 04/25/36 578,471
Rockford Tower CLO Ltd.
10,000,000 Series 2017-3A, Class A, 3 Mo. LIBOR + 1.19% (c) (f)............. 6.00% 10/20/30 9,946,437
Saxon Asset Securities Trust
547,916 Series 2007-2, Class A2C, 1 Mo. LIBOR + 0.24% (f)................ 4.86% 05/25/47 394,898
Securitized Asset-Backed Receivables LLC Trust
22,874,428 Series 2006-WM4, Class A1, 1 Mo. LIBOR + 0.38% (c) (f)........... 5.00% 11/25/36 12,054,050
Skyline Aircraft Finance LLC
12,435,456 Series 2020-1, Class A (i) (j)................................... 3.23% 05/10/38 10,939,470
SLC Student Loan Trust
4,473,081 Series 2006-1, Class A6, 3 Mo. LIBOR + 0.16% (f)................. 4.93% 03/15/55 4,264,010
94,688 Series 2006-2, Class A6, 3 Mo. LIBOR + 0.16% (f)................. 4.93% 09/15/39 89,431
1,097,414 Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (f)................ 6.37% 12/15/32 1,099,313
SLM Student Loan Trust
396,831 Series 2005-9, Class A7A, 3 Mo. LIBOR + 0.60% (f)................ 5.42% 01/25/41 384,332
80,000 Series 2007-7, Class B, 3 Mo. LIBOR + 0.75% (f).................. 5.57% 10/27/70 69,369
130,000 Series 2008-2, Class B, 3 Mo. LIBOR + 1.20% (f).................. 6.02% 01/25/83 103,248
700,000 Series 2008-3, Class B, 3 Mo. LIBOR + 1.20% (f).................. 6.02% 04/26/83 630,234
3,826,329 Series 2008-6, Class A4, 3 Mo. LIBOR + 1.10% (f)................. 5.92% 07/25/23 3,727,036
320,000 Series 2008-7, Class B, 3 Mo. LIBOR + 1.85% (f).................. 6.67% 07/26/83 300,386
1,766,818 Series 2008-8, Class A4, 3 Mo. LIBOR + 1.50% (f)................. 6.32% 04/25/23 1,756,938
576,482 Series 2012-2, Class A, 1 Mo. LIBOR + 0.70% (f).................. 5.32% 01/25/29 555,773
556,892 Series 2012-3, Class A, 1 Mo. LIBOR + 0.65% (f).................. 5.27% 12/27/38 548,609
204,525 Series 2012-6, Class A3, 1 Mo. LIBOR + 0.75% (f)................. 5.37% 05/26/26 196,763
3,043,379 Series 2012-7, Class A3, 1 Mo. LIBOR + 0.65% (f)................. 5.27% 05/26/26 2,945,027
555,000 Series 2012-7, Class B, 1 Mo. LIBOR + 1.80% (f).................. 6.42% 09/25/43 523,204
Page 26 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
SLM Student Loan Trust (Continued)
$ 107,422 Series 2013-2, Class A, 1 Mo. LIBOR + 0.45% (f).................. 5.07% 06/25/43 $ 105,625
Soundview Home Loan Trust
6,124,023 Series 2007-OPT4, Class 1A1, 1 Mo. LIBOR + 1.00% (f)............. 5.62% 09/25/37 4,355,607
Structured Asset Investment Loan Trust
603,532 Series 2004-6, Class A3, 1 Mo. LIBOR + 0.80% (f)................. 5.42% 07/25/34 584,663
42,733 Series 2005-2, Class M2, 1 Mo. LIBOR + 0.74% (f)................. 5.35% 03/25/35 42,394
Structured Asset Securities Corp. Mortgage Loan Trust
765,879 Series 2005-NC2, Class M5, 1 Mo. LIBOR + 0.93% (f)............... 5.55% 05/25/35 763,946
TAL Advantage VII LLC
8,955,000 Series 2020-1A, Class A (c)...................................... 2.05% 09/20/45 7,861,421
TIF Funding II LLC
7,808,500 Series 2020-1A, Class A (c)...................................... 2.09% 08/20/45 6,801,408
Trestles CLO V Ltd.
13,000,000 Series 2021-5A, Class A1, 3 Mo. LIBOR + 1.17% (c) (f)............ 5.98% 10/20/34 12,738,947
Voya CLO Ltd.
13,000,000 Series 2020-1A, Class AR, 3 Mo. LIBOR + 1.15% (c) (f)............ 5.94% 07/16/34 12,838,322
Wachovia Student Loan Trust
587,011 Series 2006-1, Class A6, 3 Mo. LIBOR + 0.17% (c) (f)............. 4.99% 04/25/40 562,124
WaMu Asset-Backed Certificates WaMu Trust
1,066,446 Series 2007-HE2, Class 2A1, 1 Mo. LIBOR + 0.11% (f).............. 4.73% 04/25/37 413,096
3,700,750 Series 2007-HE2, Class 2A2, 1 Mo. LIBOR + 0.19% (f).............. 4.81% 04/25/37 1,438,481
7,930,178 Series 2007-HE2, Class 2A3, 1 Mo. LIBOR + 0.25% (f).............. 4.87% 04/25/37 3,087,821
Wellman Park CLO Ltd.
11,650,000 Series 2021-1A, Class B, 3 Mo. LIBOR + 1.60% (c) (f)............. 6.39% 07/15/34 11,293,559
--------------
TOTAL ASSET-BACKED SECURITIES.................................................................. 435,315,621
(Cost $473,501,222) --------------
MORTGAGE-BACKED SECURITIES -- 10.4%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 7.4%
Ajax Mortgage Loan Trust
2,497,813 Series 2019-F, Class A1, steps up to 3.86% on 11/25/26 (c) (h)... 2.86% 07/25/59 2,358,670
Alternative Loan Trust
5,025,042 Series 2005-16, Class A4, 1 Mo. LIBOR + 0.48% (f)................ 5.10% 06/25/35 4,251,207
5,691,921 Series 2005-56, Class 1A1, 1 Mo. LIBOR + 1.46% (f)............... 4.05% 11/25/35 5,109,234
5,513,338 Series 2005-67CB, Class A1....................................... 5.50% 01/25/36 4,241,162
2,565,765 Series 2007-13, Class A1......................................... 6.00% 06/25/47 1,398,697
American Home Mortgage Assets Trust
12,041,287 Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (f)..... 3.49% 02/25/47 4,971,594
American Home Mortgage Investment Trust
1,608,689 Series 2005-4, Class 1A1, 1 Mo. LIBOR + 0.58% (f)................ 5.20% 11/25/45 1,403,443
Banc of America Funding Trust
421,952 Series 2014-R6, Class 2A13 (c) (k)............................... 4.77% 07/26/36 409,499
Bear Stearns Mortgage Funding Trust
92,118 Series 2006-AR1, Class 1A1, 1 Mo. LIBOR + 0.42% (f).............. 5.04% 07/25/36 81,210
2,285,784 Series 2006-AR3, Class 1A1, 1 Mo. LIBOR + 0.18% (f).............. 4.80% 10/25/36 1,908,024
3,115,852 Series 2006-AR5, Class 2A1, 1 Mo. LIBOR + 0.19% (f).............. 4.81% 01/25/37 2,718,952
167,707 Series 2007-AR5, Class 1A1G, 1 Mo. LIBOR + 0.16% (f)............. 4.78% 06/25/47 137,823
CIM Trust
2,847,960 Series 2019-R1, Class A (c)...................................... 3.25% 10/25/58 2,491,932
3,207,663 Series 2019-R4, Class A1 (c)..................................... 3.00% 10/25/59 2,927,654
See Notes to Financial Statements Page 27
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
CIM Trust (Continued)
$ 5,235,201 Series 2020-R3, Class A1A (c).................................... 4.00% 01/26/60 $ 4,907,482
21,112,000 Series 2020-R7, Class A1B (c) (l)................................ 2.25% 12/27/61 14,982,488
5,564,744 Series 2021-NR3, Class A1, steps up to 5.57% on
04/25/24 (c) (h).............................................. 2.57% 06/25/57 5,257,817
17,563,126 Series 2021-NR4, Class A1, steps up to 5.82% on
10/25/24 (c) (h).............................................. 2.82% 10/25/61 16,389,215
15,253,211 Series 2021-R3, Class A1A (c).................................... 1.95% 06/25/57 13,465,269
16,137,167 Series 2023-R1, Class A1A (c) (i)................................ 5.40% 04/25/62 15,633,687
Connecticut Avenue Securities Trust
7,425,257 Series 2019-R04, Class 2B1, 1 Mo. LIBOR + 5.25% (c) (f).......... 9.87% 06/25/39 7,642,452
6,500,000 Series 2021-R01, Class 1B1, 30 Day Average SOFR +
3.10% (c) (f)................................................. 7.58% 10/25/41 6,206,864
Credit Suisse Mortgage Trust
8,899,519 Series 2007-2, Class 1A4......................................... 5.75% 03/25/37 5,334,084
26,675,336 Series 2007-3, Class 1A1A........................................ 5.84% 04/25/37 6,754,326
14,444,357 Series 2021-RP11 (c)............................................. 3.78% 10/25/61 9,741,977
CSMCM Trust
622,213 Series 2021-RPL11 (c)............................................ 3.78% 10/27/61 469,929
GMACM Mortgage Loan Trust
1,228,984 Series 2006-J1, Class A4......................................... 5.75% 04/25/36 1,049,626
1,295,424 Series 2006-AR1, Class 1A1 (k)................................... 3.24% 04/19/36 988,535
GreenPoint Mortgage Funding Trust
69,665 Series 2006-AR1, Class A1A, 1 Mo. LIBOR + 0.58% (f).............. 5.20% 02/25/36 59,522
GSR Mortgage Loan Trust
21,406,942 Series 2006-OA1, Class 2A2, 1 Mo. LIBOR + 0.52% (f).............. 5.14% 08/25/46 5,948,927
HarborView Mortgage Loan Trust
176,576 Series 2005-10, Class 2A1A, 1 Mo. LIBOR + 0.62% (f).............. 5.21% 11/19/35 135,703
1,112,264 Series 2007-7, Class 1A1, 1 Mo. LIBOR + 2.00% (f)................ 5.62% 10/25/37 925,955
HomeBanc Mortgage Trust
581,679 Series 2004-2, Class A1, 1 Mo. LIBOR + 0.74% (f)................. 5.36% 12/25/34 536,075
Impac CMB Trust
156,329 Series 2005-2, Class 1A1, 1 Mo. LIBOR + 0.52% (f)................ 5.14% 04/25/35 146,101
509,070 Series 2005-4, Class 1A1A, 1 Mo. LIBOR + 0.27% (f)............... 5.16% 05/25/35 467,486
IndyMac INDX Mortgage Loan Trust
1,287,461 Series 2005-AR14, Class 2A1A, 1 Mo. LIBOR + 0.60% (f)............ 5.22% 07/25/35 1,054,117
17,674,996 Series 2005-AR29, Class A1 (k)................................... 3.49% 01/25/36 14,924,354
3,059,307 Series 2006-AR6, Class 2A1A, 1 Mo. LIBOR + 0.40% (f)............. 5.02% 06/25/46 2,409,311
3,656,259 Series 2007-FLX4, Class 2A2, 1 Mo. LIBOR + 0.25% (f)............. 4.87% 07/25/37 3,159,133
JP Morgan Mortgage Trust
1,470,312 Series 2006-A4, Class 1A1 (k).................................... 3.68% 06/25/36 1,078,995
Lehman XS Trust
238,531 Series 2006-16N, Class A4A, 1 Mo. LIBOR + 0.38% (f).............. 5.00% 11/25/46 203,451
4,527,887 Series 2007-16N, Class 1A1, 1 Mo. LIBOR + 0.94% (f).............. 5.56% 09/25/47 4,045,849
2,313,088 Series 2007-16N, Class 2A1, 1 Mo. LIBOR + 0.80% (f).............. 5.42% 09/25/47 1,918,730
Merrill Lynch Alternative Note Asset Trust
3,117,560 Series 2007-OAR3, Class A1, 1 Mo. LIBOR + 0.19% (f).............. 4.81% 07/25/47 2,752,335
Morgan Stanley Mortgage Loan Trust
27,164 Series 2005-2AR, Class A, 1 Mo. LIBOR + 0.26% (f)................ 4.88% 04/25/35 25,100
Page 28 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
MortgageIT Trust
$ 45,779 Series 2005-5, Class A1, 1 Mo. LIBOR + 0.52% (f)................. 5.14% 12/25/35 $ 43,276
Nomura Resecuritization Trust
506,626 Series 2015-5R, Class 1A1 (c).................................... 4.00% 08/26/37 503,856
Opteum Mortgage Acceptance Corp.
874,322 Series 2005-5, Class 1A1D, 1 Mo. LIBOR + 0.76% (f)............... 5.38% 12/25/35 801,133
272,611 Series 2006-1, Class 1APT, 1 Mo. LIBOR + 0.42% (f)............... 5.04% 04/25/36 235,472
Pretium Mortgage Credit Partners LLC
10,289,652 Series 2022-RN3, Class A1 (c).................................... 5.00% 08/25/52 9,975,010
PRKCM Trust
7,936,712 Series 2021-AFC2, Class A1 (c)................................... 2.07% 11/25/56 6,597,905
PRPM LLC
10,020,453 Series 2021-7, Class A1, steps up to 4.87% on 8/25/24 (c) (h).... 1.87% 08/25/26 9,286,094
18,766,594 Series 2021-10, Class A1, steps up to 5.49% on 10/25/24 (c) (h).. 2.49% 10/25/26 17,648,636
RALI Trust
6,372,259 Series 2007-QS7, Class 1A1....................................... 6.00% 05/25/37 5,134,625
3,104,244 Series 2007-QS9, Class A33....................................... 6.50% 07/25/37 2,501,325
RFMSI Trust
6,457,005 Series 2007-S6, Class 1A4........................................ 6.00% 06/25/37 4,904,269
Structured Adjustable Rate Mortgage Loan Trust
18,136 Series 2004-12, Class 3A1 (k).................................... 4.32% 09/25/34 17,385
23,516,822 Series 2006-2, Class 4A1 (k)..................................... 4.07% 03/25/36 14,879,154
Structured Asset Mortgage Investments II Trust
1,478,708 Series 2006-AR1, Class 3A1, 1 Mo. LIBOR + 0.46% (f).............. 5.08% 02/25/36 1,228,258
4,465,449 Series 2006-AR7, Class A1A, 1 Mo. LIBOR + 0.42% (f).............. 5.04% 08/25/36 3,605,469
3,259,462 Series 2007-AR6, Class A1, 12 Mo. Treasury Average + 1.50% (f)... 4.29% 08/25/47 2,883,970
WaMu Mortgage Pass-Through Certificates Trust
70,148 Series 2005-AR1, Class A2A1, 1 Mo. LIBOR + 0.68% (f)............. 5.30% 01/25/45 65,169
143,028 Series 2005-AR15, Class A1A1, 1 Mo. LIBOR + 0.52% (f)............ 5.14% 11/25/45 130,238
182,131 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average +
1.00% (f)..................................................... 3.79% 02/25/46 161,123
287,214 Series 2006-AR4, Class 1A1A, 12 Mo. Treasury Average +
0.94% (f)..................................................... 3.37% 05/25/46 250,493
--------------
263,876,856
--------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 3.0%
BX Commercial Mortgage Trust
8,789,555 Series 2019-XL, Class A, 1 Mo. CME Term SOFR +
1.03% (c) (f)................................................. 5.60% 10/15/36 8,749,943
4,000,000 Series 2021-ARIA, Class F, 1 Mo. LIBOR + 2.59% (c) (f)........... 7.18% 10/15/36 3,747,807
4,633,575 Series 2021-XL2, Class J, 1 Mo. LIBOR + 3.89% (c) (f)............ 8.48% 10/15/38 4,329,597
BXSC Commercial Mortgage Trust
8,450,000 Series 2022-WSS, Class D, 1 Mo. CME Term SOFR +
3.19% (c) (f)................................................. 7.75% 03/15/35 8,410,523
CAMB Commercial Mortgage Trust
9,150,000 Series 2019-LIFE, Class F, 1 Mo. LIBOR + 2.55% (c) (f)........... 7.14% 12/15/37 8,962,754
DROP Mortgage Trust
12,284,000 Series 2021-FILE, Class B, 1 Mo. LIBOR + 1.70% (c) (f)........... 6.29% 10/15/43 11,272,932
Life Mortgage Trust
7,863,761 Series 2021-BMR, Class G, 1 Mo. LIBOR + 2.95% (c) (f)............ 7.54% 03/15/38 7,589,030
See Notes to Financial Statements Page 29
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (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 $ 3,320,386
Med Trust
6,979,266 Series 2021-MDLN, Class D, 1 Mo. LIBOR + 2.00% (c) (f)........... 6.59% 11/15/38 6,763,562
MSCG Trust
12,732,059 Series 2018-SELF, Class F, 1 Mo. LIBOR + 3.05% (c) (f)........... 7.64% 10/15/37 12,431,081
MSDB Trust
4,800,000 Series 2017-712F, Class A (c) (k)................................ 3.32% 07/11/39 4,246,146
NCMF Trust
10,000,000 Series 2022-MFP, Class C, 1 Mo. CME Term SOFR +
2.84% (c) (f)................................................. 7.40% 03/15/39 9,830,637
SFAVE Commercial Mortgage Securities Trust
9,265,000 Series 2015-5AVE, Class A2A (c) (k).............................. 3.66% 01/05/43 6,771,864
SFO Commercial Mortgage Trust
3,787,000 Series 2021-555, Class A, 1 Mo. LIBOR + 1.15% (c) (f)............ 5.74% 05/15/38 3,485,774
SLG Office Trust
5,000,000 Series 2021-OVA, Class F (c)..................................... 2.85% 07/15/41 3,415,470
TPGI Trust
4,500,000 Series 2021-DGWD, Class E, 1 Mo. LIBOR + 2.35% (c) (f)........... 6.94% 06/15/26 4,297,569
--------------
107,625,075
--------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................... 371,501,931
(Cost $424,572,710) --------------
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES -- 6.2%
AGRICULTURE -- 0.2%
2,325,000 Imperial Brands Finance PLC (USD) (c)............................... 3.13% 07/26/24 2,231,782
1,790,000 Imperial Brands Finance PLC (USD) (c)............................... 4.25% 07/21/25 1,721,885
3,295,000 Imperial Brands Finance PLC (USD) (c)............................... 3.50% 07/26/26 3,036,705
--------------
6,990,372
--------------
AIRLINES -- 0.0%
577,200 Air Canada Pass-Through Trust, Series 2017-1, Class AA
(USD) (c)........................................................ 3.30% 01/15/30 496,169
--------------
BANKS -- 3.3%
12,020,000 Credit Suisse Group AG (USD) (c) (d)................................ 1.31% 02/02/27 9,716,236
1,865,000 Credit Suisse Group AG (USD) (c).................................... 4.28% 01/09/28 1,567,283
5,260,000 Credit Suisse Group AG (USD) (c) (d)................................ 3.09% 05/14/32 3,704,087
9,640,000 Credit Suisse Group AG (USD) (c) (d)................................ 6.54% 08/12/33 8,663,844
8,605,000 Credit Suisse Group AG (USD) (c) (d)................................ 9.02% 11/15/33 9,044,106
6,155,000 DNB Bank ASA (USD) (c) (d).......................................... 1.61% 03/30/28 5,263,235
1,830,000 HSBC Holdings PLC (USD) (d)......................................... 2.10% 06/04/26 1,684,853
2,095,000 HSBC Holdings PLC (USD) (d)......................................... 4.76% 06/09/28 2,013,722
6,100,000 HSBC Holdings PLC (USD) (d)......................................... 2.01% 09/22/28 5,168,664
7,800,000 HSBC Holdings PLC (USD) (d)......................................... 2.21% 08/17/29 6,469,915
Page 30 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
1,755,000 HSBC Holdings PLC (USD) (d)......................................... 2.36% 08/18/31 $ 1,387,262
9,845,000 HSBC Holdings PLC (USD) (d)......................................... 2.80% 05/24/32 7,865,491
3,000,000 Lloyds Banking Group PLC (USD) (d).................................. 3.87% 07/09/25 2,923,427
5,000,000 Lloyds Banking Group PLC (USD) (d).................................. 1.63% 05/11/27 4,369,912
3,000,000 Lloyds Banking Group PLC (USD) (d).................................. 3.57% 11/07/28 2,723,772
1,245,000 Lloyds Banking Group PLC (USD) (d).................................. 4.98% 08/11/33 1,160,999
7,600,000 Macquarie Group Ltd. (USD) (c) (d).................................. 1.34% 01/12/27 6,683,229
4,775,000 Macquarie Group Ltd. (USD) (c) (d).................................. 2.87% 01/14/33 3,789,146
1,710,000 Macquarie Group Ltd. (USD) (c) (d).................................. 4.44% 06/21/33 1,554,403
9,800,000 NatWest Group PLC (USD) (d)......................................... 4.27% 03/22/25 9,625,043
10,775,000 Santander UK Group Holdings PLC (USD) (d)........................... 4.80% 11/15/24 10,669,257
5,545,000 Santander UK Group Holdings PLC (USD) (d)........................... 1.09% 03/15/25 5,254,455
930,000 Santander UK Group Holdings PLC (USD) (d)........................... 1.53% 08/21/26 831,606
5,250,000 Santander UK Group Holdings PLC (USD) (d)........................... 1.67% 06/14/27 4,586,312
1,735,000 Santander UK Group Holdings PLC (USD) (d)........................... 2.47% 01/11/28 1,520,213
1,200,000 UBS Group AG (USD) (c) (d).......................................... 1.36% 01/30/27 1,059,782
--------------
119,300,254
--------------
BEVERAGES -- 0.5%
7,945,000 Bacardi Ltd. (USD) (c).............................................. 4.45% 05/15/25 7,703,409
7,000,000 Becle SAB de C.V. (USD) (c)......................................... 2.50% 10/14/31 5,443,981
4,230,000 JDE Peet's NV (USD) (c)............................................. 2.25% 09/24/31 3,228,113
--------------
16,375,503
--------------
BIOTECHNOLOGY -- 0.0%
1,380,000 Grifols Escrow Issuer S.A. (USD) (c)................................ 4.75% 10/15/28 1,181,142
--------------
COMMERCIAL SERVICES -- 0.0%
1,300,000 DP World Crescent Ltd. (USD) (c).................................... 4.85% 09/26/28 1,282,944
--------------
DIVERSIFIED FINANCIAL SERVICES -- 0.6%
1,000,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.50% 01/15/25 953,347
1,296,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 4.45% 10/01/25 1,245,836
11,200,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.00% 10/29/28 9,547,372
1,755,000 Avolon Holdings Funding Ltd. (USD) (c).............................. 2.88% 02/15/25 1,633,295
670,000 Avolon Holdings Funding Ltd. (USD) (c).............................. 3.25% 02/15/27 592,519
5,256,000 Avolon Holdings Funding Ltd. (USD) (c).............................. 2.53% 11/18/27 4,382,660
850,000 Park Aerospace Holdings Ltd. (USD) (c).............................. 4.50% 03/15/23 849,306
467,000 Park Aerospace Holdings Ltd. (USD) (c).............................. 5.50% 02/15/24 461,600
--------------
19,665,935
--------------
ELECTRIC -- 0.0%
1,200,000 Empresas Publicas de Medellin ESP (USD) (m)......................... 4.38% 02/15/31 850,800
250,000 Mong Duong Finance Holdings B.V. (USD) (m).......................... 5.13% 05/07/29 214,081
--------------
1,064,881
--------------
ENGINEERING & CONSTRUCTION -- 0.1%
4,335,000 Heathrow Funding Ltd., Medium-Term Note (EUR) (m)................... 1.88% 03/14/34 3,440,333
--------------
See Notes to Financial Statements Page 31
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
FOOD -- 0.3%
150,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 5.50% 01/15/30 $ 141,390
1,505,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 3.75% 12/01/31 1,207,762
2,115,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 3.00% 05/15/32 1,614,474
3,500,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 5.75% 04/01/33 3,273,270
3,000,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 4.38% 02/02/52 2,133,378
2,015,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 6.50% 12/01/52 1,917,232
--------------
10,287,506
--------------
INTERNET -- 0.1%
2,775,000 Tencent Holdings Ltd. (USD) (c)..................................... 3.98% 04/11/29 2,545,416
2,380,000 Tencent Holdings Ltd. (USD) (c)..................................... 3.84% 04/22/51 1,716,485
--------------
4,261,901
--------------
MINING -- 0.0%
600,000 Indonesia Asahan Aluminium Persero PT (USD) (c)..................... 5.45% 05/15/30 585,990
--------------
OIL & GAS -- 0.3%
450,000 Ecopetrol S.A. (USD)................................................ 8.88% 01/13/33 441,455
1,383,000 KazMunayGas National Co. JSC (USD) (m).............................. 5.38% 04/24/30 1,250,150
1,200,000 KazMunayGas National Co. JSC (USD) (c).............................. 3.50% 04/14/33 900,437
2,504,000 Pertamina Persero PT (USD) (c)...................................... 3.10% 08/27/30 2,153,485
3,660,000 Petroleos Mexicanos (USD)........................................... 6.75% 09/21/47 2,383,442
2,080,000 Petroleos Mexicanos (USD)........................................... 7.69% 01/23/50 1,469,709
1,705,000 Petroleos Mexicanos (USD)........................................... 6.95% 01/28/60 1,097,309
1,400,000 Qatar Energy (USD) (m).............................................. 2.25% 07/12/31 1,153,026
420,063 Transocean Poseidon Ltd. (USD) (c).................................. 6.88% 02/01/27 408,387
--------------
11,257,400
--------------
PACKAGING & CONTAINERS -- 0.1%
1,500,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
(USD) (c)........................................................ 5.25% 08/15/27 1,233,983
1,000,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
(USD) (c)........................................................ 5.25% 08/15/27 822,655
--------------
2,056,638
--------------
PIPELINES -- 0.1%
1,664,388 Galaxy Pipeline Assets Bidco Ltd. (USD) (c)......................... 2.16% 03/31/34 1,409,189
800,000 Southern Gas Corridor CJSC (USD) (m)................................ 6.88% 03/24/26 818,664
--------------
2,227,853
--------------
REAL ESTATE -- 0.0%
500,000 Vonovia SE (EUR) (m)................................................ 1.50% 06/14/41 309,435
--------------
REAL ESTATE INVESTMENT TRUSTS -- 0.0%
1,000,000 CapitaLand Ascendas REIT, Medium-Term Note (EUR) (m)................ 0.75% 06/23/28 851,404
--------------
RETAIL -- 0.1%
4,230,000 Alimentation Couche-Tard, Inc. (USD) (c)............................ 3.80% 01/25/50 3,039,131
--------------
Page 32 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
SAVINGS & LOANS -- 0.3%
6,645,000 Nationwide Building Society (USD) (c) (d)........................... 3.77% 03/08/24 $ 6,643,665
1,300,000 Nationwide Building Society (USD) (c) (d)........................... 4.36% 08/01/24 1,290,314
4,055,000 Nationwide Building Society (USD) (c) (d)........................... 2.97% 02/16/28 3,641,204
--------------
11,575,183
--------------
TELECOMMUNICATIONS -- 0.2%
200,000 C&W Senior Financing DAC (USD) (c).................................. 6.88% 09/15/27 181,394
2,000,000 Intelsat Jackson Holdings S.A. (USD) (n)............................ 5.50% 08/01/23 17,400
3,860,000 Intelsat Jackson Holdings S.A. (USD) (c) (n)........................ 8.50% 10/15/24 29,336
390,000 Intelsat Jackson Holdings S.A. (USD) (c) (n)........................ 9.75% 07/15/25 3,393
2,113,000 Intelsat Jackson Holdings S.A. (USD) (c) (n)........................ 6.50% 03/15/30 1,843,578
500,000 SES S.A. (USD) (c).................................................. 3.60% 04/04/23 499,597
1,477,000 Vodafone Group PLC (USD)............................................ 4.88% 06/19/49 1,281,894
1,375,000 Vodafone Group PLC (USD)............................................ 4.25% 09/17/50 1,080,967
--------------
4,937,559
--------------
TRANSPORTATION -- 0.0%
326,000 Empresa de Transporte de Pasajeros Metro S.A. (USD) (c)............. 3.65% 05/07/30 291,444
500,000 Transnet SOC Ltd. (USD) (c)......................................... 8.25% 02/06/28 502,368
--------------
793,812
--------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 221,981,345
(Cost $249,253,561) --------------
PRINCIPAL STATED
VALUE DESCRIPTION RATE (o) MATURITY (p) VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS -- 1.8%
AEROSPACE/DEFENSE -- 0.0%
$ 688,156 Transdigm, Inc., Term Loan, 1 Mo. CME Term SOFR + 3.25%,
0.00% Floor...................................................... 7.82% 08/24/28 687,512
--------------
AIRLINES -- 0.0%
298,565 AAdvantage Loyalty IP Ltd., Term Loan, 3 Mo. LIBOR + 4.75%,
0.75% Floor...................................................... 9.56% 04/20/28 306,539
383,133 United Airlines, Inc., Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75%
Floor............................................................ 8.57% 04/21/28 383,470
--------------
690,009
--------------
BROKER ASSET MANAGEMENT EXCHANGE -- 0.0%
169,133 Deerfield Dakota Holding LLC, Term Loan B, 1 Mo. CME Term
SOFR + 3.75%, 1.00% Floor........................................ 8.37% 04/09/27 162,631
--------------
CABLE AND SATELLITE -- 0.1%
887,500 DIRECTV Financing LLC, Term Loan, 1 Mo. LIBOR + 5.00%,
0.75% Floor...................................................... 9.63% 08/02/27 865,565
2,302,041 EagleView Technology Corp., Term Loan B, 3 Mo. LIBOR + 3.50%,
0.00% Floor...................................................... 8.23% 08/14/25 1,970,835
725,000 Virgin Media Bristol LLC, Term Loan N, 1 Mo. LIBOR + 2.50%,
0.00% Floor...................................................... 7.09% 01/31/28 712,439
--------------
3,548,839
--------------
See Notes to Financial Statements Page 33
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (o) MATURITY (p) VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
CONSUMER CYCLICAL SERVICE -- 0.0%
$ 353,440 Arches Buyer, Inc., Term Loan, 1 Mo. LIBOR + 3.25%, 0.50%
Floor............................................................ 7.97% 12/06/27 $ 334,001
--------------
CONSUMER PRODUCTS -- 0.1%
105,155 AI Aqua Merger Sub, Inc., Delayed Draw Term Loan, 1 Mo. CME
Term SOFR + 4.00%, 0.50% Floor................................... 8.66% 07/30/28 101,409
602,998 AI Aqua Merger Sub, Inc., Term Loan B, 1 Mo. CME Term SOFR +
4.00%, 0.50% Floor............................................... 8.66% 07/30/28 581,519
618,952 Sunshine Luxembourg VII, Term Loan B, 3 Mo. LIBOR + 3.75%,
0.75% Floor...................................................... 8.48% 10/02/26 603,478
2,577,031 Zep, Inc., Term Loan B, 1 Yr. LIBOR + 4.00%, 1.00% Floor............ 8.73% 08/11/24 2,068,068
--------------
3,354,474
--------------
DIVERSIFIED MANUFACTURING -- 0.0%
136,754 AZZ, Inc., Term Loan B, 1 Mo. CME Term SOFR + 4.35%, 0.50%
Floor............................................................ 8.97% 05/13/29 136,978
--------------
FINANCE COMPANIES -- 0.2%
4,924,623 Avolon TLB Borrower 1 (U.S.) LLC, Term Loan B, 1 Mo. LIBOR +
2.25%, 0.50% Floor............................................... 6.85% 12/01/27 4,931,148
1,450,000 Setanta Aircraft Leasing DAC, Term Loan B, 3 Mo. LIBOR +
2.00%, 0.00% Floor............................................... 6.73% 11/05/28 1,440,938
--------------
6,372,086
--------------
FOOD AND BEVERAGE -- 0.0%
460,850 Hostess Brands LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75%
Floor............................................................ 7.08% 08/03/25 460,804
1,364 Naked Juice LLC, Delayed Draw Term Loan, 1 Mo. CME Term
SOFR + 3.25%, 0.50% Floor........................................ 7.92% 01/24/29 27,147
541,704 Naked Juice LLC, Term Loan, 3 Mo. CME Term SOFR + 3.25%,
0.50% Floor...................................................... 7.93% 01/24/29 468,063
41,285 Naked Juice LLC, Term Loan, 3 Mo. CME Term SOFR + 6.10%,
0.50% Floor...................................................... 10.68% 01/24/30 32,185
--------------
988,199
--------------
GAMING -- 0.1%
1,348,464 Caesars Resort Collection LLC, Term Loan B, 1 Mo. LIBOR +
3.50%, 0.00% Floor............................................... 8.17% 07/20/25 1,348,369
1,251,045 Churchill Downs, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00%
Floor............................................................ 6.64% 12/27/24 1,251,633
--------------
2,600,002
--------------
HEALTHCARE -- 0.3%
2,112,375 ADMI Corp., Term Loan B, 1 Mo. LIBOR + 3.38%, 0.50% Floor........... 8.01% 12/23/27 1,961,868
123,737 Gainwell Acquisition Corp., Term Loan B, 3 Mo. LIBOR + 4.00%,
0.75% Floor...................................................... 8.73% 10/01/27 119,499
2,497,046 Grifols Worldwide Operations Ltd., Term Loan B, 1 Mo. LIBOR +
2.00%, 0.00% Floor............................................... 6.63% 11/15/27 2,435,407
500,000 IQVIA, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor.......... 4.00% 06/11/25 500,225
595,500 Mozart Borrower L.P., Term Loan B, 1 Mo. LIBOR + 3.25%,
0.50% Floor...................................................... 7.88% 10/21/28 575,110
1,443,469 Pathway Vet Alliance LLC, Term Loan A, 1 Mo. LIBOR + 3.75%,
0.00% Floor...................................................... 8.38% 03/31/27 1,269,351
Page 34 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (o) MATURITY (p) VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
HEALTHCARE (CONTINUED)
$ 1,985,000 Phoenix Newco, Inc., Term Loan, 1 Mo. LIBOR + 3.25%, 0.50%
Floor............................................................ 7.88% 11/15/28 $ 1,946,789
--------------
8,808,249
--------------
INSURANCE -- 0.1%
1,138,295 Acrisure LLC, Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00%
Floor............................................................ 8.13% 02/15/27 1,090,629
3,453,731 AmWINS Group, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75%
Floor............................................................ 6.88% 02/19/28 3,402,581
350,613 Asurion LLC (fka Asurion Corp.), Term Loan B, 1 Mo. LIBOR +
3.25%, 0.00% Floor............................................... 7.88% 12/23/26 334,397
--------------
4,827,607
--------------
LEISURE -- 0.0%
117,018 Cineworld Group PLC (Crown), Term Loan, 1 Mo. CME Term
SOFR + 10.10%, 1.00% Floor....................................... 14.66% 09/09/23 119,651
79,990 Delta 2 Lux S.A.R.L., Term Loan B, 1 Mo. CME Term SOFR +
3.25%, 0.50% Floor............................................... 7.04% 01/15/30 80,310
--------------
199,961
--------------
MEDIA ENTERTAINMENT -- 0.0%
933,339 Diamond Sports Group LLC, Term Loan B, 3 Mo. CME Term
SOFR + 3.40%, 0.00% Floor........................................ 8.03% 08/24/26 103,251
--------------
MEDICAL EQUIPMENT & DEVICES -- 0.1%
2,101,865 Avantor Funding, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.50%
Floor............................................................ 6.88% 11/06/27 2,101,865
--------------
PACKAGING -- 0.1%
1,254,879 Berry Global, Inc., Term Loan, 1 Mo. LIBOR + 1.75%, 0.00%
Floor............................................................ 6.33% 07/01/26 1,253,379
1,519,000 Plaze, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.75%, 0.75%
Floor............................................................ 8.38% 08/03/26 1,431,658
2,190,880 Proampac PG Borrower LLC, Term Loan B, 1 Mo. LIBOR + 3.75%,
0.75% Floor...................................................... 8.58% 11/03/25 2,161,675
--------------
4,846,712
--------------
PHARMACEUTICALS -- 0.2%
1,558,366 Elanco Animal Health, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%,
0.00% Floor...................................................... 6.32% 08/01/27 1,528,453
2,109,536 Jazz Financing LUX S.A.R.L., Term Loan B, 1 Mo. LIBOR +
3.50%, 0.50% Floor............................................... 8.13% 05/05/28 2,108,598
2,492,413 Organon & Co., Term Loan, 3 Mo. LIBOR + 3.00%, 0.50% Floor.......... 7.75% 06/02/28 2,472,748
746,250 Perrigo Investments LLC, Term Loan B, 1 Mo. CME Term SOFR +
2.60%, 0.50% Floor............................................... 7.22% 04/20/29 748,581
--------------
6,858,380
--------------
SERVICES -- 0.0%
1,665,338 Spin Holdco, Inc., Term Loan, 3 Mo. LIBOR + 4.00%, 0.75%
Floor............................................................ 8.77% 03/04/28 1,410,791
--------------
TECHNOLOGY -- 0.4%
337,068 Central Parent Inc., Term Loan, 3 Mo. CME Term SOFR + 4.50%,
0.50% Floor...................................................... 9.08% 07/06/29 336,490
3,928,934 Commscope, Inc., Term Loan B2, 1 Mo. LIBOR + 3.25%, 0.00%
Floor............................................................ 7.88% 04/04/26 3,822,853
See Notes to Financial Statements Page 35
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (o) MATURITY (p) VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
TECHNOLOGY (CONTINUED)
$ 145,224 DTI Holdco Inc., Term Loan B, 1 Mo. CME Term SOFR + 4.75%,
0.75% Floor...................................................... 9.43% 04/26/29 $ 136,511
770,000 Entegris, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.00%,
0.00% Floor...................................................... 7.59% 07/06/29 772,726
221,003 NortonLifeLock, Inc., Term Loan A2, 1 Mo. CME Term SOFR +
1.85%, 0.00% Floor............................................... 6.32% 09/12/27 217,688
860,298 NortonLifeLock, Inc., Term Loan B, 1 Mo. CME Term SOFR +
2.00%, 0.50% Floor............................................... 6.62% 09/12/29 852,538
276,326 Open Text Corp., Term Loan B, 1 Mo. CME Term SOFR + 3.60%,
0.50% Floor...................................................... 8.22% 01/31/30 276,305
3,987,099 Oracle Corp., Term Loan A1, 1 Mo. CME Term SOFR + 1.70%,
0.00% Floor...................................................... 6.08% 08/16/27 3,967,163
166,787 RealPage, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.50%
Floor............................................................ 7.63% 04/22/28 161,856
3,940,691 Waystar Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 4.00%,
0.00% Floor...................................................... 8.63% 10/23/26 3,938,228
--------------
14,482,358
--------------
WIRELINES -- 0.1%
1,434,125 Lumen Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%,
0.00% Floor...................................................... 6.88% 03/15/27 1,196,103
1,808,405 Zayo Group Holdings, Inc., Term Loan B, 1 Mo. CME Term SOFR
+ 4.25%, 0.50% Floor............................................. 8.87% 03/09/27 1,547,796
250,000 Zayo Group Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%,
0.00% Floor...................................................... 7.63% 03/09/27 208,716
--------------
2,952,615
--------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS...................................................... 65,466,520
(Cost $68,080,847) --------------
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES -- 1.0%
BRAZIL -- 0.1%
3,330,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 2,880,939
--------------
CHILE -- 0.1%
1,300,000 Chile Government International Bond (USD)........................... 2.45% 01/31/31 1,087,033
1,500,000 Chile Government International Bond (USD)........................... 2.55% 01/27/32 1,233,452
700,000 Chile Government International Bond (USD)........................... 2.55% 07/27/33 550,623
--------------
2,871,108
--------------
COLOMBIA -- 0.1%
2,835,000 Colombia Government International Bond (USD)........................ 3.00% 01/30/30 2,141,680
--------------
DOMINICAN REPUBLIC -- 0.1%
2,485,000 Dominican Republic International Bond (USD) (c)..................... 4.50% 01/30/30 2,143,164
790,000 Dominican Republic International Bond (USD) (m)..................... 4.88% 09/23/32 663,267
--------------
2,806,431
--------------
Page 36 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
EGYPT -- 0.0%
1,300,000 Egypt Government International Bond (USD) (m)....................... 5.25% 10/06/25 $ 1,127,348
1,000,000 Egypt Government International Bond (USD) (c)....................... 7.60% 03/01/29 787,641
--------------
1,914,989
--------------
HUNGARY -- 0.1%
3,130,000 Hungary Government International Bond (USD) (c)..................... 2.13% 09/22/31 2,410,460
--------------
INDONESIA -- 0.0%
2,000,000 Perusahaan Penerbit SBSN Indonesia III (USD) (c).................... 2.80% 06/23/30 1,755,500
--------------
MEXICO -- 0.1%
5,772,000 Mexico Government International Bond (USD).......................... 2.66% 05/24/31 4,666,740
--------------
OMAN -- 0.0%
1,100,000 Oman Government International Bond (USD) (m)........................ 5.63% 01/17/28 1,082,959
--------------
PANAMA -- 0.1%
3,108,000 Panama Government International Bond (USD).......................... 3.16% 01/23/30 2,676,188
500,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 373,591
--------------
3,049,779
--------------
PERU -- 0.1%
2,275,000 Peruvian Government International Bond (USD)........................ 2.84% 06/20/30 1,926,565
560,000 Peruvian Government International Bond (USD)........................ 2.78% 01/23/31 462,230
--------------
2,388,795
--------------
POLAND -- 0.0%
323,000 Republic of Poland Government International Bond (USD).............. 5.75% 11/16/32 339,239
--------------
ROMANIA -- 0.1%
3,000,000 Romanian Government International Bond (USD) (m).................... 3.00% 02/14/31 2,443,491
--------------
SAUDI ARABIA -- 0.0%
940,000 Saudi Government International Bond (USD) (m)....................... 3.63% 03/04/28 888,948
--------------
SERBIA -- 0.0%
250,000 Serbia International Bond (USD) (c)................................. 6.50% 09/26/33 243,703
--------------
SOUTH AFRICA -- 0.1%
2,357,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 2,088,397
1,750,000 Republic of South Africa Government International Bond (USD)........ 5.88% 04/20/32 1,565,436
--------------
3,653,833
--------------
TURKEY -- 0.0%
1,200,000 Turkey Government International Bond (USD).......................... 3.25% 03/23/23 1,201,042
--------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 36,739,636
(Cost $43,123,201) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MUNICIPAL BONDS -- 0.7%
CALIFORNIA -- 0.2%
$ 3,955,000 City of San Francisco CA Public Utilities Commission Water Rev...... 2.83% 11/01/41 3,084,849
4,715,000 Regents of the Univ of CA Medical Center Pooled Rev................. 3.26% 05/15/60 3,276,318
--------------
6,361,167
--------------
See Notes to Financial Statements Page 37
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MUNICIPAL BONDS (CONTINUED)
MASSACHUSETTS -- 0.0%
$ 1,845,000 Massachusetts Sch Bldg Auth......................................... 2.97% 10/15/32 $ 1,578,782
--------------
NEW JERSEY -- 0.0%
2,000,000 NJ St Turnpike Auth Rev............................................. 1.86% 01/01/31 1,610,290
500,000 NJ St Turnpike Auth Rev............................................. 3.73% 01/01/36 442,611
--------------
2,052,901
--------------
NEW YORK -- 0.5%
2,285,000 City of New York NY................................................. 3.62% 04/01/31 2,087,307
1,225,000 Metro Transprtn Auth................................................ 5.18% 11/15/49 1,109,637
400,000 New York City NY Transitional Fin Auth Rev Qualified Sch Constr,
Ser BD G-3....................................................... 5.27% 05/01/27 406,564
970,000 New York City NY Transitional Fin Auth Rev, Ser A-3................. 3.96% 08/01/32 890,946
6,940,000 New York City NY Transitional Fin Auth Rev, Ser B-3................. 1.85% 08/01/32 5,288,470
5,140,000 New York State Urban Development Corp............................... 2.97% 03/15/34 4,324,469
2,690,000 NY St Dorm Auth..................................................... 5.00% 03/15/24 2,684,158
1,405,000 NY St Dorm Auth..................................................... 2.96% 02/15/32 1,207,021
--------------
17,998,572
--------------
TOTAL MUNICIPAL BONDS.......................................................................... 27,991,422
(Cost $34,803,571) --------------
U.S. GOVERNMENT AGENCY SECURITIES -- 0.7%
25,000,000 Federal Home Loan Bank Discount Notes............................... (g) 08/25/23 24,399,884
(Cost $24,391,144) --------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
COMMON STOCKS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
59,702 Intelsat Jackson Emergence S.A. (i) (j) (q) (r)................................................ 0
(Cost $2,000,017) --------------
RIGHTS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
6,251 Intelsat Jackson Holdings S.A., Series A (i) (j) (q) (r)....................................... 0
6,251 Intelsat Jackson Holdings S.A., Series B (i) (j) (q) (r)....................................... 0
--------------
TOTAL RIGHTS................................................................................... 0
(Cost $0) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. TREASURY BILLS -- 0.4%
$ 13,495,000 U.S. Treasury Bill.................................................. (g) 07/27/23 13,232,249
(Cost $13,244,529) --------------
Page 38 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 2.1%
74,911,388 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 4.38% (s)..... $ 74,911,388
(Cost $74,911,388) --------------
TOTAL INVESTMENTS -- 118.7%.................................................................... 4,252,354,866
(Cost $4,608,212,004)
NET OTHER ASSETS AND LIABILITIES -- (18.7)%.................................................... (670,754,094)
--------------
NET ASSETS -- 100.0%........................................................................... $3,581,600,772
==============
FORWARD FOREIGN CURRENCY CONTRACTS AT FEBRUARY 28, 2023 (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 2/28/2023 2/28/2023 (DEPRECIATION)
-------------- -------------- ----------------- ------------------ ---------------- ---------------- --------------
04/13/2023 BOFA USD 8,739,614 EUR 8,083,000 $ 8,739,614 $ 8,572,386 $ 167,228
04/13/2023 BOFA USD 587,861 EUR 540,000 587,861 572,694 15,167
--------------
Net Unrealized Appreciation (Depreciation) $ 182,395
==============
Counterparty Abbreviations:
BOFA - Bank of America, N.A.
FUTURES CONTRACTS AT FEBRUARY 28, 2023 (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 3,473 Jun-2023 $ 707,542,350 $ (1,926,628)
U.S. 5-Year Treasury Notes Long 167 Jun-2023 17,878,133 (48,274)
U.S. 10-Year Treasury Notes Long 216 Jun-2023 24,117,750 (47,818)
Ultra U.S. Treasury Bond Futures Long 112 Jun-2023 15,127,000 (45,674)
Euro-Bond Futures Short 35 Mar-2023 (4,920,250) 295,218
Ultra 10-Year U.S. Treasury Notes Short 57 Jun-2023 (6,679,687) 13,937
----------------- --------------
$ 753,065,296 $ (1,759,239)
================= ==============
INTEREST RATE SWAP AGREEMENTS AT FEBRUARY 28, 2023 (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) $ (8,391,977)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 86,880,000 1.034%(1) (6,194,886)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 58,725,000 1.073%(1) (4,145,084)
Citibank, Global Markets, Inc. 3 month LIBOR(2) 09/28/2025 145,575,000 1.390%(2) (8,902,273)
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 9,810,000 1.773%(3) 3,084,790
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 7,260,000 1.785%(3) 2,266,366
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 4,905,000 1.808%(3) 1,511,053
Citibank, Global Markets, Inc. 3 month LIBOR(4) 09/28/2053 12,425,000 1.870%(4) 3,606,839
-------------- --------------
$ 443,030,000 $ (17,165,172)
============== ==============
See Notes to Financial Statements Page 39
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (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 09/28/2023 and no interest is being accrued
until that date.
(a) 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).
(b) 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.
(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 "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, 2023, securities noted as
such amounted to $866,698,129 or 24.2% of net assets.
(d) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at February 28, 2023. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
(e) When-issued security. The interest rate shown reflects the rate in effect
at February 28, 2023. Interest will begin accruing on the security's first
settlement date.
(f) Floating or variable rate security.
(g) Zero coupon security.
(h) Step-up security. A security where the coupon increases or steps up at a
predetermined date.
(i) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures approved by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940 and
rules thereunder, as amended. At February 28, 2023, securities noted as
such are valued at $44,065,542 or 1.2% of net assets.
(j) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).
(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 may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.
(n) This issuer is in default.
(o) 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 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.
(p) 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.
(q) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by the advisor.
(r) Non-income producing security.
(s) Rate shown reflects yield as of February 28, 2023.
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TBA - To-Be-Announced Security
Currency Abbreviations:
EUR - Euro
USD - United States Dollar
Page 40 See Notes to Financial Statements
FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 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
2/28/2023 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
U.S. Government Agency Mortgage-Backed
Securities........................................ $1,164,727,979 $ -- $1,164,727,979 $ --
U.S. Government Bonds and Notes...................... 1,034,737,448 -- 1,034,737,448 --
Corporate Bonds and Notes*........................... 781,349,443 -- 781,349,443 --
Asset-Backed Securities.............................. 435,315,621 -- 424,376,151 10,939,470
Mortgage-Backed Securities........................... 371,501,931 -- 371,501,931 --
Foreign Corporate Bonds and Notes*................... 221,981,345 -- 221,981,345 --
Senior Floating-Rate Loan Interests*................. 65,466,520 -- 65,466,520 --
Foreign Sovereign Bonds and Notes**.................. 36,739,636 -- 36,739,636 --
Municipal Bonds***................................... 27,991,422 -- 27,991,422 --
U.S. Government Agency Securities.................... 24,399,884 -- 24,399,884 --
Common Stocks*....................................... --**** -- -- --****
Rights*.............................................. --**** -- -- --****
U.S. Treasury Bills.................................. 13,232,249 -- 13,232,249 --
Money Market Funds................................... 74,911,388 74,911,388 -- --
-------------- -------------- -------------- --------------
Total Investments.................................... 4,252,354,866 74,911,388 4,166,504,008 10,939,470
Forward Foreign Currency Contracts................... 182,395 182,395 -- --
Futures Contracts*****............................... 309,155 309,155 -- --
Interest Rate Swap Agreements........................ 10,469,048 -- 10,469,048 --
-------------- -------------- -------------- --------------
Total................................................ $4,263,315,464 $ 75,402,938 $4,176,973,056 $ 10,939,470
============== ============== ============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Futures Contracts*****............................... $ (2,068,394) $ (2,068,394) $ -- $ --
Interest Rate Swap Agreements........................ (27,634,220) -- (27,634,220) --
-------------- -------------- -------------- --------------
Total................................................ $ (29,702,614) $ (2,068,394) $ (27,634,220) $ --
============== ============== ============== ==============
* See Portfolio of Investments for industry breakout.
** See Portfolio of Investments for country breakout.
*** See Portfolio of Investments for state breakout.
**** Investment is valued as $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 are fair valued by the Advisor's Pricing Committee and are
footnoted in the Portfolio of Investments. Level 3 investments values are based
on unobservable and non-quantitative inputs.
See Notes to Financial Statements Page 41
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES -- 25.0%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 17.7%
Adjustable Rate Mortgage Trust
$ 78,492 Series 2005-8, Class 3A21 (a).................................... 3.62% 11/25/35 $ 61,066
Ajax Mortgage Loan Trust
4,248,501 Series 2020-A, Class A, steps up to 6.36% on 06/25/25 (b) (c).... 2.38% 12/25/59 4,181,508
6,773,158 Series 2021-C, Class A (b) (c)................................... 2.12% 01/25/61 6,317,121
3,284,846 Series 2021-D, Class A, steps up to 5.00% on 02/25/25 (b) (c).... 2.00% 03/25/60 2,977,398
Alternative Loan Trust
653,976 Series 2005-13CB, Class A8....................................... 5.50% 05/25/35 557,905
232,530 Series 2005-16, Class A3, 1 Mo. LIBOR + 0.50% (d)................ 5.12% 06/25/35 196,914
692,177 Series 2005-65CB, Class 2A4...................................... 5.50% 12/25/35 494,020
63,242 Series 2005-76, Class 1A1, 12 Mo. Treasury Average + 1.48% (d)... 4.27% 01/25/36 58,032
275,004 Series 2006-33CB, Class 2A1...................................... 6.00% 11/25/36 162,090
867,927 Series 2007-15CB, Class A6....................................... 5.75% 07/25/37 547,080
426,041 Series 2007-OA6, Class A1B, 1 Mo. LIBOR + 0.40% (d).............. 5.02% 06/25/37 376,465
American Home Mortgage Assets Trust
1,201,517 Series 2006-1, Class 1A1, 1 Mo. LIBOR + 0.21% (d)............ 4.83% 05/25/46 1,031,050
12,779,459 Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (d)..... 3.49% 02/25/47 5,276,369
3,335,698 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.13% (d)................. 4.74% 03/25/47 2,936,482
American Home Mortgage Investment Trust
541,104 Series 2005-4, Class 1A1, 1 Mo. LIBOR + 0.58% (d)................ 5.20% 11/25/45 472,067
APS Resecuritization Trust
14,426,514 Series 2016-3, Class 3MZ (a) (b)................................. 1.18% 09/27/46 7,581,560
Banc of America Funding Trust
644,775 Series 2007-1, Class TA3A, 1 Mo. LIBOR + 0.32% (d)............... 4.94% 01/25/37 568,599
2,190,264 Series 2007-2, Class TA4, 1 Mo. LIBOR + 0.80% (d)................ 5.42% 03/25/37 1,989,726
BCAP LLC Trust
322,360 Series 2007-AA3, Class 1A1A, 1 Mo. LIBOR + 0.42% (d)............. 5.04% 04/25/37 293,129
5,279,047 Series 2012-RR8, Class 4A6 (a) (b)............................... 2.28% 11/20/36 4,450,504
824,742 Series 2015-RR2, Class 25A3 (a) (b).............................. 3.39% 10/28/36 816,931
Bear Stearns ALT-A Trust
514,176 Series 2004-8, Class M1, 1 Mo. LIBOR + 0.92% (d)................. 5.53% 09/25/34 508,151
1,348,740 Series 2006-1, Class 21A2 (a).................................... 3.76% 02/25/36 940,902
Bear Stearns Mortgage Funding Trust
4,287,237 Series 2006-AR1, Class 1A1, 1 Mo. LIBOR + 0.42% (d).............. 5.04% 07/25/36 3,779,553
459,300 Series 2006-AR3, Class 1A1, 1 Mo. LIBOR + 0.18% (d).............. 4.80% 10/25/36 383,394
5,842,721 Series 2007-AR1, Class 1A1, 1 Mo. LIBOR + 0.16% (d).............. 4.78% 01/25/37 4,993,543
157,364 Series 2007-AR3, Class 1A1, 1 Mo. LIBOR + 0.14% (d).............. 4.76% 03/25/37 133,234
3,803,802 Series 2007-AR5, Class 2A2, 1 Mo. LIBOR + 0.23% (d).............. 4.85% 06/25/37 3,366,138
CIM Trust
571,751 Series 2020-R7, Class A1A (b) (e)................................ 2.25% 12/27/61 502,966
5,155,933 Series 2021-INV1, Class A2 (b)................................... 2.50% 07/01/51 4,203,578
5,888,943 Series 2021-NR1, Class A1 (b) (c)................................ 2.57% 07/25/55 5,646,165
1,088,651 Series 2021-R3, Class A1A (b).................................... 1.95% 06/25/57 961,042
1,419,349 Series 2021-R5, Class A1A (b).................................... 2.00% 08/25/61 1,187,141
7,118,174 Series 2023-R1, Class A1A (b) (f)................................ 5.40% 04/25/62 6,896,087
Citigroup Mortgage Loan Trust
453,977 Series 2005-8, Class 2A4A........................................ 5.50% 09/25/35 406,966
1,102,925 Series 2009-10, Class 2A2 (b).................................... 7.00% 12/25/35 793,545
COLT Mortgage Loan Trust
2,574,409 Series 2021-2, Class A1 (b)...................................... 0.92% 08/25/66 2,048,548
Page 42 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Connecticut Avenue Securities Trust
$ 3,244,000 Series 2020-R01, Class 1B1, 1 Mo. LIBOR + 3.25% (b) (d).......... 7.87% 01/25/40 $ 3,171,155
Credit Suisse Mortgage Trust
40,277 Series 2014-2R, Class 28A1 (a) (b)............................... 3.00% 06/27/37 37,881
892,931 Series 2014-8R, Class 3A2 (a) (b)................................ 4.60% 02/27/36 860,868
1,632,800 Series 2014-11R, Class 17A2, 1 Mo. LIBOR + 0.15% (b) (d)......... 4.81% 12/27/36 1,556,463
7,468,991 Series 2020-RPL3, Class A1 (a) (b)............................... 2.69% 03/25/60 7,257,917
7,643,559 Series 2020-RPL6, Class A1 (b)................................... 2.69% 03/25/59 7,419,856
4,802,780 Series 2021-RP11, Class A1 (b)................................... 2.25% 10/25/61 3,757,532
5,495,101 Series 2021-RPL4, Class A1 (b)................................... 1.80% 12/27/60 5,066,773
3,584,838 Series 2022-RPL1, Class A1 (b)................................... 4.15% 04/25/61 3,201,323
132,338 Series 2022-RPL1 (b)............................................. 4.23% 04/25/61 113,470
3,131,242 Series 2022-RPL1 (b)............................................. 4.43% 04/25/61 2,723,808
Deutsche Alt-A Securities Mortgage Loan Trust
2,645,630 Series 2007-AR3, Class 2A5, 1 Mo. LIBOR + 0.40% (d).............. 5.02% 06/25/37 2,320,911
DSLA Mortgage Loan Trust
43,696 Series 2004-AR4, Class 2A1A, 1 Mo. LIBOR + 0.72% (d)............. 5.31% 01/19/45 34,500
4,953,009 Series 2005-AR3, Class 1A, 1 Mo. LIBOR + 0.52% (d)............... 5.11% 07/19/45 3,814,703
Federal Home Loan Mortgage Corporation STACR REMIC Trust
2,975,000 Series 2021-HQA2, Class M2, 30 Day Average SOFR +
2.05% (b) (d)................................................. 6.53% 12/25/33 2,834,810
1,700,000 Series 2022-DNA1, Class M2, 30 Day Average SOFR +
2.50% (b) (d)................................................. 6.98% 01/25/42 1,592,769
4,000,000 Series 2022-DNA3, Class M1B, 30 Day Average SOFR +
2.90% (b) (d)................................................. 7.38% 04/25/42 4,009,905
First Horizon Alternative Mortgage Securities Trust
25,037 Series 2004-AA4, Class A1 (a).................................... 4.04% 10/25/34 24,635
1,603,712 Series 2005-AA4, Class 2A1 (a)................................... 4.02% 06/25/35 1,425,214
2,434,351 Series 2007-FA1, Class A4........................................ 6.25% 03/25/37 1,190,814
GreenPoint Mortgage Funding Trust
38,436 Series 2006-AR1, Class A1A, 1 Mo. LIBOR + 0.58% (d).............. 5.20% 02/25/36 32,840
4,007,990 Series 2006-AR6, Class A3A, 1 Mo. LIBOR + 0.44% (d).............. 5.06% 10/25/46 3,741,038
5,283,080 Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.40% (d)............. 3.76% 03/25/47 4,779,806
525,338 Series 2007-AR2, Class 2A1, 1 Mo. LIBOR + 0.40% (d).............. 5.02% 05/25/37 482,098
GreenPoint MTA Trust
257,594 Series 2005-AR3, Class 1A1, 1 Mo. LIBOR + 0.48% (d).............. 5.10% 08/25/45 197,146
HarborView Mortgage Loan Trust
155,694 Series 2005-9, Class 2A1A, 1 Mo. LIBOR + 0.68% (d)............... 5.27% 06/20/35 139,849
429,024 Series 2005-9, Class 2A1C, 1 Mo. LIBOR + 0.90% (d)............... 5.49% 06/20/35 385,125
5,723,224 Series 2007-5, Class A1A, 1 Mo. LIBOR + 0.19% (d)................ 4.78% 09/19/37 4,974,383
679,717 Series 2007-7, Class 1A1, 1 Mo. LIBOR + 2.00% (d)................ 5.62% 10/25/37 565,862
Headlands Residential LLC
4,240,000 Series 2021-RPL1, Class NOTE (b)................................. 2.49% 09/25/26 4,034,226
HomeBanc Mortgage Trust
4,057,000 Series 2005-3, Class M4, 1 Mo. LIBOR + 1.01% (d)................. 5.62% 07/25/35 3,838,713
Impac CMB Trust
43,223 Series 2005-1, Class 1A1, 1 Mo. LIBOR + 0.52% (d)................ 5.14% 04/25/35 39,666
4,443,198 Series 2005-3, Class A1, 1 Mo. LIBOR + 0.48% (d)................. 5.10% 08/25/35 4,012,450
3,898,922 Series 2005-5, Class A1, 1 Mo. LIBOR + 0.32% (d)................. 5.26% 08/25/35 3,525,826
2,923,781 Series 2005-8, Class 1A, 1 Mo. LIBOR + 0.52% (d)................. 5.14% 02/25/36 2,607,032
See Notes to Financial Statements Page 43
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Impac Secured Assets Trust
$ 5,517,432 Series 2007-1, Class A3, 1 Mo. LIBOR + 0.48% (d)................. 5.10% 03/25/37 $ 4,717,437
IndyMac INDX Mortgage Loan Trust
1,414,192 Series 2005-AR16IP, Class A1, 1 Mo. LIBOR + 0.64% (d)............ 5.26% 07/25/45 1,179,402
3,356,676 Series 2006-AR2, Class 1A1B, 1 Mo. LIBOR + 0.42% (d)............. 5.04% 04/25/46 2,789,575
452,837 Series 2006-AR4, Class A1A, 1 Mo. LIBOR + 0.42% (d).............. 5.04% 05/25/46 398,496
143,469 Series 2007-FLX2, Class A1C, 1 Mo. LIBOR + 0.19% (d)............. 4.81% 04/25/37 122,106
JP Morgan Alternative Loan Trust
2,814,940 Series 2006-S1, Class 1A19....................................... 6.50% 03/25/36 1,653,667
669,482 Series 2006-S1, Class 3A4........................................ 6.18% 03/25/36 568,474
48,431 Series 2007-S1, Class A2, 1 Mo. LIBOR + 0.68% (d)................ 5.30% 04/25/47 45,947
JP Morgan Mortgage Trust
5,335,767 Series 2021-5, Class A4 (b)...................................... 2.50% 08/25/51 4,641,957
JP Morgan Resecuritization Trust Series
6,026,157 Series 2014-6, Class 3A2, 1 Mo. LIBOR + 0.21% (b) (d)............ 3.45% 07/27/46 5,465,944
Legacy Mortgage Asset Trust
3,849,338 Series 2020-GS2, Class A1, steps up to 5.75% on
03/26/23 (b) (c).............................................. 2.75% 03/25/60 3,844,772
Lehman Mortgage Trust
734,371 Series 2006-1, Class 1A5......................................... 5.50% 02/25/36 383,355
Lehman XS Trust
89,938 Series 2005-5N, Class 3A1A, 1 Mo. LIBOR + 0.30% (d).............. 4.92% 11/25/35 87,466
680,281 Series 2006-2N, Class 2A1, 12 Mo. Treasury Average +
2.02% (d)..................................................... 4.81% 02/25/36 589,920
3,463,022 Series 2006-4N, Class A1D1, 1 Mo. LIBOR + 0.66% (d).............. 5.28% 04/25/46 3,016,580
508,840 Series 2007-12N, Class 1A3A, 1 Mo. LIBOR + 0.40% (d)............. 5.02% 07/25/47 482,481
5,776,810 Series 2007-16N, Class 1A1, 1 Mo. LIBOR + 0.94% (d).............. 5.56% 09/25/47 5,161,812
MASTR Adjustable Rate Mortgages Trust
5,479,453 Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average +
0.80% (d)..................................................... 3.59% 12/25/46 4,016,534
6,204,642 Series 2007-1, Class I1A, 1 Mo. LIBOR + 0.39% (d)................ 5.01% 01/25/47 2,372,934
2,270,399 Series 2007-1, Class I2A3, 12 Mo. Treasury Average +
0.74% (d)..................................................... 3.53% 01/25/47 2,232,981
280,551 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.30% (d)................. 4.92% 03/25/47 251,243
4,700,000 Series 2007-HF2, Class A2, 1 Mo. LIBOR + 1.10% (d)............... 5.72% 09/25/37 2,074,332
Merrill Lynch Mortgage Investors Trust
97,949 Series 2003-D, Class A, 1 Mo. LIBOR + 0.62% (d).................. 5.24% 08/25/28 93,231
134,227 Series 2004-E, Class A2B, 6 Mo. LIBOR + 0.72% (d)................ 4.90% 11/25/29 125,832
New Residential Mortgage Loan Trust
8,100,000 Series 2019-RPL3, Class M1 (b)................................... 3.25% 07/25/59 6,795,327
Nomura Resecuritization Trust
1,796,915 Series 2014-1R, Class 1A13, 1 Mo. LIBOR + 0.16% (b) (d).......... 1.83% 10/26/36 1,759,172
Opteum Mortgage Acceptance Corp Trust
5,348,754 Series 2006-1, Class 1AC1, 1 Mo. LIBOR + 0.60% (d)............... 5.22% 04/25/36 4,711,516
PHH Alternative Mortgage Trust
1,081,333 Series 2007-2, Class 1A4, 1 Mo. LIBOR + 0.60% (d)................ 5.22% 05/25/37 986,742
PRPM LLC
2,649,238 Series 2021-6, Class A1, steps up to 5.93% on 07/25/25 (b) (c)... 1.79% 07/25/26 2,461,967
3,915,396 Series 2021-9, Class A1, steps up to 5.36% on 10/25/24 (b) (c)... 2.36% 10/25/26 3,677,387
4,206,845 Series 2021-10, Class A1, steps up to 5.49% on 10/25/24 (b) (c).. 2.49% 10/25/26 3,956,236
Page 44 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
RALI Trust
$ 1,356,567 Series 2005-QO1, Class A1, 1 Mo. LIBOR + 0.30% (d)............... 4.92% 08/25/35 $ 1,034,816
2,288,578 Series 2006-QO10, Class A1, 1 Mo. LIBOR + 0.32% (d).............. 4.94% 01/25/37 1,942,413
449,904 Series 2006-QS6, Class 1A15...................................... 6.00% 06/25/36 366,479
2,297,773 Series 2007-QA3, Class A1, 1 Mo. LIBOR + 0.20% (d)............... 4.82% 05/25/37 1,973,133
2,814,771 Series 2007-QA3, Class A2, 1 Mo. LIBOR + 0.34% (d)............... 4.96% 05/25/37 2,370,040
941,268 Series 2007-QH4, Class A1, 1 Mo. LIBOR + 0.38% (d)............... 5.00% 05/25/37 829,665
4,074,627 Series 2007-QH9, Class A1 (a).................................... 4.10% 11/25/37 3,406,667
2,191,783 Series 2007-QS9, Class A33....................................... 6.50% 07/25/37 1,766,086
Structured Adjustable Rate Mortgage Loan Trust
13,316 Series 2005-12, Class 3A1 (a).................................... 4.12% 06/25/35 11,888
308,779 Series 2006-11, Class 1A1, 1 Mo. LIBOR + 0.32% (d)............... 4.94% 12/25/36 278,906
526,307 Series 2007-4, Class 1A1, 1 Mo. LIBOR + 0.48% (d)................ 5.10% 05/25/37 445,326
519,484 Series 2007-4, Class 1A2, 1 Mo. LIBOR + 0.44% (d)................ 5.06% 05/25/37 449,744
Structured Asset Mortgage Investments II Trust
113,304 Series 2003-AR3, Class A1, 1 Mo. LIBOR + 0.68% (d)............... 5.28% 11/19/33 107,314
227,749 Series 2005-AR2, Class 2A1, 1 Mo. LIBOR + 0.46% (d).............. 5.08% 05/25/45 202,922
279,107 Series 2006-AR1, Class 3A1, 1 Mo. LIBOR + 0.46% (d).............. 5.08% 02/25/36 231,834
335,354 Series 2006-AR3, Class 12A1, 1 Mo. LIBOR + 0.44% (d)............. 5.06% 05/25/36 259,433
396,661 Series 2006-AR4, Class 3A1, 1 Mo. LIBOR + 0.38% (d).............. 5.00% 06/25/36 330,995
38,998 Series 2006-AR5, Class 1A1, 1 Mo. LIBOR + 0.42% (d).............. 5.04% 05/25/36 25,413
1,624,973 Series 2006-AR6, Class 2A1, 1 Mo. LIBOR + 0.38% (d).............. 5.00% 07/25/46 1,135,667
570,087 Series 2006-AR8, Class A1A, 1 Mo. LIBOR + 0.40% (d).............. 5.02% 10/25/36 489,289
350,312 Series 2007-AR1, Class 1A1, 1 Mo. LIBOR + 0.32% (d).............. 4.94% 01/25/37 305,176
155,856 Series 2007-AR1, Class 2A1, 1 Mo. LIBOR + 0.18% (d).............. 4.80% 01/25/37 135,633
591,625 Series 2007-AR6, Class A1, 12 Mo. Treasury Average +
1.50% (d)..................................................... 4.29% 08/25/47 523,469
TBW Mortgage-Backed Trust
30,922 Series 2006-4, Class A4.......................................... 6.66% 09/25/36 30,681
WaMu Mortgage Pass-Through Certificates Trust
5,031,315 Series 2005-AR15, Class A1A2, 1 Mo. LIBOR + 0.56% (d)............ 5.18% 11/25/45 4,487,281
2,223,636 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average +
1.00% (d)..................................................... 3.79% 02/25/46 1,967,149
43,395 Series 2006-AR11, Class 1A, 12 Mo. Treasury Average +
0.96% (d)..................................................... 3.75% 09/25/46 35,262
2,616,500 Series 2007-OA4, Class 1A, 12 Mo. Treasury Average +
0.77% (d)..................................................... 3.56% 05/25/47 2,089,672
768,462 Series 2007-OA5, Class 1A, 12 Mo. Treasury Average +
0.75% (d)..................................................... 3.54% 06/25/47 612,886
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
2,078,012 Series 2006-AR6, Class 2A, 12 Mo. Treasury Average +
0.96% (d)..................................................... 3.75% 08/25/46 1,292,676
632,596 Series 2007-OC1, Class A4, 1 Mo. LIBOR + 0.64% (d)............... 5.26% 01/25/47 563,663
Wells Fargo Mortgage Backed Securities Trust
196,065 Series 2007-AR5, Class A1 (a).................................... 4.50% 10/25/37 164,701
--------------
264,399,440
--------------
See Notes to Financial Statements Page 45
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED OBLIGATIONS -- 7.3%
AREIT Trust
$ 1,250,370 Series 2020-CRE4, Class B, 30 Day Average SOFR +
4.26% (b) (d)................................................. 8.68% 04/15/37 $ 1,258,110
BAMLL Commercial Mortgage Securities Trust
2,975,000 Series 2020-BHP3, Class A, 1 Mo. LIBOR + 1.90% (b) (d)........... 6.49% 03/15/37 2,949,779
Banc of America Commercial Mortgage Trust
12,933,187 Series 2015-UBS7, Class XA, IO (a)............................... 0.75% 09/15/48 200,014
BANK
29,209,715 Series 2020-BN27, Class XA, IO (a)............................... 1.16% 04/15/63 1,820,519
Bayview Commercial Asset Trust
649,621 Series 2005-4A, Class A1, 1 Mo. LIBOR + 0.45% (b) (d)............ 5.07% 01/25/36 598,082
BBCMS Mortgage Trust
2,445,000 Series 2020-BID, Class A, 1 Mo. LIBOR + 2.14% (b) (d)............ 6.73% 10/15/37 2,388,039
2,300,000 Series 2020-BID, Class C, 1 Mo. LIBOR + 3.64% (b) (d)............ 8.23% 10/15/37 2,202,962
BDS Ltd.
1,012,309 Series 2020-FL6, Class C, 30 Day Average SOFR +
2.36% (b) (d)................................................. 6.80% 09/15/35 1,003,782
1,125,000 Series 2020-FL6, Class D, 30 Day Average SOFR +
2.86% (b) (d)................................................. 7.30% 09/15/35 1,106,132
2,984,000 Series 2020-FL6, Class E, 30 Day Average SOFR +
3.36% (b) (d)................................................. 7.80% 09/15/35 2,925,145
2,787,663 Series 2021-FL8, Class A, 1 Mo. LIBOR + 0.92% (b) (d)............ 5.51% 01/18/36 2,737,419
Benchmark Mortgage Trust
2,000,000 Series 2020-B18, Class AGNE (b).................................. 3.76% 07/15/53 1,711,049
1,810,000 Series 2020-IG2, Class UBRD (a) (b).............................. 3.51% 09/15/48 1,521,036
72,364,235 Series 2020-IG3, Class XA, IO (a) (b)............................ 0.73% 09/15/48 1,659,093
BFLD Trust
2,304,000 Series 2019-DPLO, Class A, 1 Mo. LIBOR + 1.09% (b) (d)........... 5.68% 10/15/34 2,282,356
2,385,000 Series 2020-OBRK, Class A, 1 Mo. LIBOR + 2.16% (b) (d)........... 6.73% 11/15/28 2,367,813
BLOX Trust
1,570,000 Series 2021-BLOX, Class D, 1 Mo. LIBOR + 1.75% (b) (d)........... 6.34% 09/15/26 1,439,454
BWAY Mortgage Trust
1,700,000 Series 2015-1740, Class A (b).................................... 2.92% 01/10/35 1,517,363
BX Commercial Mortgage Trust
3,420,000 Series 2020-VIV3, Class B (a) (b)................................ 3.54% 03/09/44 2,916,365
4,050,000 Series 2020-VIV4, Class A (b).................................... 2.84% 03/09/44 3,402,064
2,462,000 Series 2021-VOLT, Class E, 1 Mo. LIBOR + 2.00% (b) (d)........... 6.59% 09/15/36 2,370,629
3,701,300 Series 2021-XL2, Class J, 1 Mo. LIBOR + 3.89% (b) (d)............ 8.48% 10/15/38 3,458,482
2,845,000 Series 2022-AHP, Class AS, 1 Mo. CME Term SOFR +
1.49% (b) (d)................................................. 6.05% 01/17/39 2,794,681
BX Trust
2,800,000 Series 2019-OC11, Class A (b).................................... 3.20% 12/09/41 2,418,290
2,040,000 Series 2021-BXMF, Class G, 1 Mo. LIBOR + 3.35% (b) (d)........... 7.94% 10/15/26 1,913,264
2,250,000 Series 2021-VIEW, Class A, 1 Mo. LIBOR + 1.28% (b) (d)........... 5.87% 06/15/36 2,157,804
1,500,000 Series 2022-VAMF, Class E, 1 Mo. CME Term SOFR +
2.70% (b) (d)................................................. 7.26% 01/15/39 1,435,146
BXMT Ltd.
3,375,000 Series 2020-FL3, Class A, 30 Day Average SOFR +
1.51% (b) (d)................................................. 5.93% 11/15/37 3,369,739
Page 46 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED OBLIGATIONS (CONTINUED)
CAMB Commercial Mortgage Trust
$ 3,050,000 Series 2019-LIFE, Class F, 1 Mo. LIBOR + 2.55% (b) (d)........... 7.14% 12/15/37 $ 2,987,585
Citigroup Commercial Mortgage Trust
50,627,143 Series 2017-C4, Class XA, IO (a)................................. 1.03% 10/12/50 1,687,352
COMM Mortgage Trust
361,459 Series 2012-CR1, Class B......................................... 4.61% 05/15/45 348,266
353,894 Series 2012-CR4, Class XA, IO (a)................................ 1.18% 10/15/45 34
1,285,167 Series 2014-CR14, Class A2....................................... 3.15% 02/10/47 1,278,011
4,601,344 Series 2020-CBM, Class XCP, IO (a) (b)........................... 0.60% 02/10/37 48,130
21,254,000 Series 2020-SBX, Class X, IO (a) (b)............................. 0.58% 01/10/38 315,455
Credit Suisse Mortgage Trust
3,180,000 Series 2020-TMIC, Class A, 1 Mo. LIBOR + 3.00% (b) (d)........... 8.09% 12/15/35 3,172,059
2,450,000 Series 2020-TMIC, Class B, 1 Mo. LIBOR + 5.25% (b) (d)........... 10.09% 12/15/35 2,434,666
25,699,000 Series 2021-980M, Class X, IO (a) (b)............................ 0.99% 07/15/31 757,955
Csail Commercial Mortgage Trust
1,350,000 Series 2015-C2, Class C (a)...................................... 4.18% 06/15/57 1,109,119
DBWF Mortgage Trust
600,000 Series 2016-85T, Class A (b)..................................... 3.79% 12/10/36 542,404
DROP Mortgage Trust
3,280,000 Series 2021-FILE, Class B, 1 Mo. LIBOR + 1.70% (b) (d)........... 6.29% 10/15/43 3,010,031
Extended Stay America Trust
2,391,671 Series 2021-ESH, Class C, 1 Mo. LIBOR + 1.70% (b) (d)............ 6.29% 07/15/38 2,347,800
GS Mortgage Securities Corp Trust
2,600,000 Series 2020-UPTN, Class XA, IO (a) (b)........................... 0.35% 02/10/37 17,133
GS Mortgage Securities Trust
84,133,907 Series 2016-GS4, Class XA, IO (a)................................ 0.57% 11/10/49 1,417,985
Hilton USA Trust
3,161,000 Series 2016-SFP, Class F (b)..................................... 6.16% 11/05/35 2,918,188
JP Morgan Chase Commercial Mortgage Securities Trust
34,738,092 Series 2016-JP3, Class XA, IO (a)................................ 1.33% 08/15/49 1,293,199
1,791,660 Series 2022-NLP, Class G, 1 Mo. CME Term SOFR +
4.27% (b) (d)................................................. 8.84% 04/15/37 1,519,550
Life Mortgage Trust
2,309,980 Series 2021-BMR, Class G, 1 Mo. LIBOR + 2.95% (b) (d)............ 7.54% 03/15/38 2,229,278
Med Trust
1,395,853 Series 2021-MDLN, Class G, 1 Mo. LIBOR + 5.25% (b) (d)........... 9.84% 11/15/38 1,315,333
Morgan Stanley Capital I Trust
28,078,739 Series 2018-H4, Class XA, IO (a)................................. 0.83% 12/15/51 1,001,395
1,050,000 Series 2018-MP, Class A (a) (b).................................. 4.28% 07/11/40 923,597
MSCG Trust
1,503,319 Series 2018-SELF, Class E, 1 Mo. LIBOR + 2.15% (b) (d)........... 6.74% 10/15/37 1,461,578
One Bryant Park Trust
2,800,000 Series 2019-OBP, Class A (b)..................................... 2.52% 09/15/54 2,321,748
Ready Capital Mortgage Financing LLC
1,100,000 Series 2020-FL4, Class AS, 1 Mo. LIBOR + 3.10% (b) (d)........... 7.72% 02/25/35 1,097,919
SFAVE Commercial Mortgage Securities Trust
545,000 Series 2015-5AVE, Class C (a) (b)................................ 4.39% 01/05/43 327,384
SMRT
2,730,000 Series 2022-MINI, Class F, 1 Mo. CME Term SOFR +
3.35% (b) (d)................................................. 7.91% 01/15/39 2,542,770
See Notes to Financial Statements Page 47
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED OBLIGATIONS (CONTINUED)
STWD Mortgage Trust
$ 1,550,000 Series 2021-LIH, Class AS, 1 Mo. LIBOR + 1.26% (b) (d)........... 5.85% 11/15/36 $ 1,510,906
UBS Commercial Mortgage Trust
58,772,171 Series 2017-C4, Class XA, IO (a)................................. 1.09% 10/15/50 2,276,082
VMC Finance LLC
779,000 Series 2021-FL4, Class B, 1 Mo. LIBOR + 1.80% (b) (d)............ 6.39% 06/16/36 741,372
3,000,000 Series 2021-HT1, Class B, 1 Mo. LIBOR + 4.50% (b) (d)............ 9.09% 01/18/37 2,826,186
Wells Fargo Commercial Mortgage Trust
33,616,643 Series 2016-C35, Class XA, IO (a)................................ 1.88% 07/15/48 1,599,631
975,000 Series 2019-JWDR, Class E (a) (b)................................ 3.86% 09/15/31 840,072
--------------
108,144,784
--------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................... 372,544,224
(Cost $395,482,654) --------------
CORPORATE BONDS AND NOTES -- 21.0%
AEROSPACE/DEFENSE -- 0.2%
635,000 Boeing (The) Co..................................................... 1.43% 02/04/24 610,783
2,250,000 TransDigm, Inc. (b)................................................. 6.75% 08/15/28 2,241,563
--------------
2,852,346
--------------
AGRICULTURE -- 0.3%
30,000 BAT Capital Corp.................................................... 2.73% 03/25/31 23,440
1,250,000 BAT Capital Corp.................................................... 4.54% 08/15/47 898,596
1,870,000 BAT Capital Corp.................................................... 4.76% 09/06/49 1,384,747
1,905,000 BAT Capital Corp.................................................... 5.65% 03/16/52 1,609,329
645,000 Reynolds American, Inc.............................................. 5.85% 08/15/45 554,532
--------------
4,470,644
--------------
AIRLINES -- 0.1%
287,866 American Airlines Pass-Through Trust, Series 2014-1, Class A........ 3.70% 10/01/26 259,759
521,476 JetBlue Pass-Through Trust, Series 2020-1, Class A.................. 4.00% 11/15/32 480,326
433,635 United Airlines Pass-Through Trust, Series 2013-1, Class A.......... 4.30% 08/15/25 414,947
98,981 US Airways Pass-Through Trust, Series 2012-1, Class A............... 5.90% 10/01/24 98,929
--------------
1,253,961
--------------
AUTO MANUFACTURERS -- 0.1%
850,000 Allison Transmission, Inc. (b)...................................... 3.75% 01/30/31 706,596
1,250,000 Ford Motor Credit Co. LLC........................................... 3.37% 11/17/23 1,226,150
--------------
1,932,746
--------------
BANKS -- 4.3%
815,000 Bank of America Corp. (g)........................................... 1.73% 07/22/27 718,241
3,510,000 Bank of America Corp. (g)........................................... 2.30% 07/21/32 2,746,515
1,665,000 Bank of America Corp. (g)........................................... 2.57% 10/20/32 1,326,412
570,000 Bank of America Corp., Series RR (g)................................ 4.38% (h) 495,273
3,490,000 Bank of America Corp., Medium-Term Note (g)......................... 2.55% 02/04/28 3,121,393
750,000 Bank of America Corp., Medium-Term Note (g)......................... 3.97% 03/05/29 696,819
20,000 Bank of America Corp., Medium-Term Note (g)......................... 3.19% 07/23/30 17,394
455,000 Bank of America Corp., Medium-Term Note (g)......................... 1.90% 07/23/31 354,937
4,183,000 Bank of America Corp., Medium-Term Note (g)......................... 1.92% 10/24/31 3,245,219
500,000 Citigroup, Inc. (g)................................................. 0.78% 10/30/24 483,388
520,000 Citigroup, Inc. (g)................................................. 3.07% 02/24/28 472,229
Page 48 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
$ 225,000 Citigroup, Inc. (g)................................................. 4.08% 04/23/29 $ 209,593
525,000 Citigroup, Inc. (g)................................................. 2.98% 11/05/30 447,299
315,000 Citigroup, Inc. (g)................................................. 2.67% 01/29/31 262,316
1,390,000 Citigroup, Inc. (g)................................................. 4.41% 03/31/31 1,293,222
630,000 Citigroup, Inc. (g)................................................. 2.57% 06/03/31 517,047
1,230,000 Citigroup, Inc. (g)................................................. 2.56% 05/01/32 988,473
1,540,000 Citigroup, Inc. (g)................................................. 2.52% 11/03/32 1,216,208
4,610,000 Citigroup, Inc. (g)................................................. 3.06% 01/25/33 3,787,979
135,000 Comerica, Inc. (g).................................................. 5.63% (h) 131,895
1,615,000 Goldman Sachs Group (The), Inc. (g)................................. 0.93% 10/21/24 1,563,472
3,025,000 Goldman Sachs Group (The), Inc. (g)................................. 1.99% 01/27/32 2,325,966
4,530,000 Goldman Sachs Group (The), Inc. (g)................................. 2.38% 07/21/32 3,560,743
4,125,000 Goldman Sachs Group (The), Inc. (g)................................. 2.65% 10/21/32 3,291,367
130,000 JPMorgan Chase & Co. (g)............................................ 0.70% 03/16/24 129,684
715,000 JPMorgan Chase & Co. (g)............................................ 0.97% 06/23/25 671,235
750,000 JPMorgan Chase & Co. (g)............................................ 1.04% 02/04/27 658,872
1,660,000 JPMorgan Chase & Co. (g)............................................ 1.58% 04/22/27 1,469,178
780,000 JPMorgan Chase & Co. (g)............................................ 1.47% 09/22/27 676,606
675,000 JPMorgan Chase & Co. (g)............................................ 2.95% 02/24/28 612,558
200,000 JPMorgan Chase & Co. (g)............................................ 4.01% 04/23/29 185,949
325,000 JPMorgan Chase & Co. (g)............................................ 1.76% 11/19/31 250,103
2,725,000 JPMorgan Chase & Co. (g)............................................ 2.58% 04/22/32 2,209,529
3,975,000 JPMorgan Chase & Co. (g)............................................ 2.55% 11/08/32 3,180,550
595,000 JPMorgan Chase & Co., Series KK (g)................................. 3.65% (h) 517,959
1,100,000 Morgan Stanley (g).................................................. 0.73% 04/05/24 1,094,427
4,790,000 Morgan Stanley (g).................................................. 2.48% 09/16/36 3,576,238
865,000 Morgan Stanley, Global Medium-Term Note (g)......................... 2.70% 01/22/31 722,936
3,585,000 Morgan Stanley, Global Medium-Term Note (g)......................... 2.24% 07/21/32 2,790,622
1,245,000 PNC Financial Services Group (The), Inc. (g)........................ 6.04% 10/28/33 1,294,785
1,090,000 PNC Financial Services Group (The), Inc. (g)........................ 5.07% 01/24/34 1,054,740
1,255,000 US Bancorp (g)...................................................... 5.85% 10/21/33 1,294,741
1,760,000 US Bancorp (g)...................................................... 4.84% 02/01/34 1,685,671
555,000 US Bancorp (g)...................................................... 3.70% (h) 468,281
1,485,000 Wells Fargo & Co., Medium-Term Note (g)............................. 2.39% 06/02/28 1,313,854
6,215,000 Wells Fargo & Co., Medium-Term Note (g)............................. 3.35% 03/02/33 5,258,732
385,000 Wells Fargo & Co., Medium-Term Note (g)............................. 5.01% 04/04/51 355,020
--------------
64,745,670
--------------
BEVERAGES -- 0.2%
720,000 Primo Water Holdings, Inc. (b)...................................... 4.38% 04/30/29 617,371
2,867,000 Triton Water Holdings, Inc. (b)..................................... 6.25% 04/01/29 2,288,569
--------------
2,905,940
--------------
BIOTECHNOLOGY -- 0.4%
1,500,000 Amgen, Inc. (i)..................................................... 5.25% 03/02/33 1,490,145
1,500,000 Amgen, Inc. (i)..................................................... 5.60% 03/02/43 1,482,181
1,500,000 Amgen, Inc. (i)..................................................... 5.65% 03/02/53 1,488,718
1,000,000 Illumina, Inc....................................................... 2.55% 03/23/31 799,953
--------------
5,260,997
--------------
See Notes to Financial Statements Page 49
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
CHEMICALS -- 0.3%
$ 475,000 International Flavors & Fragrances, Inc. (b)........................ 1.23% 10/01/25 $ 420,902
3,115,000 International Flavors & Fragrances, Inc. (b)........................ 2.30% 11/01/30 2,407,121
175,000 Unifrax Escrow Issuer Corp. (b)..................................... 5.25% 09/30/28 135,981
625,000 Unifrax Escrow Issuer Corp. (b)..................................... 7.50% 09/30/29 425,767
1,819,000 Valvoline, Inc. (b)................................................. 3.63% 06/15/31 1,466,954
--------------
4,856,725
--------------
COMMERCIAL SERVICES -- 0.6%
436,000 Adtalem Global Education, Inc. (b).................................. 5.50% 03/01/28 401,744
375,000 Carriage Services, Inc. (b)......................................... 4.25% 05/15/29 301,815
520,000 Global Payments, Inc................................................ 5.40% 08/15/32 497,524
958,000 Global Payments, Inc................................................ 5.95% 08/15/52 887,204
2,515,000 Hertz (The) Corp. (b)............................................... 5.00% 12/01/29 2,090,732
1,475,000 Prime Security Services Borrower LLC / Prime Finance, Inc. (b)...... 3.38% 08/31/27 1,277,442
1,250,000 Rent-A-Center, Inc. (b)............................................. 6.38% 02/15/29 1,073,669
535,000 S&P Global, Inc. (b)................................................ 2.90% 03/01/32 458,213
61,000 Service Corp. International......................................... 4.63% 12/15/27 56,861
1,250,000 WASH Multifamily Acquisition, Inc. (b).............................. 5.75% 04/15/26 1,164,106
--------------
8,209,310
--------------
COMPUTERS -- 0.1%
2,175,000 NCR Corp. (b)....................................................... 5.13% 04/15/29 1,859,467
--------------
COSMETICS/PERSONAL CARE -- 0.0%
243,000 Edgewell Personal Care Co. (b)...................................... 5.50% 06/01/28 227,176
--------------
DIVERSIFIED FINANCIAL SERVICES -- 0.3%
570,000 Air Lease Corp...................................................... 3.88% 07/03/23 567,175
1,390,000 Air Lease Corp...................................................... 2.20% 01/15/27 1,222,037
300,000 Air Lease Corp., Medium-Term Note................................... 2.88% 01/15/26 276,720
605,000 American Express Co. (g)............................................ 3.55% (h) 515,097
1,505,000 Capital One Financial Corp. (g)..................................... 1.88% 11/02/27 1,315,970
540,000 Charles Schwab (The) Corp. (g)...................................... 5.00% (h) 508,950
--------------
4,405,949
--------------
ELECTRIC -- 1.4%
75,000 Alliant Energy Finance LLC (b)...................................... 3.75% 06/15/23 74,595
2,045,000 Alliant Energy Finance LLC (b)...................................... 3.60% 03/01/32 1,759,148
1,285,000 American Electric Power Co., Inc.................................... 2.03% 03/15/24 1,238,095
365,000 Appalachian Power Co., Series X..................................... 3.30% 06/01/27 342,564
3,000,000 Arizona Public Service Co........................................... 6.35% 12/15/32 3,191,216
540,000 Duke Energy Carolinas LLC........................................... 3.55% 03/15/52 403,299
1,000,000 Duke Energy Corp.................................................... 3.75% 04/15/24 981,746
600,000 Duke Energy Corp.................................................... 3.85% 06/15/34 575,365
750,000 Duke Energy Corp.................................................... 3.75% 09/01/46 554,325
100,000 Evergy Metro, Inc................................................... 4.20% 06/15/47 82,518
1,254,000 FirstEnergy Corp., Series C......................................... 3.40% 03/01/50 848,520
955,000 FirstEnergy Transmission LLC (b).................................... 2.87% 09/15/28 835,144
750,000 Jersey Central Power & Light Co. (b)................................ 4.70% 04/01/24 740,611
100,000 Metropolitan Edison Co. (b)......................................... 3.50% 03/15/23 99,949
750,000 MidAmerican Energy Co............................................... 3.95% 08/01/47 623,186
1,395,000 New England Power Co. (b)........................................... 5.94% 11/25/52 1,497,209
345,000 NextEra Energy Capital Holdings, Inc................................ 0.65% 03/01/23 345,000
Page 50 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
ELECTRIC (CONTINUED)
$ 1,910,000 Niagara Mohawk Power Corp. (b)...................................... 5.78% 09/16/52 $ 1,935,999
3,000,000 Oklahoma Gas and Electric Co........................................ 5.40% 01/15/33 3,013,254
500,000 Pennsylvania Electric Co. (b)....................................... 4.15% 04/15/25 476,950
750,000 Pike Corp. (b)...................................................... 5.50% 09/01/28 651,592
100,000 Puget Sound Energy, Inc............................................. 4.22% 06/15/48 84,117
450,000 Southwestern Electric Power Co., Series M........................... 4.10% 09/15/28 426,048
--------------
20,780,450
--------------
ELECTRICAL COMPONENT & EQUIPMENT -- 0.1%
1,122,000 Energizer Holdings, Inc. (b)........................................ 4.38% 03/31/29 952,297
--------------
ENGINEERING & CONSTRUCTION -- 0.1%
1,113,000 Artera Services LLC (b)............................................. 9.03% 12/04/25 958,415
--------------
ENTERTAINMENT -- 0.7%
515,000 Churchill Downs, Inc. (b)........................................... 5.50% 04/01/27 488,907
600,000 Cinemark USA, Inc. (b).............................................. 5.25% 07/15/28 504,690
1,220,000 Everi Holdings, Inc. (b)............................................ 5.00% 07/15/29 1,074,104
590,000 Live Nation Entertainment, Inc. (b)................................. 4.75% 10/15/27 531,900
1,580,000 Penn Entertainment, Inc. (b)........................................ 4.13% 07/01/29 1,283,687
515,000 Warnermedia Holdings, Inc. (b)...................................... 4.28% 03/15/32 444,882
2,715,000 Warnermedia Holdings, Inc. (b)...................................... 5.05% 03/15/42 2,201,463
4,888,000 Warnermedia Holdings, Inc. (b)...................................... 5.14% 03/15/52 3,834,939
--------------
10,364,572
--------------
ENVIRONMENTAL CONTROL -- 0.2%
200,000 Clean Harbors, Inc. (b)............................................. 4.88% 07/15/27 189,090
2,453,000 Waste Pro USA, Inc. (b)............................................. 5.50% 02/15/26 2,245,145
--------------
2,434,235
--------------
FOOD -- 0.6%
1,150,000 Chobani LLC / Chobani Finance Corp., Inc. (b)....................... 4.63% 11/15/28 1,003,478
1,170,000 H-Food Holdings LLC / Hearthside Finance Co., Inc. (b).............. 8.50% 06/01/26 726,623
300,000 Kraft Heinz Foods Co................................................ 3.75% 04/01/30 274,508
186,000 Kraft Heinz Foods Co................................................ 4.25% 03/01/31 174,364
1,650,000 Kraft Heinz Foods Co................................................ 5.20% 07/15/45 1,523,456
240,000 Kraft Heinz Foods Co................................................ 4.38% 06/01/46 196,144
765,000 Kraft Heinz Foods Co................................................ 4.88% 10/01/49 675,512
1,020,000 Pilgrim's Pride Corp. (b)........................................... 5.88% 09/30/27 1,000,799
286,000 Pilgrim's Pride Corp................................................ 4.25% 04/15/31 239,100
1,200,000 Pilgrim's Pride Corp................................................ 3.50% 03/01/32 928,516
1,600,000 Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet
Food, Inc./Simmons Feed (b)...................................... 4.63% 03/01/29 1,305,616
387,000 Smithfield Foods, Inc. (b).......................................... 5.20% 04/01/29 354,278
561,000 TreeHouse Foods, Inc................................................ 4.00% 09/01/28 481,703
--------------
8,884,097
--------------
GAS -- 0.0%
155,000 Southern Co. Gas Capital Corp....................................... 5.88% 03/15/41 156,561
--------------
HEALTHCARE-PRODUCTS -- 0.4%
1,600,000 Alcon Finance Corp. (b)............................................. 3.00% 09/23/29 1,395,886
1,425,000 DENTSPLY SIRONA, Inc................................................ 3.25% 06/01/30 1,215,157
1,997,000 Embecta Corp. (b)................................................... 5.00% 02/15/30 1,695,413
See Notes to Financial Statements Page 51
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
HEALTHCARE-PRODUCTS (CONTINUED)
$ 208,000 Hologic, Inc. (b)................................................... 4.63% 02/01/28 $ 194,146
185,000 PerkinElmer, Inc.................................................... 2.55% 03/15/31 149,015
770,000 PerkinElmer, Inc.................................................... 2.25% 09/15/31 597,570
--------------
5,247,187
--------------
HEALTHCARE-SERVICES -- 1.6%
635,000 Barnabas Health, Inc., Series 2012.................................. 4.00% 07/01/28 595,136
700,000 Cano Health LLC (b)................................................. 6.25% 10/01/28 458,500
900,000 Catalent Pharma Solutions, Inc. (b)................................. 5.00% 07/15/27 868,369
400,000 Catalent Pharma Solutions, Inc. (b)................................. 3.13% 02/15/29 345,632
1,125,000 Centene Corp........................................................ 4.25% 12/15/27 1,040,569
1,778,000 Centene Corp........................................................ 2.45% 07/15/28 1,494,658
1,396,000 Centene Corp........................................................ 3.00% 10/15/30 1,141,921
500,000 Centene Corp........................................................ 2.50% 03/01/31 390,257
250,000 CommonSpirit Health................................................. 3.35% 10/01/29 217,180
370,000 CommonSpirit Health................................................. 2.78% 10/01/30 310,227
90,000 HCA, Inc............................................................ 5.25% 04/15/25 89,149
380,000 HCA, Inc............................................................ 5.38% 09/01/26 374,724
360,000 HCA, Inc............................................................ 7.05% 12/01/27 380,889
417,000 HCA, Inc............................................................ 4.13% 06/15/29 379,909
2,870,000 HCA, Inc............................................................ 3.50% 09/01/30 2,470,007
2,068,000 HCA, Inc. (b)....................................................... 3.63% 03/15/32 1,749,662
1,830,000 HCA, Inc............................................................ 5.50% 06/15/47 1,648,473
470,000 HCA, Inc............................................................ 5.25% 06/15/49 406,065
1,625,000 HCA, Inc. (b)....................................................... 4.63% 03/15/52 1,279,565
365,000 HCA, Inc., Medium-Term Note......................................... 7.58% 09/15/25 374,862
2,000,000 ModivCare Escrow Issuer, Inc. (b)................................... 5.00% 10/01/29 1,694,120
700,000 Molina Healthcare, Inc. (b)......................................... 4.38% 06/15/28 636,440
919,000 Molina Healthcare, Inc. (b)......................................... 3.88% 11/15/30 775,189
2,325,000 Molina Healthcare, Inc. (b)......................................... 3.88% 05/15/32 1,911,243
1,350,000 Prime Healthcare Services, Inc. (b)................................. 7.25% 11/01/25 1,223,154
62,000 Tenet Healthcare Corp............................................... 4.63% 07/15/24 61,051
178,000 Tenet Healthcare Corp............................................... 4.63% 06/15/28 161,209
850,000 Tenet Healthcare Corp............................................... 4.38% 01/15/30 744,681
1,350,000 Universal Health Services, Inc...................................... 1.65% 09/01/26 1,172,763
--------------
24,395,604
--------------
HOUSEHOLD PRODUCTS/WARES -- 0.1%
952,000 Spectrum Brands, Inc. (b)........................................... 5.50% 07/15/30 843,081
--------------
HOUSEWARES -- 0.1%
1,270,000 Newell Brands, Inc.................................................. 6.63% 09/15/29 1,260,081
--------------
INSURANCE -- 0.8%
437,000 Acrisure LLC / Acrisure Finance, Inc. (b)........................... 4.25% 02/15/29 356,157
700,000 Acrisure LLC / Acrisure Finance, Inc. (b)........................... 6.00% 08/01/29 570,876
1,250,000 Alliant Holdings Intermediate LLC / Alliant Holdings
Co-Issuer (b).................................................... 6.75% 10/15/27 1,137,100
1,060,000 Aon Corp. / Aon Global Holdings PLC................................. 3.90% 02/28/52 816,988
800,000 AssuredPartners, Inc. (b)........................................... 5.63% 01/15/29 678,738
1,115,000 Athene Global Funding (b)........................................... 3.21% 03/08/27 997,927
1,560,000 Athene Global Funding (b)........................................... 1.99% 08/19/28 1,275,829
Page 52 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
INSURANCE (CONTINUED)
$ 675,000 Athene Global Funding (b)........................................... 2.72% 01/07/29 $ 568,024
760,000 Berkshire Hathaway Finance Corp..................................... 3.85% 03/15/52 614,531
810,000 Brown & Brown, Inc.................................................. 4.95% 03/17/52 683,129
250,000 Farmers Exchange Capital III (b) (g)................................ 5.45% 10/15/54 229,397
775,000 Farmers Insurance Exchange (b)...................................... 8.63% 05/01/24 789,121
465,000 Farmers Insurance Exchange (b) (g).................................. 4.75% 11/01/57 365,104
750,000 MassMutual Global Funding II (b).................................... 3.40% 03/08/26 712,996
1,360,000 Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (b) (d)........ 7.06% 12/15/24 1,360,069
50,000 Teachers Insurance & Annuity Association of America (b)............. 4.27% 05/15/47 42,892
220,000 Teachers Insurance & Annuity Association of America (b)............. 3.30% 05/15/50 157,821
1,260,000 Teachers Insurance & Annuity Association of America (b) (g)......... 4.38% 09/15/54 1,211,340
--------------
12,568,039
--------------
INTERNET -- 0.3%
600,000 Cogent Communications Group, Inc. (b)............................... 7.00% 06/15/27 581,040
1,250,000 Gen Digital, Inc. (b)............................................... 6.75% 09/30/27 1,230,022
860,000 Meta Platforms, Inc................................................. 4.45% 08/15/52 713,735
1,775,000 Netflix, Inc........................................................ 5.88% 02/15/25 1,788,712
--------------
4,313,509
--------------
LODGING -- 0.1%
569,000 Boyd Gaming Corp. (b)............................................... 4.75% 06/15/31 502,938
1,626,000 Hilton Domestic Operating Co., Inc. (b)............................. 3.63% 02/15/32 1,336,393
--------------
1,839,331
--------------
MACHINERY-DIVERSIFIED -- 0.1%
2,900,000 OT Merger Corp. (b)................................................. 7.88% 10/15/29 1,744,205
--------------
MEDIA -- 1.0%
2,729,000 Cable One, Inc. (b)................................................. 4.00% 11/15/30 2,130,339
295,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 2.30% 02/01/32 217,252
370,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.38% 05/01/47 295,169
325,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.75% 04/01/48 271,794
542,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.13% 07/01/49 417,483
1,000,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 4.80% 03/01/50 731,942
690,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.25% 04/01/53 540,170
173,000 Cox Communications, Inc. (b)........................................ 3.15% 08/15/24 166,746
680,000 Cox Communications, Inc. (b)........................................ 2.60% 06/15/31 549,646
900,000 Cox Enterprises, Inc. (b)........................................... 7.38% 07/15/27 943,384
700,000 CSC Holdings LLC (b)................................................ 5.38% 02/01/28 584,500
700,000 CSC Holdings LLC (b)................................................ 7.50% 04/01/28 469,438
2,190,000 CSC Holdings LLC (b)................................................ 6.50% 02/01/29 1,858,817
1,772,000 Diamond Sports Group LLC / Diamond Sports Finance Co. (b)........... 5.38% 08/15/26 201,034
1,032,000 Directv Financing LLC / Directv Financing Co-Obligor, Inc. (b)...... 5.88% 08/15/27 923,830
1,205,000 Gray Escrow II, Inc. (b)............................................ 5.38% 11/15/31 896,101
816,000 Scripps Escrow II, Inc. (b)......................................... 5.38% 01/15/31 578,597
See Notes to Financial Statements Page 53
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
MEDIA (CONTINUED)
$ 750,000 Scripps Escrow, Inc. (b)............................................ 5.88% 07/15/27 $ 601,355
630,000 Time Warner Cable LLC............................................... 5.88% 11/15/40 557,034
1,885,000 Time Warner Cable LLC............................................... 5.50% 09/01/41 1,588,925
390,000 Walt Disney (The) Co................................................ 4.00% 10/01/23 386,980
--------------
14,910,536
--------------
OIL & GAS -- 0.1%
1,118,000 Occidental Petroleum Corp........................................... (j) 10/10/36 565,781
800,000 Sunoco L.P. / Sunoco Finance Corp................................... 4.50% 05/15/29 702,891
--------------
1,268,672
--------------
OIL & GAS SERVICES -- 0.2%
1,975,000 Archrock Partners L.P. / Archrock Partners Finance Corp. (b)........ 6.25% 04/01/28 1,876,774
1,190,000 USA Compression Partners L.P. / USA Compression Finance
Corp............................................................. 6.88% 04/01/26 1,141,763
--------------
3,018,537
--------------
PACKAGING & CONTAINERS -- 0.2%
58,000 Ball Corp........................................................... 4.00% 11/15/23 57,266
1,830,000 Berry Global, Inc. (b).............................................. 4.88% 07/15/26 1,754,073
295,000 Berry Global, Inc................................................... 1.65% 01/15/27 253,355
755,000 Clearwater Paper Corp. (b).......................................... 4.75% 08/15/28 662,720
728,000 Graphic Packaging International LLC................................. 4.13% 08/15/24 712,421
60,000 Sealed Air Corp. (b)................................................ 5.50% 09/15/25 59,100
--------------
3,498,935
--------------
PHARMACEUTICALS -- 0.9%
725,000 180 Medical, Inc. (b)............................................... 3.88% 10/15/29 631,950
200,000 AbbVie, Inc......................................................... 4.45% 05/14/46 171,553
810,000 Bayer US Finance II LLC (b)......................................... 2.85% 04/15/25 763,484
180,000 Bayer US Finance II LLC (b)......................................... 4.25% 12/15/25 174,172
880,000 Bayer US Finance II LLC (b)......................................... 4.38% 12/15/28 827,858
265,000 Bayer US Finance II LLC (b)......................................... 4.63% 06/25/38 231,142
1,960,000 Bayer US Finance II LLC (b)......................................... 4.40% 07/15/44 1,569,735
400,000 Bayer US Finance II LLC (b)......................................... 4.88% 06/25/48 347,569
1,495,000 Becton Dickinson and Co............................................. 2.82% 05/20/30 1,279,985
330,000 Cigna Corp.......................................................... 4.38% 10/15/28 317,072
400,000 Cigna Corp.......................................................... 4.90% 12/15/48 360,381
2,280,000 CVS Health Corp..................................................... 5.05% 03/25/48 2,048,068
2,005,000 Option Care Health, Inc. (b)........................................ 4.38% 10/31/29 1,720,360
1,431,000 Organon & Co. / Organon Foreign Debt Co-Issuer B.V. (b)............. 5.13% 04/30/31 1,216,286
550,000 Prestige Brands, Inc. (b)........................................... 5.13% 01/15/28 517,063
1,721,000 Prestige Brands, Inc. (b)........................................... 3.75% 04/01/31 1,400,076
--------------
13,576,754
--------------
PIPELINES -- 0.8%
1,535,000 Energy Transfer L.P................................................. 5.40% 10/01/47 1,322,114
3,380,000 Energy Transfer L.P................................................. 5.00% 05/15/50 2,775,044
594,000 Energy Transfer L.P., Series B (g).................................. 6.63% (h) 486,901
765,000 Global Partners L.P. / GLP Finance Corp............................. 6.88% 01/15/29 708,344
250,000 Kinder Morgan, Inc.................................................. 5.55% 06/01/45 226,475
607,000 NGL Energy Operating LLC / NGL Energy Finance Corp. (b)............. 7.50% 02/01/26 580,248
845,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.55% 12/15/29 733,566
Page 54 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PIPELINES (CONTINUED)
$ 350,000 Rockies Express Pipeline LLC (b).................................... 4.95% 07/15/29 $ 304,780
100,000 Rockies Express Pipeline LLC (b).................................... 6.88% 04/15/40 82,009
705,000 Sabine Pass Liquefaction LLC........................................ 4.50% 05/15/30 660,776
1,274,000 TransMontaigne Partners L.P. / TLP Finance Corp..................... 6.13% 02/15/26 1,085,806
2,605,000 Venture Global Calcasieu Pass LLC (b)............................... 4.13% 08/15/31 2,243,231
--------------
11,209,294
--------------
REAL ESTATE INVESTMENT TRUSTS -- 1.9%
75,000 Alexandria Real Estate Equities, Inc., Class E...................... 3.45% 04/30/25 71,962
1,310,000 American Assets Trust L.P........................................... 3.38% 02/01/31 1,037,687
1,070,000 American Homes 4 Rent L.P........................................... 3.63% 04/15/32 905,085
1,165,000 American Homes 4 Rent L.P........................................... 4.30% 04/15/52 896,065
2,230,000 American Tower Corp. (i)............................................ 5.65% 03/15/33 2,219,831
250,000 Boston Properties L.P............................................... 2.75% 10/01/26 225,849
200,000 Boston Properties L.P............................................... 3.40% 06/21/29 171,899
500,000 CubeSmart L.P....................................................... 4.38% 02/15/29 464,665
1,240,000 CubeSmart L.P....................................................... 2.50% 02/15/32 969,915
281,000 Extra Space Storage L.P............................................. 3.90% 04/01/29 255,122
975,000 Extra Space Storage L.P............................................. 2.55% 06/01/31 776,491
1,450,000 Extra Space Storage L.P............................................. 2.35% 03/15/32 1,111,940
2,500,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 04/15/26 2,440,488
175,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.75% 06/01/28 171,303
185,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.30% 01/15/29 175,164
1,485,000 GLP Capital L.P. / GLP Financing II, Inc............................ 4.00% 01/15/30 1,301,891
490,000 Healthcare Realty Holdings L.P...................................... 3.63% 01/15/28 441,409
595,000 Healthcare Realty Holdings L.P...................................... 3.10% 02/15/30 507,641
1,597,000 Healthcare Realty Holdings L.P...................................... 2.40% 03/15/30 1,242,064
755,000 Healthcare Realty Holdings L.P...................................... 2.00% 03/15/31 577,091
125,000 Healthcare Realty Holdings L.P...................................... 2.05% 03/15/31 92,823
500,000 Hudson Pacific Properties L.P....................................... 3.95% 11/01/27 432,652
560,000 Hudson Pacific Properties L.P....................................... 5.95% 02/15/28 521,112
175,000 Hudson Pacific Properties L.P....................................... 4.65% 04/01/29 148,872
405,000 Hudson Pacific Properties L.P....................................... 3.25% 01/15/30 305,605
310,000 Invitation Homes Operating Partnership L.P.......................... 2.30% 11/15/28 256,622
1,210,000 Invitation Homes Operating Partnership L.P.......................... 2.00% 08/15/31 908,837
1,385,000 Invitation Homes Operating Partnership L.P.......................... 2.70% 01/15/34 1,037,398
1,807,000 Iron Mountain, Inc. (b)............................................. 5.63% 07/15/32 1,565,458
173,000 Kilroy Realty L.P................................................... 4.25% 08/15/29 150,344
400,000 Kilroy Realty L.P................................................... 2.50% 11/15/32 283,229
1,869,000 Life Storage L.P.................................................... 2.40% 10/15/31 1,480,969
505,000 LXP Industrial Trust................................................ 2.70% 09/15/30 404,693
830,000 Physicians Realty L.P............................................... 2.63% 11/01/31 663,656
250,000 Ventas Realty L.P................................................... 2.65% 01/15/25 236,336
2,037,000 VICI Properties L.P................................................. 5.13% 05/15/32 1,891,864
38,000 VICI Properties L.P................................................. 5.63% 05/15/52 33,701
399,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 4.63% 06/15/25 383,271
290,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 4.50% 09/01/26 270,839
690,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 3.75% 02/15/27 625,452
270,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 4.50% 01/15/28 248,463
487,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 3.88% 02/15/29 423,905
See Notes to Financial Statements Page 55
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
$ 256,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 4.13% 08/15/30 $ 221,359
--------------
28,551,022
--------------
RETAIL -- 0.4%
1,260,000 Bloomin' Brands, Inc. / OSI Restaurant Partners LLC (b)............. 5.13% 04/15/29 1,122,534
1,817,000 Fertitta Entertainment LLC / Fertitta Entertainment Finance Co.,
Inc. (b)......................................................... 6.75% 01/15/30 1,508,128
788,000 FirstCash, Inc. (b)................................................. 5.63% 01/01/30 698,148
2,170,000 Michaels (The) Cos., Inc. (b)....................................... 7.88% 05/01/29 1,635,518
1,400,000 Papa John's International, Inc. (b)................................. 3.88% 09/15/29 1,170,659
--------------
6,134,987
--------------
SEMICONDUCTORS -- 0.1%
75,000 Broadcom, Inc....................................................... 3.63% 10/15/24 72,815
316,000 Broadcom, Inc. (b).................................................. 2.60% 02/15/33 239,030
660,000 Broadcom, Inc. (b).................................................. 3.42% 04/15/33 531,734
415,000 Intel Corp.......................................................... 3.73% 12/08/47 307,186
--------------
1,150,765
--------------
SOFTWARE -- 0.5%
225,000 Central Parent, Inc. / CDK Global, Inc. (b)......................... 7.25% 06/15/29 220,221
1,000,000 Fiserv, Inc. (i).................................................... 5.60% 03/02/33 999,348
960,000 Oracle Corp......................................................... 2.88% 03/25/31 796,262
1,755,000 Oracle Corp......................................................... 3.80% 11/15/37 1,391,520
1,640,000 Oracle Corp......................................................... 4.00% 11/15/47 1,201,026
1,080,000 Oracle Corp......................................................... 3.95% 03/25/51 776,618
1,235,000 Oracle Corp......................................................... 6.90% 11/09/52 1,335,053
1,495,000 Oracle Corp......................................................... 5.55% 02/06/53 1,370,989
--------------
8,091,037
--------------
TELECOMMUNICATIONS -- 1.4%
445,000 AT&T, Inc........................................................... 2.55% 12/01/33 340,922
2,150,000 AT&T, Inc........................................................... 4.50% 05/15/35 1,935,655
200,000 AT&T, Inc........................................................... 5.25% 03/01/37 192,653
594,000 AT&T, Inc........................................................... 4.85% 03/01/39 533,980
750,000 AT&T, Inc........................................................... 4.30% 12/15/42 624,758
55,000 AT&T, Inc........................................................... 4.75% 05/15/46 47,359
1,770,000 AT&T, Inc........................................................... 3.80% 12/01/57 1,244,270
162,000 CommScope, Inc. (b)................................................. 6.00% 03/01/26 156,248
1,750,000 CommScope, Inc. (b)................................................. 4.75% 09/01/29 1,428,052
1,706,000 Frontier Communications Holdings LLC (b)............................ 5.00% 05/01/28 1,498,738
592,000 Level 3 Financing, Inc. (b)......................................... 4.63% 09/15/27 443,065
1,400,000 Level 3 Financing, Inc. (b)......................................... 4.25% 07/01/28 957,488
1,515,000 Level 3 Financing, Inc. (b)......................................... 3.63% 01/15/29 974,016
300,000 Level 3 Financing, Inc. (b)......................................... 3.75% 07/15/29 189,000
400,000 Lumen Technologies Inc (b).......................................... 4.00% 02/15/27 307,580
342,000 Qwest Corp.......................................................... 7.25% 09/15/25 337,691
335,000 SES GLOBAL Americas Holdings, Inc. (b).............................. 5.30% 03/25/44 252,780
2,722,500 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (b)......................................... 4.74% 03/20/25 2,691,852
280,000 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (b)......................................... 5.15% 03/20/28 276,995
Page 56 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
$ 1,075,000 T-Mobile USA, Inc................................................... 2.25% 02/15/26 $ 978,851
74,000 T-Mobile USA, Inc................................................... 4.75% 02/01/28 71,722
1,000,000 T-Mobile USA, Inc................................................... 2.63% 02/15/29 851,613
1,445,000 T-Mobile USA, Inc................................................... 3.88% 04/15/30 1,310,906
700,000 T-Mobile USA, Inc................................................... 2.55% 02/15/31 571,637
2,000,000 T-Mobile USA, Inc................................................... 3.50% 04/15/31 1,733,174
1,660,000 Zayo Group Holdings, Inc. (b)....................................... 4.00% 03/01/27 1,275,087
--------------
21,226,092
--------------
TOTAL CORPORATE BONDS AND NOTES................................................................ 312,359,226
(Cost $341,201,275) --------------
ASSET-BACKED SECURITIES -- 20.0%
321 Henderson Receivables LLC
253,057 Series 2013-2A, Class A (b)...................................... 4.21% 03/15/62 231,531
ABFC Trust
67,419 Series 2007-NC1, Class A2, 1 Mo. LIBOR + 0.30% (b) (d)........... 4.92% 05/25/37 61,987
956,203 Series 2007-WMC1, Class A1A, 1 Mo. LIBOR + 1.25% (d)............. 5.87% 06/25/37 673,890
ACE Securities Corp. Home Equity Loan Trust
3,344,217 Series 2006-ASP6, Class A2C, 1 Mo. LIBOR + 0.32% (d)............. 4.94% 12/25/36 1,212,591
804,628 Series 2006-HE3, Class A2C, 1 Mo. LIBOR + 0.30% (d).............. 4.92% 06/25/36 589,688
2,083,756 Series 2007-HE1, Class A1, 1 Mo. LIBOR + 0.30% (d)............... 4.92% 01/25/37 1,135,683
2,911,806 Series 2007-WM2, Class A1, 1 Mo. LIBOR + 0.21% (d)............... 4.83% 02/25/37 1,290,863
AFN ABSPROP001 LLC
3,661,583 Series 2019-1A, Class A1 (b)..................................... 3.78% 05/20/49 3,436,207
AGL CLO Ltd.
3,600,000 Series 2021-12A, Class A1, 3 Mo. LIBOR + 1.16% (b) (d)........... 5.97% 07/20/34 3,550,202
AIG CLO Ltd.
1,600,000 Series 2018-1A, Class BR, 3 Mo. LIBOR + 1.70% (b) (d)............ 6.51% 04/20/32 1,568,019
Aimco CLO Ltd.
2,600,000 Series 2015-AA, Class BR2, 3 Mo. LIBOR + 1.60% (b) (d)........... 6.39% 10/17/34 2,556,776
2,100,000 Series 2020-11A, Class AR, 3 Mo. LIBOR + 1.13% (b) (d)........... 5.92% 10/17/34 2,061,674
Allegro CLO VI Ltd.
4,000,000 Series 2017-2A, Class B, 3 Mo. LIBOR + 1.50% (b) (d)............. 6.29% 01/17/31 3,903,867
Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through
Certificates
313,074 Series 2002-AR1, Class M1, 1 Mo. LIBOR + 1.07% (d)............... 3.47% 09/25/32 305,216
AMMC CLO Ltd.
2,500,000 Series 2021-24A, Class B, 3 Mo. LIBOR + 1.75% (b) (d)............ 6.56% 01/20/35 2,427,089
Apidos CLO XXXVII
1,625,000 Series 2021-37A, Class B, 3 Mo. LIBOR + 1.60% (b) (d)............ 6.42% 10/22/34 1,590,170
Arbor Realty Commercial Real Estate Notes Ltd.
1,831,000 Series 2021-FL1, Class C, 1 Mo. LIBOR + 2.00% (b) (d)............ 6.57% 12/15/35 1,744,259
2,000,000 Series 2021-FL1, Class E, 1 Mo. LIBOR + 3.40% (b) (d)............ 7.97% 12/15/35 1,876,550
Ares LXII CLO Ltd.
2,000,000 Series 2021-62A, Class B, 3 Mo. LIBOR + 1.65% (b) (d)............ 6.47% 01/25/34 1,943,073
Argent Securities Trust
1,262,470 Series 2006-W2, Class A2B, 1 Mo. LIBOR + 0.38% (d)............... 5.00% 03/25/36 676,667
Argent Securities, Inc., Asset-Backed Pass-Through Certificates
115,744 Series 2005-W3, Class M1, 1 Mo. LIBOR + 0.66% (d)................ 5.28% 11/25/35 111,461
2,200,000 Series 2005-W3, Class M2, 1 Mo. LIBOR + 0.69% (d)................ 5.31% 11/25/35 1,879,290
See Notes to Financial Statements Page 57
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
BCMSC Trust
$ 2,369,065 Series 2000-A, Class A5.......................................... 8.32% 06/15/30 $ 364,763
BlueMountain CLO XXXI Ltd
2,500,000 Series 2021-31A, Class B, 3 Mo. LIBOR + 1.70% (b) (d)............ 6.50% 04/19/34 2,417,682
BNC Mortgage Loan Trust
1,047,752 Series 2006-2, Class A4, 1 Mo. LIBOR + 0.32% (d)................. 4.94% 11/25/36 1,015,032
CAL Funding IV Ltd.
2,204,174 Series 2020-1A, Class A (b)...................................... 2.22% 09/25/45 1,936,675
Carvana Auto Receivables Trust
5,450 Series 2020-P1, Class R (b)...................................... (j) 09/08/27 795,520
3,700 Series 2021-N2, Class R (b)...................................... (j) 03/10/28 722,765
2,500 Series 2021-P2, Class R (b)...................................... (j) 05/10/28 733,327
2,800 Series 2021-P4, Class R (b)...................................... (j) 09/11/28 1,180,100
19,300 Series 2022-N1, Class R (b)...................................... (j) 12/11/28 3,718,249
17,100 Series 2022-P2, Class R (b)...................................... (j) 05/10/29 3,144,153
C-BASS TRUST
2,670,843 Series 2007-CB1, Class AF2, steps up to 6.22% after Redemption
Date (c)...................................................... 3.11% 01/25/37 868,687
2,645,563 Series 2007-CB1, Class AF3, steps up to 6.24% after Redemption
Date (c)...................................................... 3.11% 01/25/37 860,432
Cedar Funding XIV CLO Ltd.
1,850,000 Series 2021-14A, Class A, 3 Mo. LIBOR + 1.10% (b) (d)............ 5.89% 07/15/33 1,833,372
CF Hippolyta Issuer LLC
3,670,494 Series 2020-1, Class A1 (b)...................................... 1.69% 07/15/60 3,289,949
Chase Auto Owner Trust
10,000 Series 2022-AA, Class R1 (b)..................................... (j) 06/25/30 1,787,558
CIM Trust
8,102,769 Series 2023-NR1, Class A1, steps up to 9.00% on
01/01/26 (b) (c) (f).......................................... 6.00% 06/25/62 7,740,575
CIT Education Loan Trust
2,694,299 Series 2005-1, Class A4, 3 Mo. LIBOR + 0.16% (d)................. 4.93% 12/15/33 2,614,604
Citigroup Mortgage Loan Trust
2,728,517 Series 2006-HE3, Class A2B, 1 Mo. LIBOR + 0.20% (d).............. 4.82% 12/25/36 1,815,690
259,860 Series 2007-WFH3, Class M1, 1 Mo. LIBOR + 0.39% (d).............. 5.01% 06/25/37 256,528
CMFT Net Lease Master Issuer LLC
2,841,558 Series 2021-1, Class A1 (b)...................................... 2.09% 07/20/51 2,398,014
Cologix Data Centers US Issuer LLC
1,960,000 Series 2021-1A, Class A2 (b)..................................... 3.30% 12/26/51 1,732,656
Conseco Finance Corp.
1,701,620 Series 1999-3, Class A8.......................................... 7.06% 02/01/31 1,529,591
CoreVest American Finance Trust
933,655 Series 2020-1, Class XA, IO (a) (b).............................. 2.60% 03/15/50 59,385
1,640,000 Series 2020-4, Class B (b)....................................... 1.71% 12/15/52 1,446,693
Credit-Based Asset Servicing & Securitization LLC
748,003 Series 2006-MH1, Class B1 (b).................................... 6.75% 10/25/36 710,710
CWABS Asset-Backed Certificates Trust
1,950,000 Series 2005-17, Class MV2, 1 Mo. LIBOR + 0.72% (d)............... 5.34% 05/25/36 1,864,320
9,467,000 Series 2007-12, Class 2A4, 1 Mo. LIBOR + 1.35% (d)............... 5.97% 08/25/47 8,723,675
DataBank Issuer
2,245,000 Series 2021-1A, Class A2 (b)..................................... 2.06% 02/27/51 1,996,464
Page 58 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Dryden CLO Ltd.
$ 1,600,000 Series 2018-58A, Class C, 3 Mo. LIBOR + 1.80% (b) (d)............ 6.59% 07/17/31 $ 1,528,875
625,000 Series 2019-72A, Class BR, 3 Mo. LIBOR + 1.65% (b) (d)........... 6.51% 05/15/32 609,350
Eaton Vance CLO Ltd.
1,800,000 Series 2019-1A, Class AR, 3 Mo. LIBOR + 1.10% (b) (d)............ 5.89% 04/15/31 1,776,616
1,750,000 Series 2020-1A, Class AR, 3 Mo. LIBOR + 1.17% (b) (d)............ 5.96% 10/15/34 1,729,254
ECMC Group Student Loan Trust
1,614,052 Series 2017-2A, Class A, 1 Mo. LIBOR + 1.05% (b) (d)............. 5.67% 05/25/67 1,544,157
1,314,406 Series 2021-1A, Class A1B, 1 Mo. LIBOR + 0.57% (b) (d)........... 5.19% 11/25/70 1,261,148
Elmwood CLO VI Ltd.
2,600,000 Series 2020-3A, Class BR, 3 Mo. LIBOR + 1.65% (b) (d)............ 6.46% 10/20/34 2,523,084
Exeter Automobile Receivables Trust
1,400,000 Series 2022-6A, Class D.......................................... 8.03% 04/06/29 1,447,457
FirstKey Homes Trust
4,760,000 Series 2020-SFR1, Class B (b).................................... 1.74% 08/17/37 4,306,949
2,420,000 Series 2020-SFR2, Class F1 (b)................................... 3.02% 10/19/37 2,173,106
Flatiron CLO Ltd.
1,000,000 Series 2021-1A, Class B, 3 Mo. LIBOR + 1.60% (b) (d)............. 6.40% 07/19/34 968,606
Fremont Home Loan Trust
26,128 Series 2005-D, Class 2A4, 1 Mo. LIBOR + 0.68% (d)................ 5.30% 11/25/35 25,513
GCI Funding I LLC
2,613,181 Series 2021-1, Class A (b)....................................... 2.38% 06/18/46 2,242,140
Goldentree Loan Management US CLO Ltd.
1,200,000 Series 2019-4A, Class AR, 3 Mo. LIBOR + 1.11% (b) (d)............ 5.93% 04/24/31 1,187,999
Golub Capital Partners CLO L.P.
1,575,000 Series 2021-54A, Class A, 3 Mo. LIBOR + 1.53% (b) (d)............ 6.34% 08/05/33 1,542,801
GoodLeap Sustainable Home Solutions Trust
4,700,000 Series 2023-1GS, Class A (b)..................................... 5.52% 02/22/55 4,713,346
GSAA Home Equity Trust
3,455,000 Series 2005-4, Class M2, 1 Mo. LIBOR + 1.05% (d)................. 5.67% 03/25/35 3,282,455
212,979 Series 2007-8, Class A3, 1 Mo. LIBOR + 0.90% (d)................. 5.52% 08/25/37 205,844
GSAMP Trust
778,429 Series 2006-HE4, Class A2D, 1 Mo. LIBOR + 0.52% (d).............. 5.14% 06/25/36 748,117
1,571,424 Series 2007-FM2, Class A1, 1 Mo. LIBOR + 0.14% (d)............... 4.76% 01/25/37 938,660
HPS Loan Management Ltd.
1,225,000 Series 10A-16, Class A1RR, 3 Mo. LIBOR + 1.14% (b) (d)........... 5.95% 04/20/34 1,204,175
3,244,911 Series 2021-16A, Class B, 3 Mo. LIBOR + 1.70% (b) (d)............ 6.52% 01/23/35 3,153,317
HSI Asset Securitization Corp Trust
5,544,925 Series 2007-OPT1, Class 1A, 1 Mo. LIBOR + 0.14% (d).............. 4.76% 12/25/36 4,707,498
Invitation Homes Trust
1,115,588 Series 2018-SFR4, Class A, 1 Mo. LIBOR + 1.10% (b) (d)........... 5.70% 01/17/38 1,114,917
JGWPT XXV LLC
2,074,846 Series 2012-1A, Class A (b)...................................... 4.21% 02/16/65 1,916,192
JP Morgan Mortgage Acquisition Trust
649,784 Series 2006-CH2, Class AF6, steps up to 6.04% after Redemption
Date (c)...................................................... 5.54% 10/25/36 406,114
592,696 Series 2006-WF1, Class A5........................................ 6.91% 07/25/36 179,932
917,477 Series 2007-CH2, Class AF6, steps up to 6.05% after Redemption
Date (c)...................................................... 4.44% 01/25/37 514,069
LAD Auto Receivables Trust
4,950,000 Series 2023-1A, Class D (b)...................................... 7.30% 06/17/30 4,915,114
See Notes to Financial Statements Page 59
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Lehman XS Trust
$ 1,222,527 Series 2006-15, Class A4, 1 Mo. LIBOR + 0.34% (d)................ 4.96% 10/25/36 $ 1,102,463
8,619,403 Series 2006-19, Class A3, 1 Mo. LIBOR + 0.50% (d)................ 5.12% 12/25/36 7,765,912
2,060,805 Series 2007-11, Class A3, 1 Mo. LIBOR + 0.52% (d)................ 5.14% 02/25/47 1,820,603
Long Beach Mortgage Loan Trust
2,240,576 Series 2006-8, Class 2A3, 1 Mo. LIBOR + 0.32% (d)................ 4.94% 09/25/36 637,829
13,284,292 Series 2006-10, Class 2A3, 1 Mo. LIBOR + 0.32% (d)............... 4.94% 11/25/36 4,145,233
Magnetite XXI Ltd
2,000,000 Series 2019-21A, Class BR, 3 Mo. LIBOR + 1.35% (b) (d)........... 6.16% 04/20/34 1,932,876
Mastr Asset Backed Securities Trust
117,404 Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.32% (d)............... 4.94% 11/25/36 71,981
1,617,328 Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.22% (d)............... 4.84% 08/25/36 659,190
Merrill Lynch First Franklin Mortgage Loan Trust
1,699,697 Series 2007-1, Class A1, 1 Mo. LIBOR + 0.28% (d)................. 4.90% 04/25/37 789,259
3,108,402 Series 2007-5, Class 1A, 1 Mo. LIBOR + 0.85% (d)................. 5.47% 10/25/37 2,010,820
6,803,379 Series 2007-5, Class 2A2, 1 Mo. LIBOR + 1.00% (d)................ 5.62% 10/25/37 5,687,604
Merrill Lynch Mortgage Investors Trust
2,885,450 Series 2006-HE6, Class A2C, 1 Mo. LIBOR + 0.46% (d).............. 5.08% 11/25/37 1,048,720
Morgan Stanley ABS Capital I, Inc. Trust
1,836,869 Series 2006-HE8, Class A2B, 1 Mo. LIBOR + 0.10% (d).............. 4.72% 10/25/36 832,656
1,778,437 Series 2006-HE8, Class A2C, 1 Mo. LIBOR + 0.14% (d).............. 4.76% 10/25/36 806,542
4,563,765 Series 2007-HE2, Class A2B, 1 Mo. LIBOR + 0.09% (d).............. 4.71% 01/25/37 2,281,645
1,274,017 Series 2007-HE4, Class A2B, 1 Mo. LIBOR + 0.18% (d).............. 4.80% 02/25/37 434,918
3,931,656 Series 2007-NC3, Class A2D, 1 Mo. LIBOR + 0.26% (d).............. 4.88% 05/25/37 2,802,710
Navient Student Loan Trust
20,503 Series 2014-1, Class A3, 1 Mo. LIBOR + 0.51% (d)................. 5.13% 06/25/31 20,088
2,278,201 Series 2016-2A, Class A3, 1 Mo. LIBOR + 1.50% (b) (d)............ 6.12% 06/25/65 2,284,958
4,024,325 Series 2018-2A, Class A3, 1 Mo. LIBOR + 0.75% (b) (d)............ 5.37% 03/25/67 3,937,643
2,500,000 Series 2019-3A, Class B, 1 Mo. LIBOR + 1.55% (b) (d)............. 6.17% 07/25/68 2,370,888
Nelnet Student Loan Trust
2,025,000 Series 2015-3A, Class B, 1 Mo. LIBOR + 1.50% (b) (d)............. 6.12% 06/25/54 1,870,470
Neuberger Berman Loan Advisers CLO Ltd.
1,500,000 Series 2017-26A, Class D, 3 Mo. LIBOR + 2.65% (b) (d)............ 7.44% 10/18/30 1,400,106
1,300,000 Series 2021-43A, Class A, 3 Mo. LIBOR + 1.13% (b) (d)............ 5.92% 07/17/35 1,284,082
NovaStar Mortgage Funding Trust
561,396 Series 2007-2, Class A1A, 1 Mo. LIBOR + 0.20% (d)................ 4.82% 09/25/37 544,179
OCP CLO Ltd.
1,500,000 Series 2021-21A, Class B, 3 Mo. LIBOR + 1.70% (b) (d)............ 6.51% 07/20/34 1,456,430
Octagon Investment Partners 46 Ltd.
2,100,000 Series 2020-2A, Class AR, 3 Mo. LIBOR + 1.16% (b) (d)............ 5.95% 07/15/36 2,068,500
OHA Credit Funding Ltd.
2,000,000 Series 2019-3A, Class AR, 3 Mo. LIBOR + 1.14% (b) (d)............ 5.95% 07/02/35 1,973,000
3,000,000 Series 2020-5A, Class B, 3 Mo. LIBOR + 1.60% (b) (d)............. 6.39% 04/18/33 2,950,357
Palmer Square CLO Ltd.
3,100,000 Series 2020-3A, Class A1AR, 3 Mo. LIBOR + 1.08% (b) (d).......... 5.94% 11/15/31 3,074,188
Park Place Securities Inc Asset-Backed Pass-Through Certificates
3,200,000 Series 2005-WHQ4, Class M3, 1 Mo. LIBOR + 0.78% (d).............. 5.40% 09/25/35 2,717,803
PRET LLC
3,698,652 Series 2022-RN2, Class A1, steps up to 9.00% on 07/25/26 (b) (c). 5.00% 06/25/52 3,605,496
Progress Residential Trust
1,200,000 Series 2019-SFR3, Class F (b).................................... 3.87% 09/17/36 1,152,681
5,135,000 Series 2021-SFR2, Class E2 (b)................................... 2.65% 04/19/38 4,438,211
Page 60 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Progress Residential Trust (Continued)
$ 2,000,000 Series 2021-SFR6, Class G (b).................................... 4.00% 07/17/38 $ 1,731,734
8,100,000 Series 2021-SFR9, Class F (b).................................... 4.05% 11/17/40 6,752,069
1,605,000 Series 2021-SFR11, Class B (b)................................... 2.73% 01/17/39 1,356,023
Regatta XII Funding Ltd.
3,000,000 Series 2019-1A, Class BR, 3 Mo. LIBOR + 1.60% (b) (d)............ 6.39% 10/15/32 2,936,349
Regatta XX Funding Ltd
3,200,000 Series 2021-2A, Class A, 3 Mo. LIBOR + 1.16% (b) (d)............. 5.95% 10/15/34 3,145,600
Residential Asset Mortgage Products, Inc.
1,400,000 Series 2006-NC2, Class M1, 1 Mo. LIBOR + 0.54% (d)............... 5.16% 02/25/36 1,322,316
1,815,496 Series 2006-RZ2, Class M1, 1 Mo. LIBOR + 0.33% (d)............... 5.11% 05/25/36 1,779,511
Residential Asset Securities Corp.
30,652 Series 2005-KS11, Class M2, 1 Mo. LIBOR + 0.63% (d).............. 5.25% 12/25/35 30,400
Rockford Tower CLO Ltd.
1,325,000 Series 2019-2A, Class BR, 3 Mo. LIBOR + 1.65% (b) (d)............ 6.57% 08/20/32 1,289,134
1,800,000 Series 2020-1A, Class B, 3 Mo. LIBOR + 1.80% (b) (d)............. 6.61% 01/20/32 1,769,441
Sabey Data Center Issuer LLC
1,785,000 Series 2020-1, Class A2 (b)...................................... 3.81% 04/20/45 1,682,650
Saxon Asset Securities Trust
1,126,082 Series 2006-1, Class M1, 1 Mo. LIBOR + 0.47% (d)................. 5.08% 03/25/36 1,075,472
Securitized Asset Backed Receivables LLC Trust
2,312,086 Series 2006-CB5, Class A3, 1 Mo. LIBOR + 0.28% (d)............... 4.90% 06/25/36 1,483,941
Skyline Aircraft Finance LLC
621,773 Series 2020-1, Class A (f) (k)................................... 3.23% 05/10/38 546,974
SLC Student Loan Trust
830,468 Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (d)................ 6.37% 12/15/32 831,905
SLM Student Loan EDC Repackaging Trust
1,000 Series 2013-M1, Class M1R (b).................................... (j) 10/28/29 496,391
SLM Student Loan Trust
2,030,332 Series 2006-2, Class B, 3 Mo. LIBOR + 0.22% (d).................. 5.04% 01/25/41 1,874,706
6,525 Series 2006-2, Class R........................................... (j) 01/25/41 698,484
2,008,249 Series 2007-1, Class B, 3 Mo. LIBOR + 0.22% (d).................. 5.04% 01/27/42 1,859,963
1,375 Series 2007-4, Class R........................................... (j) 01/25/42 329,933
1,481,512 Series 2007-7, Class A4, 3 Mo. LIBOR + 0.33% (d)................. 5.15% 01/25/22 1,435,141
905,000 Series 2007-7, Class B, 3 Mo. LIBOR + 0.75% (d).................. 5.57% 10/27/70 784,734
300,000 Series 2008-2, Class B, 3 Mo. LIBOR + 1.20% (d).................. 6.02% 01/25/83 238,264
300,000 Series 2008-3, Class B, 3 Mo. LIBOR + 1.20% (d).................. 6.02% 04/26/83 270,100
677,891 Series 2008-4, Class A4, 3 Mo. LIBOR + 1.65% (d)................. 6.47% 07/25/22 675,390
650,000 Series 2008-5, Class B, 3 Mo. LIBOR + 1.70% (d).................. 6.67% 07/25/73 612,673
340,000 Series 2008-6, Class B, 3 Mo. LIBOR + 1.85% (d).................. 6.67% 07/26/83 319,613
220,000 Series 2008-8, Class B, 3 Mo. LIBOR + 2.25% (d).................. 7.07% 10/25/75 212,825
2,394,505 Series 2008-9, Class A, 3 Mo. LIBOR + 1.50% (d).................. 6.32% 04/25/23 2,388,142
800,000 Series 2008-9, Class B, 3 Mo. LIBOR + 2.25% (d).................. 7.07% 10/25/83 772,501
100,000 Series 2012-7, Class B, 1 Mo. LIBOR + 1.80% (d).................. 6.42% 09/25/43 94,271
Soundview Home Loan Trust
2,013,356 Series 2007-OPT1, Class 2A3, 1 Mo. LIBOR + 0.21% (d)............. 4.83% 06/25/37 1,370,952
195,379 Series 2007-OPT2, Class 2A4, 1 Mo. LIBOR + 0.25% (d)............. 4.87% 07/25/37 157,655
Specialty Underwriting & Residential Finance Trust
2,735,826 Series 2006-AB3, Class A2C, 1 Mo. LIBOR + 0.48% (d).............. 5.10% 09/25/37 1,931,262
Structured Asset Securities Corp Mortgage Loan Trust
4,812,094 Series 2005-2XS, Class M1, 1 Mo. LIBOR + 0.71% (d)............... 5.32% 02/25/35 4,596,254
960,707 Series 2006-BC3, Class A3, 1 Mo. LIBOR + 0.32% (d)............... 4.94% 10/25/36 811,827
See Notes to Financial Statements Page 61
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Structured Receivables Finance LLC
$ 56,807 Series 2010-B, Class A (b)....................................... 3.73% 08/15/36 $ 54,533
STWD Ltd.
2,483,000 Series 2019-FL1, Class AS, 1 Mo. CME Term SOFR +
1.51% (b) (d)................................................. 6.08% 07/15/38 2,428,388
TAL Advantage VII LLC
2,675,306 Series 2020-1A, Class A (b)...................................... 2.05% 09/20/45 2,348,599
Textainer Marine Containers Ltd.
1,584,000 Series 2021-3A, Class A (b)...................................... 1.94% 08/20/46 1,315,816
Textainer Marine Containers VII Ltd.
1,937,645 Series 2020-2A, Class A (b)...................................... 2.10% 09/20/45 1,707,654
Trestles CLO V Ltd.
1,900,000 Series 2021-5A, Class A1, 3 Mo. LIBOR + 1.17% (b) (d)............ 5.98% 10/20/34 1,861,846
Tricon American Homes Trust
1,400,000 Series 2017-SFR2, Class E (b).................................... 4.22% 01/17/36 1,372,121
Triton Container Finance VIII LLC
3,042,798 Series 2021-1A, Class A (b)...................................... 1.86% 03/20/46 2,574,539
TRP LLC
5,450,509 Series 2021-1, Class A (b)....................................... 2.07% 06/19/51 4,672,705
Wachovia Student Loan Trust
1,156,684 Series 2006-1, Class B, 3 Mo. LIBOR + 0.24% (b) (d).............. 5.06% 04/25/40 1,070,171
WaMu Asset-Backed Certificates WaMu Trust
1,586,036 Series 2007-HE2, Class 2A3, 1 Mo. LIBOR + 0.25% (d).............. 4.87% 04/25/37 617,564
659,746 Series 2007-HE3, Class 2A3, 1 Mo. LIBOR + 0.24% (d).............. 4.86% 05/25/37 547,642
4,313,218 Series 2007-HE3, Class 2A4, 1 Mo. LIBOR + 0.29% (d).............. 4.91% 05/25/37 3,589,000
2,074,255 Series 2007-HE3, Class 2A5, 1 Mo. LIBOR + 0.25% (d).............. 4.87% 05/25/37 1,722,713
Washington Mutual Asset-Backed Certificates WMABS Trust
404,550 Series 2006-HE5, Class 1A, 1 Mo. LIBOR + 0.16% (d)............... 3.84% 10/25/36 307,055
Westlake Automobile Receivables Trust
5,290,000 Series 2023-1A, Class D (b)...................................... 6.79% 11/15/28 5,286,305
--------------
TOTAL ASSET-BACKED SECURITIES.................................................................. 298,372,019
(Cost $314,531,880) --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 17.4%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.0%
Federal National Mortgage Association
909,847 Series 2011-116, Class SA, IO, 1 Mo. LIBOR (x) -1 + 6.00% (l).... 1.38% 11/25/41 56,272
106,085 Series 2012-128, Class UA........................................ 2.50% 06/25/42 92,517
935,646 Series 2013-18, Class MI, IO..................................... 3.00% 02/25/33 50,002
Government National Mortgage Association
919,491 Series 2003-110, Class S, IO, 1 Mo. LIBOR (x) -1 + 6.60% (l)..... 2.00% 10/20/33 12,618
928,473 Series 2018-63, Class IO, IO..................................... 4.00% 09/20/47 149,753
--------------
361,162
--------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.7%
Federal Home Loan Mortgage Corporation Multiclass Certificates
10,817,505 Series 2021-P009, Class X, IO (a)................................ 1.44% 01/25/31 560,238
Federal Home Loan Mortgage Corporation Multifamily PC REMIC
Trust
4,095,000 Series 2019-P002, Class X, IO (e)................................ 1.14% 07/25/33 315,407
Page 62 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (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
$ 59,617,032 Series 2013-K031, Class X1, IO (a)............................... 0.16% 04/25/23 $ 13,104
16,558,471 Series 2013-K035, Class X1, IO (a)............................... 0.31% 08/25/23 20,220
4,000,000 Series 2013-K035, Class X3, IO (a)............................... 1.79% 12/25/41 31,254
2,500,000 Series 2014-K037, Class X3, IO (a)............................... 2.21% 01/25/42 45,110
30,530,722 Series 2014-K039, Class X1, IO (a)............................... 0.69% 07/25/24 227,799
2,145,000 Series 2014-K039, Class X3, IO (a)............................... 2.11% 08/25/42 75,602
114,007,201 Series 2015-K043, Class X1, IO (a)............................... 0.51% 12/25/24 945,051
11,062,726 Series 2015-K044, Class X1, IO (a)............................... 0.74% 01/25/25 132,895
20,449,223 Series 2015-K048, Class X3, IO (a)............................... 1.49% 08/25/43 614,700
15,615,461 Series 2015-K051, Class X1, IO (a)............................... 0.50% 09/25/25 170,244
6,897,149 Series 2016-K056, Class X3, IO (a)............................... 2.12% 06/25/44 426,706
1,900,000 Series 2016-K060, Class X3, IO (a)............................... 1.90% 12/25/44 114,375
26,082,170 Series 2016-K723, Class X3, IO (a)............................... 1.91% 10/25/34 285,511
84,379 Series 2016-KF25, Class A, 1 Mo. LIBOR + 0.48% (d)............... 5.05% 10/25/23 84,348
3,600,334 Series 2016-KS06, Class X, IO (a)................................ 1.05% 08/25/26 86,988
4,797,842 Series 2016-KS07, Class X, IO (a)................................ 0.62% 09/25/25 69,164
8,432,678 Series 2017-K726, Class X1, IO (a)............................... 0.90% 04/25/24 67,786
2,230,000 Series 2017-K728, Class X3, IO (a)............................... 1.96% 11/25/45 72,391
1,351,023 Series 2019-KC04, Class X1, IO (a)............................... 1.25% 12/25/26 35,374
6,942,147 Series 2019-KC05, Class X1, IO (a)............................... 1.21% 06/25/27 212,513
4,838,134 Series 2019-KLU1, Class X3, IO (a)............................... 4.05% 01/25/31 556,288
77,050,000 Series 2022-Q017, Class X, IO (e)................................ 1.23% 04/25/30 1,081,494
Federal National Mortgage Association
27,182 Series 2016-M2, Class X3, IO (a)................................. 2.04% 04/25/36 5
1,222,112 Series 2016-M4, Class X2, IO (a)................................. 2.67% 01/25/39 18,518
102,697 Series 2016-M11, Class X2, IO (a)................................ 3.03% 07/25/39 2,097
142,581 Series 2018-M10, Class A1 (a).................................... 3.36% 07/25/28 140,822
6,100,000 Series 2019-M29, Class X4, IO.................................... 0.70% 03/25/29 187,252
FREMF Mortgage Trust
2,282,949 Series 2019-KF64, Class B, 1 Mo. LIBOR + 2.30% (b) (d)........... 6.87% 06/25/26 2,228,576
Government National Mortgage Association
0 Series 2011-77, Class IO, IO (e)................................. 4.28% 04/16/42 0
127,521 Series 2011-119, Class D......................................... 3.51% 04/16/45 124,227
328,099 Series 2013-125, Class IO, IO (e)................................ 0.20% 10/16/54 4,280
1,704 Series 2013-162, Class C (e)..................................... 3.00% 01/16/44 1,699
705,981 Series 2014-52, Class D (e)...................................... 3.63% 05/16/46 687,048
721,595 Series 2014-125, Class IO, IO (e)................................ 0.91% 11/16/54 18,070
--------------
9,657,156
--------------
PASS-THROUGH SECURITIES -- 16.7%
Federal Home Loan Mortgage Corporation
556,533 Pool WN0006...................................................... 3.42% 07/01/30 520,057
Federal National Mortgage Association
456,553 Pool AM2974...................................................... 4.10% 04/01/43 426,812
1,483,613 Pool AM9897...................................................... 3.50% 09/01/35 1,363,379
5,900,000 Pool TBA (m)..................................................... 2.00% 03/15/53 4,807,463
6,525,000 Pool TBA (m)..................................................... 2.50% 03/15/53 5,529,683
33,700,000 Pool TBA (m)..................................................... 3.00% 03/15/53 29,654,026
5,550,000 Pool TBA (m)..................................................... 4.00% 03/15/53 5,210,930
See Notes to Financial Statements Page 63
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (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)
$ 30,300,000 Pool TBA (m)..................................................... 4.50% 03/15/53 $ 29,201,625
59,500,000 Pool TBA (m)..................................................... 5.00% 03/15/53 58,505,234
63,450,000 Pool TBA (m)..................................................... 2.00% 04/15/53 51,769,995
63,625,000 Pool TBA (m)..................................................... 2.50% 04/15/53 53,989,291
Government National Mortgage Association
7,750,000 Pool TBA......................................................... 4.50% 03/15/53 7,516,592
--------------
248,495,087
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 258,513,405
(Cost $264,976,218) --------------
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES -- 5.8%
AGRICULTURE -- 0.1%
1,200,000 Imperial Brands Finance PLC (USD) (b)............................... 6.13% 07/27/27 1,210,608
--------------
BANKS -- 2.4%
1,025,000 ABN AMRO Bank N.V. (USD) (b) (g).................................... 2.47% 12/13/29 855,044
2,160,000 Credit Suisse Group AG (USD) (b) (g)................................ 1.31% 02/02/27 1,746,013
5,550,000 Credit Suisse Group AG (USD) (b) (g)................................ 3.09% 05/14/32 3,908,305
4,700,000 Credit Suisse Group AG (USD) (b) (g)................................ 6.54% 08/12/33 4,224,073
3,865,000 Credit Suisse Group AG (USD) (b) (g)................................ 9.02% 11/15/33 4,062,228
955,000 DNB Bank ASA (USD) (b) (g).......................................... 0.86% 09/30/25 882,349
505,000 HSBC Holdings PLC (USD) (g)......................................... 1.59% 05/24/27 442,096
3,180,000 HSBC Holdings PLC (USD) (g)......................................... 4.76% 06/09/28 3,056,628
2,660,000 HSBC Holdings PLC (USD) (g)......................................... 2.01% 09/22/28 2,253,877
1,440,000 HSBC Holdings PLC (USD) (g)......................................... 2.21% 08/17/29 1,194,446
565,000 HSBC Holdings PLC (USD) (g)......................................... 2.36% 08/18/31 446,612
1,797,000 HSBC Holdings PLC (USD) (g)......................................... 2.80% 05/24/32 1,435,682
200,000 Lloyds Banking Group PLC (USD)...................................... 3.90% 03/12/24 196,630
365,000 Lloyds Banking Group PLC (USD) (g).................................. 4.72% 08/11/26 356,038
760,000 Lloyds Banking Group PLC (USD) (g).................................. 3.57% 11/07/28 690,022
1,575,000 Lloyds Banking Group PLC (USD) (g).................................. 4.98% 08/11/33 1,468,734
565,000 Macquarie Group Ltd. (USD) (b) (g).................................. 1.34% 01/12/27 496,845
785,000 Macquarie Group Ltd. (USD) (b) (g).................................. 2.69% 06/23/32 622,792
1,070,000 Macquarie Group Ltd. (USD) (b) (g).................................. 2.87% 01/14/33 849,086
1,575,000 NatWest Group PLC (USD) (g)......................................... 4.27% 03/22/25 1,546,882
1,420,000 Santander UK Group Holdings PLC (USD) (g)........................... 4.80% 11/15/24 1,406,064
525,000 Santander UK Group Holdings PLC (USD) (g)........................... 1.09% 03/15/25 497,491
2,390,000 Santander UK Group Holdings PLC (USD) (g)........................... 1.67% 06/14/27 2,087,864
430,000 Santander UK Group Holdings PLC (USD) (g)........................... 2.47% 01/11/28 376,768
--------------
35,102,569
--------------
BEVERAGES -- 0.2%
505,000 Bacardi Ltd. (USD) (b).............................................. 2.75% 07/15/26 459,277
670,000 Bacardi Ltd. (USD) (b).............................................. 4.70% 05/15/28 649,714
1,000,000 Becle SAB de C.V. (USD) (b)......................................... 2.50% 10/14/31 777,712
Page 64 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
BEVERAGES (CONTINUED)
1,895,000 JDE Peet's N.V. (USD) (b)........................................... 2.25% 09/24/31 $ 1,446,164
--------------
3,332,867
--------------
BIOTECHNOLOGY -- 0.2%
2,536,000 Grifols Escrow Issuer S.A. (USD) (b)................................ 4.75% 10/15/28 2,170,562
--------------
BUILDING MATERIALS -- 0.0%
40,000 Ingersoll-Rand Luxembourg Finance S.A. (USD)........................ 3.55% 11/01/24 38,856
--------------
CHEMICALS -- 0.2%
700,000 Axalta Coating Systems LLC / Axalta Coating Systems Dutch
Holding B B.V. (USD) (b)......................................... 4.75% 06/15/27 646,406
1,675,000 EverArc Escrow Sarl (USD) (b)....................................... 5.00% 10/30/29 1,334,523
275,000 Herens Holdco Sarl (USD) (b)........................................ 4.75% 05/15/28 223,827
--------------
2,204,756
--------------
COMMERCIAL SERVICES -- 0.0%
200,000 DP World Crescent Ltd. (USD) (b).................................... 4.85% 09/26/28 197,376
--------------
DIVERSIFIED FINANCIAL SERVICES -- 0.6%
115,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.88% 01/23/28 104,183
1,650,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.00% 10/29/28 1,406,533
2,720,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.30% 01/30/32 2,177,960
100,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 3.95% 07/01/24 96,748
325,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 2.88% 02/15/25 302,462
4,645,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 2.53% 11/18/27 3,873,184
1,250,000 ORIX Corp. (USD).................................................... 5.20% 09/13/32 1,242,536
82,000 Park Aerospace Holdings Ltd. (USD) (b).............................. 5.50% 02/15/24 81,052
--------------
9,284,658
--------------
ELECTRIC -- 0.1%
500,000 Comision Federal de Electricidad (USD) (b).......................... 4.69% 05/15/29 449,077
250,000 Mong Duong Finance Holdings B.V. (USD) (n).......................... 5.13% 05/07/29 214,081
--------------
663,158
--------------
ENGINEERING & CONSTRUCTION -- 0.0%
735,000 Heathrow Funding Ltd., Medium-Term Note (EUR) (n)................... 1.88% 03/14/34 583,309
--------------
ENVIRONMENTAL CONTROL -- 0.1%
1,400,000 GFL Environmental, Inc. (USD) (b)................................... 4.00% 08/01/28 1,219,617
--------------
FOOD -- 0.2%
1,700,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (b)........................................................ 3.75% 12/01/31 1,364,250
650,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (b)........................................................ 5.75% 04/01/33 607,893
1,285,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (b)........................................................ 6.50% 12/01/52 1,222,652
--------------
3,194,795
--------------
See Notes to Financial Statements Page 65
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
INTERNET -- 0.0%
200,000 Tencent Holdings Ltd. (USD) (b)..................................... 3.68% 04/22/41 $ 150,256
200,000 Tencent Holdings Ltd. (USD) (b)..................................... 3.84% 04/22/51 144,242
--------------
294,498
--------------
INVESTMENT COMPANIES -- 0.1%
1,140,000 Gaci First Investment Co. (USD) (n)................................. 5.25% 10/13/32 1,142,326
--------------
MACHINERY-DIVERSIFIED -- 0.0%
222,000 Titan Acquisition Ltd. / Titan Co-Borrower LLC (USD) (b)............ 7.75% 04/15/26 202,334
--------------
MEDIA -- 0.1%
2,500,000 VZ Secured Financing B.V. (USD) (b)................................. 5.00% 01/15/32 2,058,553
--------------
MINING -- 0.0%
200,000 Freeport Indonesia PT (USD) (b)..................................... 4.76% 04/14/27 192,911
--------------
OIL & GAS -- 0.5%
570,000 Ecopetrol S.A. (USD)................................................ 8.88% 01/13/33 559,176
1,100,000 KazMunayGas National Co. JSC (USD) (n).............................. 5.38% 04/24/30 994,335
1,000,000 KazMunayGas National Co. JSC (USD) (n).............................. 3.50% 04/14/33 750,364
1,100,000 Pertamina Persero PT (USD) (b)...................................... 3.10% 08/27/30 946,020
449,000 Petroleos Mexicanos (USD)........................................... 5.95% 01/28/31 344,485
105,000 Petroleos Mexicanos (USD)........................................... 6.75% 09/21/47 68,377
170,000 Petroleos Mexicanos (USD)........................................... 6.35% 02/12/48 106,123
110,000 Petroleos Mexicanos (USD)........................................... 6.95% 01/28/60 70,794
2,150,000 Qatar Energy (USD) (n).............................................. 2.25% 07/12/31 1,770,719
200,000 Saudi Arabian Oil Co. (USD) (b)..................................... 2.25% 11/24/30 164,771
307,938 Transocean Poseidon Ltd. (USD) (b).................................. 6.88% 02/01/27 299,378
700,000 Transocean Titan Financing Ltd. (USD) (b)........................... 8.38% 02/01/28 715,120
--------------
6,789,662
--------------
PACKAGING & CONTAINERS -- 0.1%
2,000,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
(USD) (b)........................................................ 5.25% 08/15/27 1,645,310
--------------
PHARMACEUTICALS -- 0.1%
1,500,000 1375209 BC Ltd. (USD) (b)........................................... 9.00% 01/30/28 1,499,070
365,000 Jazz Securities DAC (USD) (b)....................................... 4.38% 01/15/29 323,600
--------------
1,822,670
--------------
PIPELINES -- 0.2%
2,681,514 Galaxy Pipeline Assets Bidco Ltd. (USD) (b)......................... 2.16% 03/31/34 2,270,359
400,000 KazTransGas JSC (USD) (n)........................................... 4.38% 09/26/27 361,541
--------------
2,631,900
--------------
REAL ESTATE -- 0.0%
605,000 China Aoyuan Group Ltd. (USD) (n)................................... 6.35% 02/08/24 61,762
200,000 China SCE Group Holdings Ltd. (USD) (n)............................. 7.00% 05/02/25 91,060
400,000 Sunac China Holdings Ltd. (USD) (n)................................. 6.50% 01/10/25 106,889
200,000 Times China Holdings Ltd. (USD) (n)................................. 6.75% 07/08/25 33,864
300,000 Vonovia SE (EUR) (n)................................................ 1.50% 06/14/41 185,661
415,000 Zhenro Properties Group Ltd. (USD) (n).............................. 6.63% 01/07/26 36,097
--------------
515,333
--------------
Page 66 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 0.0%
510,000 CapitaLand Ascendas REIT, Medium-Term Note (EUR) (n)................ 0.75% 06/23/28 $ 434,216
--------------
RETAIL -- 0.0%
150,000 Alimentation Couche-Tard, Inc. (USD) (b)............................ 3.55% 07/26/27 139,181
--------------
SAVINGS & LOANS -- 0.2%
135,000 Nationwide Building Society (USD) (b) (g)........................... 3.77% 03/08/24 134,973
1,165,000 Nationwide Building Society (USD) (b) (g)........................... 4.36% 08/01/24 1,156,320
1,520,000 Nationwide Building Society (USD) (b) (g)........................... 2.97% 02/16/28 1,364,890
--------------
2,656,183
--------------
SOFTWARE -- 0.1%
625,000 Open Text Corp. (USD) (b)........................................... 6.90% 12/01/27 631,813
--------------
TELECOMMUNICATIONS -- 0.3%
200,000 C&W Senior Financing DAC (USD) (b).................................. 6.88% 09/15/27 181,394
1,500,000 Global Switch Finance B.V., Medium-Term Note (EUR) (n).............. 1.38% 10/07/30 1,299,642
600,000 Intelsat Jackson Holdings S.A. (USD) (o)............................ 5.50% 08/01/23 5,220
750,000 Intelsat Jackson Holdings S.A. (USD) (b) (o)........................ 8.50% 10/15/24 5,700
303,000 Intelsat Jackson Holdings S.A. (USD) (b) (o)........................ 9.75% 07/15/25 2,636
1,929,000 Intelsat Jackson Holdings S.A. (USD) (b) (o)........................ 6.50% 03/15/30 1,683,039
200,000 SES S.A. (USD) (b).................................................. 3.60% 04/04/23 199,839
1,235,000 Vmed O2 UK Financing I PLC (USD) (b)................................ 4.25% 01/31/31 992,011
113,000 Vodafone Group PLC (USD)............................................ 4.88% 06/19/49 98,073
580,000 Vodafone Group PLC (USD)............................................ 4.25% 09/17/50 455,971
--------------
4,923,525
--------------
TRANSPORTATION -- 0.0%
600,000 Transnet SOC Ltd. (USD) (b)......................................... 8.25% 02/06/28 602,841
--------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 85,886,387
(Cost $94,209,416) --------------
FOREIGN SOVEREIGN BONDS AND NOTES -- 3.4%
BRAZIL -- 0.2%
1,200,000 Brazilian Government International Bond (USD)....................... 4.63% 01/13/28 1,145,599
1,850,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 1,600,521
--------------
2,746,120
--------------
CHILE -- 0.3%
1,840,000 Chile Government International Bond (USD)........................... 2.45% 01/31/31 1,538,569
2,852,000 Chile Government International Bond (USD)........................... 2.55% 01/27/32 2,345,204
500,000 Chile Government International Bond (USD)........................... 2.55% 07/27/33 393,302
--------------
4,277,075
--------------
COLOMBIA -- 0.2%
478,000 Colombia Government International Bond (USD)........................ 4.50% 01/28/26 451,456
3,050,000 Colombia Government International Bond (USD)........................ 3.00% 01/30/30 2,304,100
200,000 Colombia Government International Bond (USD)........................ 3.13% 04/15/31 145,563
200,000 Colombia Government International Bond (USD)........................ 8.00% 04/20/33 197,820
--------------
3,098,939
--------------
See Notes to Financial Statements Page 67
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
DOMINICAN REPUBLIC -- 0.2%
3,150,000 Dominican Republic International Bond (USD) (b)..................... 4.50% 01/30/30 $ 2,716,687
825,000 Dominican Republic International Bond (USD) (n)..................... 4.88% 09/23/32 692,652
--------------
3,409,339
--------------
EGYPT -- 0.0%
400,000 Egypt Government International Bond (USD) (b)....................... 5.25% 10/06/25 346,877
200,000 Egypt Government International Bond (USD) (n)....................... 5.25% 10/06/25 173,438
--------------
520,315
--------------
GUATEMALA -- 0.1%
700,000 Guatemala Government Bond (USD) (n)................................. 4.90% 06/01/30 660,540
1,717,000 Guatemala Government Bond (USD) (n)................................. 3.70% 10/07/33 1,419,811
--------------
2,080,351
--------------
HUNGARY -- 0.2%
550,000 Hungary Government International Bond (USD) (b)..................... 6.13% 05/22/28 559,502
3,200,000 Hungary Government International Bond (USD) (b)..................... 2.13% 09/22/31 2,464,368
--------------
3,023,870
--------------
INDONESIA -- 0.4%
800,000 Indonesia Government International Bond (USD)....................... 2.85% 02/14/30 707,727
1,000,000 Indonesia Government International Bond (USD)....................... 4.85% 01/11/33 985,152
4,050,000 Perusahaan Penerbit SBSN Indonesia III (USD) (b).................... 2.80% 06/23/30 3,554,888
--------------
5,247,767
--------------
MEXICO -- 0.4%
3,150,000 Mexico Government International Bond (USD).......................... 3.75% 01/11/28 2,953,207
1,960,000 Mexico Government International Bond (USD).......................... 2.66% 05/24/31 1,584,686
600,000 Mexico Government International Bond (USD).......................... 4.88% 05/19/33 558,092
700,000 Mexico Government International Bond (USD).......................... 3.50% 02/12/34 571,868
700,000 Mexico Government International Bond (USD).......................... 6.35% 02/09/35 719,938
--------------
6,387,791
--------------
OMAN -- 0.2%
600,000 Oman Government International Bond (USD) (n)........................ 6.75% 10/28/27 624,563
1,950,000 Oman Government International Bond (USD) (n)........................ 5.63% 01/17/28 1,919,790
--------------
2,544,353
--------------
PANAMA -- 0.4%
3,700,000 Panama Government International Bond (USD).......................... 3.16% 01/23/30 3,185,939
2,603,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 1,944,913
--------------
5,130,852
--------------
PERU -- 0.2%
950,000 Peruvian Government International Bond (USD)........................ 4.13% 08/25/27 920,641
1,203,000 Peruvian Government International Bond (USD)........................ 2.84% 06/20/30 1,018,751
700,000 Peruvian Government International Bond (USD)........................ 2.78% 01/23/31 577,787
550,000 Peruvian Government International Bond (USD)........................ 1.86% 12/01/32 399,643
--------------
2,916,822
--------------
Page 68 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
POLAND -- 0.1%
750,000 Republic of Poland Government International Bond (USD).............. 5.50% 11/16/27 $ 767,909
1,169,000 Republic of Poland Government International Bond (USD).............. 5.75% 11/16/32 1,227,773
--------------
1,995,682
--------------
ROMANIA -- 0.2%
1,000,000 Romanian Government International Bond (USD) (b).................... 6.63% 02/17/28 1,023,625
2,350,000 Romanian Government International Bond (USD) (n).................... 3.00% 02/14/31 1,914,068
--------------
2,937,693
--------------
SAUDI ARABIA -- 0.1%
1,900,000 Saudi Government International Bond (USD) (n)....................... 3.63% 03/04/28 1,796,809
200,000 Saudi Government International Bond (USD) (n)....................... 3.25% 10/22/30 180,432
--------------
1,977,241
--------------
SOUTH AFRICA -- 0.2%
1,693,000 Republic of South Africa Government International Bond (USD)........ 4.30% 10/12/28 1,506,438
920,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 815,157
400,000 Republic of South Africa Government International Bond (USD)........ 5.88% 04/20/32 357,814
--------------
2,679,409
--------------
UNITED ARAB EMIRATES -- 0.0%
200,000 Finance Department Government of Sharjah (USD) (b).................. 6.50% 11/23/32 202,435
--------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 51,176,054
(Cost $55,046,192) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY SECURITIES -- 1.8%
$ 25,000,000 Federal Home Loan Bank Discount Notes............................... (j) 04/13/23 24,861,865
2,515,000 Federal Home Loan Banks............................................. 1.61% 09/04/24 2,382,874
--------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES........................................................ 27,244,739
(Cost $27,398,046) --------------
MUNICIPAL BONDS -- 0.1%
CALIFORNIA -- 0.1%
760,000 Los Angeles CA Unif Sch Dist Build America Bonds.................... 5.75% 07/01/34 800,877
--------------
COLORADO -- 0.0%
220,000 City & Cnty of Denver Cnty Arpt Rev................................. 2.24% 11/15/30 182,204
--------------
NEW YORK -- 0.0%
50,000 Metro Transprtn Auth NY Rev Txbl Green Bond, Ser C2................. 5.18% 11/15/49 45,291
--------------
TOTAL MUNICIPAL BONDS.......................................................................... 1,028,372
(Cost $1,186,233) --------------
See Notes to Financial Statements Page 69
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
COMMON STOCKS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
15,735 Intelsat Jackson Emergence S.A. (f) (k) (p) (q)................................................ $ 0
(Cost $527,123) --------------
RIGHTS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
1,646 Intelsat Jackson Holdings S.A., Series A (f) (k) (p) (q)....................................... 0
1,646 Intelsat Jackson Holdings S.A., Series B (f) (k) (p) (q)....................................... 0
--------------
TOTAL RIGHTS................................................................................... 0
(Cost $0) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. TREASURY BILLS -- 20.1%
$ 28,160,000 U.S. Treasury Bill.................................................. (j) 03/09/23 28,131,942
35,000,000 U.S. Treasury Bill.................................................. (j) 05/11/23 34,678,849
45,230,000 U.S. Treasury Bill.................................................. (j) 05/18/23 44,773,573
31,345,000 U.S. Treasury Bill.................................................. (j) 05/25/23 31,002,338
49,410,000 U.S. Treasury Bill.................................................. (j) 06/01/23 48,818,109
52,515,000 U.S. Treasury Bill.................................................. (j) 06/08/23 51,842,562
40,650,000 U.S. Treasury Bill.................................................. (j) 07/06/23 39,970,264
8,095,000 U.S. Treasury Bill.................................................. (j) 08/03/23 7,928,888
11,655,000 U.S. Treasury Bill.................................................. (j) 08/10/23 11,403,055
--------------
TOTAL U.S. TREASURY BILLS...................................................................... 298,549,580
(Cost $298,651,251) --------------
TOTAL INVESTMENTS -- 114.6%.................................................................... 1,705,674,006
(Cost $1,793,210,288)
NET OTHER ASSETS AND LIABILITIES -- (14.6)%.................................................... (217,157,262)
--------------
NET ASSETS -- 100.0%........................................................................... $1,488,516,744
==============
FORWARD FOREIGN CURRENCY CONTRACTS AT FEBRUARY 28, 2023 (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 2/28/2023 2/28/2023 (DEPRECIATION)
-------------- -------------- ----------------- ------------------ ---------------- ---------------- --------------
04/13/2023 BOFA USD 3,306,413 EUR 3,058,000 $ 3,306,413 $ 3,243,147 $ 63,266
Counterparty Abbreviations:
BOFA - Bank of America N.A.
Page 70 See Notes to Financial Statements
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
FUTURES CONTRACTS AT FEBRUARY 28, 2023 (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 847 Jun-2023 $ 172,556,398 $ (499,920)
U.S. 5-Year Treasury Notes Long 2,493 Jun-2023 266,887,337 (719,500)
Euro-Bund Futures Short 13 Mar-2023 (1,827,521) 109,652
Ultra 10-Year U.S. Treasury Notes Short 1,541 Jun-2023 (180,585,938) 383,195
Ultra U.S. Treasury Bond Futures Short 474 Jun-2023 (64,019,625) (359,409)
----------------- --------------
$ 193,010,651 $ (1,085,982)
================= ==============
INTEREST RATE SWAP AGREEMENTS AT FEBRUARY 28, 2023 (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 $ 12,290,000 1.026%(1) $ (878,139)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 9,080,000 1.034%(1) (647,440)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 6,145,000 1.073%(1) (433,743)
Citibank, Global Markets, Inc. 3 month LIBOR(2) 09/28/2025 20,785,000 1.390%(2) (1,271,054)
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 1,030,000 1.773%(3) 323,887
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 755,000 1.785%(3) 235,690
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 515,000 1.808%(3) 158,653
Citibank, Global Markets, Inc. 3 month LIBOR(4) 09/28/2053 1,775,000 1.870%(4) 515,263
-------------- --------------
$ 52,375,000 $ (1,996,883)
============== ==============
(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 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 "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, 2023, securities noted as
such amounted to $602,197,622 or 40.5% 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) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures approved by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940 and
rules thereunder, as amended. At February 28, 2023, securities noted as
such are valued at $15,183,636 or 1.0% of net assets.
(g) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at February 28, 2023. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
See Notes to Financial Statements Page 71
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
(h) Perpetual maturity.
(i) When-issued security. The interest rate shown reflects the rate in effect
at February 28, 2023. Interest will begin accruing on the security's first
settlement date.
(j) Zero coupon security.
(k) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).
(l) Inverse floating rate security.
(m) 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).
(n) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.
(o) This issuer is in default.
(p) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by the Advisor.
(q) Non-income producing security.
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:
EUR - Euro
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, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 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
2/28/2023 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Mortgage-Backed Securities........................... $ 372,544,224 $ -- $ 372,544,224 $ --
Corporate Bonds and Notes*........................... 312,359,226 -- 312,359,226 --
Asset-Backed Securities.............................. 298,372,019 -- 297,825,045 546,974
U.S. Government Agency Mortgage-Backed
Securities........................................ 258,513,405 -- 258,513,405 --
Foreign Corporate Bonds and Notes*................... 85,886,387 -- 85,886,387 --
Foreign Sovereign Bonds and Notes**.................. 51,176,054 -- 51,176,054 --
U.S. Government Agency Securities.................... 27,244,739 -- 27,244,739 --
Municipal Bonds***................................... 1,028,372 -- 1,028,372 --
Common Stocks*....................................... --**** -- -- --****
Rights*.............................................. --**** -- -- --****
U.S. Treasury Bills.................................. 298,549,580 -- 298,549,580 --
-------------- -------------- -------------- --------------
Total Investments.................................... 1,705,674,006 -- 1,705,127,032 546,974
Forward Foreign Currency Contracts................... 63,266 -- 63,266 --
Futures Contracts*****............................... 492,847 492,847 -- --
Interest Rate Swap Agreements........................ 1,233,493 -- 1,233,493 --
-------------- -------------- -------------- --------------
Total................................................ $1,707,463,612 $ 492,847 $1,706,423,791 $ 546,974
============== ============== ============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Futures Contracts*****............................... $ (1,578,829) $ (1,578,829) $ -- $ --
Interest Rate Swap Agreements........................ (3,230,376) -- (3,230,376) --
-------------- -------------- -------------- --------------
Total................................................ $ (4,809,205) $ (1,578,829) $ (3,230,376) $ --
============== ============== ============== ==============
* 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 are fair valued by the Advisor's Pricing Committee and are
footnoted in the Portfolio of Investments. Level 3 investment values are based
on unobservable and non-quantitative inputs.
See Notes to Financial Statements Page 73
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 64.1%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.4%
Federal Home Loan Mortgage Corporation
$ 24,471 Series 2005-3071, Class TF, 1 Mo. LIBOR + 0.30% (a).............. 4.89% 04/15/35 $ 24,436
44,076 Series 2010-3778, Class L........................................ 3.50% 12/15/25 43,107
97,365 Series 2017-360, Class 250....................................... 2.50% 11/15/47 87,570
44,526 Series 2020-4993, Class OP, PO................................... (b) 10/25/58 37,486
925,000 Series 2022-5210, Class LB....................................... 3.00% 08/25/50 707,925
Federal Home Loan Mortgage Corporation STACR REMIC Trust
700,000 Series 2021-HQA1, Class M2, 30 Day Average SOFR +
2.25% (a) (c)................................................. 6.73% 08/25/33 684,330
550,000 Series 2022-DNA1, Class M1B, 30 Day Average SOFR +
1.85% (a) (c)................................................. 6.33% 01/25/42 528,625
Federal National Mortgage Association
112,675 Series 2006-56, Class FE, 1 Mo. LIBOR + 0.43% (a)................ 5.05% 07/25/36 112,234
89,458 Series 2011-47, Class GF, 1 Mo. LIBOR + 0.57% (a)................ 5.19% 06/25/41 89,131
111,919 Series 2018-50, Class BA......................................... 3.00% 07/25/48 100,627
4,781 Series 2018-86, Class JA......................................... 4.00% 05/25/47 4,604
79,120 Series 2019-67, Class FE, 1 Mo. LIBOR + 0.45% (a)................ 5.07% 11/25/49 77,537
--------------
2,497,612
--------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.1%
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass-Through Certificates
1,000,000 Series 2018-K732, Class X3, IO (d)............................... 2.17% 05/25/46 45,828
FREMF Mortgage Trust
21,686,166 Series 2017-K726, Class X2B, IO (c).............................. 0.10% 07/25/49 23,237
--------------
69,065
--------------
PASS-THROUGH SECURITIES -- 61.6%
Federal Home Loan Mortgage Corporation
51,455 Pool G08681...................................................... 3.50% 12/01/45 47,972
26,725 Pool G08792...................................................... 3.50% 12/01/47 24,760
96,957 Pool G60659...................................................... 3.50% 08/01/46 90,295
115,572 Pool G61748...................................................... 3.50% 11/01/48 107,754
132,143 Pool G67706...................................................... 3.50% 12/01/47 123,206
168,524 Pool G67710...................................................... 3.50% 03/01/48 155,620
1,536,385 Pool QD7088...................................................... 2.00% 02/01/52 1,254,998
603,162 Pool QE8999...................................................... 4.00% 08/01/52 567,105
319,355 Pool RA5552...................................................... 3.00% 07/01/51 281,776
1,845,799 Pool RA5855...................................................... 2.50% 09/01/51 1,567,490
1,065,689 Pool RA7659...................................................... 3.50% 07/01/52 971,699
731,571 Pool RA7773...................................................... 4.00% 08/01/52 687,988
114,320 Pool SD0499...................................................... 3.00% 08/01/50 102,124
1,039,748 Pool SD0956...................................................... 2.50% 04/01/52 882,726
58,895 Pool SD7502...................................................... 3.50% 07/01/49 54,718
120,812 Pool SD7511...................................................... 3.50% 01/01/50 111,946
75,176 Pool SD7513...................................................... 3.50% 04/01/50 69,822
75,840 Pool ZM1779...................................................... 3.00% 09/01/46 68,511
Federal National Mortgage Association
27,491 Pool BE3619...................................................... 4.00% 05/01/47 26,313
1,503,129 Pool BQ6913...................................................... 2.00% 12/01/51 1,228,268
2,744,997 Pool BQ7056...................................................... 2.00% 01/01/52 2,242,846
Page 74 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (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)
$ 721,102 Pool BU9074...................................................... 2.00% 01/01/52 $ 590,337
70,887 Pool BV4119...................................................... 2.50% 03/01/52 60,185
751,015 Pool BV7761...................................................... 2.50% 03/01/52 637,872
1,376,500 Pool BV8463...................................................... 2.50% 04/01/52 1,168,476
1,009,952 Pool BV8464...................................................... 3.00% 04/01/52 892,375
1,426,726 Pool BV8477...................................................... 3.00% 05/01/52 1,257,683
1,425,140 Pool BV8515...................................................... 3.00% 05/01/52 1,255,558
52,286 Pool CA0995...................................................... 3.50% 01/01/48 48,694
576,094 Pool CA5689...................................................... 3.00% 05/01/50 514,719
670,574 Pool CA8110...................................................... 2.00% 12/01/50 548,772
682,081 Pool CB2096...................................................... 3.00% 11/01/51 601,316
569,071 Pool CB2802...................................................... 2.00% 02/01/52 464,855
2,493,183 Pool CB3151...................................................... 2.00% 03/01/52 2,036,312
120,105 Pool CB4365...................................................... 3.50% 08/01/52 109,522
66,724 Pool FM2870...................................................... 3.00% 03/01/50 59,340
1,442,800 Pool FS0139...................................................... 2.50% 01/01/52 1,229,831
433,767 Pool FS3160...................................................... 3.00% 06/01/52 382,220
995,351 Pool FS3781...................................................... 2.00% 11/01/51 814,728
62,402 Pool MA4093...................................................... 2.00% 08/01/40 53,260
91,248 Pool MA4152...................................................... 2.00% 10/01/40 77,880
139,769 Pool MA4176...................................................... 2.00% 11/01/40 119,293
147,366 Pool MA4204...................................................... 2.00% 12/01/40 125,777
189,542 Pool MA4333...................................................... 2.00% 05/01/41 161,772
1,133,440 Pool MA4438...................................................... 2.50% 10/01/51 962,547
2,475,000 Pool TBA (e)..................................................... 2.00% 03/15/53 2,016,690
900,000 Pool TBA (e)..................................................... 3.00% 03/15/53 791,947
2,175,000 Pool TBA (e)..................................................... 3.50% 03/15/53 1,980,439
1,725,000 Pool TBA (e)..................................................... 4.00% 03/15/53 1,619,613
3,575,000 Pool TBA (e)..................................................... 4.50% 03/15/53 3,445,406
6,100,000 Pool TBA (e)..................................................... 5.00% 03/15/53 5,998,016
6,550,000 Pool TBA (e)..................................................... 2.00% 04/15/53 5,344,263
7,900,000 Pool TBA (e)..................................................... 2.50% 04/15/53 6,703,582
Government National Mortgage Association
45,716 Pool MA3873...................................................... 3.00% 08/20/46 41,525
57,038 Pool MA4382...................................................... 3.50% 04/20/47 53,092
42,645 Pool MA4778...................................................... 3.50% 10/20/47 39,783
29,745 Pool MA4779...................................................... 4.00% 10/20/47 28,539
8,875,000 Pool TBA (e)..................................................... 2.50% 03/15/53 7,678,262
1,925,000 Pool TBA (e)..................................................... 4.50% 03/15/53 1,867,024
--------------
62,449,442
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 65,016,119
(Cost $68,102,045) --------------
MORTGAGE-BACKED SECURITIES -- 31.7%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 21.0%
Alternative Loan Trust
211,390 Series 2005-16, Class A4, 1 Mo. LIBOR + 0.48% (a)................ 5.10% 06/25/35 178,837
132,809 Series 2007-5CB, Class 1A11...................................... 6.00% 04/25/37 78,200
114,346 Series 2007-15CB, Class A5....................................... 5.75% 07/25/37 72,075
See Notes to Financial Statements Page 75
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Alternative Loan Trust (Continued)
$ 334,643 Series 2007-HY8C, Class A1, 1 Mo. LIBOR + 0.32% (a).............. 4.94% 09/25/47 $ 289,173
153,386 Series 2007-OA7, Class A1A, 1 Mo. LIBOR + 0.36% (a).............. 4.98% 05/25/47 130,211
American Home Mortgage Assets Trust
322,358 Series 2006-1, Class 1A1, 1 Mo. LIBOR + 0.21% (a)................ 4.83% 05/25/46 276,623
104,190 Series 2006-3, Class 1A1, 12 Mo. Treasury Average +0.97% (a)..... 3.76% 10/25/46 87,863
Banc of America Funding Trust
120,195 Series 2007-C, Class 7A1, 1 Mo. LIBOR + 0.42% (a)................ 5.01% 05/20/47 106,000
BCAP LLC Trust
88,941 Series 2006-AA2, Class A1, 1 Mo. LIBOR + 0.34% (a)............... 4.96% 01/25/37 80,512
Bear Stearns ALT-A Trust
552,789 Series 2005-1, Class M2, 1 Mo. LIBOR + 1.13% (a)................. 5.74% 01/25/35 506,661
524,510 Series 2006-1, Class 21A2 (d).................................... 3.76% 02/25/36 365,906
Bear Stearns ARM Trust
164,186 Series 2005-1, Class 2A1 (d)..................................... 4.15% 03/25/35 151,859
CHL Mortgage Pass-Through Trust
200,602 Series 2004-25, Class 2A1, 1 Mo. LIBOR + 0.68% (a)............... 5.30% 02/25/35 169,594
101,291 Series 2007-20, Class A1......................................... 6.50% 01/25/38 50,417
CIM Trust
223,778 Series 2021-R3, Class A1A (c).................................... 1.95% 06/25/57 197,548
84,796 Series 2021-NR3, Class A1, steps up to 5.57% on 04/25/24 (c) (f). 2.57% 06/25/57 80,119
Citigroup Mortgage Loan Trust
258,274 Series 2009-10, Class 2A2 (c).................................... 7.00% 12/25/35 185,826
Connecticut Avenue Securities Trust
500,000 Series 2021-R03, Class 1B2, 30 Day Average SOFR +
5.50% (a) (c)................................................. 9.98% 12/25/41 449,551
750,000 Series 2021-R03, Class 1M2, 30 Day Average SOFR +
1.65% (a) (c)................................................. 6.13% 12/25/41 718,913
Credit Suisse Mortgage Trust
534,320 Series 2014-8R, Class 3A2 (c) (d)................................ 4.47% 02/27/36 515,134
281,189 Series 2020-RPL2, Class A12 (c).................................. 3.45% 02/25/60 281,882
474,958 Series 2021-RPL4, Class A1 (c)................................... 1.80% 12/27/60 437,936
734,159 Series 2021-RP11, Class PT (c)................................... 3.78% 10/25/61 495,152
CSMCM Trust
26,666 Series 2021-RPL11, Class CERT (c)................................ 3.78% 10/27/61 20,140
Deutsche Alt-A Securities Mortgage Loan Trust
190,106 Series 2007-3, Class 2A1, 1 Mo. LIBOR + 0.75% (a)................ 5.37% 10/25/47 153,268
GreenPoint Mortgage Funding Trust
154,855 Series 2005-AR4, Class G41B, 1 Mo. LIBOR + 0.20% (a)............. 4.82% 10/25/45 138,095
GreenPoint MTA Trust
299,284 Series 2005-AR1, Class A2, 1 Mo. LIBOR + 0.44% (a)............... 5.06% 06/25/45 275,902
27,115 Series 2005-AR3, Class 1A1, 1 Mo. LIBOR + 0.48% (a).............. 5.10% 08/25/45 20,753
GSR Mortgage Loan Trust
230,538 Series 2006-OA1, Class 2A2, 1 Mo. LIBOR + 0.52% (a).............. 5.14% 08/25/46 64,066
IndyMac IMSC Mortgage Loan Trust
994,113 Series 2007-F2, Class 1A4........................................ 6.00% 07/25/37 743,926
IndyMac INDX Mortgage Loan Trust
136,966 Series 2005-AR29, Class A1 (d)................................... 3.49% 01/25/36 115,651
67,995 Series 2006-AR3, Class 2A1A (d).................................. 3.31% 03/25/36 47,961
60,094 Series 2006-AR9, Class 3A2, 1 Mo. LIBOR + 0.35% (a).............. 4.97% 06/25/36 47,253
Page 76 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
IndyMac INDX Mortgage Loan Trust (Continued)
$ 564,024 Series 2006-AR13, Class A3 (d)................................... 3.33% 07/25/36 $ 419,967
135,364 Series 2006-AR19, Class 5A2 (d).................................. 3.43% 08/25/36 103,733
474,525 Series 2006-AR31, Class A3 (d)................................... 3.45% 11/25/36 412,831
758,910 Series 2007-AR21, Class 6A1 (d).................................. 3.28% 09/25/37 552,040
100,677 Series 2007-FLX2, Class A1A, 1 Mo. LIBOR + 0.16% (a)............. 4.78% 04/25/37 85,612
Lanebrook Mortgage Transaction PLC
GBP 117,132 Series 2021-1, Class X1, SONIA + 2.90% (a) (g)................... 6.73% 07/20/58 140,101
Lehman XS Trust
$ 483,454 Series 2006-10N, Class 1A4A, 1 Mo. LIBOR + 0.60% (a)............. 5.22% 07/25/46 344,971
174,077 Series 2007-12N, Class 1A3A, 1 Mo. LIBOR + 0.40% (a)............. 5.02% 07/25/47 165,059
LHOME Mortgage Trust
1,275,000 Series 2021-RTL3, Class A1, steps up to 3.36% on
04/25/24 (c) (f).............................................. 2.36% 09/25/26 1,190,927
Luminent Mortgage Trust
916,112 Series 2007-1, Class 1A1, 1 Mo. LIBOR + 0.32% (a)................ 4.94% 11/25/36 807,343
MASTR Adjustable Rate Mortgages Trust
1,081,471 Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average +
0.80% (a)..................................................... 3.59% 12/25/46 792,737
478,806 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.30% (a)................. 4.92% 03/25/47 428,788
1,800,000 Series 2007-HF2, Class A2, 1 Mo. LIBOR + 1.10% (a)............... 5.72% 09/25/37 794,425
PRPM LLC
1,205,525 Series 2021-3, Class A1, steps up to 4.87% on 04/25/24 (c) (f)... 1.87% 04/25/26 1,122,572
1,217,156 Series 2021-11, Class A1, steps up to 5.49% on 11/25/24 (c) (f).. 2.49% 11/25/26 1,143,686
RALI Trust
423,839 Series 2005-QO1, Class A1, 1 Mo. LIBOR + 0.30% (a)............... 4.92% 08/25/35 323,313
121,990 Series 2006-QA6, Class A1, 1 Mo. LIBOR + 0.38% (a)............... 5.00% 07/25/36 106,709
3,222,305 Series 2006-QO2, Class A1, 1 Mo. LIBOR + 0.44% (a)............... 5.06% 02/25/46 661,752
200,267 Series 2006-QS7, Class A2........................................ 6.00% 06/25/36 159,992
311,592 Series 2007-QH4, Class A1, 1 Mo. LIBOR + 0.38% (a)............... 5.00% 05/25/37 274,648
95,965 Series 2007-QS1, Class 1A4....................................... 6.00% 01/25/37 73,963
162,420 Series 2007-QS2, Class A4........................................ 6.25% 01/25/37 131,106
RFMSI Trust
557,827 Series 2006-S10, Class 1A1....................................... 6.00% 10/25/36 448,730
Structured Adjustable Rate Mortgage Loan Trust
674,909 Series 2005-17, Class 3A1 (d).................................... 4.10% 08/25/35 583,311
Structured Asset Mortgage Investments II Trust
144,271 Series 2005-AR8, Class A2, 12 Mo. Treasury Average +
1.48% (a)..................................................... 3.91% 02/25/36 123,633
616,696 Series 2006-AR6, Class 2A1, 1 Mo. LIBOR + 0.38% (a).............. 5.00% 07/25/46 430,998
103,310 Series 2006-AR7, Class A1BG, 1 Mo. LIBOR + 0.12% (a)............. 4.74% 08/25/36 88,388
838,645 Series 2007-AR1, Class 2A1, 1 Mo. LIBOR + 0.18% (a).............. 4.80% 01/25/37 729,829
29,375 Series 2007-AR3, Class 2A1, 1 Mo. LIBOR + 0.19% (a).............. 4.81% 09/25/47 25,450
WaMu Mortgage Pass-Through Certificates Trust
50,758 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average +
1.00% (a)..................................................... 3.79% 02/25/46 44,903
See Notes to Financial Statements Page 77
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Washington Mutual Mortgage Pass-Through Certificates WMALT
Trust
$ 623,404 Series 2006-AR6, Class 2A, 12 Mo. Treasury Average +
0.96% (a)..................................................... 3.75% 08/25/46 $ 387,803
786,867 Series 2006-AR10, Class A2A, 1 Mo. LIBOR + 0.34% (a)............. 4.96% 12/25/36 683,594
--------------
21,315,921
--------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 10.7%
BBCMS Mortgage Trust
545,000 Series 2020-BID, Class D, 1 Mo. LIBOR + 4.63% (a) (c)............ 9.22% 10/15/37 515,594
Benchmark Mortgage Trust
117,000 Series 2020-B18, Class AGNF (c).................................. 4.14% 07/15/53 98,573
BFLD Trust
200,000 Series 2021-FPM, Class B, 1 Mo. LIBOR + 2.50% (a) (c)............ 7.09% 06/15/38 191,814
BWAY Mortgage Trust
18,029,544 Series 2013-1515, Class XA, IO (c) (d)........................... 0.56% 03/10/33 149,427
BX Commercial Mortgage Trust
231,679 Series 2021-XL2, Class J, 1 Mo. LIBOR + 3.89% (a) (c)............ 8.48% 10/15/38 216,480
BX Trust
605,000 Series 2021-VIEW, Class B, 1 Mo. LIBOR + 1.80% (a) (c)........... 6.39% 06/15/36 577,308
CAMB Commercial Mortgage Trust
215,000 Series 2019-LIFE, Class G, 1 Mo. LIBOR + 3.25% (a) (c)........... 7.84% 12/15/37 210,229
Citigroup Commercial Mortgage Trust
703,675 Series 2013-GC15, Class XA, IO (d)............................... 0.79% 09/10/46 1,354
4,418,161 Series 2016-P3, Class XA, IO (d)................................. 1.66% 04/15/49 150,947
COMM Mortgage Trust
1,078,178 Series 2012-CR4, Class XA, IO (d)................................ 1.18% 10/15/45 104
1,003,150 Series 2013-LC13, Class XA, IO (d)............................... 0.95% 08/10/46 2,045
23,874,925 Series 2014-CR14, Class XA, IO (d)............................... 0.51% 02/10/47 73,528
31,611,929 Series 2014-CR16, Class XA, IO (d)............................... 0.95% 04/10/47 245,562
1,419,659 Series 2014-UBS2, Class XA, IO (d)............................... 1.06% 03/10/47 8,683
20,550,647 Series 2014-UBS3, Class XA, IO (d)............................... 1.05% 06/10/47 172,821
11,151,000 Series 2014-UBS3, Class XB, IO (c) (d)........................... 0.32% 06/10/47 37,031
7,000,000 Series 2015-LC21, Class XE, IO (c) (d)........................... 1.08% 07/10/48 152,094
35,000 Series 2020-CX, Class E (c) (d).................................. 2.68% 11/10/46 22,851
Credit Suisse Mortgage Trust
182,000 Series 2019-UVIL, Class B (c) (d)................................ 3.28% 12/15/41 146,519
801,000 Series 2021-BPNY, Class A, 1 Mo. LIBOR + 3.71% (a) (c)........... 8.30% 08/15/23 771,128
CSAIL Commercial Mortgage Trust
2,655,300 Series 2016-C5, Class XA, IO (d)................................. 0.90% 11/15/48 51,999
DBUBS Mortgage Trust
120,000 Series 2017-BRBK, Class A (c).................................... 3.45% 10/10/34 113,064
DROP Mortgage Trust
386,000 Series 2021-FILE, Class B, 1 Mo. LIBOR + 1.70% (a) (c)........... 6.29% 10/15/43 354,229
European Loan Conduit DAC
EUR 577,856 Series 36A, Class E, 3 Mo. EURIBOR + 3.35% (a) (c)............... 6.05% 02/17/30 569,658
Frost CMBS DAC
GBP 798,048 Series 2021-1A, Class GBB, SONIA + 1.65% (a) (g)................. 5.60% 11/20/33 917,088
Grace Trust
$ 1,000,000 Series 2020-GRCE, Class X, IO (c) (d)............................ 0.30% 12/10/40 20,594
Page 78 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
GS Mortgage Securities Trust
$ 130,207 Series 2011-GC5, Class AS (c).................................... 5.15% 08/10/44 $ 128,330
1,611,811 Series 2011-GC5, Class XA, IO (c) (d)............................ 0.09% 08/10/44 16
28,374,847 Series 2015-GC28, Class XA, IO (d)............................... 0.97% 02/10/48 392,293
JP Morgan Chase Commercial Mortgage Securities Trust
4,352,619 Series 2013-C16, Class XA, IO (d)................................ 0.83% 12/15/46 10,763
1,094,764 Series 2013-LC11, Class XA, IO (d) (h)........................... 1.25% 04/15/46 110
15,845,305 Series 2014-C20, Class XA, IO (d)................................ 0.80% 07/15/47 79,203
10,075,284 Series 2017-JP5, Class XA, IO (d)................................ 0.81% 03/15/50 253,101
JPMBB Commercial Mortgage Securities Trust
823,791 Series 2015-C32, Class XA, IO (d)................................ 1.11% 11/15/48 13,598
JPMDB Commercial Mortgage Securities Trust
5,535,057 Series 2016-C2, Class XA, IO (d)................................. 1.49% 06/15/49 195,309
Last Mile Logistics Pan Euro Finance DAC
EUR 706,936 Series 1A, Class E, 3 Mo. EURIBOR + 2.70% (a) (c)................ 5.38% 08/17/33 683,936
Morgan Stanley Bank of America Merrill Lynch Trust
$ 1,721,407 Series 2013-C13, Class XA, IO (d)................................ 0.92% 11/15/46 5,083
3,599,340 Series 2014-C14, Class XA, IO (d)................................ 0.91% 02/15/47 14,815
9,286,432 Series 2015-C20, Class XA, IO (d)................................ 1.24% 02/15/48 148,156
29,649,860 Series 2015-C25, Class XA, IO (d)................................ 1.04% 10/15/48 537,095
MSCG Trust
320,769 Series 2018-SELF, Class F, 1 Mo. LIBOR + 3.05% (a) (c)........... 7.64% 10/15/37 313,186
SFAVE Commercial Mortgage Securities Trust
690,000 Series 2015-5AVE, Class A2A (c) (d).............................. 3.66% 01/05/43 504,326
340,000 Series 2015-5AVE, Class A2B (c) (d).............................. 4.14% 01/05/43 235,858
SLG Office Trust
385,000 Series 2021-OVA, Class G (c)..................................... 2.85% 07/15/41 245,069
SMRT
105,000,000 Series 2022-MINI, Class XCP, IO (d) (i).......................... 0.73% 01/15/39 110
UBS-Barclays Commercial Mortgage Trust
824,855 Series 2012-C2, Class XA, IO (c) (d)............................. 0.60% 05/10/63 25
Wells Fargo Commercial Mortgage Trust
8,165,437 Series 2015-C26, Class XA, IO (d)................................ 1.19% 02/15/48 146,103
14,077,456 Series 2015-C27, Class XA, IO (d)................................ 0.84% 02/15/48 179,764
27,606,662 Series 2015-C28, Class XA, IO (d)................................ 0.58% 05/15/48 268,911
1,854,625 Series 2015-LC22, Class XA, IO (d)............................... 0.76% 09/15/58 28,700
3,620,287 Series 2016-C33, Class XA, IO (d)................................ 1.57% 03/15/59 135,470
5,823,000 Series 2016-C37, Class XEF, IO (c) (d)........................... 1.60% 12/15/49 283,920
WFRBS Commercial Mortgage Trust
938,609 Series 2014-C22, Class XA, IO (d)................................ 0.78% 09/15/57 7,901
4,843,503 Series 2014-C24, Class XA, IO (d)................................ 0.84% 11/15/47 50,538
26,269,125 Series 2014-LC14, Class XA, IO (d)............................... 1.24% 03/15/47 174,671
--------------
10,807,084
--------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................... 32,123,005
(Cost $37,322,128) --------------
See Notes to Financial Statements Page 79
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES -- 25.3%
AGL CLO 7 Ltd.
$ 1,000,000 Series 2020-7A, Class BR, 3 Mo. LIBOR + 1.70% (a) (c)............ 6.49% 07/15/34 $ 983,107
AMSR Trust
572,000 Series 2020-SFR1, Class F (c).................................... 3.57% 04/17/37 529,405
605,000 Series 2020-SFR3, Class G (c).................................... 4.99% 09/17/37 565,923
676,000 Series 2020-SFR5, Class A (c).................................... 1.38% 11/17/37 606,750
Ares LXII CLO Ltd.
700,000 Series 2021-62A, Class B, 3 Mo. LIBOR + 1.65% (a) (c)............ 6.47% 01/25/34 680,075
Argent Securities Trust
749,518 Series 2006-M1, Class A2C, 1 Mo. LIBOR + 0.30% (a)............... 4.92% 07/25/36 206,841
Argent Securities, Inc., Asset-Backed Pass-Through Certificates
600,000 Series 2005-W3, Class M2, 1 Mo. LIBOR + 0.69% (a)................ 5.31% 11/25/35 512,534
Boyce Park CLO Ltd.
1,178,571 Series 2022-1A, Class M2, IO (c)................................. 0.00% 04/21/35 53,399
1,100,000 Series 2022-1A, Class SUB (c).................................... 0.00% 04/21/35 830,179
C-BASS Mortgage Loan Trust
838,540 Series 2007-CB3, Class A3, steps up to 6.23% after Redemption
Date (f)...................................................... 3.28% 03/25/37 326,799
964,321 Series 2007-CB3, Class A4, steps up to 6.47% after Redemption
Date (f)...................................................... 3.28% 03/25/37 375,645
CF Hippolyta Issuer LLC
1,064,958 Series 2020-1, Class A1 (c)...................................... 1.69% 07/15/60 954,546
CIFC Funding Ltd.
700,000 Series 2022-2A, Class INCB (c)................................... 0.00% 04/19/35 578,448
Cologix Data Centers US Issuer LLC
715,000 Series 2021-1A, Class A2 (c)..................................... 3.30% 12/26/51 632,066
CoreVest American Finance Trust
2,552,133 Series 2021-2, Class XA, IO (c) (d).............................. 3.00% 07/15/54 212,034
Credit-Based Asset Servicing and Securitization LLC
134,410 Series 2007-CB6, Class A1, 1 Mo. LIBOR + 0.12% (a) (c)........... 4.16% 07/25/37 90,872
Dryden CLO Ltd.
315,000 Series 2019-72A, Class BR, 3 Mo. LIBOR + 1.65% (a) (c)........... 6.51% 05/15/32 307,113
Elmwood CLO VI Ltd.
600,000 Series 2020-3A, Class BR, 3 Mo. LIBOR + 1.65% (a) (c)............ 6.46% 10/20/34 582,250
First Franklin Mortgage Loan Trust
565,000 Series 2006-FF7, Class 2A4, 1 Mo. LIBOR + 0.48% (a).............. 5.10% 05/25/36 470,927
Flexential Issuer
610,000 Series 2021-1A, Class A2 (c)..................................... 3.25% 11/27/51 544,170
Golub Capital Partners CLO L.P.
1,100,000 Series 2021-54A, Class A, 3 Mo. LIBOR + 1.53% (a) (c)............ 6.34% 08/05/33 1,077,512
GSAA Home Equity Trust
1,333,381 Series 2007-6, Class 3A1A, 1 Mo. LIBOR + 0.42% (a)............... 5.04% 05/25/47 939,993
HSI Asset Securitization Corp. Trust
207,132 Series 2006-WMC1, Class A4, 1 Mo. LIBOR + 0.50% (a).............. 5.12% 07/25/36 96,293
JP Morgan Mortgage Acquisition Trust
1,391,548 Series 2006-WMC2, Class A4, 1 Mo. LIBOR + 0.30% (a).............. 4.92% 07/25/36 641,097
124,047 Series 2006-WMC4, Class A1A, 1 Mo. LIBOR + 0.13% (a)............. 4.75% 12/25/36 73,658
Long Beach Mortgage Loan Trust
296,436 Series 2006-10, Class 2A3, 1 Mo. LIBOR + 0.32% (a)............... 4.94% 11/25/36 92,500
Madison Park Funding XLV Ltd.
825,000 Series 2020-45A, Class BR, 3 Mo. LIBOR + 1.70% (a) (c)........... 6.49% 07/15/34 812,629
Page 80 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
Mastr Asset Backed Securities Trust
$ 1,535,500 Series 2007-HE1, Class A4, 1 Mo. LIBOR + 0.28% (a)............... 4.90% 05/25/37 $ 1,202,658
Merrill Lynch First Franklin Mortgage Loan Trust
335,743 Series 2007-1, Class A1, 1 Mo. LIBOR + 0.28% (a)................. 4.90% 04/25/37 155,903
642,725 Series 2007-3, Class A2B, 1 Mo. LIBOR + 0.26% (a)................ 4.88% 06/25/37 500,691
Merrill Lynch Mortgage Investors Trust
1,143,700 Series 2006-HE6, Class A2B, 1 Mo. LIBOR + 0.30% (a).............. 4.92% 11/25/37 412,876
1,000,000 Series 2006-OPT1, Class A2D, 1 Mo. LIBOR + 0.24% (a)............. 4.86% 08/25/37 739,062
Morgan Stanley Capital I, Inc., Trust
19,500 Series 2006-NC2, Class A2D, 1 Mo. LIBOR + 0.58% (a).............. 5.20% 02/25/36 19,279
Navient Student Loan Trust
320,000 Series 2015-3, Class B, 1 Mo. LIBOR + 1.50% (a).................. 6.12% 10/25/58 290,140
975,000 Series 2019-3A, Class B, 1 Mo. LIBOR + 1.55% (a) (c)............. 6.17% 07/25/68 924,646
Nelnet Student Loan Trust
353,604 Series 2005-4, Class B, 3 Mo. LIBOR + 0.28% (a).................. 5.03% 09/22/35 314,005
Nomura Home Equity Loan, Inc., Home Equity Loan Trust
11,693 Series 2006-HE1, Class M1, 1 Mo. LIBOR + 0.62% (a)............... 5.23% 02/25/36 11,672
Oakwood Mortgage Investors, Inc.
744,883 Series 1999-C, Class A2.......................................... 7.48% 08/15/27 622,811
582,662 Series 2001-C, Class A2.......................................... 5.92% 06/15/31 65,777
Option One Mortgage Loan Trust
344,161 Series 2007-4, Class 2A3, 1 Mo. LIBOR + 0.24% (a)................ 4.86% 04/25/37 196,777
Ownit Mortgage Loan Trust
645,513 Series 2006-6, Class A2C, 1 Mo. LIBOR + 0.32% (a)................ 4.94% 09/25/37 319,478
Park Avenue Institutional Advisers CLO Ltd.
150,000 Series 2018-1A, Class A2R, 3 Mo. LIBOR + 1.60% (a) (c)........... 6.41% 10/20/31 146,602
PRET LLC
1,078,554 Series 2022-RN1, Class A1, steps up to 6.72% on 02/25/25 (c) (f). 3.72% 07/25/51 1,012,312
Progress Residential
1,060,000 Series 2021-SFR1, Class H (c).................................... 5.00% 04/17/38 921,674
Sabey Data Center Issuer LLC
650,000 Series 2020-1, Class A2 (c)...................................... 3.81% 04/20/45 612,730
Saxon Asset Securities Trust
65,155 Series 2005-1, Class M2, 1 Mo. LIBOR + 0.72% (a)................. 1.67% 05/25/35 61,076
Securitized Asset Backed Receivables LLC Trust
54,670 Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.48% (a)............... 5.10% 03/25/36 53,601
353,117 Series 2007-NC2, Class A2B, 1 Mo. LIBOR + 0.14% (a).............. 4.76% 01/25/37 296,310
SLM Student Loan Trust
65,000 Series 2008-4, Class B, 3 Mo. LIBOR + 1.85% (a).................. 6.67% 04/25/73 62,935
65,000 Series 2008-5, Class B, 3 Mo. LIBOR + 1.85% (a).................. 6.67% 07/25/73 61,267
Soundview Home Loan Trust
327,756 Series 2007-OPT1, Class 2A2, 1 Mo. LIBOR + 0.15% (a)............. 4.77% 06/25/37 223,179
188,440 Series 2007-OPT3, Class 1A1, 1 Mo. LIBOR + 0.17% (a)............. 4.79% 08/25/37 163,051
Specialty Underwriting & Residential Finance Trust
1,166,804 Series 2006-AB3, Class A2C, 1 Mo. LIBOR + 0.48% (a).............. 5.10% 09/25/37 823,665
Stratus CLO Ltd.
925,000 Series 2021-3A, Class SUB (c).................................... 0.00% 12/29/29 536,457
Structured Asset Securities Corp. Mortgage Loan Trust
50,957 Series 2006-OPT1, Class A1, 1 Mo. LIBOR + 0.18% (a).............. 4.80% 04/25/36 50,352
Textainer Marine Containers VII Ltd.
78,008 Series 2020-3A, Class A (c)...................................... 2.11% 09/20/45 68,271
See Notes to Financial Statements Page 81
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
ASSET-BACKED SECURITIES (CONTINUED)
TRP LLC
$ 282,259 Series 2021-1, Class A (c)....................................... 2.07% 06/19/51 $ 241,979
VOYA CLO
175,000 Series 2017-2A, Class A2AR, 3 Mo. LIBOR + 1.65% (a) (c).......... 6.44% 06/07/30 173,340
Wachovia Student Loan Trust
605,066 Series 2006-1, Class B, 3 Mo. LIBOR + 0.24% (a) (c).............. 5.06% 04/25/40 559,810
--------------
TOTAL ASSET-BACKED SECURITIES.................................................................. 25,621,151
(Cost $29,186,296) --------------
U.S. GOVERNMENT BONDS AND NOTES -- 5.6%
22,000 U.S. Treasury Bond.................................................. 3.63% 02/15/53 20,952
2,814,000 U.S. Treasury Note.................................................. 4.63% 02/28/25 2,805,096
90,000 U.S. Treasury Note.................................................. 4.00% 02/15/26 88,759
1,280,000 U.S. Treasury Note.................................................. 4.00% 02/29/28 1,270,600
1,513,000 U.S. Treasury Note.................................................. 3.50% 02/15/33 1,463,236
--------------
TOTAL U.S. GOVERNMENT BONDS AND NOTES.......................................................... 5,648,643
(Cost $5,635,708) --------------
U.S. TREASURY BILLS -- 0.7%
525,000 U.S. Treasury Bill.................................................. (b) 07/20/23 515,240
193,000 U.S. Treasury Bill.................................................. (b) 08/03/23 189,040
--------------
TOTAL U.S. TREASURY BILLS...................................................................... 704,280
(Cost $704,540) --------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 14.6%
14,845,103 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 4.38% (j)..... 14,845,103
(Cost $14,845,103) --------------
TOTAL INVESTMENTS -- 142.0%.................................................................... 143,958,301
(Cost $155,795,820)
NET OTHER ASSETS AND LIABILITIES -- (42.0)%.................................................... (42,607,242)
--------------
NET ASSETS -- 100.0%........................................................................... $ 101,351,059
==============
FORWARD FOREIGN CURRENCY CONTRACTS AT FEBRUARY 28, 2023 (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 2/28/2023 2/28/2023 (DEPRECIATION)
-------------- -------------- ----------------- ------------------ ---------------- ---------------- --------------
04/13/2023 Citi GBP 208,000 USD 257,191 $ 250,404 $ 257,191 $ (6,787)
04/13/2023 GS USD 1,303,208 EUR 1,206,000 1,303,208 1,279,017 24,191
04/13/2023 Citi USD 1,309,992 GBP 1,073,000 1,309,992 1,291,744 18,248
--------------
Net Unrealized Appreciation (Depreciation) $ 35,652
==============
Counterparty Abbreviations:
Citi - Citibank N.A.
GS - Goldman Sachs and Co.
Page 82 See Notes to Financial Statements
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
FUTURES CONTRACTS AT FEBRUARY 28, 2023 (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 54 Jun-2023 $ 11,001,234 $ (31,662)
U.S. 5-Year Treasury Notes Long 111 Jun-2023 11,883,071 (32,110)
Ultra 10-Year U.S. Treasury Notes Long 76 Jun-2023 8,906,250 (8,639)
Ultra U.S. Treasury Bond Futures Long 10 Jun-2023 1,350,625 (3,236)
----------------- --------------
$ 33,141,180 $ (75,647)
================= ==============
(a) Floating or variable rate security.
(b) Zero coupon security.
(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, 2023, securities noted
as such amounted to $29,855,136 or 29.5% of net assets.
(d) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.
(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) Step-up security. A security where the coupon increases or steps up at a
predetermined date.
(g) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.
(h) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by the Advisor.
(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, 2023.
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
USD - United States Dollar
See Notes to Financial Statements Page 83
FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 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
2/28/2023 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
U.S. Government Agency Mortgage-Backed Securities.... $ 65,016,119 $ -- $ 65,016,119 $ --
Mortgage-Backed Securities........................... 32,123,005 -- 32,123,005 --
Asset-Backed Securities.............................. 25,621,151 -- 25,621,151 --
U.S. Government Bonds and Notes...................... 5,648,643 -- 5,648,643 --
U.S. Treasury Bills.................................. 704,280 -- 704,280 --
Money Market Funds................................... 14,845,103 14,845,103 -- --
-------------- -------------- -------------- --------------
Total Investments.................................... 143,958,301 14,845,103 129,113,198 --
Forward Foreign Currency Contracts................... 42,439 -- 42,439 --
-------------- -------------- -------------- --------------
Total................................................ $ 144,000,740 $ 14,845,103 $ 129,155,637 $ --
============== ============== ============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Forward Foreign Currency Contracts................... $ (6,787) $ -- $ (6,787) $ --
Futures Contracts*................................... (75,647) (75,647) -- --
-------------- -------------- -------------- --------------
Total................................................ $ (82,434) $ (75,647) $ (6,787) $ --
============== ============== ============== ==============
* 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 84 See Notes to Financial Statements
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES -- 60.9%
ANGOLA -- 1.3%
200,000 Angolan Government International Bond (USD) (a)..................... 8.00% 11/26/29 $ 180,352
220,000 Angolan Government International Bond (USD) (a)..................... 8.75% 04/14/32 198,377
--------------
378,729
--------------
ARGENTINA -- 1.3%
18,177 Argentine Republic Government International Bond, steps up to
3.63% on 07/10/2023 (USD) (b).................................... 1.50% 07/09/35 5,213
558,605 Argentine Republic Government International Bond, steps up to
4.25% on 07/10/2023 (USD) (b).................................... 3.88% 01/09/38 196,793
553,894 Argentine Republic Government International Bond, steps up to
4.88% on 07/10/2029 (USD) (b).................................... 3.50% 07/09/41 175,319
--------------
377,325
--------------
BAHRAIN -- 2.3%
600,000 Bahrain Government International Bond (USD) (a)..................... 5.25% 01/25/33 526,062
200,000 Bahrain Government International Bond (USD) (a)..................... 5.63% 05/18/34 175,579
--------------
701,641
--------------
BENIN -- 0.4%
160,000 Benin Government International Bond (EUR) (a)....................... 4.88% 01/19/32 133,481
--------------
BRAZIL -- 0.6%
200,000 Brazilian Government International Bond (USD)....................... 3.75% 09/12/31 168,614
--------------
CHILE -- 2.5%
510,000 Chile Government International Bond (USD)........................... 2.55% 07/27/33 401,168
200,000 Chile Government International Bond (USD)........................... 3.50% 01/31/34 171,013
240,000 Chile Government International Bond (USD)........................... 3.86% 06/21/47 189,850
--------------
762,031
--------------
COLOMBIA -- 2.7%
245,000 Colombia Government International Bond (USD)........................ 3.88% 04/25/27 218,195
200,000 Colombia Government International Bond (USD)........................ 8.00% 04/20/33 197,820
400,000 Colombia Government International Bond (USD)........................ 7.50% 02/02/34 379,799
--------------
795,814
--------------
DOMINICAN REPUBLIC -- 4.4%
350,000 Dominican Republic International Bond (USD) (c)..................... 5.50% 02/22/29 325,617
725,000 Dominican Republic International Bond (USD) (c)..................... 4.50% 01/30/30 625,269
150,000 Dominican Republic International Bond (USD) (c)..................... 7.05% 02/03/31 150,122
250,000 Dominican Republic International Bond (USD) (c)..................... 4.88% 09/23/32 209,895
--------------
1,310,903
--------------
ECUADOR -- 1.1%
251,603 Ecuador Government International Bond, steps up to 3.50% on
08/01/2023 (USD) (b) (c)......................................... 2.50% 07/31/35 90,216
472,700 Ecuador Government International Bond, steps up to 6.00% on
08/01/2023 (USD) (a) (b)......................................... 5.50% 07/31/30 232,332
--------------
322,548
--------------
See Notes to Financial Statements Page 85
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
EGYPT -- 2.2%
500,000 Egypt Government International Bond (USD) (a)....................... 7.60% 03/01/29 $ 393,820
400,000 Egypt Government International Bond (USD) (a)....................... 7.30% 09/30/33 272,925
--------------
666,745
--------------
EL SALVADOR -- 1.0%
310,000 El Salvador Government International Bond (USD) (a)................. 6.38% 01/18/27 165,906
140,000 El Salvador Government International Bond (USD) (a)................. 8.25% 04/10/32 71,050
170,000 El Salvador Government International Bond (USD) (a)................. 7.12% 01/20/50 77,210
--------------
314,166
--------------
GABON -- 0.5%
200,000 Gabon Government International Bond (USD) (a)....................... 6.63% 02/06/31 163,270
--------------
GUATEMALA -- 0.6%
200,000 Guatemala Government Bond (USD) (a)................................. 4.90% 06/01/30 188,725
--------------
HUNGARY -- 3.7%
400,000 Hungary Government International Bond (USD) (c)..................... 6.13% 05/22/28 406,910
499,000 Hungary Government International Bond (USD) (c)..................... 5.25% 06/16/29 488,036
200,000 Hungary Government International Bond (USD) (c)..................... 6.75% 09/25/52 205,562
--------------
1,100,508
--------------
INDONESIA -- 1.3%
440,000 Perusahaan Penerbit SBSN Indonesia III (USD) (a).................... 2.55% 06/09/31 374,990
--------------
IRAQ -- 0.5%
156,250 Iraq International Bond (USD) (a)................................... 5.80% 01/15/28 143,942
--------------
IVORY COAST (COTE D'IVOIRE) -- 1.1%
325,000 Ivory Coast Government International Bond (EUR) (c)................. 4.88% 01/30/32 264,046
100,000 Ivory Coast Government International Bond (EUR) (c)................. 6.88% 10/17/40 78,481
--------------
342,527
--------------
JORDAN -- 0.7%
200,000 Jordan Government International Bond (USD) (c)...................... 7.75% 01/15/28 205,750
--------------
MEXICO -- 0.7%
200,000 Mexico Government International Bond (USD).......................... 6.35% 02/09/35 205,697
--------------
MOROCCO -- 0.4%
200,000 Morocco Government International Bond (USD) (a)..................... 4.00% 12/15/50 128,778
--------------
MOZAMBIQUE -- 0.5%
200,000 Mozambique International Bond, steps up to 9.00% on 09/16/2023
(USD) (a) (b).................................................... 5.00% 09/15/31 153,312
--------------
NIGERIA -- 2.0%
370,000 Nigeria Government International Bond (USD) (a)..................... 8.38% 03/24/29 312,419
400,000 Nigeria Government International Bond (USD) (c)..................... 7.70% 02/23/38 280,638
--------------
593,057
--------------
OMAN -- 3.3%
200,000 Oman Government International Bond (USD) (a)........................ 5.38% 03/08/27 197,003
200,000 Oman Government International Bond (USD) (a)........................ 6.00% 08/01/29 200,768
393,000 Oman Government International Bond (USD) (a)........................ 6.25% 01/25/31 398,363
Page 86 See Notes to Financial Statements
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
OMAN (CONTINUED)
200,000 Oman Government International Bond (USD) (a)........................ 6.75% 01/17/48 $ 192,098
--------------
988,232
--------------
PAKISTAN -- 0.6%
400,000 Pakistan Government International Bond (USD) (c).................... 6.00% 04/08/26 181,000
--------------
PANAMA -- 4.0%
300,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 224,155
200,000 Panama Government International Bond (USD).......................... 6.40% 02/14/35 206,739
390,000 Panama Government International Bond (USD).......................... 6.70% 01/26/36 412,959
450,000 Panama Government International Bond (USD).......................... 4.50% 04/16/50 341,352
--------------
1,185,205
--------------
PARAGUAY -- 0.7%
255,000 Paraguay Government International Bond (USD) (a).................... 3.85% 06/28/33 216,495
--------------
PERU -- 1.6%
450,000 Peruvian Government International Bond (USD)........................ 2.78% 01/23/31 371,435
149,000 Peruvian Government International Bond (USD)........................ 3.00% 01/15/34 117,726
--------------
489,161
--------------
PHILIPPINES -- 3.0%
250,000 Philippine Government International Bond (USD)...................... 3.56% 09/29/32 222,632
200,000 Philippine Government International Bond (USD)...................... 5.00% 07/17/33 198,793
100,000 Philippine Government International Bond (USD)...................... 6.38% 10/23/34 109,516
200,000 Philippine Government International Bond (USD)...................... 3.20% 07/06/46 144,501
200,000 Philippine Government International Bond (USD)...................... 5.95% 10/13/47 215,121
--------------
890,563
--------------
ROMANIA -- 3.5%
418,000 Romanian Government International Bond (USD) (c).................... 6.63% 02/17/28 427,875
130,000 Romanian Government International Bond (USD) (c).................... 7.13% 01/17/33 136,472
230,000 Romanian Government International Bond (USD) (c).................... 6.00% 05/25/34 224,526
246,000 Romanian Government International Bond (USD) (c).................... 7.63% 01/17/53 266,412
--------------
1,055,285
--------------
SAUDI ARABIA -- 1.7%
525,000 Saudi Government International Bond (USD) (c)....................... 4.88% 07/18/33 517,506
--------------
SENEGAL -- 0.7%
290,000 Senegal Government International Bond (EUR) (c)..................... 5.38% 06/08/37 206,725
--------------
SERBIA -- 0.6%
200,000 Serbia International Bond (USD) (c)................................. 6.50% 09/26/33 194,963
--------------
SOUTH AFRICA -- 2.0%
500,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 443,020
200,000 Republic of South Africa Government International Bond (USD)........ 5.65% 09/27/47 146,487
--------------
589,507
--------------
TUNISIA -- 0.5%
200,000 Tunisian Republic (USD) (a)......................................... 5.75% 01/30/25 137,092
--------------
See Notes to Financial Statements Page 87
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
TURKEY -- 4.3%
200,000 Turkey Government International Bond (USD).......................... 4.25% 04/14/26 $ 174,776
200,000 Turkey Government International Bond (USD).......................... 9.88% 01/15/28 203,364
415,000 Turkey Government International Bond (USD).......................... 5.88% 06/26/31 331,087
600,000 Turkey Government International Bond (USD).......................... 9.38% 01/19/33 580,608
--------------
1,289,835
--------------
UNITED ARAB EMIRATES -- 0.7%
200,000 Finance Department Government of Sharjah (USD) (c).................. 6.50% 11/23/32 202,435
--------------
URUGUAY -- 1.9%
160,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 156,214
433,000 Uruguay Government International Bond (USD)......................... 5.10% 06/18/50 424,440
--------------
580,654
--------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 18,257,211
(Cost $18,625,923) --------------
FOREIGN CORPORATE BONDS AND NOTES -- 35.4%
BANKS -- 2.6%
200,000 Banco Mercantil del Norte S.A. (USD) (c) (d)........................ 7.50% (e) 187,700
200,000 Bank Leumi Le-Israel BM (USD) (a) (c) (d)........................... 7.13% 07/18/33 200,777
200,000 BBVA Bancomer S.A. (USD) (a) (d).................................... 5.13% 01/18/33 180,089
200,000 Multibank, Inc. (USD) (c)........................................... 7.75% 02/03/28 203,680
--------------
772,246
--------------
BUILDING MATERIALS -- 0.6%
200,000 Cemex SAB de CV (USD) (c) (d)....................................... 5.13% (e) 181,800
--------------
ELECTRIC -- 5.1%
200,000 AES Andes S.A. (USD) (a) (d)........................................ 7.13% 03/26/79 190,770
400,000 Comision Federal de Electricidad (USD) (a).......................... 4.69% 05/15/29 359,262
310,000 Eskom Holdings SOC Ltd. (USD) (a)................................... 7.13% 02/11/25 305,254
260,000 Eskom Holdings SOC Ltd. (USD) (a)................................... 6.35% 08/10/28 244,238
200,000 Instituto Costarricense de Electricidad (USD) (a)................... 6.75% 10/07/31 191,617
285,000 Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
(USD) (a)........................................................ 4.88% 07/17/49 228,188
--------------
1,519,329
--------------
ENERGY-ALTERNATE SOURCES -- 0.7%
250,000 India Green Power Holdings (USD) (a)................................ 4.00% 02/22/27 213,664
--------------
ENGINEERING & CONSTRUCTION -- 0.8%
250,000 India Airport Infra (USD) (a)....................................... 6.25% 10/25/25 238,613
--------------
INVESTMENT COMPANIES -- 1.6%
520,000 Gaci First Investment Co. (USD) (a)................................. 5.38% 10/13/2122 474,904
--------------
IRON/STEEL -- 1.2%
200,000 CSN Resources S.A. (USD) (a)........................................ 4.63% 06/10/31 157,678
200,000 POSCO (USD) (c)..................................................... 5.75% 01/17/28 202,391
--------------
360,069
--------------
MEDIA -- 0.5%
200,000 Globo Comunicacao e Participacoes S.A. (USD) (c).................... 5.50% 01/14/32 163,461
--------------
Page 88 See Notes to Financial Statements
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES (CONTINUED)
MINING -- 3.1%
300,000 Freeport Indonesia PT (USD) (c)..................................... 5.32% 04/14/32 $ 277,413
200,000 Freeport Indonesia PT (USD) (a)..................................... 6.20% 04/14/52 176,493
475,000 Indonesia Asahan Aluminium Persero PT (USD) (c)..................... 5.45% 05/15/30 463,909
--------------
917,815
--------------
OIL & GAS -- 13.9%
300,000 Ecopetrol S.A. (USD)................................................ 8.88% 01/13/33 294,303
500,000 Energean Israel Finance Ltd. (USD) (a) (c).......................... 5.38% 03/30/28 450,625
200,000 Gran Tierra Energy, Inc. (USD) (a).................................. 7.75% 05/23/27 163,551
200,000 KazMunayGas National Co. JSC (USD) (c).............................. 3.50% 04/14/33 150,073
600,000 KazMunayGas National Co. JSC (USD) (a).............................. 5.75% 04/19/47 480,678
115,000 Leviathan Bond Ltd. (USD) (a) (c)................................... 6.75% 06/30/30 107,846
186,501 MC Brazil Downstream Trading Sarl (USD) (c)......................... 7.25% 06/30/31 153,150
200,000 Oil and Gas Holding (The) Co. BSCC (USD) (a)........................ 7.50% 10/25/27 206,895
650,000 Petroleos Mexicanos (USD)........................................... 6.49% 01/23/27 591,435
410,000 Petroleos Mexicanos (USD)........................................... 6.84% 01/23/30 343,301
484,000 Petroleos Mexicanos (USD)........................................... 6.70% 02/16/32 385,209
860,000 Qatar Energy (USD) (c).............................................. 3.13% 07/12/41 655,664
200,000 Tengizchevroil Finance Co. International Ltd. (USD) (a)............. 4.00% 08/15/26 176,910
--------------
4,159,640
--------------
PIPELINES -- 3.5%
248,470 Acu Petroleo Luxembourg Sarl (USD) (c).............................. 7.50% 01/13/32 224,244
290,000 Galaxy Pipeline Assets Bidco Ltd. (USD) (c)......................... 2.63% 03/31/36 230,108
193,306 Galaxy Pipeline Assets Bidco Ltd. (USD) (c)......................... 2.94% 09/30/40 152,850
200,000 Greensaif Pipelines Bidco Sarl (USD) (c)............................ 6.51% 02/23/42 204,150
240,000 TMS Issuer Sarl (USD) (c)........................................... 5.78% 08/23/32 244,459
--------------
1,055,811
--------------
SEMICONDUCTORS -- 0.6%
200,000 SK Hynix, Inc. (USD) (c)............................................ 6.38% 01/17/28 197,012
--------------
TRANSPORTATION -- 1.2%
171,300 MV24 Capital BV (USD) (c)........................................... 6.75% 06/01/34 153,992
200,000 Transnet SOC Ltd. (USD) (c)......................................... 8.25% 02/06/28 200,947
--------------
354,939
--------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 10,609,303
(Cost $10,676,228) --------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 1.8%
545,395 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 4.38% (f)..... 545,395
(Cost $545,395) --------------
TOTAL INVESTMENTS -- 98.1%..................................................................... 29,411,909
(Cost $29,847,546)
NET OTHER ASSETS AND LIABILITIES -- 1.9%....................................................... 580,251
--------------
NET ASSETS -- 100.0%........................................................................... $ 29,992,160
==============
See Notes to Financial Statements Page 89
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
FORWARD FOREIGN CURRENCY CONTRACTS AT FEBRUARY 28, 2023 (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 2/28/2023 2/28/2023 (DEPRECIATION)
-------------- -------------- ----------------- ------------------ ---------------- ---------------- --------------
04/06/2023 BNP USD 732,996 EUR 686,695 $ 732,996 $ 727,989 $ 5,007
04/06/2023 BNP EUR 686,695 USD 745,607 727,990 745,607 (17,617)
--------------
Net Unrealized Appreciation (Depreciation) $ (12,610)
==============
Counterparty Abbreviations:
BNP - BNP Paribas
(a) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the Securities Act of 1933, as
amended (the "1933 Act").
(b) Step-up security. A security where the coupon increases or steps up at a
predetermined date.
(c) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the 1933 Act, and
may be resold in transactions exempt from registration, normally to
qualified institutional buyers. 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, 2023, securities noted as such amounted to $10,694,707 or 35.7% of net
assets.
(d) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at February 28, 2023. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
(e) Perpetual maturity.
(f) Rate shown reflects yield as of February 28, 2023.
Currency Abbreviations:
EUR - Euro
USD - United States Dollar
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 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
2/28/2023 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Foreign Sovereign Bonds and Notes*................... $ 18,257,211 $ -- $ 18,257,211 $ --
Foreign Corporate Bonds and Notes**.................. 10,609,303 -- 10,609,303 --
Money Market Funds................................... 545,395 545,395 -- --
-------------- -------------- -------------- --------------
Total Investments.................................... 29,411,909 545,395 28,866,514 --
Forward Foreign Currency Contracts................... 5,007 -- 5,007 --
-------------- -------------- -------------- --------------
Total................................................ $ 29,416,916 $ 545,395 $ 28,871,521 $ --
============== ============== ============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Forward Foreign Currency Contracts................... $ (17,617) $ -- $ (17,617) $ --
============== ============== ============== ==============
* See Portfolio of Investments for country breakout.
** See Portfolio of Investments for industry breakout.
Page 90 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 28, 2023 (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.............................. $ 4,252,354,866 $ 1,705,674,006 $ 143,958,301 $ 29,411,909
Swap contracts, at value........................... 10,469,048 1,233,493 -- --
Cash............................................... 9,155,937 31,710,733 47,151 382,612
Cash segregated as collateral for open
futures contracts............................... 23,777,116 6,340,068 775,000 --
Cash segregated as collateral for open swap
contracts....................................... 23,106,974 2,699,611 -- --
Unrealized appreciation on forward foreign
currency contracts.............................. 182,395 63,266 42,439 5,007
Receivables:
Investment securities sold...................... 204,373,780 106,405,648 15,197,680 220,970
Capital shares sold............................. 30,823,048 -- -- --
Interest........................................ 18,729,876 7,958,482 496,104 388,963
Dividends....................................... 504,000 56,020 9,113 2,866
Variation margin................................ -- -- 6,351 --
Reclaims........................................ -- -- 5,078 --
--------------- --------------- --------------- ---------------
Total Assets.................................... 4,573,477,040 1,862,141,327 160,537,217 30,412,327
--------------- --------------- --------------- ---------------
LIABILITIES:
Due to custodian................................... -- -- 18,569 --
Swap contracts, at value........................... 27,634,220 3,230,376 -- --
Unrealized depreciation on forward foreign
currency contracts.............................. -- -- 6,787 17,617
Payables:
Investment securities purchased................. 962,460,173 369,291,492 59,103,686 382,612
Investment advisory fees........................ 1,737,351 976,481 57,116 19,938
Variation margin................................ 44,524 126,234 -- --
--------------- --------------- --------------- ---------------
Total Liabilities............................... 991,876,268 373,624,583 59,186,158 420,167
--------------- --------------- --------------- ---------------
NET ASSETS......................................... $ 3,581,600,772 $ 1,488,516,744 $ 101,351,059 $ 29,992,160
=============== =============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital.................................... $ 4,485,166,892 $ 1,592,612,153 $ 143,807,288 $ 33,200,171
Par value.......................................... 815,500 617,500 47,500 19,500
Accumulated distributable earnings (loss).......... (904,381,620) (104,712,909) (42,503,729) (3,227,511)
--------------- --------------- --------------- ---------------
NET ASSETS......................................... $ 3,581,600,772 $ 1,488,516,744 $ 101,351,059 $ 29,992,160
=============== =============== =============== ===============
NET ASSET VALUE, per share......................... $ 43.92 $ 24.11 $ 21.34 $ 15.38
=============== =============== =============== ===============
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)... 81,550,002 61,750,002 4,750,002 1,950,002
=============== =============== =============== ===============
Investments, at cost............................... $ 4,608,212,004 $ 1,793,210,288 $ 155,795,820 $ 29,847,546
=============== =============== =============== ===============
Foreign currency, at cost (proceeds)............... $ -- $ (323) $ (18,612) $ --
=============== =============== =============== ===============
See Notes to Financial Statements Page 91
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2023 (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........................................... $ 63,503,516 $ 32,221,290 $ 3,535,501 $ 510,859
Dividends.......................................... 1,535,504 605,375 54,995 7,840
Foreign withholding tax............................ -- -- 709 --
--------------- --------------- --------------- ---------------
Total investment income......................... 65,039,020 32,826,665 3,591,205 518,699
--------------- --------------- --------------- ---------------
EXPENSES:
Investment advisory fees........................... 10,497,503 5,725,095 479,024 69,123
--------------- --------------- --------------- ---------------
Total expenses.................................. 10,497,503 5,725,095 479,024 69,123
Less fees waived by the investment advisor...... (1,072,857) (434,100) (46,874) (7,276)
--------------- --------------- --------------- ---------------
Net expenses.................................... 9,424,646 5,290,995 432,150 61,847
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS)....................... 55,614,374 27,535,670 3,159,055 456,852
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments..................................... (113,327,404) (17,040,835) (11,115,055) (758,440)
Futures contracts............................... (15,990,426) 11,951,151 (1,307,815) --
Purchased options contracts..................... (1,113,442) -- -- --
Written options contracts....................... 1,053,958 -- -- --
Forward foreign currency contracts.............. (197,547) (33,628) 86,068 (4,995)
Swap contracts.................................. (10,033,984) (2,234,213) -- --
Foreign currency transactions................... 11,939 (439) (51,987) (1,346)
--------------- --------------- --------------- ---------------
Net realized gain (loss)........................... (139,596,906) (7,357,964) (12,388,789) (764,781)
--------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation) on:
Investments..................................... (38,011,292) (11,760,997) 814,673 599,653
Purchased options contracts..................... 1,100,623 -- -- --
Written options contracts....................... (1,034,052) -- -- --
Futures contracts............................... (1,275,565) (1,924,380) 58,641 --
Forward foreign currency contracts.............. (80,235) (70,727) (116,661) (12,610)
Swap contracts.................................. 111,304 729,887 -- --
Foreign currency translation.................... 6,095 2,460 698 (132)
--------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation).................................. (39,183,122) (13,023,757) 757,351 586,911
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED
GAIN (LOSS)..................................... (178,780,028) (20,381,721) (11,631,438) (177,870)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS....................... $ (123,165,654) $ 7,153,949 $ (8,472,383) $ 278,982
=============== =============== =============== ===============
Page 92 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
2/28/2023 ENDED 2/28/2023 ENDED
(UNAUDITED) 8/31/2022 (UNAUDITED) 8/31/2022
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............................. $ 55,614,374 $ 80,469,634 $ 27,535,670 $ 23,333,968
Net realized gain (loss).................................. (139,596,906) (340,923,588) (7,357,964) (3,190,864)
Net change in unrealized appreciation (depreciation)...... (39,183,122) (392,335,084) (13,023,757) (83,166,440)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
operations............................................. (123,165,654) (652,789,038) 7,153,949 (63,023,336)
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (69,898,752) (82,614,627) (33,593,251) (21,248,341)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 700,504,965 394,188,882 285,487,219 775,430,197
Cost of shares redeemed................................... (474,282,765) (1,408,009,711) (39,345,711) (30,661,288)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................... 226,222,200 (1,013,820,829) 246,141,508 744,768,909
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets................... 33,157,794 (1,749,224,494) 219,702,206 660,497,232
NET ASSETS:
Beginning of period....................................... 3,548,442,978 5,297,667,472 1,268,814,538 608,317,306
---------------- ---------------- ---------------- ----------------
End of period............................................. $ 3,581,600,772 $ 3,548,442,978 $ 1,488,516,744 $ 1,268,814,538
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 76,850,002 98,150,002 51,650,002 22,900,002
Shares sold............................................... 15,500,000 7,900,000 11,750,000 30,000,000
Shares redeemed........................................... (10,800,000) (29,200,000) (1,650,000) (1,250,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period......................... 81,550,002 76,850,002 61,750,002 51,650,002
================ ================ ================ ================
See Notes to Financial Statements Page 93
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 YEAR
2/28/2023 ENDED 2/28/2023 ENDED
(UNAUDITED) 8/31/2022 (UNAUDITED) 8/31/2022
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............................. $ 3,159,055 $ 4,606,690 $ 456,852 $ 515,474
Net realized gain (loss).................................. (12,388,789) (19,754,427) (764,781) (1,842,757)
Net change in unrealized appreciation (depreciation)...... 757,351 (13,529,922) 586,911 (1,096,210)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
operations............................................. (8,472,383) (28,677,659) 278,982 (2,423,493)
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (2,545,001) (4,631,176) (449,251) (549,502)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 7,766,374 84,294,818 22,380,532 --
Cost of shares redeemed................................... (80,905,256) (93,022,828) -- (9,194,901)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................... (73,138,882) (8,728,010) 22,380,532 (9,194,901)
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets................... (84,156,266) (42,036,845) 22,210,263 (12,167,896)
NET ASSETS:
Beginning of period....................................... 185,507,325 227,544,170 7,781,897 19,949,793
---------------- ---------------- ---------------- ----------------
End of period............................................. $ 101,351,059 $ 185,507,325 $ 29,992,160 $ 7,781,897
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 8,150,002 8,750,002 500,002 1,000,002
Shares sold............................................... 350,000 3,250,000 1,450,000 --
Shares redeemed........................................... (3,750,000) (3,850,000) -- (500,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period......................... 4,750,002 8,150,002 1,950,002 500,002
================ ================ ================ ================
Page 94 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,
2/28/2023 ------------------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
------------ ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period... $ 46.17 $ 53.98 $ 55.16 $ 52.97 $ 49.40 $ 51.01
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)........... 0.77 0.88 0.76 1.06 1.39 1.15
Net realized and unrealized
gain (loss)......................... (2.07) (7.76) (0.34) 2.85 3.63 (1.46)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations....... (1.30) (6.88) 0.42 3.91 5.02 (0.31)
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income.................. (0.95) (0.93) (0.81) (1.12) (1.45) (1.30)
Net realized gain...................... -- -- (0.75) (0.60) -- (0.00) (b)
Return of capital...................... -- -- (0.04) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions.................... (0.95) (0.93) (1.60) (1.72) (1.45) (1.30)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period......... $ 43.92 $ 46.17 $ 53.98 $ 55.16 $ 52.97 $ 49.40
========== ========== ========== ========== ========== ==========
TOTAL RETURN (c)....................... (2.79)% (12.84)% 0.77% 7.57% 10.33% (0.57)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)... $3,581,601 $3,548,443 $5,297,667 $3,640,505 $ 900,459 $ 318,605
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%
Ratio of net expenses to average net
assets.............................. 0.58% (d) 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment income (loss)
to average net assets............... 3.44% (d) 1.74% 1.34% 1.61% 2.69% 2.29%
Portfolio turnover rate (e) (f)........ 188% 445% 497% 431% 246% 358%
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31, PERIOD
2/28/2023 --------------------------------------------------------- ENDED
(UNAUDITED) 2022 2021 2020 2019 8/31/2018 (a)
------------ ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period... $ 24.57 $ 26.56 $ 26.19 $ 25.79 $ 25.12 $ 25.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)........... 0.47 0.55 0.53 0.75 0.77 0.17
Net realized and unrealized
gain (loss)......................... (0.34) (2.01) 0.52 0.50 0.75 0.10
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations....... 0.13 (1.46) 1.05 1.25 1.52 0.27
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income.................. (0.59) (0.52) (0.51) (0.85) (0.81) (0.15)
Net realized gain...................... -- (0.01) (0.17) -- (0.04) --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions.................... (0.59) (0.53) (0.68) (0.85) (0.85) (0.15)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period......... $ 24.11 $ 24.57 $ 26.56 $ 26.19 $ 25.79 $ 25.12
========== ========== ========== ========== ========== ==========
TOTAL RETURN (c)....................... 0.56% (5.55)% 4.04% 4.97% 6.15% 1.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)... $1,488,517 $1,268,815 $ 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% 0.85% (d)
Ratio of net expenses to average net
assets.............................. 0.79% (d) 0.75% 0.75% 0.75% 0.75% 0.75% (d)
Ratio of net investment income (loss)
to average net assets............... 4.09% (d) 2.35% 1.90% 2.88% 3.16% 2.68% (d)
Portfolio turnover rate (e)............ 119% (g) 208% (g) 190% (g) 111% (g) 40% (g) 70%
(a) Inception date for UCON is June 4, 2018, which is consistent with the
commencement of investment operations and is the date 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 104%
for the six months ending February 28, 2023 and 271%, 282%, 270%, 223% and
241% for the years ending August 31, 2022, August 31, 2021, August 31,
2020, August 31, 2019 and August 31, 2018, respectively.
(g) The portfolio turnover rate not including mortgage dollar rolls was 17%
for the six months ending February 28, 2023, and 43%, 40%, 67% and 39% for
the years ending August 31, 2022, August 31, 2021, August 31, 2020, and
August 31, 2019, respectively.
See Notes to Financial Statements Page 95
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 ENDED AUGUST 31, PERIOD
2/28/2023 --------------------------- ENDED
(UNAUDITED) 2022 2021 8/31/2020 (a)
------------ ------------ ------------ -------------
Net asset value, beginning of period.................. $ 22.76 $ 26.01 $ 25.88 $ 25.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).......................... 0.72 0.49 0.28 0.08
Net realized and unrealized gain (loss)............... (1.68) (3.28) 0.47 0.87
---------- ---------- ---------- ----------
Total from investment operations...................... (0.96) (2.79) 0.75 0.95
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................................. (0.46) (0.39) (0.29) (0.07)
Net realized gain..................................... -- (0.07) (0.33) --
---------- ---------- ---------- ----------
Total distributions................................... (0.46) (0.46) (0.62) (0.07)
---------- ---------- ---------- ----------
Net asset value, end of period........................ $ 21.34 $ 22.76 $ 26.01 $ 25.88
========== ========== ========== ==========
TOTAL RETURN (b)...................................... (4.22)% (10.87)% 2.93% 3.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................. $ 101,351 $ 185,507 $ 227,544 $ 25,877
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets......... 0.75% (c) 0.75% 0.75% 0.75% (c)
Ratio of net expenses to average net assets........... 0.68% (c) 0.65% 0.65% 0.65% (c)
Ratio of net investment income (loss) to average net
assets............................................. 4.95% (c) 1.90% 0.98% 0.94% (c)
Portfolio turnover rate (d) (e)....................... 212% 678% 678% 186%
FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
SIX MONTHS
ENDED YEAR PERIOD
2/28/2023 ENDED ENDED
(UNAUDITED) 8/31/2022 8/31/2021 (a)
------------ ------------ -------------
Net asset value, beginning of period.................. $ 15.56 $ 19.95 $ 20.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).......................... 0.47 0.70 0.40
Net realized and unrealized gain (loss)............... (0.21) (4.33) (0.02)
---------- ---------- ----------
Total from investment operations...................... 0.26 (3.63) 0.38
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................................. (0.44) (0.76) (0.43)
---------- ---------- ----------
Net asset value, end of period........................ $ 15.38 $ 15.56 $ 19.95
========== ========== ==========
TOTAL RETURN (b)...................................... 1.76% (18.52)% 1.93%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................. $ 29,992 $ 7,782 $ 19,950
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets......... 0.95% (c) 0.95% 0.95% (c)
Ratio of net expenses to average net assets........... 0.85% (c) 0.85% 0.85% (c)
Ratio of net investment income (loss) to average net
assets............................................. 6.28% (c) 4.00% 3.75% (c)
Portfolio turnover rate (d)........................... 90% 125% 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 53%,
272%, 299% and 21% for the periods ending February 28, 2023, August 31,
2022, August 31, 2021 and August 31, 2020, respectively.
Page 96 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (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-nine 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 readily available market quotations such as 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 approved by
the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act
and rules thereunder. 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 a third-party pricing service approved
by the Advisor's Pricing Committee, which may use the following valuation
inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Page 97
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
Pricing services generally value fixed-income securities assuming orderly
transactions of an institutional round lot size, but a Fund may hold or
transact in such securities in smaller, odd lot sizes. Odd lots may trade
at lower prices than institutional round lots.
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 primary exchange for such securities.
Securities traded in an over-the-counter market are valued at the mean of
their most recent bid and asked price, if available, and otherwise at
their last trade 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 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 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 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 valued at the mean of
their most recent bid and asked price, if available, and otherwise at
their closing bid price.
Swaps are 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.
Page 98
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by 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 most recent price provided by a pricing service;
2) the fundamental business data relating to the issuer;
3) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
4) the type, size and cost of a security;
5) the financial statements of the borrower/issuer, or financial
condition of the country of issue;
6) the credit quality and cash flow of the issuer, or country of issue,
based on the Pricing Committee's, TCW Investment Management Company
LLC's ("TCW" or the "Sub-Advisor") or portfolio manager's analysis,
as applicable, or external analysis;
7) the information as to any transactions in or offers for the
security;
8) the price and extent of public trading in similar securities of the
issuer/borrower, or comparable companies;
9) the coupon payments;
10) the quality, value and salability of collateral, if any, securing
the security;
11) 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);
12) 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);
13) 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
14) 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, 2023, is
included with each Fund's Portfolio of Investments.
Page 99
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
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.
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, 2023, FIXD and UCON held $28,555,275 and
$7,680,223 of when-issued or delayed-delivery securities, respectively. At
February 28, 2023, FIXD, UCON, and DEED held $676,566,488, $238,668,247 and
$37,445,242, respectively, of forward purchase commitments.
C. RESTRICTED SECURITIES
DEED invests 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, 2023, 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. DEED 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
SECURITY DATE VALUE PRICE COST VALUE NET ASSETS
--------------------------------------------------------------------------------------------------------------------------
SMRT Series 2022-MINI, Class XCP, IO,
0.73%, 01/15/39 01/24/22 $105,000,000 $ 0.00* $ 0 $ 110 0.00%**
* Amount is less than $0.01.
** Amount is less than 0.01%.
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
Page 100
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
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 on forward foreign currency contracts"
and "Unrealized 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
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.
Page 101
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
FIXD and UCON held interest rate swap agreements at February 28, 2023. 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 and UCON may invest 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. Each 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 is included in "Purchased/Written 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.
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.
Page 102
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
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. A Fund may also designate a portion of the amount paid to
redeeming shareholders as a distribution for tax purposes.
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.
Page 103
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
The tax character of distributions paid by each Fund during the fiscal year
ended August 31, 2022 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 $ 88,246,752 $ -- $ --
First Trust TCW Unconstrained Plus Bond ETF 21,039,193 209,148 --
First Trust TCW Securitized Plus ETF 4,631,176 -- --
First Trust TCW Emerging Markets Debt ETF 549,502 -- --
As of August 31, 2022, 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 $ 5,406,242 $(355,844,752) $(360,878,704)
First Trust TCW Unconstrained Plus Bond ETF 2,551,383 (3,077,263) (77,747,727)
First Trust TCW Securitized Plus ETF 136,775 (20,439,629) (11,183,491)
First Trust TCW Emerging Markets Debt ETF (17,233) (1,952,666) (1,087,343)
M. INCOME TAXES
Each Fund intends to 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 2019, 2020, 2021, and 2022 remain open to federal and state audit.
For DEED, the taxable years ended 2020, 2021, and 2022 remain open to federal
and state audit. For EFIX, the taxable years ended 2021 and 2022 remain open to
federal and state audit. As of February 28, 2023, 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, 2022, 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 $ 355,844,752
First Trust TCW Unconstrained Plus Bond ETF 3,077,263
First Trust TCW Securitized Plus ETF 20,439,629
First Trust TCW Emerging Markets Debt ETF 1,952,666
Page 104
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (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 year ended August 31, 2022, the Funds 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 $ -- $ --
First Trust TCW Unconstrained Plus Bond ETF -- --
First Trust TCW Securitized Plus ETF -- --
First Trust TCW Emerging Markets Debt ETF 17,233 --
As of February 28, 2023, 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 $ 4,608,212,004 $ 19,255,368 $ (393,854,522) $ (374,599,154)
First Trust TCW Unconstrained Plus Bond ETF 1,793,210,288 8,133,835 (98,689,716) (90,555,881)
First Trust TCW Securitized Plus ETF 155,795,820 338,881 (12,216,395) (11,877,514)
First Trust TCW Emerging Markets Debt ETF 29,847,546 275,352 (723,599) (448,247)
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. During any period in which the Advisor's management fee is
reduced in accordance with the breakpoints described below, the investment
sub-advisory fee (which is based on the Advisor's management fee) paid to TCW
will be reduced to reflect the reduction in the Advisor's management fee. 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. Effective November 1, 2022, the
unitary management fee payable by each Fund to First Trust for these services
will be reduced at certain levels of each Fund's net asset ("breakpoints") and
calculated pursuant to the schedule below:
Breakpoints FIXD UCON DEED EFIX
------------------------------------------------------------------------- -----------------------------------------
Fund net assets up to and including $2.5 billion 0.65000% 0.85000% 0.75000% 0.95000%
Fund net assets greater than $2.5 billion up to and including $5 billion 0.63375% 0.82875% 0.73125% 0.92625%
Fund net assets greater than $5 billion up to and including $7.5 billion 0.61750% 0.80750% 0.71250% 0.90250%
Fund net assets greater than $7.5 billion up to and including $10 billion 0.60125% 0.78625% 0.69375% 0.87875%
Fund net assets greater than $10 billion 0.58500% 0.76500% 0.67500% 0.85500%
Prior to November 1, 2022, FIXD, UCON, DEED, and EFIX each paid 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.
Page 105
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
Pursuant to a contractual agreement, First Trust waived 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. During the six months ended February 28, 2023, the
Advisor waived fees of $1,072,857, $434,100, $46,874, and $7,276, 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.
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 target 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, 2023, 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 $ 7,096,825,404 $ 6,840,454,074
Non-U.S. Government securities 283,330,562 365,145,933
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF
U.S. Government securities 1,421,447,777 1,340,977,936
Non-U.S. Government securities 331,238,488 165,673,958
FIRST TRUST TCW SECURITIZED PLUS ETF
U.S. Government securities 373,187,021 443,021,680
Non-U.S. Government securities 743,731 39,129,132
FIRST TRUST TCW EMERGING MARKETS DEBT ETF
U.S. Government securities -- --
Non-U.S. Government securities 36,271,878 14,771,536
For the six months ended February 28, 2023, the Funds had no in-kind
transactions.
Page 106
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
5. DERIVATIVE TRANSACTIONS
The following table presents the types of derivatives held by each Fund at
February 28, 2023, 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
Unrealized appreciation Unrealized depreciation
Forward foreign on forward foreign on forward foreign
currency contracts Currency Risk currency contracts $ 182,395 currency contracts $ --
Unrealized appreciation Unrealized depreciation
Futures contracts Interest Rate Risk on futures contracts* 309,155 on futures contracts* 2,068,394
Swap contracts Interest Rate Risk Swap contracts, at value 10,469,048 Swap contracts, at value 27,634,220
UCON
Unrealized appreciation Unrealized depreciation
Forward foreign on forward foreign on forward foreign
currency contracts Currency Risk currency contracts 63,266 currency contracts --
Unrealized appreciation Unrealized depreciation
Futures contracts Interest Rate Risk on futures contracts* 492,847 on futures contracts* 1,578,829
Swap contracts Interest Rate Risk Swap contracts, at value 1,233,493 Swap contracts, at value 3,230,376
DEED
Unrealized appreciation Unrealized depreciation
Forward foreign on forward foreign on forward foreign
currency contracts Currency Risk currency contracts 42,439 currency contracts 6,787
Unrealized appreciation Unrealized depreciation
Futures contracts Interest Rate Risk on futures contracts* -- on futures contracts* 75,647
EFIX
Unrealized appreciation Unrealized depreciation
Forward foreign on forward foreign on forward foreign
currency contracts Currency Risk currency contracts 5,007 currency contracts 17,617
* 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 107
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (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, 2023, 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 EFIX
--------------------------------------------------------------------------------------------------------------------------
CURRENCY RISK EXPOSURE
Net realized gain (loss) on forward foreign currency contracts $ (197,547) $ (33,628) $ 86,068 $ (4,995)
Net change in unrealized appreciation (depreciation) on
forward foreign currency contracts (80,235) (70,727) (116,661) (12,610)
INTEREST RATE RISK EXPOSURE
Net realized gain (loss) on:
Purchased options contracts (1,113,442) -- -- --
Written options contracts 1,053,958 -- -- --
Futures contracts (15,990,426) 11,951,151 (1,307,815) --
Swap contracts (10,033,984) (2,234,213) -- --
Net change in unrealized appreciation (depreciation) on:
Purchased options contracts 1,100,623 -- -- --
Written options contracts (1,034,052) -- -- --
Futures contracts (1,275,565) (1,924,380) 58,641 --
Swap contracts 111,304 729,887 -- --
FIXD
During the six months ended February 28, 2023, the premiums for purchased
options contracts opened were $0 and the premiums for purchased options
contracts closed, exercised and expired were $1,113,442.
During the six months ended February 28, 2023, the premiums for written options
contracts opened were $0 and the premiums for written options contracts closed,
exercised and expired were $1,053,958.
During the six months ended February 28, 2023, the notional value of forward
foreign currency contracts opened and closed were $19,409,025 and $19,882,834,
respectively.
During the six months ended February 28, 2023, the notional value of futures
contracts opened and closed were $1,976,853,034 and $1,972,651,307,
respectively.
For the six months ended February 28, 2023, the average volume of interest rate
swaps was $633,530,994.
UCON
During the six months ended February 28, 2023, the notional value of forward
foreign currency contracts opened and closed were $6,508,457 and $6,758,836,
respectively.
During the six months ended February 28, 2023, the notional value of futures
contracts opened and closed were $1,830,729,062 and $1,547,999,219,
respectively.
For the six months ended February 28, 2023, the average volume of interest rate
swaps was $94,163,840.
DEED
During the six months ended February 28, 2023, the notional value of forward
foreign currency contracts opened and closed were $2,290,622 and $3,011,755,
respectively.
During the six months ended February 28, 2023, the notional value of futures
contracts opened and closed were $131,095,745 and $140,290,576, respectively.
EFIX
During the six months ended February 28, 2023, the notional value of forward
foreign currency contracts opened and closed were $1,557,700 and $79,097,
respectively.
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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, 2023.
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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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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FEBRUARY 28, 2023 (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
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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
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. Market risk is the risk that a particular security, or shares of a
fund in general, may fall in value. 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 COVID-19 global pandemic and the ensuing policies
enacted by governments and central banks have caused and may continue to cause
significant volatility and uncertainty in global financial markets. While the
U.S. has resumed "reasonably" normal business activity, many countries continue
to impose lockdown measures. Additionally, there is no guarantee that vaccines
will be effective against emerging variants of the disease. These events also
adversely affect the prices and liquidity of a fund's portfolio securities or
other instruments and could result in disruptions in the trading markets. Any of
such circumstances could have a materially negative impact on the value of a
fund's shares and result in increased market volatility. During any such events,
a fund's shares may trade at increased premiums or discounts to their net asset
value and the bid/ask spread on a fund's shares may widen.
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.
PREFERRED SECURITIES RISK. Preferred securities combine some of the
characteristics of both common stocks and bonds. Preferred securities are
typically subordinated to bonds and other debt securities in a company's capital
structure in terms of priority to corporate income, subjecting them to greater
credit risk than those debt securities. Generally, holders of preferred
securities have no voting rights with respect to the issuing company unless
preferred dividends have been in arrears for a specified number of periods, at
which time the preferred security holders may obtain limited rights. In certain
circumstances, an issuer of preferred securities may defer payment on the
securities and, in some cases, redeem the securities prior to a specified date.
Preferred securities may also be substantially less liquid than other
securities, including common stock.
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FEBRUARY 28, 2023 (UNAUDITED)
VALUATION RISK. The valuation of certain securities may carry more risk than
that of common stock. Uncertainties in the conditions of the financial markets,
unreliable reference data, lack of transparency and inconsistency of valuation
models and processes may lead to inaccurate asset pricing. A fund may hold
investments in sizes smaller than institutionally sized round lot positions
(sometimes referred to as odd lots). However, third-party pricing services
generally provide evaluations on the basis of institutionally-sized round lots.
If a fund sells certain of its investments in an odd lot transaction, the sale
price may be less than the value at which such securities have been held by the
fund. Odd lots often trade at lower prices than institutional round lots. There
is no assurance that the fund will be able to sell a portfolio security at the
price established by the pricing service, which could result in a loss to the
fund.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
ADVISORY AND SUB-ADVISORY AGREEMENTS
BOARD CONSIDERATIONS REGARDING APPROVAL OF AMENDMENTS TO THE INVESTMENT
MANAGEMENT AND INVESTMENT SUB-ADVISORY AGREEMENTS
The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"),
including the Independent Trustees, unanimously approved the amendment (as
applicable to a specific Fund, the "Advisory Agreement Amendment" and
collectively, the "Advisory Agreement Amendments") of the Investment Management
Agreements (as applicable to a specific Fund, the "Advisory Agreement" and
collectively, the "Advisory Agreements") with First Trust Advisors L.P. (the
"Advisor") and the amendment (as applicable to a specific Fund, the
"Sub-Advisory Agreement Amendment" and collectively, the "Sub-Advisory Agreement
Amendments" and together with the Advisory Agreement Amendments, the
"Amendments") of the Investment Sub-Advisory Agreements (as applicable to a
specific Fund, the "Sub-Advisory Agreement" and collectively, the "Sub-Advisory
Agreements" and together with the Advisory Agreements, the "Agreements") among
the Trust, the Advisor and TCW Investment Management Company LLC (the
"Sub-Advisor") on behalf of the following four series of the Trust (each a
"Fund" and collectively, the "Funds"):
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)
The Board approved the applicable Amendments for each Fund at a meeting held on
October 24, 2022. As part of the review process, the Board reviewed information
and had preliminary discussions with the Advisor regarding the proposed
Amendments at meetings held on April 18, 2022, June 12-13, 2022 and September
18-19, 2022. Following those preliminary discussions, the Board requested and
received information from the Advisor regarding the proposed Amendments, and
that information was considered at an executive session of the Independent
Trustees and their counsel held prior to the October 24, 2022 meeting, as well
as at the October meeting.
In reviewing the Advisory Agreement Amendment for each Fund, the Board
considered that the purpose of the Advisory Agreement Amendments is to modify
the unitary fee rate for each Fund under the applicable Advisory Agreement by
introducing a breakpoint schedule pursuant to which the unitary fee rate paid by
each Fund to the Advisor will be reduced as assets of such Fund meet certain
thresholds. In reviewing the Sub-Advisory Agreement Amendment for each Fund, the
Board considered that the purpose of the Sub-Advisory Agreement Amendments is to
modify the sub-advisory fee rate for each Fund under the applicable Sub-Advisory
Agreement to reflect the modification of the unitary fee rate schedule under the
applicable Advisory Agreement Amendment. The Board noted the Advisor's
representations that the quality and quantity of the services provided to each
Fund by the Advisor under the applicable Advisory Agreement and by the
Sub-Advisor under the applicable Sub-Advisory Agreement will not be reduced or
modified as a result of the applicable Advisory Agreement Amendment and the
applicable Sub-Advisory Agreement Amendment, and that the obligations of the
Advisor under each Advisory Agreement and the obligations of the Sub-Advisor
under each Sub-Advisory Agreement will remain the same in all respects.
The Board noted that it, including the Independent Trustees, last approved the
continuation of the applicable Agreements for each Fund for a one-year period
ending June 30, 2023 at a meeting held on June 12-13, 2022. The Board noted that
in connection with such approval it had determined for each Fund, based upon the
information provided, that the terms of the applicable Agreements were fair and
reasonable and that the continuation of the applicable Agreements was in the
best interests of the Fund in light of the nature, extent and quality of the
services provided and such other matters as the Board considered to be relevant
in the exercise of its business judgment.
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The Board noted that the Advisor had previously agreed to waive a portion of its
unitary fee for each Fund and that the modified unitary fee rate schedule for
each Fund under the applicable Advisory Agreement Amendment and the modified
sub-advisory fee rate schedule for each Fund under the applicable Sub-Advisory
Agreement Amendment would not be implemented until the expiration of the Fund's
contractual fee waiver. The Board considered that the effective unitary fee rate
paid by each Fund under the applicable Advisory Agreement after taking into
account the contractual fee waiver is less than the effective unitary fee rate
that the Fund would pay pursuant to the modified unitary fee rate schedule under
the applicable Advisory Agreement Amendment and that the sub-advisory fee for
each Fund is paid by the Advisor from the Fund's unitary fee.
Based on all of the information considered, the Board, including the Independent
Trustees, unanimously determined that the terms of the Amendments are fair and
reasonable and that the Amendments are in the best interests of each Fund.
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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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