FIRST TRUST
First Trust Exchange-Traded Fund IV
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First Trust Low Duration Opportunities ETF (LMBS)
Semi-Annual Report
For the Six Months Ended
April 30, 2022
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TABLE OF CONTENTS
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
SEMI-ANNUAL REPORT
APRIL 30, 2022
Shareholder Letter........................................................... 1
Fund Performance Overview.................................................... 2
Portfolio Management ........................................................ 5
Understanding Your Fund Expenses............................................. 6
Portfolio of Investments..................................................... 7
Statement of Assets and Liabilities.......................................... 42
Statement of Operations...................................................... 43
Statements of Changes in Net Assets.......................................... 44
Financial Highlights......................................................... 45
Notes to Financial Statements................................................ 46
Additional Information....................................................... 56
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 its 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 IV (the "Trust") described in
this report (First Trust Low Duration Opportunities ETF; hereinafter referred to
as the "Fund") 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 its 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 the Fund will achieve its investment objectives. The
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 the Fund. See "Risk Considerations" in the Additional
Information section of this report for a discussion of certain other risks of
investing in the Fund.
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 the Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment in
the Fund. It includes details about the Fund and presents data and analysis that
provide insight into the Fund's performance and investment approach.
The statistical information that follows may help you understand the 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 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 the
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 LOW DURATION OPPORTUNITIES ETF (LMBS)
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
APRIL 30, 2022
Dear Shareholders:
First Trust is pleased to provide you with the semi-annual report for the First
Trust Low Duration Opportunities ETF (the "Fund"), which contains detailed
information about the Fund for the six months ended April 30, 2022.
A couple of famous financial industry quotes came to mind recently as I was
sizing up the current business climate: "There's no such thing as a free lunch"
and "Don't fight the Fed!" It seems that for some, the trillions of dollars of
financial stimulus funneled into U.S. households and businesses by the Federal
government and its agencies to help mitigate the fallout stemming from the
coronavirus ("COVID-19") pandemic, which commenced sometime around February
2020, was for all intents and purposes "free money." It was not free. From the
close of February 2020 through March 2022, the Federal Reserve (the "Fed")
expanded the U.S. money supply, known as M2, by 41% to $21.81 trillion to boost
liquidity in the financial system. Normally, M2 grows around 6.0% on a
year-over-year basis. When you factor in that all this new capital was
accompanied by a breakdown of the global supply chain, there is little wonder
why inflation is rampant.
One of the more common definitions of inflation is too many dollars chasing too
few goods. The biggest downside to the supply chain bottlenecks, such as the
severe backup of container ships at some U.S. ports, is that they have markedly
reduced the flow of imported goods to retailers. The Fed has been signaling to
Americans and the rest of the globe that, after many years of artificially low
interest rates, tighter monetary policy will likely rule the day for the
foreseeable future. Higher interest rates make borrowing capital more expensive
and that should slow consumption over time, which, in turn, should bring down
inflation. Don't fight the Fed is code for don't bet against the Fed, in my
opinion. Stay tuned!
The primary job of the Fed is price stability. Its standard inflation target
rate is 2.0%. The most recent Consumer Price Index release showed that prices
were up 8.3% on a year-over-year basis as of April 30, 2022, according to data
from the U.S. Bureau of Labor Statistics. While down from 8.5% the prior month,
it is clearly elevated and that means the Fed has some work to do to with
respect to mitigating inflation. The war between Russia and Ukraine is making
the Fed's job even tougher, particularly in the areas of food and energy. Rising
costs and potential shortages could become even bigger if the COVID-19 outbreak
in China grows. These are important events to monitor. Fed Chairman Jerome
Powell has stated that the Fed is poised to raise the Federal Funds target rate
(upper bound) by 50 basis points at each of its next two meetings (set for June
and July), which would take the rate up to 2.00%. Data from CME Group indicates
that current market pricing has the rate rising to 2.75% or 3.00% by year-end.
Securities markets do not go up in a straight line and they do not just go up
year in and year out. In fact, what we have witnessed over the past couple of
decades are often referred to as boom and bust cycles. Thankfully, it has ended
up more boom than bust. Simply put, investors, not traders of the market, need
to be willing to take the bad with the good. As the various stages of an
economic cycle come and go (expansion to contraction), the markets tend to
reprice securities to reflect the current narrative. In other words, we believe
the markets essentially heal themselves - if you let them. That is an accurate
depiction of how the markets have behaved so far in 2022, in my opinion. In
response to a softening economy, the stock and bond markets have experienced
some serious downside through the first four months of this year, as measured by
the broader market indices. As of today, Brian Wesbury, Chief Economist at First
Trust, is not forecasting a recession for the U.S. in 2022 or 2023. Whether he
is proven right or wrong, we encourage investors to stay the course.
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 Fund
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 LOW DURATION OPPORTUNITIES ETF (LMBS)
The primary investment objective of the First Trust Low Duration Opportunities
ETF (the "Fund") is to generate current income. The Fund's secondary investment
objective is to provide capital appreciation. The Fund is an actively managed
exchange-traded fund. First Trust Advisors L.P. ("First Trust" or the "Advisor")
serves as the advisor. James Snyder and Jeremiah Charles are the Fund's
portfolio managers and are jointly and primarily responsible for the day-to-day
management of the Fund's investment portfolio.
Under normal market conditions, the Fund will seek to achieve its investment
objectives by investing at least 60% of its net assets (including investment
borrowings) in mortgage-related debt securities and other mortgage-related
instruments (collectively, "Mortgage-Related Investments"). The Fund normally
expects to invest in Mortgage-Related Investments tied to residential and
commercial mortgages. Mortgage-Related Investments consist of: (1) residential
mortgage-backed securities (RMBS); (2) commercial mortgage-backed securities
(CMBS); (3) stripped mortgage-backed securities (SMBS), which are
mortgage-backed securities where mortgage payments are divided up between paying
the loan's principal and paying the loan's interest; and (4) collateralized
mortgage obligations (CMOs) and real estate mortgage investment conduits
(REMICs) where they are divided into multiple classes with each class being
entitled to a different share of the principal and/or interest payments received
from the pool of underlying assets. The Fund will limit its investment in
Mortgage-Related Investments that are neither issued nor guaranteed by the U.S.
government or its agencies or instrumentalities to 20% of its net assets
(including investment borrowings). The Fund may invest up to 40% of its net
assets (including investment borrowings), in the aggregate, in (i) cash, cash
equivalents and short-term investments and (ii) non-mortgage direct obligations
of the U.S. government and other non-mortgage securities issued and/or
guaranteed by the U.S. government or its agencies or instrumentalities. The Fund
may also invest up to 5% of its net assets (including investment borrowings) in
asset-backed securities ("ABS") (other than Mortgage-Related Investments) that
are not issued and/or guaranteed by Government Entities. However, the Fund's
investments in (a) Mortgage-Related Investments that are not issued and/or
guaranteed by Government Entities and (b) ABS may not, in the aggregate, exceed
20% of the Fund's net assets (including investment borrowings). Although the
Fund intends to invest primarily in investment grade securities, the Fund may
invest up to 20% of its net assets (including investment borrowings) in
securities of any credit quality, including securities that are below investment
grade, which are also known as high yield securities, or commonly referred to as
"junk" bonds, or unrated securities that have not been judged by the advisor to
be of comparable quality to rated investment grade securities.
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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 (11/4/14) Ended (11/4/14)
4/30/22 4/30/22 4/30/22 to 4/30/22 4/30/22 to 4/30/22
FUND PERFORMANCE
NAV -2.36% -2.74% 1.10% 2.25% 5.60% 18.13%
Market Price -2.50% -2.92% 1.05% 2.24% 5.39% 18.04%
INDEX PERFORMANCE
ICE BofA 1-5 Year US Treasury
& Agency Index -4.18% -4.68% 0.92% 0.99% 4.71% 7.62%
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Total returns for the period since inception are calculated from the inception
date of the Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the period indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated.
The 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 the Fund did
not trade in the secondary market until after its inception, for the period from
inception to the first day of secondary market trading in shares of the Fund,
the NAV of the 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 the Fund at NAV and Market Price, respectively.
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. 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 index. 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 the
Fund will vary with changes in market conditions. Shares of the Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. The Fund's past performance is no guarantee of future performance.
Page 2
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
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% OF NET
FUND ALLOCATION ASSETS
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U.S. Government Agency Mortgage-
Backed Securities 85.6%
Mortgage-Backed Securities 13.3
Asset-Backed Securities 4.6
Exchange-Traded Funds 0.0*
Money Market Funds 8.0
Put Options Purchased 0.0*
U.S. Government Agency Mortgage-
Backed Securities Sold Short (21.2)
Written Options (0.0)*
Net Other Assets and Liabilities(1) 9.7
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Total 100.0%
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% OF TOTAL LONG
FIXED-INCOME
CREDIT QUALITY(3) INVESTMENTS & CASH
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Government and Agency 70.7%
AAA 3.5
AA+ 0.2
AA 0.3
A 0.3
A- 0.2
BBB 0.6
BBB- 0.2
BB 0.0*
BB- 0.2
B- 0.1
Not Rated 9.1
Cash and Cash Equivalents 14.6
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Total 100.00%
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* Amount is less than 0.1%.
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% OF LONG-TERM
TOP TEN HOLDINGS INVESTMENTS(2)
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Federal National Mortgage Association,
Pool TBA, 4.00%, 6/15/52 4.8%
Federal National Mortgage Association,
Pool TBA, 4.50%, 6/15/52 4.1
Federal National Mortgage Association,
Pool TBA, 4.00%, 7/15/52 2.6
Federal National Mortgage Association,
Pool TBA, 1.50%, 6/15/52 1.3
Federal National Mortgage Association,
Pool TBA, 3.00%, 5/15/52 1.1
Federal Home Loan Mortgage Corporation,
Series SNEX-2019, Class PR1, 2.50%,
2/1/42 1.0
Federal National Mortgage Association,
Pool FS1524, 2.50%, 4/1/42 1.0
Federal National Mortgage Association,
Pool TBA, 2.50%, 6/15/52 1.0
Federal National Mortgage Association,
Pool FM3047, 4.00%, 4/1/45 0.9
Federal National Mortgage Association,
Pool FS0697, 2.50%, 2/1/42 0.9
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Total 18.7%
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WEIGHTED AVERAGE EFFECTIVE NET DURATION
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April 30, 2022 1.6 Years
High - April 30, 2022 1.6 Years
Low - December 31, 2021 0.7 Years
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(1) Includes variation margin on futures contracts.
(2) Percentages are based on the long positions only. Money market funds and
short positions are excluded.
(3) The ratings are by S&P Global Ratings. A credit rating is an assessment
provided by a nationally recognized statistical rating organization
(NRSRO), of the creditworthiness of an issuer with respect to debt
obligations. Ratings are measured highest to lowest on a scale that
generally ranges from AAA to D for long-term ratings and A-1+ to C for
short-term ratings. Investment grade is defined as those issuers that have
a long-term credit rating of BBB- or higher or a short-term credit rating
of A-3 or higher. The credit ratings shown relate to the credit worthiness
of the issuers of the underlying securities in the Fund, and not to the
Fund or its shares. U.S. Treasury and U.S. Agency mortgage-backed
securities appear under "Government and Agency." Credit ratings are
subject to change.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
NOVEMBER 4, 2014 - APRIL 30, 2022
First Trust Low Duration ICE BofA 1-5 Year US
Opportunities ETF Treasury & Agency Index
11/4/14 $10,000 $10,000
10/31/15 10,362 10,144
4/30/16 10,725 10,256
10/31/16 11,138 10,301
4/30/17 11,186 10,279
10/31/17 11,274 10,307
4/30/18 11,294 10,205
10/31/18 11,368 10,273
4/30/19 11,635 10,578
10/31/19 11,923 10,867
4/30/20 11,990 11,290
10/31/20 12,101 11,314
4/30/21 12,146 11,290
10/31/21 12,099 11,232
4/30/22 11,813 10,762
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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PORTFOLIO MANAGEMENT
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
SEMI-ANNUAL REPORT
APRIL 30, 2022 (UNAUDITED)
ADVISOR
First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment
advisor to the First Trust Low Duration Opportunities ETF (the "Fund" or
"LMBS"). In this capacity, First Trust is responsible for the selection and
ongoing monitoring of the investments in the Fund's portfolio and certain other
services necessary for the management of the portfolio.
PORTFOLIO MANAGEMENT TEAM
JAMES SNYDER - SENIOR VICE PRESIDENT AND PORTFOLIO MANAGER
JEREMIAH CHARLES - SENIOR VICE PRESIDENT AND SENIOR PORTFOLIO MANAGER
The portfolio managers are primarily and jointly responsible for the day-to-day
management of the Fund. Each portfolio manager has served as part of the
portfolio management team of the Fund since 2014.
Page 5
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
UNDERSTANDING YOUR FUND EXPENSES
APRIL 30, 2022 (UNAUDITED)
As a shareholder of First Trust Low Duration Opportunities ETF (the "Fund"), 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 Fund 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 April 30, 2022.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the 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 Fund 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.
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ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX MONTH SIX MONTH
NOVEMBER 1, 2021 APRIL 30, 2022 PERIOD (a) PERIOD (a) (b)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
Actual $1,000.00 $ 976.40 0.65% $3.19
Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26
(a) Annualized expense ratio and expenses paid during the six-month period do
not include fees and expenses of the underlying funds in which the Fund
invests.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (November 1,
2021 through April 30, 2022), multiplied by 181/365 (to reflect the
six-month period).
Page 6
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
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U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 85.6%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 30.9%
Federal Home Loan Mortgage Corporation
$ 2,670 Series 1993-1498, Class I, 1 Mo. LIBOR + 1.15% (a)........... 1.70% 04/15/23 $ 2,679
2,591 Series 1993-1552, Class I, 10 Yr. Constant Maturity Treasury
Rate - 0.65% (a).......................................... 1.51% 08/15/23 2,577
24,676 Series 1993-1579, Class PM................................... 6.70% 09/15/23 25,174
24,803 Series 1993-1630, Class PK................................... 6.00% 11/15/23 25,402
1,211 Series 1993-1643, Class PK................................... 6.50% 12/15/23 1,230
70,932 Series 1994-1710, Class G, 1 Mo. LIBOR + 1.50% (a)........... 2.05% 04/15/24 71,604
1,133 Series 1998-2089, Class PJ, IO............................... 7.00% 10/15/28 100
4,607 Series 1998-2102, Class Z.................................... 6.00% 12/15/28 4,872
80 Series 2001-2365, Class LO, PO............................... (b) 09/15/31 80
16,605 Series 2002-2405, Class BF................................... 7.00% 03/25/24 16,970
150,747 Series 2002-2410, Class OG................................... 6.38% 02/15/32 167,177
94,069 Series 2002-2427, Class GE................................... 6.00% 03/15/32 101,863
154,183 Series 2002-2437, Class SA, IO, 1 Mo. LIBOR (x) -1 +
7.90% (c)................................................. 7.35% 01/15/29 12,406
194,371 Series 2003-2557, Class HL................................... 5.30% 01/15/33 205,417
103,400 Series 2003-2564, Class AC................................... 5.50% 02/15/33 109,008
283,526 Series 2003-2574, Class PE................................... 5.50% 02/15/33 302,651
119,292 Series 2003-2577, Class LI, IO............................... 5.50% 02/15/33 16,208
993,000 Series 2003-2581, Class LL................................... 5.25% 03/15/33 1,044,444
51,276 Series 2003-2586, Class TG................................... 5.50% 03/15/23 51,671
33,856 Series 2003-2597, Class AE................................... 5.50% 04/15/33 35,016
1,237,000 Series 2003-2613, Class LL................................... 5.00% 05/15/33 1,293,274
255,924 Series 2003-2626, Class ZW................................... 5.00% 06/15/33 237,416
557,914 Series 2003-2626, Class ZX................................... 5.00% 06/15/33 548,714
27,000 Series 2003-2676, Class LL................................... 5.50% 09/15/33 28,210
430,178 Series 2004-2771, Class NL................................... 6.00% 03/15/34 459,903
349,141 Series 2004-2793, Class PE................................... 5.00% 05/15/34 367,825
844,559 Series 2004-2801, Class SE, IO, 1 Mo. LIBOR (x) -1 +
7.05% (c)................................................. 6.50% 07/15/32 84,324
135,287 Series 2004-2835, Class QY, IO, 1 Mo. LIBOR (x) -1 +
7.90% (c)................................................. 7.35% 12/15/32 16,473
105,744 Series 2004-2890, Class ZA................................... 5.00% 11/15/34 111,423
618,530 Series 2004-2891, Class ZA................................... 6.50% 11/15/34 757,900
371,785 Series 2004-2907, Class DZ................................... 4.00% 12/15/34 371,208
1,109,843 Series 2005-233, Class 12, IO, STRIPS........................ 5.00% 09/15/35 156,905
808,055 Series 2005-234, Class IO, IO, STRIPS........................ 4.50% 10/01/35 115,048
785,000 Series 2005-2973, Class GE................................... 5.50% 05/15/35 867,294
117,889 Series 2005-3031, Class BI, IO, 1 Mo. LIBOR (x) -1 +
6.69% (c)................................................. 6.14% 08/15/35 16,767
2,250,005 Series 2005-3054, Class ZW................................... 6.00% 10/15/35 2,361,700
22,155 Series 2005-3074, Class ZH................................... 5.50% 11/15/35 25,478
246,599 Series 2006-238, Class 8, IO, STRIPS......................... 5.00% 04/15/36 42,405
225,948 Series 2006-243, Class 11, IO, STRIPS (d).................... 7.00% 08/15/36 40,498
67,909 Series 2006-3117, Class ZU................................... 6.00% 02/15/36 82,631
24,083 Series 2006-3150, Class DZ................................... 5.50% 05/15/36 25,826
1,230,613 Series 2006-3174, Class LF, 1 Mo. LIBOR + 0.35% (a).......... 0.90% 05/15/36 1,230,425
2,760,979 Series 2006-3196, Class ZK................................... 6.50% 04/15/32 3,237,388
1,295,548 Series 2006-3210, Class SA, IO, 1 Mo. LIBOR (x) -1 +
6.60% (c)................................................. 6.05% 09/15/36 163,100
401,388 Series 2006-3223, Class FC, 1 Mo. LIBOR + 0.55% (a).......... 0.95% 04/15/32 404,463
See Notes to Financial Statements Page 7
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 915,220 Series 2007-3262, Class KS, IO, 1 Mo. LIBOR (x) -1 +
6.41% (c)................................................. 5.86% 01/15/37 $ 57,630
36,275 Series 2007-3274, Class B.................................... 6.00% 02/15/37 38,118
202,504 Series 2007-3322, Class NF, 1 Mo. LIBOR (x) 2,566.67 -
16,683.33%, 0.00% Floor (a)............................... 0.00% 05/15/37 196,272
34,779 Series 2007-3340, Class PF, 1 Mo. LIBOR + 0.30% (a).......... 0.85% 07/15/37 34,619
43,635 Series 2007-3349, Class MY................................... 5.50% 07/15/37 45,627
79,081 Series 2007-3360, Class CB................................... 5.50% 08/15/37 83,569
1,022,884 Series 2007-3370, Class FM, 1 Mo. LIBOR + 0.62% (a).......... 1.17% 10/15/47 1,039,052
74,070 Series 2007-3380, Class FS, 1 Mo. LIBOR + 0.35% (a).......... 0.90% 11/15/36 72,135
203,189 Series 2008-3406, Class B.................................... 6.00% 01/15/38 213,014
103,726 Series 2008-3413, Class B.................................... 5.50% 04/15/37 108,415
247,889 Series 2008-3420, Class AZ................................... 5.50% 02/15/38 263,076
169,265 Series 2008-3448, Class SA, IO, 1 Mo. LIBOR (x) -1 +
6.05% (c)................................................. 5.50% 05/15/38 4,594
2,565,310 Series 2009-3522, Class SE, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.55% 04/15/39 270,924
29,406 Series 2009-3523, Class SD, 1 Mo. LIBOR (x) -2.75 +
19.66% (c)................................................ 8.14% 06/15/36 31,497
1,235,831 Series 2009-3542, Class ZP................................... 5.00% 06/15/39 1,307,299
177,000 Series 2009-3550, Class LL................................... 4.50% 07/15/39 179,396
752,561 Series 2009-3563, Class ZP................................... 5.00% 08/15/39 825,471
1,586,569 Series 2009-3572, Class JS, IO, 1 Mo. LIBOR (x) -1 +
6.80% (c)................................................. 6.25% 09/15/39 135,506
33,581 Series 2009-3585, Class QZ................................... 5.00% 08/15/39 33,026
124,990 Series 2009-3587, Class FX, 1 Mo. LIBOR + 0.00% (a).......... 0.55% 12/15/37 113,651
491,065 Series 2009-3593, Class F, 1 Mo. LIBOR + 0.50% (a)........... 0.73% 03/15/36 491,935
1,343,473 Series 2009-3605, Class NC................................... 5.50% 06/15/37 1,441,357
500,000 Series 2010-3622, Class PB................................... 5.00% 01/15/40 517,248
421,984 Series 2010-3632, Class BS, 1 Mo. LIBOR (x) -3.33 +
17.50% (c)................................................ 15.65% 02/15/40 483,723
107,000 Series 2010-3645, Class WD................................... 4.50% 02/15/40 102,650
634,855 Series 2010-3667, Class PL................................... 5.00% 05/15/40 646,960
68,766 Series 2010-3699, Class FD, 1 Mo. LIBOR + 0.60% (a).......... 1.15% 07/15/40 69,278
663,521 Series 2010-3704, Class ED................................... 4.00% 12/15/36 670,494
400,000 Series 2010-3714, Class PB................................... 4.75% 08/15/40 424,008
424,808 Series 2010-3735, Class IK, IO............................... 3.50% 10/15/25 15,635
77,569 Series 2010-3735, Class JI, IO............................... 4.50% 10/15/30 7,994
227,884 Series 2010-3740, Class SC, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.45% 10/15/40 35,539
149,733 Series 2010-3770, Class GZ................................... 4.50% 10/15/40 153,067
37,405 Series 2011-3795, Class ED................................... 3.00% 10/15/39 37,471
600,000 Series 2011-3796, Class PB................................... 5.00% 01/15/41 633,171
214,176 Series 2011-3819, Class ZQ................................... 6.00% 04/15/36 234,637
3,677,067 Series 2011-3820, Class GZ................................... 5.00% 03/15/41 3,900,049
300,000 Series 2011-3820, Class NC................................... 4.50% 03/15/41 312,928
153,801 Series 2011-3828, Class SY, 1 Mo. LIBOR (x) -3 +
13.20% (c)................................................ 11.54% 02/15/41 145,853
636,419 Series 2011-3841, Class JZ................................... 5.00% 04/15/41 676,025
103,547 Series 2011-3842, Class BS, 1 Mo. LIBOR (x) -5 +
22.75% (c)................................................ 20.47% 04/15/41 131,090
300,000 Series 2011-3844, Class PC................................... 5.00% 04/15/41 325,335
Page 8 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 507,114 Series 2011-3852, Class SW, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.45% 05/15/41 $ 67,622
3,310,252 Series 2011-3860, Class PZ................................... 5.00% 05/15/41 3,467,097
525,000 Series 2011-3890, Class ME................................... 5.00% 07/15/41 562,165
1,387,000 Series 2011-3895, Class PW................................... 4.50% 07/15/41 1,420,835
1,836,677 Series 2011-3925, Class ZD................................... 4.50% 09/15/41 1,951,097
9,805,101 Series 2011-3954, Class GS, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.45% 11/15/41 1,468,444
360,332 Series 2012-267, Class S5, IO, STRIPS, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.45% 08/15/42 49,446
10,618,510 Series 2012-272, Class PO, PO, STRIPS........................ (b) 08/15/42 8,794,141
7,765,218 Series 2012-276, Class S5, IO, STRIPS, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.45% 09/15/42 1,038,161
401,638 Series 2012-3999, Class WA (d)............................... 5.55% 08/15/40 425,975
1,878,000 Series 2012-4000, Class PY................................... 4.50% 02/15/42 1,846,132
45,312 Series 2012-4012, Class GC................................... 3.50% 06/15/40 45,387
25,955 Series 2012-4015, Class KB................................... 1.75% 05/15/41 24,695
368,907 Series 2012-4021, Class IP, IO............................... 3.00% 03/15/27 17,226
1,125,292 Series 2012-4026, Class GZ................................... 4.50% 04/15/42 1,212,860
637,046 Series 2012-4030, Class IL, IO............................... 3.50% 04/15/27 33,233
653,595 Series 2012-4048, Class FJ, 1 Mo. LIBOR + 0.40% (a).......... 0.63% 07/15/37 652,225
1,206,800 Series 2012-4054, Class AI, IO............................... 3.00% 04/15/27 53,481
3,833,667 Series 2012-4057, Class ZC................................... 3.50% 06/15/42 3,807,584
1,107,962 Series 2012-4077, Class TS, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.45% 05/15/41 152,397
656,711 Series 2012-4090, Class YZ................................... 4.50% 08/15/42 677,685
27,337 Series 2012-4097, Class ES, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.55% 08/15/42 4,209
2,820,559 Series 2012-4097, Class SA, IO, 1 Mo. LIBOR (x) -1 +
6.05% (c)................................................. 5.50% 08/15/42 446,685
2,447,000 Series 2012-4098, Class PE................................... 4.00% 08/15/42 2,349,418
289,923 Series 2012-4103, Class HI, IO............................... 3.00% 09/15/27 15,607
34,078 Series 2012-4116, Class AS, IO, 1 Mo. LIBOR (x) -1 +
6.15% (c)................................................. 5.60% 10/15/42 5,726
1,192,485 Series 2012-4121, Class HI, IO............................... 3.50% 10/15/27 66,784
1,336,638 Series 2012-4132, Class AI, IO............................... 4.00% 10/15/42 226,405
319,937 Series 2012-4136, Class TU, IO, 1 Mo. LIBOR (x) -22.50 +
139.50%, 4.50% Cap (c).................................... 4.50% 08/15/42 54,909
371,782 Series 2012-4145, Class YI, IO............................... 3.00% 12/15/27 20,478
245,349 Series 2013-299, Class S1, IO, STRIPS, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.45% 01/15/43 38,797
6,127,921 Series 2013-303, Class C12, IO, STRIPS....................... 4.00% 12/15/32 655,080
348,723 Series 2013-303, Class C2, IO, STRIPS........................ 3.50% 01/15/28 20,903
13,418,765 Series 2013-303, Class C33, IO, STRIPS....................... 4.50% 01/15/43 2,509,046
3,452,167 Series 2013-304, Class C19, IO, STRIPS....................... 5.00% 06/15/42 814,340
271,513 Series 2013-304, Class C37, IO, STRIPS....................... 3.50% 12/15/27 12,564
1,199,467 Series 2013-304, Class C40, IO, STRIPS....................... 3.50% 09/15/26 52,528
11,653,496 Series 2013-311, Class PO, PO, STRIPS........................ (b) 08/15/43 9,654,320
1,145,103 Series 2013-4151, Class DI, IO............................... 3.50% 11/15/31 51,024
3,149,334 Series 2013-4154, Class IB, IO............................... 3.50% 01/15/28 181,728
8,316,472 Series 2013-4170, Class CO, PO............................... (b) 11/15/32 7,131,446
905,000 Series 2013-4176, Class HE................................... 4.00% 03/15/43 915,328
See Notes to Financial Statements Page 9
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 732,650 Series 2013-4177, Class GL................................... 3.00% 03/15/33 $ 707,728
3,955,409 Series 2013-4193, Class AI, IO............................... 3.00% 04/15/28 239,459
826,035 Series 2013-4193, Class PB................................... 4.00% 04/15/43 831,355
1,210,675 Series 2013-4203, Class US, 1 Mo. LIBOR (x) -1.50 +
6.00% (c)................................................. 5.17% 05/15/33 979,486
500,000 Series 2013-4211, Class PB................................... 3.00% 05/15/43 475,039
11,838 Series 2013-4226, Class NS, 1 Mo. LIBOR (x) -3 +
10.50% (c)................................................ 9.13% 01/15/43 10,263
1,450,000 Series 2013-4247, Class AY................................... 4.50% 09/15/43 1,532,647
701,641 Series 2013-4261, Class GS, 1 Mo. LIBOR (x) -2.75 +
10.98% (c)................................................ 9.46% 01/15/41 688,519
394,901 Series 2013-4265, Class IB, IO............................... 4.50% 12/15/24 13,559
33,796 Series 2014-4300, Class IM, IO............................... 3.00% 03/15/37 380
838,263 Series 2014-4314, Class CI, IO............................... 6.00% 03/15/44 192,225
2,401,019 Series 2014-4316, Class XZ................................... 4.50% 03/15/44 2,460,083
3,954,319 Series 2014-4347, Class YT................................... 3.50% 06/15/44 3,748,260
24,026,220 Series 2014-4358, Class Z.................................... 3.00% 06/15/44 22,611,371
16,101,455 Series 2014-4375, Class MZ................................... 3.50% 08/15/44 15,768,622
3,319,146 Series 2014-4387, Class IE, IO............................... 2.50% 11/15/28 160,208
664,865 Series 2015-4503, Class MI, IO............................... 5.00% 08/15/45 120,452
614,023 Series 2015-4512, Class W (d) (e)............................ 5.34% 05/15/38 645,538
88,657 Series 2015-4520, Class AI, IO............................... 3.50% 10/15/35 9,593
244,355 Series 2015-4522, Class JZ................................... 2.00% 01/15/45 243,738
273,909 Series 2016-4546, Class PZ................................... 4.00% 12/15/45 259,904
463,659 Series 2016-4546, Class ZT................................... 4.00% 01/15/46 439,070
6,891,954 Series 2016-4559, Class LI, IO............................... 2.50% 03/15/31 473,004
142,323 Series 2016-4568, Class MZ................................... 4.00% 04/15/46 132,839
12,040,654 Series 2016-4570, Class ST, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.45% 04/15/46 1,837,788
4,587,468 Series 2016-4572, Class LI, IO............................... 4.00% 08/15/45 727,533
14,510,109 Series 2016-4582, Class GZ................................... 3.75% 03/15/52 14,049,773
22,420,047 Series 2016-4585, Class DS, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.45% 05/15/46 3,446,524
6,975,536 Series 2016-4587, Class ZH................................... 4.00% 03/15/44 6,961,990
1,478,578 Series 2016-4591, Class GI, IO............................... 4.00% 12/15/44 221,515
944,001 Series 2016-4596, Class FL, 1 Mo. LIBOR + 0.50% (a).......... 0.73% 11/15/41 951,146
771,702 Series 2016-4600, Class WT................................... 3.50% 07/15/36 765,332
138,508 Series 2016-4605, Class KS, 1 Mo. LIBOR (x) -1.57 +
4.71% (c)................................................. 4.00% 08/15/43 103,163
239,702 Series 2016-4609, Class YI, IO............................... 4.00% 04/15/54 15,187
341,210 Series 2016-4613, Class AF, 1 Mo. LIBOR + 1.10% (a).......... 1.65% 11/15/37 340,431
870,822 Series 2016-4615, Class GT, 1 Mo. LIBOR (x) -4 + 16.00%,
4.00% Cap (c)............................................. 4.00% 10/15/42 693,211
2,145,733 Series 2016-4641, Class DI, IO............................... 5.00% 05/15/41 292,161
1,173,000 Series 2017-4650, Class JH................................... 3.00% 01/15/47 1,033,332
10,302,449 Series 2017-4660, Class PO, PO............................... (b) 01/15/33 7,382,837
17,812,190 Series 2017-4680, Class GZ................................... 3.50% 03/15/47 17,206,127
600,000 Series 2017-4681, Class JY................................... 2.50% 05/15/47 533,902
3,299,122 Series 2018-4774, Class SL, IO, 1 Mo. LIBOR (x) -1 +
6.20% (c)................................................. 5.65% 04/15/48 540,236
820,531 Series 2018-4780, Class VA................................... 4.00% 05/15/29 822,392
2,814,279 Series 2018-4790, Class IO, IO............................... 4.50% 05/15/48 497,715
Page 10 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 5,972,566 Series 2018-4826, Class ME................................... 3.50% 09/15/48 $ 5,803,311
3,176,931 Series 2018-4833, Class PY................................... 4.00% 10/15/48 3,138,071
8,220,088 Series 2018-4851, Class PO, PO............................... (b) 08/15/57 6,089,375
3,199,100 Series 2019-4872, Class BZ................................... 4.00% 04/15/49 3,115,920
6,738,132 Series 2019-4910, Class SA, IO, 1 Mo. LIBOR (x) -1 +
6.05% (c)................................................. 5.50% 06/15/49 1,449,492
9,541,718 Series 2019-4938, Class BS, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.33% 12/25/49 1,515,628
18,964,209 Series 2019-4941, Class YZ................................... 3.00% 12/25/49 18,031,634
10,353,707 Series 2019-4943, Class NS, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.33% 01/25/50 2,363,993
2,515,155 Series 2020-4974, Class IA, IO............................... 3.50% 12/25/49 703,761
6,430,891 Series 2020-4988, Class IJ, IO............................... 4.50% 12/15/47 1,051,532
5,235,038 Series 2020-4989, Class FB, 1 Mo. LIBOR + 0.35% (a).......... 0.58% 10/15/40 5,231,657
8,898,630 Series 2020-5013, Class HI, IO............................... 5.00% 03/25/40 1,488,081
6,027,925 Series 2020-5013, Class IQ, IO............................... 3.50% 09/25/50 1,009,592
15,659,396 Series 2020-5023, Class AI, IO............................... 4.50% 10/25/50 3,225,994
17,731,789 Series 2020-5034, Class IO, IO (d)........................... 1.82% 10/15/45 597,409
18,541,666 Series 2020-5050, Class MI, IO............................... 3.50% 10/25/50 2,981,172
32,035,840 Series 2020-5051, Class CI, IO............................... 4.00% 12/25/35 3,814,748
25,668,714 Series 2021-5086, Class MI, IO............................... 2.50% 03/25/51 3,690,902
8,815,818 Series 2021-5178, Class HL................................... 2.00% 01/25/52 6,947,077
17,589,321 Series 2022-5200, Class TZ................................... 2.50% 11/25/49 14,381,787
11,385,124 Series 2022-5208, Class HZ................................... 3.50% 03/25/52 10,644,000
13,395,248 Series 2022-5208, Class Z.................................... 3.00% 04/25/52 11,620,555
11,812,528 Series 2022-5220, Class KZ (f)............................... 4.00% 02/25/51 11,929,730
4,870,948 Series 2022-5222, Class BZ (f)............................... 3.50% 05/25/37 4,867,904
18,383,170 Series 2022-5223, Class GZ (f)............................... 3.00% 08/25/51 15,826,760
29,410,013 Series 2022-5224, Class DZ (f)............................... 4.00% 04/25/52 29,033,197
10,359,375 Series 2022-5225, Class HZ................................... 4.00% 08/25/51 10,576,229
13,793,189 Series 2022-5225, Class NZ (f)............................... 4.00% 05/25/52 13,788,879
26,290,356 Series BMOC-2623, Class Z (f) (g)............................ 0.00% 10/01/41 19,902,621
9,012,265 Series BMOC-2655, Class BO (f)............................... 0.00% 05/01/50 4,213,234
63,538,047 Series SNEX-2019, Class PR1 (f).............................. 2.50% 02/01/42 59,249,229
Federal National Mortgage Association
2,931 Series 1992-38, Class GZ..................................... 7.50% 07/25/22 2,938
324 Series 1992-185, Class ZB.................................... 7.00% 10/25/22 326
60 Series 1993-3, Class K....................................... 7.00% 02/25/23 60
1,835 Series 1993-39, Class Z...................................... 7.50% 04/25/23 1,865
186 Series 1993-46, Class FH, 7 Yr. Constant Maturity Treasury
Rate - 0.20% (a).......................................... 2.22% 04/25/23 185
34,873 Series 1993-169, Class L..................................... 6.50% 09/25/23 35,720
11,164 Series 1993-171, Class SB, 10 Yr. Constant Maturity Treasury
Rate (x) -2.17 + 21.99% (c)............................... 16.86% 09/25/23 11,570
5,437 Series 1993-214, Class 2, IO, STRIPS......................... 7.50% 03/25/23 121
75,495 Series 1993-222, Class 2, IO, STRIPS......................... 7.00% 06/25/23 2,177
5,979 Series 1993-230, Class FA, 1 Mo. LIBOR + 0.60% (a)........... 1.06% 12/25/23 5,997
48,252 Series 1994-61, Class FG, 1 Mo. LIBOR + 1.50% (a)............ 1.96% 04/25/24 48,648
24,609 Series 1996-51, Class AY, IO................................. 7.00% 12/18/26 2,215
30,790 Series 1998-37, Class VZ..................................... 6.00% 06/17/28 31,502
304,064 Series 2000-45, Class SD, IO, 1 Mo. LIBOR (x) -1 +
7.95% (c)................................................. 7.40% 12/18/30 18,842
See Notes to Financial Statements Page 11
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 37,385 Series 2001-34, Class SR, IO, 1 Mo. LIBOR (x) -1 +
8.10% (c)................................................. 7.55% 08/18/31 $ 2,231
1,821 Series 2001-42, Class SB, 1 Mo. LIBOR (x) -16 + 128.00%,
8.50% Cap (c)............................................. 8.50% 09/25/31 1,917
93,954 Series 2001-46, Class F, 1 Mo. LIBOR + 0.40% (a)............. 0.95% 09/18/31 94,193
6,563 Series 2002-22, Class G...................................... 6.50% 04/25/32 7,205
67,188 Series 2002-30, Class Z...................................... 6.00% 05/25/32 72,654
72,028 Series 2002-80, Class CZ..................................... 4.50% 09/25/32 73,998
77,898 Series 2002-320, Class 2, IO, STRIPS......................... 7.00% 04/25/32 15,854
71,056 Series 2002-323, Class 6, IO, STRIPS......................... 6.00% 01/25/32 10,815
198,866 Series 2002-324, Class 2, IO, STRIPS......................... 6.50% 07/25/32 29,644
18,207 Series 2003-14, Class AT..................................... 4.00% 03/25/33 18,312
51,774 Series 2003-21, Class OA..................................... 4.00% 03/25/33 52,443
75,704 Series 2003-32, Class UI, IO................................. 6.00% 05/25/33 14,052
343,173 Series 2003-45, Class JB..................................... 5.50% 06/25/33 365,787
2,154,049 Series 2003-61, Class MZ..................................... 5.00% 08/25/33 2,217,701
13,724 Series 2003-63, Class F1, 1 Mo. LIBOR + 0.30% (a)............ 0.97% 11/25/27 13,740
1,150,035 Series 2003-63, Class IP, IO................................. 6.00% 07/25/33 187,708
355,000 Series 2003-71, Class NH..................................... 4.29% 08/25/33 367,861
160,161 Series 2003-109, Class YB.................................... 6.00% 11/25/33 171,396
223,757 Series 2003-343, Class 2, IO, STRIPS......................... 4.50% 10/25/33 26,927
212,276 Series 2003-345, Class 14, IO, STRIPS........................ 6.00% 03/25/34 35,414
43,202 Series 2003-348, Class 17, IO, STRIPS........................ 7.50% 12/25/33 7,184
61,803 Series 2003-348, Class 18, IO, STRIPS (d).................... 7.50% 12/25/33 10,891
196,016 Series 2004-10, Class ZB..................................... 6.00% 02/25/34 210,418
619,351 Series 2004-18, Class EZ..................................... 6.00% 04/25/34 676,822
232,069 Series 2004-25, Class LC..................................... 5.50% 04/25/34 249,531
250,294 Series 2004-25, Class UC..................................... 5.50% 04/25/34 270,532
42,962 Series 2004-28, Class ZH..................................... 5.50% 05/25/34 47,389
610,039 Series 2004-60, Class AC..................................... 5.50% 04/25/34 634,669
1,830,885 Series 2005-2, Class S, IO, 1 Mo. LIBOR (x) -1 + 6.60% (c)... 5.93% 02/25/35 213,886
304,638 Series 2005-2, Class TB, IO, 1 Mo. LIBOR (x) -1 + 5.90%,
0.40% Cap (c)............................................. 0.40% 07/25/33 2,732
58,631 Series 2005-29, Class ZT..................................... 5.00% 04/25/35 61,904
75,335 Series 2005-40, Class SA, IO, 1 Mo. LIBOR (x) -1 +
6.70% (c)................................................. 6.03% 05/25/35 9,220
299,401 Series 2005-52, Class TZ..................................... 6.50% 06/25/35 370,023
1,083,977 Series 2005-57, Class KZ..................................... 6.00% 07/25/35 1,225,911
9,081 Series 2005-67, Class SC, 1 Mo. LIBOR (x) -2.15 +
14.41% (c)................................................ 12.97% 08/25/35 9,712
40,501 Series 2005-79, Class NS, IO, 1 Mo. LIBOR (x) -1 +
6.09% (c)................................................. 5.42% 09/25/35 4,559
4,101,700 Series 2005-86, Class WZ..................................... 5.50% 10/25/35 4,319,383
13,963 Series 2005-87, Class SC, 1 Mo. LIBOR (x) -1.67 +
13.83% (c)................................................ 12.72% 10/25/35 16,019
19,570 Series 2005-90, Class ES, 1 Mo. LIBOR (x) -2.50 +
16.88% (c)................................................ 15.21% 10/25/35 22,590
56,376 Series 2005-95, Class WZ..................................... 6.00% 11/25/35 69,344
21,221 Series 2005-102, Class DS, 1 Mo. LIBOR (x) -2.75 +
19.80% (c)................................................ 17.96% 11/25/35 21,384
507,861 Series 2005-104, Class UE.................................... 5.50% 12/25/35 541,818
346,053 Series 2005-359, Class 12, IO, STRIPS........................ 5.50% 10/25/35 64,861
Page 12 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 111,354 Series 2005-359, Class 6, IO, STRIPS......................... 5.00% 11/25/35 $ 16,543
98,759 Series 2005-362, Class 13, IO, STRIPS........................ 6.00% 08/25/35 18,159
48,487 Series 2006-5, Class 2A2 (a)................................. 1.97% 02/25/35 53,464
21,891,488 Series 2006-5, Class N2, IO (e).............................. 0.00% 02/25/35 219
48,649 Series 2006-15, Class IS, IO, 1 Mo. LIBOR (x) -1 +
6.58% (c)................................................. 5.91% 03/25/36 7,182
989,396 Series 2006-20, Class PI, IO, 1 Mo. LIBOR (x) -1 +
6.68% (c)................................................. 6.01% 11/25/30 51,968
26,054 Series 2006-31, Class PZ..................................... 6.00% 05/25/36 31,986
42,572 Series 2006-42, Class CF, 1 Mo. LIBOR + 0.45% (a)............ 1.12% 06/25/36 42,612
1,307,134 Series 2006-42, Class EI, IO, 1 Mo. LIBOR (x) -1 +
6.55% (c)................................................. 5.88% 06/25/36 187,199
350,881 Series 2006-59, Class SL, IO, 1 Mo. LIBOR (x) -1 +
6.57% (c)................................................. 5.90% 07/25/36 49,820
461,719 Series 2006-80, Class PH..................................... 6.00% 08/25/36 507,223
57,098 Series 2006-85, Class MZ..................................... 6.50% 09/25/36 62,962
1,627,826 Series 2006-110, Class PI, IO................................ 5.50% 11/25/36 319,155
1,896,053 Series 2006-116, Class ES, IO, 1 Mo. LIBOR (x) -1 +
6.65% (c)................................................. 5.98% 12/25/36 259,604
178,055 Series 2006-117, Class GF, 1 Mo. LIBOR + 0.35% (a)........... 1.02% 12/25/36 177,649
1,897,887 Series 2006-118, Class A1, 1 Mo. LIBOR + 0.06% (a)........... 0.52% 12/25/36 1,884,772
313,274 Series 2007-7, Class KA...................................... 5.75% 08/25/36 344,847
20,968 Series 2007-25, Class FB, 1 Mo. LIBOR + 0.33% (a)............ 1.00% 04/25/37 20,899
618,709 Series 2007-28, Class ZA..................................... 6.00% 04/25/37 659,652
845,079 Series 2007-57, Class ZG..................................... 4.75% 06/25/37 889,786
549,451 Series 2007-60, Class ZS..................................... 4.75% 07/25/37 602,076
505,051 Series 2007-68, Class AE..................................... 6.50% 07/25/37 563,331
319,947 Series 2007-116, Class PB.................................... 5.50% 08/25/35 343,453
104,881 Series 2007-117, Class MD.................................... 5.50% 07/25/37 106,852
3,162,893 Series 2007-W10, Class 3A (e)................................ 2.20% 06/25/47 3,286,913
121,176 Series 2008-3, Class FZ, 1 Mo. LIBOR + 0.55% (a)............. 1.22% 02/25/38 122,706
20,360 Series 2008-8, Class ZA...................................... 5.00% 02/25/38 21,288
9,793 Series 2008-17, Class IP, IO................................. 6.50% 02/25/38 894
692,352 Series 2008-389, Class 4, IO, STRIPS......................... 6.00% 03/25/38 121,493
3,895 Series 2009-10, Class AB..................................... 5.00% 03/25/24 3,930
702,505 Series 2009-11, Class PI, IO................................. 5.50% 03/25/36 120,903
907 Series 2009-14, Class BS, IO, 1 Mo. LIBOR (x) -1 +
6.25% (c) (h)............................................. 5.58% 03/25/24 17
1,359,967 Series 2009-37, Class NZ..................................... 5.71% 02/25/37 1,504,118
4,400,000 Series 2009-50, Class GX..................................... 5.00% 07/25/39 4,710,051
505,949 Series 2009-64, Class ZD..................................... 8.00% 08/25/39 583,550
2,938,078 Series 2009-85, Class J...................................... 4.50% 10/25/39 3,060,545
192,869 Series 2009-91, Class HL..................................... 5.00% 11/25/39 191,320
97,000 Series 2009-92, Class DB..................................... 5.00% 11/25/39 103,560
801,066 Series 2009-103, Class PZ.................................... 6.00% 12/25/39 985,902
203,621 Series 2009-106, Class SN, IO, 1 Mo. LIBOR (x) -1 +
6.25% (c)................................................. 5.58% 01/25/40 23,346
272,220 Series 2009-109, Class PZ.................................... 4.50% 01/25/40 278,553
55,736 Series 2009-115, Class HZ.................................... 5.00% 01/25/40 55,288
982,403 Series 2009-397, Class 2, IO, STRIPS......................... 5.00% 09/25/39 172,198
136,637 Series 2009-398, Class C13, IO, STRIPS....................... 4.00% 06/25/24 3,573
1,306,618 Series 2010-2, Class LC...................................... 5.00% 02/25/40 1,382,608
See Notes to Financial Statements Page 13
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 195,900 Series 2010-3, Class DZ...................................... 4.50% 02/25/40 $ 202,153
151,526 Series 2010-21, Class KO, PO................................. (b) 03/25/40 133,303
500,000 Series 2010-35, Class EP..................................... 5.50% 04/25/40 553,419
345,493 Series 2010-35, Class SJ, 1 Mo. LIBOR (x) -3.33 +
17.67% (c)................................................ 15.44% 04/25/40 375,190
327,788 Series 2010-38, Class KC..................................... 4.50% 04/25/40 337,318
330,713 Series 2010-45, Class WB..................................... 5.00% 05/25/40 346,974
26,013 Series 2010-49, Class SC, 1 Mo. LIBOR (x) -2 + 12.66% (c).... 11.32% 03/25/40 28,689
375,244 Series 2010-68, Class BI, IO................................. 5.50% 07/25/50 78,430
35,555 Series 2010-75, Class MT (e)................................. 1.60% 12/25/39 34,657
136,509 Series 2010-110, Class KI, IO................................ 5.50% 10/25/25 2,673
89,722 Series 2010-115, Class PO, PO................................ (b) 04/25/40 79,608
253,525 Series 2010-129, Class SM, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.33% 11/25/40 14,273
2,821,000 Series 2010-142, Class DL.................................... 4.00% 12/25/40 2,885,763
1,682,885 Series 2010-147, Class KS, IO, 1 Mo. LIBOR (x) -1 +
5.95% (c)................................................. 5.28% 01/25/41 91,991
164,964 Series 2011-9, Class AZ...................................... 5.00% 05/25/40 168,344
1,507,000 Series 2011-10, Class AY..................................... 6.00% 02/25/41 1,792,300
118,577 Series 2011-30, Class LS, IO (d)............................. 1.56% 04/25/41 6,590
130,387 Series 2011-30, Class ZB..................................... 5.00% 04/25/41 133,808
356,425 Series 2011-52, Class GB..................................... 5.00% 06/25/41 375,285
1,382,021 Series 2011-73, Class PI, IO................................. 4.50% 05/25/41 81,779
216,148 Series 2011-74, Class TQ, IO, 1 Mo. LIBOR (x) -6.43 +
55.93%, 4.50% Cap (c)..................................... 4.50% 12/25/33 26,735
1,318,014 Series 2011-87, Class YI, IO................................. 5.00% 09/25/41 240,672
2,179,769 Series 2011-101, Class EI, IO................................ 3.50% 10/25/26 80,005
750,000 Series 2011-105, Class MB.................................... 4.00% 10/25/41 739,129
1,756,430 Series 2011-111, Class PZ.................................... 4.50% 11/25/41 1,893,735
4,935,125 Series 2011-123, Class JS, IO, 1 Mo. LIBOR (x) -1 +
6.65% (c)................................................. 5.98% 03/25/41 424,223
13,082,500 Series 2011-123, Class ZP.................................... 4.50% 12/25/41 13,429,472
1,546,710 Series 2012-28, Class PT..................................... 4.00% 03/25/42 1,529,885
776,952 Series 2012-39, Class PB..................................... 4.25% 04/25/42 800,763
344,382 Series 2012-52, Class BZ..................................... 4.00% 05/25/42 315,322
660 Series 2012-53, Class CI, IO (h)............................. 3.00% 05/25/22 0
585,239 Series 2012-65, Class IO, IO................................. 5.50% 07/25/40 101,634
142,984 Series 2012-66, Class DI, IO................................. 3.50% 06/25/27 7,678
3,586,711 Series 2012-101, Class AI, IO................................ 3.00% 06/25/27 118,015
3,532,990 Series 2012-103, Class HI, IO................................ 3.00% 09/25/27 165,672
244,772 Series 2012-111, Class B..................................... 7.00% 10/25/42 271,717
157,063 Series 2012-118, Class IB, IO................................ 3.50% 11/25/42 23,279
8,225,222 Series 2012-122, Class SD, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.43% 11/25/42 1,130,657
435,138 Series 2012-133, Class KO, PO................................ (b) 12/25/42 227,930
541,286 Series 2012-138, Class MA.................................... 1.00% 12/25/42 480,039
1,354,855 Series 2012-146, Class QA.................................... 1.00% 01/25/43 1,200,535
308,071 Series 2012-409, Class 49, IO, STRIPS (d).................... 3.50% 11/25/41 46,710
337,824 Series 2012-409, Class 53, IO, STRIPS (d).................... 3.50% 04/25/42 51,093
690,000 Series 2013-10, Class HQ..................................... 2.50% 02/25/43 527,347
414,439 Series 2013-13, Class IK, IO................................. 2.50% 03/25/28 21,147
Page 14 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 58,651 Series 2013-22, Class TS, 1 Mo. LIBOR (x) -1.50 +
6.08% (c)................................................. 5.39% 03/25/43 $ 42,817
50,011 Series 2013-23, Class ZB..................................... 3.00% 03/25/43 35,122
750,000 Series 2013-41, Class DB..................................... 3.00% 05/25/43 671,195
1,228,450 Series 2013-43, Class IX, IO................................. 4.00% 05/25/43 253,229
406,601 Series 2013-51, Class PI, IO................................. 3.00% 11/25/32 40,426
406,216 Series 2013-52, Class MD..................................... 1.25% 06/25/43 365,090
6,433,563 Series 2013-54, Class LI, IO................................. 7.00% 11/25/34 1,214,276
609,937 Series 2013-55, Class AI, IO................................. 3.00% 06/25/33 66,392
3,837,241 Series 2013-67, Class IL, IO................................. 6.50% 07/25/43 708,654
130,300 Series 2013-70, Class JZ..................................... 3.00% 07/25/43 121,783
108,547 Series 2013-75, Class FC, 1 Mo. LIBOR + 0.25% (a)............ 0.92% 07/25/42 108,559
379,979 Series 2013-105, Class BN.................................... 4.00% 05/25/43 372,243
197,253 Series 2013-105, Class KO, PO................................ (b) 10/25/43 179,156
195,852 Series 2013-106, Class KN.................................... 3.00% 10/25/43 174,537
1,003,000 Series 2013-130, Class QY.................................... 4.50% 06/25/41 1,051,536
1,926,048 Series 2013-417, Class C21, IO, STRIPS....................... 4.00% 12/25/42 291,275
4,249,283 Series 2013-418, Class C1, IO, STRIPS........................ 3.50% 08/25/43 608,818
68,955 Series 2014-29, Class GI, IO................................. 3.00% 05/25/29 3,751
2,791,965 Series 2014-44, Class NI, IO................................. 4.50% 08/25/29 105,355
145,123 Series 2014-46, Class KA (d)................................. 21.26% 08/25/44 251,719
112,985 Series 2014-68, Class GI, IO................................. 4.50% 10/25/43 11,211
590,108 Series 2014-82, Class GZ..................................... 4.00% 12/25/44 564,959
716,057 Series 2014-84, Class LI, IO................................. 3.50% 12/25/26 27,122
875,000 Series 2015-16, Class MY..................................... 3.50% 04/25/45 843,953
8,000,000 Series 2015-19, Class JB..................................... 3.50% 04/25/45 7,867,680
28,166 Series 2015-38, Class GI, IO................................. 3.00% 09/25/43 343
10,779,759 Series 2015-40, Class AI, IO................................. 6.00% 05/25/37 2,030,661
359,818 Series 2015-76, Class BI, IO................................. 4.00% 10/25/39 26,917
71,287 Series 2015-93, Class KI, IO................................. 3.00% 09/25/44 4,833
1,234,954 Series 2015-97, Class AI, IO................................. 4.00% 09/25/41 22,110
4,962,021 Series 2016-2, Class EZ...................................... 2.50% 02/25/46 4,652,000
8,774,460 Series 2016-37, Class PY..................................... 3.00% 06/25/46 8,001,552
19,039,364 Series 2016-40, Class MS, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.33% 07/25/46 3,304,657
12,261,682 Series 2016-44, Class Z...................................... 3.50% 07/25/46 11,994,197
11,510,000 Series 2016-50, Class GY..................................... 3.00% 08/25/46 10,514,187
8,201,660 Series 2016-62, Class SB, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.43% 09/25/46 884,059
913,100 Series 2016-71, Class NI, IO................................. 3.50% 04/25/46 107,510
3,181,441 Series 2016-73, Class PI, IO................................. 3.00% 08/25/46 526,903
409,367 Series 2016-74, Class HI, IO................................. 3.50% 10/25/46 68,081
338,268 Series 2016-84, Class DF, 1 Mo. LIBOR + 0.42% (a)............ 0.65% 11/25/46 337,487
860,887 Series 2016-87, Class AF, 1 Mo. LIBOR + 0.40% (a)............ 0.63% 11/25/46 856,401
9,380,279 Series 2017-18, Class AS, IO, 1 Mo. LIBOR (x) -1 +
6.05% (c)................................................. 5.38% 03/25/47 1,596,366
597,364 Series 2017-46, Class BY..................................... 3.00% 06/25/47 523,783
9,096,728 Series 2017-49, Class ZJ..................................... 4.00% 07/25/57 9,131,938
12,080,075 Series 2017-50, Class BZ..................................... 3.00% 07/25/47 11,380,791
6,427,849 Series 2017-65, Class SA, IO, 1 Mo. LIBOR (x) -1 + 5.90%,
5.00% Cap (c)............................................. 5.00% 09/25/47 888,340
3,990,668 Series 2017-84, Class ZK..................................... 3.50% 10/25/57 3,940,481
See Notes to Financial Statements Page 15
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 3,763,262 Series 2017-87, Class GI, IO................................. 4.00% 06/25/44 $ 589,066
2,121,309 Series 2017-87, Class ZA..................................... 4.00% 11/25/57 2,033,984
2,553,132 Series 2018-17, Class Z...................................... 3.50% 03/25/48 2,430,220
30,505,319 Series 2018-76, Class ZL..................................... 4.00% 10/25/58 30,295,836
7,050,711 Series 2018-86, Class DL..................................... 3.50% 12/25/48 6,914,620
3,479,150 Series 2018-92, Class DB..................................... 3.50% 01/25/49 3,402,040
6,040,730 Series 2018-94, Class AZ..................................... 4.00% 01/25/49 5,890,681
9,356,169 Series 2019-8, Class DY...................................... 3.50% 03/25/49 9,148,345
8,135,218 Series 2019-17, Class GZ..................................... 4.00% 11/25/56 8,261,325
11,912,363 Series 2019-26, Class GA..................................... 3.50% 06/25/49 11,769,241
5,228,355 Series 2019-27, Class HA..................................... 3.00% 06/25/49 5,047,207
7,852,396 Series 2019-29, Class HT..................................... 3.00% 06/25/49 7,629,145
6,821,373 Series 2019-34, Class JA..................................... 3.00% 07/25/49 6,643,165
16,388,357 Series 2019-34, Class LA..................................... 3.00% 07/25/49 15,899,802
4,608,746 Series 2019-37, Class A...................................... 3.00% 07/25/49 4,482,819
14,654,567 Series 2019-41, Class SN, IO, 1 Mo. LIBOR (x) -1 +
6.05% (c)................................................. 5.38% 08/25/49 2,257,293
11,472,115 Series 2019-57, Class JA..................................... 2.50% 10/25/49 10,842,896
5,178,870 Series 2019-59, Class PT..................................... 2.50% 10/25/49 4,941,259
12,043,263 Series 2019-66, Class C...................................... 3.00% 11/25/49 11,581,944
40,476,254 Series 2019-68, Class KP..................................... 2.50% 11/25/49 38,156,301
25,773,960 Series 2019-70, Class WA, PO................................. (b) 11/25/42 22,072,139
32,028,020 Series 2020-5, Class BZ...................................... 3.00% 02/25/50 30,353,922
16,435,111 Series 2020-9, Class SJ, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c).. 5.33% 02/25/50 3,172,067
11,969,763 Series 2020-20, Class KI, IO................................. 4.00% 03/25/50 4,079,372
35,404,793 Series 2020-34, Class AI, IO................................. 3.50% 06/25/35 3,204,020
13,423,823 Series 2020-37, Class QI, IO................................. 4.50% 06/25/50 2,620,071
5,209,044 Series 2020-66, Class IC, IO................................. 6.00% 10/25/47 1,100,528
45,168,841 Series 2020-74, Class IQ, IO................................. 6.00% 10/25/50 9,185,499
36,100,411 Series 2020-77, Class DI, IO................................. 4.00% 11/25/35 4,204,539
15,516,582 Series 2020-93, Class NI, IO................................. 3.00% 01/25/51 1,631,382
16,543,031 Series 2021-1, Class IB, IO.................................. 3.50% 02/25/61 3,480,801
51,574,507 Series 2021-66, Class CI, IO................................. 4.00% 10/25/36 6,929,633
10,025,000 Series 2022-15, Class ZH..................................... 3.00% 04/25/52 8,107,815
53,371,623 Series 2022-18, Class DZ..................................... 3.50% 04/25/52 47,239,821
8,149,094 Series 2022-18, Class Z...................................... 3.50% 04/25/52 7,401,733
Federal National Mortgage Association Grantor Trust
2,088,177 Series 2005-T1, Class A1, 1 Mo. LIBOR + 0.40% (a)............ 1.07% 05/25/35 2,091,487
Government National Mortgage Association
21,836 Series 2001-60, Class PZ..................................... 6.00% 12/20/31 21,836
190,829 Series 2002-72, Class ZB..................................... 6.00% 10/20/32 190,933
176,124 Series 2003-4, Class MZ...................................... 5.50% 01/20/33 180,576
320,279 Series 2003-18, Class PG..................................... 5.50% 03/20/33 327,494
1,486,972 Series 2003-35, Class TZ..................................... 5.75% 04/16/33 1,495,424
125,908 Series 2003-62, Class MZ..................................... 5.50% 07/20/33 134,390
191,149 Series 2003-84, Class Z...................................... 5.50% 10/20/33 199,751
104,683 Series 2004-37, Class B...................................... 6.00% 04/17/34 110,739
535,487 Series 2004-49, Class MZ..................................... 6.00% 06/20/34 574,584
43,147 Series 2004-68, Class ZC..................................... 6.00% 08/20/34 46,077
51,355 Series 2004-71, Class ST, 1 Mo. LIBOR (x) -6.25 + 44.50%,
7.00% Cap (c)............................................. 7.00% 09/20/34 52,541
Page 16 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 92,225 Series 2004-83, Class AK, 1 Mo. LIBOR (x) -3.00 +
16.49% (c)................................................ 14.71% 10/16/34 $ 92,326
383,862 Series 2004-88, Class SM, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.51% 10/16/34 27,150
37,428 Series 2004-92, Class AK, 1 Mo. LIBOR (x) -3 + 16.50% (c).... 14.72% 11/16/34 39,468
1,469,033 Series 2004-92, Class BZ..................................... 5.50% 11/16/34 1,548,300
237,469 Series 2004-105, Class JZ.................................... 5.00% 12/20/34 243,276
227,624 Series 2004-105, Class KA.................................... 5.00% 12/16/34 232,479
236,483 Series 2005-3, Class JZ...................................... 5.00% 01/16/35 232,018
236,483 Series 2005-3, Class KZ...................................... 5.00% 01/16/35 239,337
18,332 Series 2005-7, Class AJ, 1 Mo. LIBOR (x) -4 + 22.00% (c)..... 19.62% 02/16/35 20,587
13,520 Series 2005-7, Class KA, 1 Mo. LIBOR (x) -2.81 +
18.95% (c)................................................ 17.28% 12/17/34 13,676
161,677 Series 2005-7, Class MA, 1 Mo. LIBOR (x) -2.81 +
18.95% (c)................................................ 17.28% 12/17/34 166,678
138,113 Series 2005-33, Class AY..................................... 5.50% 04/16/35 143,724
122,293 Series 2005-41, Class PA..................................... 4.00% 05/20/35 124,282
278,694 Series 2005-44, Class IO, IO................................. 5.50% 07/20/35 26,961
2,450,795 Series 2005-78, Class ZA..................................... 5.00% 10/16/35 2,546,398
212,168 Series 2005-93, Class PO, PO................................. (b) 06/20/35 194,383
415,664 Series 2006-17, Class TW..................................... 6.00% 04/20/36 448,698
500,000 Series 2006-38, Class OH..................................... 6.50% 08/20/36 533,613
189,913 Series 2006-61, Class ZA..................................... 5.00% 11/20/36 195,551
447,038 Series 2007-16, Class OZ..................................... 6.00% 04/20/37 485,590
135,909 Series 2007-27, Class SD, IO, 1 Mo. LIBOR (x) -1 +
6.20% (c)................................................. 5.61% 05/20/37 10,185
108,867 Series 2007-41, Class OL, PO................................. (b) 07/20/37 98,799
191,800 Series 2007-42, Class SB, IO, 1 Mo. LIBOR (x) -1 +
6.75% (c)................................................. 6.16% 07/20/37 15,203
97,637 Series 2007-68, Class NA..................................... 5.00% 11/20/37 100,405
586,890 Series 2007-71, Class ZD..................................... 6.00% 11/20/37 616,914
150,377 Series 2007-81, Class FZ, 1 Mo. LIBOR + 0.35% (a)............ 0.94% 12/20/37 150,760
89,665 Series 2008-33, Class XS, IO, 1 Mo. LIBOR (x) -1 +
7.70% (c)................................................. 7.11% 04/16/38 9,221
527,619 Series 2008-47, Class ML..................................... 5.25% 06/16/38 553,541
158,534 Series 2008-54, Class PE..................................... 5.00% 06/20/38 165,865
419,023 Series 2008-71, Class JI, IO................................. 6.00% 04/20/38 37,141
20,087 Series 2009-10, Class PA..................................... 4.50% 12/20/38 20,215
115,041 Series 2009-14, Class KI, IO................................. 6.50% 03/20/39 18,595
37,748 Series 2009-14, Class KS, IO, 1 Mo. LIBOR (x) -1 +
6.30% (c)................................................. 5.71% 03/20/39 2,651
89,930 Series 2009-25, Class SE, IO, 1 Mo. LIBOR (x) -1 +
7.60% (c)................................................. 7.01% 09/20/38 8,317
2,747,796 Series 2009-29, Class PC..................................... 7.00% 05/20/39 3,057,091
406,657 Series 2009-32, Class SZ..................................... 5.50% 05/16/39 437,109
302,624 Series 2009-42, Class BI, IO................................. 6.00% 06/20/39 36,116
3,732,479 Series 2009-57, Class VB..................................... 5.00% 06/16/39 3,868,923
272,974 Series 2009-61, Class PZ..................................... 7.50% 08/20/39 323,431
9,644,638 Series 2009-61, Class WQ, IO, 1 Mo. LIBOR (x) -1 +
6.25% (c)................................................. 5.66% 11/16/35 1,123,690
1,067,115 Series 2009-69, Class ZB..................................... 6.00% 08/20/39 1,099,731
See Notes to Financial Statements Page 17
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 743,929 Series 2009-72, Class SM, IO, 1 Mo. LIBOR (x) -1 +
6.25% (c)................................................. 5.66% 08/16/39 $ 75,621
455,000 Series 2009-75, Class JN..................................... 5.50% 09/16/39 492,511
610,383 Series 2009-78, Class KZ..................................... 5.50% 09/16/39 680,433
111,543 Series 2009-79, Class OK, PO................................. (b) 11/16/37 100,063
143,619 Series 2009-81, Class TZ..................................... 5.50% 09/20/39 156,764
689,194 Series 2009-87, Class EI, IO................................. 5.50% 08/20/39 66,744
69,000 Series 2009-94, Class AL..................................... 5.00% 10/20/39 72,672
290,553 Series 2009-106, Class DZ.................................... 5.50% 11/20/39 321,141
4,115,244 Series 2009-106, Class SL, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.51% 04/20/36 358,834
49,414 Series 2009-106, Class WZ.................................... 5.50% 11/16/39 54,323
732,000 Series 2009-126, Class LB.................................... 5.00% 12/20/39 781,279
27,473 Series 2010-4, Class WA...................................... 3.00% 01/16/40 27,059
1,077,374 Series 2010-14, Class BV, IO, 1 Mo. LIBOR (x) -1 +
6.25% (c)................................................. 5.66% 02/16/40 80,026
105,788 Series 2010-42, Class CO, PO................................. (b) 06/16/39 103,516
1,655,062 Series 2010-46, Class FC, 1 Mo. LIBOR + 0.80% (a)............ 1.39% 03/20/35 1,672,865
909,366 Series 2010-59, Class ZD..................................... 6.50% 05/20/40 1,086,974
1,247,031 Series 2010-85, Class SL, IO, 1 Mo. LIBOR (x) -1 +
6.60% (c)................................................. 6.01% 07/20/37 80,758
87,000 Series 2010-116, Class BM.................................... 4.50% 09/16/40 92,136
1,493,733 Series 2010-116, Class JB.................................... 5.00% 06/16/40 1,528,412
637,326 Series 2010-157, Class OP, PO................................ (b) 12/20/40 556,499
86,778 Series 2010-166, Class DI, IO................................ 4.50% 02/20/39 2,270
152,511 Series 2011-4, Class PZ...................................... 5.00% 01/20/41 162,196
771,202 Series 2011-35, Class BP..................................... 4.50% 03/16/41 794,656
230,447 Series 2011-48, Class LI, IO................................. 5.50% 01/16/41 32,164
6,329,991 Series 2011-61, Class WS, IO, 1 Mo. LIBOR (x) -1 +
6.47% (c)................................................. 5.88% 02/20/38 573,402
47,150 Series 2011-63, Class BI, IO................................. 6.00% 02/20/38 3,759
640,943 Series 2011-71, Class ZC..................................... 5.50% 07/16/34 669,441
1,598,572 Series 2011-81, Class IC, IO, 1 Mo. LIBOR (x) -1 + 6.72%,
0.62% Cap (c)............................................. 0.62% 07/20/35 21,351
385,390 Series 2011-112, Class IP, IO................................ 0.50% 08/16/26 10
239,265 Series 2011-129, Class CL.................................... 5.00% 03/20/41 249,253
4,418 Series 2011-136, Class GB.................................... 2.50% 05/20/40 4,412
248,473 Series 2011-146, Class EI, IO................................ 5.00% 11/16/41 43,241
39,648 Series 2011-151, Class TB, IO, 1 Mo. LIBOR (x) -70 + 465.50%,
3.50% Cap (c)............................................. 3.50% 04/20/41 3,323
305,533 Series 2012-10, Class LI, IO................................. 3.50% 07/20/40 2,929
2,218,588 Series 2012-18, Class IA, IO, 1 Mo. LIBOR (x) -1 + 6.68%,
0.58% Cap (c)............................................. 0.58% 07/20/39 20,608
1,107,688 Series 2012-48, Class MI, IO................................. 5.00% 04/16/42 194,380
8,496,798 Series 2012-84, Class QS, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.51% 07/16/42 755,020
6,711,842 Series 2012-84, Class SJ, 1 Mo. LIBOR (x) -0.57 +
2.51% (c)................................................. 2.17% 07/16/42 4,647,610
251,623 Series 2012-108, Class KB.................................... 2.75% 09/16/42 230,293
4,324,287 Series 2012-143, Class TI, IO................................ 3.00% 12/16/27 227,584
1,842,856 Series 2012-149, Class PC (d)................................ 6.33% 12/20/42 2,003,096
14,492,819 Series 2013-4, Class IC, IO.................................. 4.00% 09/20/42 2,556,955
Page 18 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 84,526 Series 2013-5, Class IA, IO.................................. 3.50% 10/16/42 $ 11,264
580,008 Series 2013-10, Class DI, IO................................. 3.50% 09/20/42 49,282
2,223,000 Series 2013-20, Class QM..................................... 2.63% 02/16/43 1,975,556
1,582,626 Series 2013-22, Class IO, IO................................. 3.00% 02/20/43 197,603
3,805,063 Series 2013-23, Class IP, IO................................. 3.50% 08/20/42 498,656
1,764,940 Series 2013-53, Class OI, IO................................. 3.50% 04/20/43 182,959
1,713,431 Series 2013-69, Class AI, IO................................. 3.50% 05/20/43 267,879
192,017 Series 2013-69, Class PI, IO................................. 5.00% 05/20/43 20,841
953,680 Series 2013-70, Class PM..................................... 2.50% 05/20/43 843,966
2,500,133 Series 2013-91, Class PB..................................... 3.50% 09/20/42 2,486,905
898,729 Series 2013-130, Class WS, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.51% 09/20/43 154,756
3,295,552 Series 2013-170, Class IG, IO................................ 5.50% 11/16/43 299,749
688,000 Series 2013-183, Class PB.................................... 4.50% 12/20/43 689,541
2,307,147 Series 2014-6, Class IJ, IO.................................. 4.50% 06/16/43 147,456
13,235,925 Series 2014-30, Class EA (d)................................. 1.74% 02/16/44 12,173,509
5,385,834 Series 2014-43, Class Z...................................... 4.00% 03/20/44 5,600,727
2,592,657 Series 2014-44, Class IC, IO................................. 3.00% 04/20/28 143,360
6,305,069 Series 2014-44, Class ID, IO (d) (e)......................... 0.33% 03/16/44 60,596
23,142 Series 2014-91, Class JI, IO................................. 4.50% 01/20/40 1,389
578,935 Series 2014-94, Class Z...................................... 4.50% 01/20/44 639,437
2,901,975 Series 2014-99, Class HI, IO................................. 4.50% 06/20/44 432,373
3,134,977 Series 2014-115, Class QI, IO................................ 3.00% 03/20/29 99,549
2,959,388 Series 2014-116, Class SB, IO, 1 Mo. LIBOR (x) -1 +
5.60% (c)................................................. 5.01% 08/20/44 416,340
1,735,538 Series 2014-118, Class TV, IO, 1 Mo. LIBOR (x) -1 +
6.25% (c)................................................. 5.66% 05/20/44 203,962
7,239,944 Series 2015-3, Class ZD...................................... 4.00% 01/20/45 7,495,464
10,074,520 Series 2015-40, Class IO, IO................................. 4.00% 03/20/45 1,686,648
5,548,729 Series 2015-66, Class LI, IO................................. 5.00% 05/16/45 559,334
36,607 Series 2015-95, Class IK, IO (d)............................. 1.48% 05/16/37 780
11,799,061 Series 2015-99, Class EI, IO................................. 5.50% 07/16/45 2,025,446
6,595,218 Series 2015-124, Class DI, IO................................ 3.50% 01/20/38 247,465
289,341 Series 2015-137, Class WA (d) (e)............................ 5.55% 01/20/38 312,337
416,027 Series 2015-138, Class MI, IO................................ 4.50% 08/20/44 46,770
96,347 Series 2015-151, Class KW (d)................................ 5.40% 04/20/34 99,507
3,691,279 Series 2015-162, Class ZG.................................... 4.00% 11/20/45 3,840,950
4,244,189 Series 2015-168, Class GI, IO................................ 5.50% 02/16/33 351,084
192,471 Series 2016-16, Class KZ..................................... 3.00% 02/16/46 167,374
7,733,786 Series 2016-37, Class AF, 1 Mo. LIBOR + 0.47% (a)............ 0.93% 11/20/43 7,725,106
159,076 Series 2016-55, Class PB (d)................................. 5.63% 03/20/31 164,921
976,249 Series 2016-69, Class WI, IO................................. 4.50% 05/20/46 236,945
2,938,126 Series 2016-75, Class SA, IO, 1 Mo. LIBOR (x) -1 +
6.00% (c)................................................. 5.41% 05/20/40 319,112
531,265 Series 2016-78, Class UI, IO................................. 4.00% 06/20/46 59,165
2,823,238 Series 2016-89, Class HI, IO................................. 3.50% 07/20/46 486,909
334,833 Series 2016-99, Class JA (d)................................. 5.51% 11/20/45 358,368
1,013,003 Series 2016-109, Class ZM.................................... 3.50% 08/20/36 964,958
7,119,273 Series 2016-111, Class PI, IO................................ 3.50% 06/20/45 680,938
743,718 Series 2016-118, Class GI, IO................................ 4.50% 02/16/40 105,105
8,298,402 Series 2016-120, Class AS, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.51% 09/20/46 1,327,348
See Notes to Financial Statements Page 19
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 464,000 Series 2016-141, Class PC.................................... 5.00% 10/20/46 $ 519,581
324,265 Series 2016-145, Class LZ.................................... 3.00% 10/20/46 271,219
566,450 Series 2016-154, Class WF, 1 Mo. LIBOR + 0.40% (a)........... 0.86% 11/20/45 564,119
7,332,385 Series 2016-156, Class ZM.................................... 3.50% 11/20/46 6,940,687
303,000 Series 2016-160, Class LE.................................... 2.50% 11/20/46 258,525
217,403 Series 2016-167, Class KI, IO................................ 6.00% 12/16/46 32,250
2,270,481 Series 2017-12, Class SD, IO, 1 Mo. LIBOR (x) -1 +
6.10% (c)................................................. 5.51% 01/20/47 368,668
938,842 Series 2017-17, Class KZ..................................... 4.50% 02/20/47 1,017,156
4,425,567 Series 2017-32, Class DI, IO................................. 5.50% 05/20/35 775,112
2,610,260 Series 2017-32, Class IB, IO................................. 5.00% 02/16/47 268,745
6,045,558 Series 2017-33, Class PZ..................................... 3.00% 02/20/47 5,726,160
4,880,099 Series 2017-56, Class BI, IO................................. 6.00% 04/16/47 804,208
8,731,357 Series 2017-57, Class IO, IO................................. 5.00% 04/20/47 1,644,721
3,248,136 Series 2017-113, Class IE, IO................................ 5.50% 07/20/47 528,212
8,422,924 Series 2017-117, Class ZN.................................... 3.00% 08/20/47 7,901,374
12,366,726 Series 2017-122, Class CZ.................................... 3.00% 08/20/47 11,508,866
4,137,004 Series 2017-123, Class IO, IO................................ 5.00% 08/16/47 965,321
5,426,876 Series 2017-130, Class LS, IO, 1 Mo. LIBOR (x) -1 +
6.20% (c)................................................. 5.61% 08/16/47 602,545
5,391,389 Series 2017-133, Class JI, IO................................ 7.00% 06/20/41 792,952
11,541,864 Series 2017-134, Class AZ.................................... 3.00% 09/20/47 10,774,052
5,086,282 Series 2017-177, Class DI, IO................................ 4.50% 11/16/47 933,670
14,114,521 Series 2017-179, Class IN, IO................................ 5.00% 07/20/44 3,410,406
3,846,239 Series 2017-186, Class TI, IO, 1 Mo. LIBOR (x) -1 + 6.50%,
0.50% Cap (c)............................................. 0.50% 05/20/40 47,560
903,775 Series 2018-44, Class Z...................................... 2.50% 09/20/47 746,337
5,686,862 Series 2018-79, Class IO, IO................................. 5.00% 06/20/48 793,219
13,057,963 Series 2018-97, Class DZ..................................... 3.50% 07/20/48 12,871,134
6,623,062 Series 2018-131, Class IA, IO................................ 5.00% 04/20/44 758,111
10,000,000 Series 2018-134, Class KB.................................... 3.50% 10/20/48 9,577,457
8,856,687 Series 2018-155, Class KD.................................... 4.00% 11/20/48 8,827,086
6,682,263 Series 2018-160, Class GY.................................... 4.50% 11/20/48 6,672,270
5,332,621 Series 2018-78I, Class EZ.................................... 3.00% 04/20/48 4,988,142
3,500,893 Series 2019-6, Class EI, IO.................................. 5.00% 09/20/39 473,053
8,788,150 Series 2019-15, Class MZ..................................... 4.50% 02/20/49 8,818,036
12,488,006 Series 2019-18, Class TP..................................... 3.50% 02/20/49 12,221,845
1,162,463 Series 2019-27, Class DI, IO................................. 5.50% 01/20/40 184,158
3,469,097 Series 2019-35, Class BZ..................................... 3.50% 03/20/49 3,475,581
5,470,267 Series 2019-45, Class ZB..................................... 3.50% 04/20/49 5,417,526
37,471,898 Series 2019-128, Class EF, 1 Mo. LIBOR + 0.57% (a)........... 1.16% 10/20/49 36,606,529
20,290,097 Series 2020-31, Class IO, IO................................. 6.50% 03/20/50 2,805,607
14,385,074 Series 2020-62, Class IA, IO................................. 5.50% 05/20/50 2,809,524
3,000,000 Series 2020-62, Class IC, IO................................. 2.50% 01/20/50 740,770
14,014,801 Series 2020-62, Class WI, IO................................. 2.50% 08/20/49 3,266,061
7,097,422 Series 2020-84, Class IM, IO................................. 2.50% 05/20/50 1,821,387
19,759,118 Series 2020-84, Class IO, IO................................. 2.50% 04/20/50 5,262,074
29,612,304 Series 2020-104, Class AI, IO................................ 3.00% 07/20/50 4,675,451
26,069,966 Series 2020-129, Class IO, IO................................ 2.50% 09/20/50 3,160,050
88,501,134 Series 2020-129, Class IU, IO................................ 2.50% 09/20/50 10,825,786
18,414,193 Series 2020-144, Class IK, IO................................ 2.50% 09/20/50 2,232,640
56,175,572 Series 2020-146, Class CI, IO................................ 2.50% 10/20/50 7,228,403
Page 20 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 42,373,649 Series 2020-162, Class NI, IO................................ 2.50% 10/20/50 $ 5,255,960
57,698,586 Series 2020-173, Class MI, IO................................ 2.50% 11/20/50 7,617,644
11,124,722 Series 2020-188, Class IW, IO................................ 2.50% 12/20/50 1,545,486
22,248,342 Series 2020-189, Class IV, IO................................ 3.00% 12/20/50 2,868,067
1,943,845 Series 2021-7, Class KI, IO.................................. 2.50% 01/20/51 259,408
20,618,165 Series 2021-8, Class DI, IO.................................. 3.50% 01/20/51 2,388,309
16,524,662 Series 2021-15, Class JI, IO................................. 2.50% 01/20/51 1,844,088
105,277,138 Series 2021-24, Class XI, IO................................. 2.00% 02/20/51 11,765,762
50,612,181 Series 2021-27, Class IO, IO................................. 2.50% 02/20/51 6,841,623
39,017,404 Series 2021-27, Class PI, IO................................. 2.00% 02/20/51 3,819,897
35,121,331 Series 2021-32, Class AI, IO................................. 2.00% 02/20/51 3,894,316
7,485,831 Series 2021-46, Class IL, IO................................. 3.00% 03/20/51 1,073,386
12,696,965 Series 2021-46, Class LI, IO................................. 3.00% 03/20/51 1,674,194
10,317,535 Series 2021-69, Class IX, IO................................. 3.00% 04/20/51 1,571,581
26,107,627 Series 2021-91, Class IB, IO................................. 3.00% 05/20/51 3,427,610
104,150,857 Series 2021-97, Class NI, IO................................. 2.50% 08/20/49 10,400,192
33,910,141 Series 2021-159, Class QE.................................... 2.00% 09/20/51 31,001,851
40,930,000 Series 2021-188, Class PA.................................... 2.00% 10/20/51 37,725,651
17,014,000 Series 2022-46, Class LY..................................... 3.00% 03/20/52 15,478,287
5,537,209 Series 2022-60, Class CZ..................................... 3.00% 03/20/52 4,409,909
31,879,216 Series 2022-63, Class AZ (f)................................. 3.00% 08/20/51 29,687,520
16,305,930 Series 2022-63, Class BZ (f)................................. 3.50% 11/20/46 16,280,452
19,165,098 Series 2022-63, Class HZ (f)................................. 2.50% 11/20/51 15,913,020
10,927,213 Series 2022-63, Class MZ (f)................................. 3.00% 05/20/51 10,194,748
6,982,427 Series 2022-68, Class DZ (f)................................. 3.50% 04/20/52 6,461,472
12,170,000 Series 2022-68, Class MZ (f)................................. 3.50% 04/20/52 12,280,291
50,000,000 Series 2022-68, Class XA (f)................................. 3.50% 02/20/49 49,908,203
12,563,000 Series 2022-68, Class Z (f).................................. 3.50% 04/20/52 11,954,480
16,891,166 Series 2022-68, Class ZC (f)................................. 3.50% 04/20/52 16,785,596
12,991,946 Series 2022-69, Class QL..................................... 3.00% 04/20/52 12,409,741
10,917,513 Series 2022-78, Class AM (f)................................. 3.50% 04/20/52 10,211,286
20,000,000 Series BMOC-2631, Class Z (a) (f) (g)........................ 0.00% 09/01/57 13,840,625
Seasoned Credit Risk Transfer Trust
15,000,000 Series 2022-1, Class MBU..................................... 3.25% 11/25/61 13,709,337
Seasoned Loans Structured Transaction Trust
4,352,120 Series 2019-3, Class A1C..................................... 2.75% 11/25/29 4,240,062
Vendee Mortgage Trust
1,819,382 Series 2003-2, Class Z....................................... 5.00% 05/15/33 1,880,421
6,422,691 Series 2010-1, Class DZ...................................... 4.25% 04/15/40 6,406,586
10,030,323 Series 2011-1, Class DZ...................................... 3.75% 09/15/46 9,608,267
20,313,753 Series 2011-2, Class DZ...................................... 3.75% 10/15/41 19,741,470
----------------
1,705,956,351
----------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 11.7%
Federal Home Loan Mortgage Corporation Multiclass Certificates
50,000,000 Series 2020-RR06, Class BX, IO (d)........................... 1.84% 05/27/33 7,136,007
37,600,000 Series 2020-RR09, Class AX, IO (d) (f) (i)................... 2.63% 11/27/28 5,457,866
47,500,000 Series 2020-RR09, Class BX, IO (d) (f) (i)................... 2.20% 02/27/29 6,085,938
96,907,000 Series 2020-RR10, Class X, IO (d)............................ 2.01% 12/27/27 8,440,105
112,919,000 Series 2020-RR11, Class AX, IO (d)........................... 2.84% 01/27/29 16,302,658
44,200,500 Series 2020-RR11, Class BX, IO (d)........................... 2.44% 12/27/28 4,697,302
39,569,234 Series 2021-P009, Class X, IO (e)............................ 1.56% 01/25/31 2,816,059
See Notes to Financial Statements Page 21
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation Multiclass Certificates
(Continued)
$ 4,377,911 Series 2021-P011, Class X1, IO (e)........................... 1.84% 09/25/45 $ 620,783
112,345,000 Series 2021-RR15, Class X, IO (e)............................ 1.56% 10/27/34 14,762,167
100,924,000 Series 2021-RR18, Class X, IO (e) (f) (i).................... 1.90% 10/27/28 9,781,756
55,000,000 Series 2021-RR20, Class X, IO (e)............................ 1.85% 04/25/33 8,631,007
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass Through Certificates
114,005,843 Series 2013-K030, Class X1, IO (e)........................... 0.26% 04/25/23 151,958
75,206,460 Series 2014-K036, Class X1, IO (e)........................... 0.84% 10/25/23 675,602
42,758,691 Series 2015-K721, Class X1, IO (e)........................... 0.45% 08/25/22 34,233
290,132,823 Series 2016-KIR1, Class X, IO (e)............................ 1.19% 03/25/26 10,176,467
12,000,000 Series 2018-K156, Class A3................................... 3.70% 06/25/33 12,103,700
28,941,200 Series 2018-K157, Class A2................................... 3.99% 05/25/33 30,023,873
7,101,000 Series 2018-K159, Class A3................................... 3.95% 11/25/33 7,258,355
57,765,039 Series 2019-K099, Class X1, IO (e)........................... 1.00% 09/25/29 3,136,491
57,790,000 Series 2019-K099, Class XAM, IO (e).......................... 1.26% 09/25/29 4,262,301
69,644,531 Series 2019-K101, Class X1, IO (d)........................... 0.95% 10/25/29 3,612,963
64,993,000 Series 2019-K102, Class XAM, IO (d).......................... 1.21% 10/25/29 4,600,529
59,029,000 Series 2019-K103, Class XAM, IO (e).......................... 1.01% 11/25/29 3,543,806
103,328,139 Series 2019-K734, Class X1, IO (e)........................... 0.78% 02/25/26 2,114,404
68,018,000 Series 2019-K734, Class XAM, IO (e).......................... 0.55% 02/25/26 1,113,115
42,398,402 Series 2019-K735, Class X1, IO (e)........................... 1.09% 05/25/26 1,387,594
57,404,996 Series 2019-K736, Class X1, IO (e)........................... 1.43% 07/25/26 2,464,058
28,620,944 Series 2019-K1510, Class X1, IO (e).......................... 0.64% 01/25/34 1,227,163
158,343,252 Series 2019-K1512, Class X1, IO (e).......................... 1.05% 04/25/34 12,084,709
56,995,381 Series 2019-K1513, Class X1, IO (e).......................... 0.99% 08/25/34 4,233,241
18,674,000 Series 2020-K109, Class XAM, IO (e).......................... 1.91% 04/25/30 2,263,216
108,672,016 Series 2020-K110, Class X1, IO (e)........................... 1.81% 04/25/30 11,550,890
29,090,000 Series 2020-K112, Class XAM, IO (e).......................... 1.77% 05/25/30 3,303,492
82,019,000 Series 2020-K113, Class XAM, IO (e).......................... 1.69% 06/25/30 8,935,880
53,100,000 Series 2020-K114, Class XAM, IO (e).......................... 1.44% 06/25/30 4,877,421
50,703,859 Series 2020-K115, Class X1, IO (e)........................... 1.43% 06/25/30 4,425,433
55,537,412 Series 2020-K115, Class XAM, IO (e).......................... 1.65% 07/25/30 5,921,815
16,455,041 Series 2020-K116, Class X1, IO (e)........................... 1.53% 07/25/30 1,516,872
55,500,000 Series 2020-K116, Class XAM, IO (e).......................... 1.70% 08/25/30 6,195,587
63,500,000 Series 2020-K117, Class XAM, IO (e).......................... 1.53% 09/25/30 6,355,683
34,886,485 Series 2020-K118, Class X1, IO (e)........................... 1.05% 09/25/30 2,261,126
37,051,661 Series 2020-K118, Class XAM, IO (e).......................... 1.26% 09/25/30 3,082,961
51,000,000 Series 2020-K119, Class XAM, IO (e).......................... 1.23% 10/25/30 4,123,574
75,535,017 Series 2020-K120, Class XAM, IO (e).......................... 1.31% 10/25/30 6,537,767
21,236,000 Series 2020-K121, Class XAM, IO (e).......................... 1.29% 11/25/30 1,829,847
29,940,542 Series 2020-K122, Class X1, IO (e)........................... 0.97% 11/25/30 1,796,908
35,210,000 Series 2020-K122, Class XAM, IO (e).......................... 1.17% 11/25/30 2,754,292
75,577,469 Series 2020-K737, Class X1, IO (d)........................... 0.75% 10/25/26 1,753,102
38,559,000 Series 2020-K738, Class XAM, IO (d).......................... 1.48% 03/25/27 2,287,802
131,750,487 Series 2020-K739, Class X1, IO (e)........................... 1.32% 09/25/27 6,830,419
40,072,531 Series 2020-K739, Class XAM, IO (e).......................... 1.67% 09/25/27 2,930,765
33,000,000 Series 2020-K740, Class XAM (e).............................. 1.20% 10/25/27 1,762,735
90,051,216 Series 2020-K1515, Class X1, IO (e).......................... 1.64% 02/25/35 12,147,099
86,959,598 Series 2020-K1516, Class X1, IO (e).......................... 1.63% 05/25/35 12,693,032
94,352,088 Series 2020-K1517, Class X1, IO (e).......................... 1.44% 07/25/35 12,130,291
52,941,375 Series 2020-KG04, Class X1, IO (e)........................... 0.94% 11/25/30 3,072,950
Page 22 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass Through Certificates (Continued)
$ 49,625,000 Series 2021-K123, Class XAM, IO (a).......................... 1.07% 12/25/30 $ 3,544,461
26,688,000 Series 2021-K124, Class XAM, IO (e).......................... 1.03% 01/25/31 1,827,898
41,267,000 Series 2021-K125, Class XAM, IO (e).......................... 0.87% 01/25/31 2,406,246
33,900,000 Series 2021-K128, Class XAM, IO (e).......................... 0.83% 03/25/31 1,881,257
27,836,000 Series 2021-K129, Class XAM, IO (a).......................... 1.33% 05/25/31 2,542,220
41,565,013 Series 2021-K130, Class XAM, IO (e).......................... 1.32% 07/25/31 3,899,530
44,491,000 Series 2021-K132, Class XAM, IO (e).......................... 0.96% 09/25/31 2,989,773
107,703,000 Series 2021-K741, Class XAM, IO (e).......................... 1.03% 12/25/27 5,175,668
107,126,540 Series 2021-K744, Class X1, IO (e)........................... 0.96% 07/25/28 4,869,051
149,814,120 Series 2021-K1520, Class X1, IO (e).......................... 0.58% 02/25/36 6,976,289
142,000,000 Series 2021-KG05, Class X1, IO (e)........................... 0.40% 01/25/31 3,343,433
64,485,402 Series 2021-KG06, Class X1, IO (e)........................... 0.63% 10/25/31 2,639,691
13,000,000 Series 2021-KI08, Class A, 30 Day Average SOFR +
0.20% (a)................................................. 0.36% 10/25/26 12,981,192
FREMF Mortgage Trust
5,000,000 Series 2013-K24, Class B (e) (j)............................. 3.63% 11/25/45 5,018,142
9,850,000 Series 2013-K26, Class B (e) (j)............................. 3.72% 12/25/45 9,900,223
6,203,000 Series 2013-K28, Class B (e) (j)............................. 3.61% 06/25/46 6,215,715
8,700,000 Series 2013-K29, Class B (e) (j)............................. 3.59% 05/25/46 8,713,589
11,943,000 Series 2013-K32, Class B (e) (j)............................. 3.64% 10/25/46 11,935,973
23,320,000 Series 2013-K35, Class B (e) (j)............................. 4.07% 12/25/46 23,509,233
5,710,000 Series 2015-K720, Class B (e) (j)............................ 3.54% 07/25/22 5,716,176
8,401,000 Series 2015-K720, Class C (e) (j)............................ 3.54% 07/25/22 8,406,110
16,266,829 Series 2015-K721, Class B (e) (j)............................ 3.71% 11/25/47 16,313,741
Government National Mortgage Association
3,526,862 Series 2011-31, Class Z (d).................................. 3.58% 09/16/52 3,364,796
18,656,237 Series 2012-120, Class Z (d)................................. 2.46% 01/16/55 15,661,002
100,000 Series 2013-74, Class AG (e)................................. 2.60% 12/16/53 89,237
6,959 Series 2013-194, Class AE (d)................................ 2.75% 11/16/44 6,785
16,056,385 Series 2015-30, Class DZ..................................... 2.95% 05/16/55 14,844,537
27,885,020 Series 2015-30, Class IO, IO (d)............................. 0.68% 07/16/56 878,866
7,720,866 Series 2015-70, Class IO, IO (d)............................. 0.61% 12/16/49 178,652
4,609,972 Series 2015-125, Class VA (d)................................ 2.70% 05/16/35 4,423,249
18,226,797 Series 2016-2, Class IO, IO (d).............................. 0.56% 04/16/57 467,840
16,671,861 Series 2016-11, Class IO, IO (d)............................. 0.84% 01/16/56 669,814
9,278,969 Series 2016-26, Class IO, IO (d)............................. 0.69% 02/16/58 290,311
25,403,119 Series 2016-34, Class IO, IO (d)............................. 0.92% 01/16/58 1,112,321
10,865,473 Series 2016-36, Class IO, IO (d)............................. 0.73% 08/16/57 374,710
12,920,320 Series 2016-52, Class IO, IO (d)............................. 0.75% 03/16/58 483,984
4,021,015 Series 2016-110, Class VA.................................... 2.10% 01/16/38 3,628,582
19,079,517 Series 2016-113, Class IO, IO (d)............................ 1.08% 02/16/58 1,050,955
10,972,209 Series 2016-127, Class IO, IO (d)............................ 0.86% 05/16/58 511,735
33,896,377 Series 2016-166, Class IO, IO (d)............................ 0.92% 04/16/58 1,629,934
3,145,979 Series 2017-23, Class Z...................................... 2.50% 05/16/59 2,589,725
4,093,376 Series 2017-35, Class Z (d).................................. 2.50% 05/16/59 3,421,654
7,020,000 Series 2017-76, Class B...................................... 2.60% 12/16/56 6,237,429
3,234,287 Series 2017-106, Class AE.................................... 2.60% 12/16/56 3,006,866
2,599,995 Series 2017-146, Class Z..................................... 2.60% 09/16/57 2,203,141
4,280,169 Series 2018-4, Class Z....................................... 2.50% 10/16/59 3,503,317
13,696,340 Series 2018-98, Class C (d).................................. 3.00% 08/16/60 11,987,053
17,117,421 Series 2018-123, Class Z..................................... 2.50% 06/16/60 14,166,292
See Notes to Financial Statements Page 23
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Government National Mortgage Association (Continued)
$ 24,481,854 Series 2018-170, Class Z..................................... 2.50% 11/16/60 $ 21,749,941
18,087,544 Series 2019-7, Class Z....................................... 2.50% 01/16/61 15,209,389
1,856,688 Series 2019-104, Class Z..................................... 2.80% 05/16/61 1,538,081
10,200,000 Series 2020-143, Class B..................................... 2.00% 03/16/62 7,980,240
6,700,000 Series 2020-161, Class B..................................... 2.00% 08/16/62 5,180,943
8,720,766 Series 2020-169, Class Z..................................... 1.83% 06/16/62 5,372,907
22,373,468 Series 2022-43, Class Z...................................... 2.00% 09/16/61 16,881,697
----------------
643,778,765
----------------
PASS-THROUGH SECURITIES -- 43.0%
Federal Home Loan Mortgage Corporation
1,230,480 Pool 760043, 5 Yr. Constant Maturity Treasury Rate +
1.39% (a)................................................. 2.98% 12/01/48 1,248,744
4,606,710 Pool 840359, 12 Mo. LIBOR + 1.64% (a)........................ 1.93% 06/01/46 4,728,209
92,342 Pool A19763.................................................. 5.00% 04/01/34 96,989
389,945 Pool A47828.................................................. 3.50% 08/01/35 382,646
179,324 Pool A47937.................................................. 5.50% 08/01/35 191,087
62,658 Pool A48972.................................................. 5.50% 05/01/36 66,658
70,195 Pool A54675.................................................. 5.50% 01/01/36 75,664
148,098 Pool A65324.................................................. 5.50% 09/01/37 156,164
87,821 Pool A97294.................................................. 4.00% 02/01/41 89,043
711,425 Pool B70791.................................................. 4.00% 06/01/39 725,112
3,337 Pool C01310.................................................. 6.50% 03/01/32 3,630
11,276 Pool C03458.................................................. 5.00% 02/01/40 11,974
40,783 Pool C03949.................................................. 3.50% 05/01/42 40,410
97,257 Pool C04269.................................................. 3.00% 10/01/42 93,984
157,449 Pool C91167.................................................. 5.00% 04/01/28 163,317
113,166 Pool C91353.................................................. 3.50% 01/01/31 110,202
16,826 Pool C91482.................................................. 3.50% 07/01/32 16,797
14,223 Pool E02883.................................................. 4.00% 04/01/26 14,532
15,671 Pool G01443.................................................. 6.50% 08/01/32 16,829
255,239 Pool G02017.................................................. 5.00% 12/01/35 272,574
252,820 Pool G04593.................................................. 5.50% 01/01/37 269,378
114,789 Pool G04814.................................................. 5.50% 10/01/38 122,318
22,069 Pool G05173.................................................. 4.50% 11/01/31 22,797
233,115 Pool G05275.................................................. 5.50% 02/01/39 249,407
64,519 Pool G05449.................................................. 4.50% 05/01/39 67,423
191,951 Pool G06583.................................................. 5.00% 06/01/41 205,347
470,998 Pool G07100.................................................. 5.50% 07/01/40 502,693
44,772 Pool G07266.................................................. 4.00% 12/01/42 45,171
335,978 Pool G07329.................................................. 4.00% 01/01/43 340,651
351,416 Pool G07683.................................................. 4.00% 03/01/44 356,312
1,818 Pool G08113.................................................. 6.50% 02/01/36 1,967
955,641 Pool G08854.................................................. 5.00% 12/01/48 998,766
2,766 Pool G12959.................................................. 6.50% 10/01/22 2,781
119 Pool G12978.................................................. 5.50% 12/01/22 120
7,993 Pool G13625.................................................. 5.50% 01/01/24 8,103
32,638 Pool G13733.................................................. 5.00% 11/01/24 33,393
29,749 Pool G14088.................................................. 4.00% 02/01/26 30,345
27,304 Pool G14106.................................................. 6.00% 10/01/24 27,527
8,098 Pool G14167.................................................. 5.50% 07/01/23 8,190
1,671 Pool G14233.................................................. 6.00% 01/01/24 1,679
Page 24 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 325,888 Pool G14348.................................................. 4.00% 10/01/26 $ 331,980
10,837 Pool G14376.................................................. 4.00% 09/01/25 11,035
19,842 Pool G14995.................................................. 5.50% 12/01/24 20,054
1,171 Pool G15821.................................................. 5.00% 07/01/25 1,195
72,904 Pool G15949.................................................. 4.00% 01/01/29 74,266
11,200 Pool G15957.................................................. 5.50% 12/01/24 11,264
56,998 Pool G18264.................................................. 5.00% 07/01/23 58,153
85,998 Pool G18287.................................................. 5.50% 12/01/23 87,501
10,044 Pool G60020.................................................. 4.50% 12/01/43 10,350
407,689 Pool G60114.................................................. 5.50% 06/01/41 434,341
620,563 Pool G60168.................................................. 4.50% 07/01/45 646,286
218,038 Pool G60194.................................................. 3.50% 08/01/45 215,863
227,007 Pool G60808.................................................. 3.00% 10/01/46 218,258
2,133,751 Pool G60921.................................................. 4.50% 02/01/47 2,210,397
8,324,232 Pool G60940.................................................. 4.00% 09/01/46 8,469,962
2,832,390 Pool G61160.................................................. 4.50% 11/01/45 2,959,058
5,228 Pool H09034.................................................. 5.50% 05/01/37 5,476
2,385 Pool J05364.................................................. 6.00% 08/01/22 2,393
60,093 Pool J09465.................................................. 4.00% 04/01/24 61,182
35,085 Pool J09504.................................................. 4.00% 04/01/24 35,722
9,387 Pool J09798.................................................. 4.00% 05/01/24 9,561
15,782 Pool J10623.................................................. 4.00% 09/01/24 16,069
170,903 Pool N70075.................................................. 5.00% 01/01/35 173,669
286,669 Pool N70081.................................................. 5.50% 07/01/38 295,328
57,572 Pool Q07189.................................................. 4.00% 04/01/42 58,374
19,332 Pool Q07479.................................................. 3.50% 04/01/42 19,155
83,474 Pool Q11791.................................................. 3.50% 10/01/42 82,708
57,303 Pool Q11836.................................................. 3.50% 10/01/42 56,777
407,690 Pool Q14034.................................................. 3.50% 12/01/42 405,672
1,750,268 Pool Q50564.................................................. 4.50% 09/01/47 1,793,243
6,602,997 Pool Q53219.................................................. 4.50% 12/01/47 6,910,093
465,665 Pool Q54651.................................................. 4.50% 03/01/48 484,513
768,302 Pool Q55037.................................................. 4.50% 04/01/48 800,664
5,336,616 Pool Q55152.................................................. 4.50% 04/01/48 5,523,523
2,293,471 Pool Q56260.................................................. 5.00% 05/01/48 2,448,377
2,932,919 Pool Q58363.................................................. 5.00% 09/01/48 3,054,747
1,457,195 Pool Q58483.................................................. 4.50% 09/01/48 1,488,591
2,007,725 Pool Q61217.................................................. 4.00% 01/01/49 2,027,248
3,434,196 Pool QA4774.................................................. 4.00% 11/01/49 3,482,848
2,601,542 Pool QB4340.................................................. 3.00% 10/01/50 2,465,443
14,701,818 Pool QD5978.................................................. 3.00% 02/01/52 13,919,855
10,284,129 Pool QD5999.................................................. 3.00% 02/01/52 9,735,645
11,961,441 Pool QE0773.................................................. 4.00% 04/01/52 12,099,835
14,008,724 Pool QE1612.................................................. 4.00% 05/01/52 14,248,763
8,477,414 Pool QK1195.................................................. 2.50% 11/01/41 7,899,951
13,814,136 Pool QK1203.................................................. 2.50% 11/01/41 12,864,924
3,478,494 Pool QN2804.................................................. 1.50% 07/01/35 3,190,803
324,290 Pool QN3055.................................................. 1.50% 08/01/35 297,489
5,788,213 Pool RA3086.................................................. 2.50% 07/01/50 5,304,007
41,201 Pool SC0036.................................................. 3.00% 06/01/38 39,721
34,913,389 Pool SD0859.................................................. 3.50% 05/01/50 34,101,364
24,051,677 Pool SD0927.................................................. 3.50% 04/01/52 23,684,468
See Notes to Financial Statements Page 25
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 24,807,973 Pool SD0959.................................................. 3.50% 04/01/52 $ 24,331,015
8,236,445 Pool SD8031.................................................. 3.50% 12/01/49 8,035,348
1 Pool SD8044.................................................. 3.00% 02/01/50 1
2,379,306 Pool SD8045.................................................. 3.50% 02/01/50 2,324,223
6,293,097 Pool SD8062.................................................. 3.00% 05/01/50 5,972,907
339,440 Pool U50165.................................................. 4.00% 05/01/32 342,581
2,242,086 Pool U59020.................................................. 4.00% 06/01/35 2,262,565
1,345,599 Pool U64762.................................................. 4.50% 10/01/45 1,400,121
5,679,587 Pool U69020.................................................. 5.00% 07/01/44 6,037,937
3,598,552 Pool U69041.................................................. 5.00% 11/01/43 3,834,994
98,883 Pool U80068.................................................. 3.50% 10/01/32 97,368
65,304 Pool U80212.................................................. 3.50% 02/01/33 64,360
83,095 Pool U90245.................................................. 3.50% 10/01/42 82,523
845,770 Pool U90690.................................................. 3.50% 06/01/42 839,938
12,149 Pool U90932.................................................. 3.00% 02/01/43 11,666
34,147 Pool U92272.................................................. 4.50% 12/01/43 35,762
99,518 Pool U99045.................................................. 3.50% 03/01/43 98,829
108,635 Pool U99084.................................................. 4.50% 02/01/44 114,157
49,377 Pool U99091.................................................. 4.50% 03/01/44 51,385
147,587 Pool U99096.................................................. 4.50% 05/01/44 154,570
1,461,275 Pool ZS2492.................................................. 6.50% 04/01/35 1,602,691
Federal National Mortgage Association
42,454 Pool 190371.................................................. 6.50% 07/01/36 46,084
25,164 Pool 255190.................................................. 5.50% 05/01/34 26,802
12,419 Pool 255984.................................................. 4.50% 11/01/25 12,656
77,610 Pool 256181.................................................. 5.50% 03/01/36 80,909
294,779 Pool 256576.................................................. 5.50% 01/01/37 310,129
6,744 Pool 256808.................................................. 5.50% 07/01/37 6,819
49,497 Pool 256936.................................................. 6.00% 10/01/37 51,729
52,225 Pool 545759.................................................. 6.50% 07/01/32 56,518
11,889 Pool 555851.................................................. 6.50% 01/01/33 12,709
190,504 Pool 683246.................................................. 5.50% 02/01/33 202,506
160,585 Pool 725014.................................................. 5.50% 12/01/33 171,578
348,473 Pool 735415.................................................. 6.50% 12/01/32 375,335
3,116 Pool 745875.................................................. 6.50% 09/01/36 3,360
40,973 Pool 747097.................................................. 6.00% 10/01/29 42,452
308,630 Pool 788149.................................................. 5.50% 05/01/33 332,048
145,793 Pool 812741.................................................. 5.50% 02/01/35 152,405
172,141 Pool 827948.................................................. 5.50% 05/01/35 179,975
262,039 Pool 850000.................................................. 5.50% 01/01/36 282,188
35,300 Pool 871039.................................................. 5.50% 02/01/37 36,155
917,282 Pool 879015.................................................. 4.00% 10/01/35 930,547
111,689 Pool 888001.................................................. 5.50% 10/01/36 120,420
95,952 Pool 888163.................................................. 7.00% 12/01/33 105,207
82 Pool 888435.................................................. 5.50% 06/01/22 82
316,806 Pool 889610.................................................. 5.50% 06/01/38 337,440
10,800 Pool 890149.................................................. 6.50% 10/01/38 11,879
16,683 Pool 890231.................................................. 5.00% 07/01/25 17,027
3,250 Pool 890314.................................................. 5.50% 12/01/22 3,264
3,174 Pool 890378.................................................. 6.00% 05/01/24 3,220
777,306 Pool 890556.................................................. 4.50% 10/01/43 807,022
647,642 Pool 890736.................................................. 5.00% 07/01/30 677,635
Page 26 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 139,478 Pool 905917.................................................. 5.50% 01/01/37 $ 149,911
66,960 Pool 922386.................................................. 5.50% 01/01/37 66,972
11,008 Pool 930562.................................................. 5.00% 02/01/39 11,770
82,511 Pool 931808.................................................. 5.50% 08/01/39 87,901
129,907 Pool 953115.................................................. 5.50% 11/01/38 135,845
19,596 Pool 962556.................................................. 5.00% 04/01/23 19,965
7,971 Pool 973561.................................................. 5.00% 03/01/23 8,119
42,822 Pool 976871.................................................. 6.50% 08/01/36 46,095
14,418 Pool 995097.................................................. 6.50% 10/01/37 15,863
78,869 Pool 995149.................................................. 6.50% 10/01/38 85,965
37,154 Pool 995228.................................................. 6.50% 11/01/38 41,081
24,027 Pool 995252.................................................. 5.00% 12/01/23 24,494
12,020 Pool 995259.................................................. 6.50% 11/01/23 12,175
97,616 Pool AA3303.................................................. 5.50% 06/01/38 100,902
448,039 Pool AB0460.................................................. 5.50% 02/01/37 471,966
150,041 Pool AB0731.................................................. 4.00% 06/01/39 153,329
37,931 Pool AB2092.................................................. 4.00% 01/01/41 38,438
16,179 Pool AB2133.................................................. 4.00% 01/01/26 16,468
869,686 Pool AB2506.................................................. 5.00% 03/01/41 930,800
1,043,725 Pool AB2959.................................................. 4.50% 07/01/40 1,051,061
74,733 Pool AB5174.................................................. 3.50% 05/01/42 73,986
91,670 Pool AB5919.................................................. 3.00% 08/01/42 88,513
188,832 Pool AB6671.................................................. 3.00% 10/01/42 182,330
244,259 Pool AB7765.................................................. 3.00% 02/01/43 235,845
152,912 Pool AB7859.................................................. 3.50% 02/01/43 151,380
438,677 Pool AB8676.................................................. 3.50% 05/01/42 419,380
630,457 Pool AB9551.................................................. 3.00% 06/01/43 608,296
18,955 Pool AC1232.................................................. 5.00% 07/01/24 19,337
177,143 Pool AC3267.................................................. 5.50% 09/01/39 190,087
44,458 Pool AD0889.................................................. 6.00% 09/01/24 45,127
286,357 Pool AD4317.................................................. 4.00% 04/01/40 288,967
8,926 Pool AD5222.................................................. 4.50% 05/01/30 9,097
58,572 Pool AD7137.................................................. 5.50% 07/01/40 62,932
187,842 Pool AE0137.................................................. 4.50% 03/01/36 196,030
63,300 Pool AE4476.................................................. 4.00% 03/01/41 64,122
83,305 Pool AE7005.................................................. 4.00% 10/01/40 84,261
3,040,342 Pool AE7733.................................................. 5.00% 11/01/40 3,241,440
21,083 Pool AE9284.................................................. 4.00% 11/01/40 21,358
493,380 Pool AE9959.................................................. 5.00% 03/01/41 520,273
242,305 Pool AH0979.................................................. 3.50% 01/01/41 235,453
161,378 Pool AH1089.................................................. 4.00% 11/01/40 162,725
89,682 Pool AH1141.................................................. 4.50% 12/01/40 93,629
61,705 Pool AH4404.................................................. 4.00% 01/01/41 62,512
56,226 Pool AH7204.................................................. 4.00% 03/01/41 56,963
144,421 Pool AI6093.................................................. 4.50% 06/01/31 147,438
55,008 Pool AI6503.................................................. 5.00% 11/01/39 57,083
22,823 Pool AI6581.................................................. 4.50% 07/01/41 23,833
103,831 Pool AI8779.................................................. 4.00% 11/01/41 105,186
330,091 Pool AI9114.................................................. 4.00% 06/01/42 337,057
1,712,401 Pool AI9124.................................................. 4.00% 08/01/42 1,748,537
942,881 Pool AI9158.................................................. 6.50% 01/01/41 1,062,637
644,264 Pool AK0765.................................................. 4.00% 03/01/42 660,830
See Notes to Financial Statements Page 27
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 120,751 Pool AK4520.................................................. 4.00% 03/01/42 $ 122,138
112,438 Pool AK5555.................................................. 4.00% 04/01/42 113,903
71,860 Pool AL0212.................................................. 5.50% 02/01/38 76,517
179,928 Pool AL0241.................................................. 4.00% 04/01/41 182,282
3,749 Pool AL0399.................................................. 6.00% 08/01/24 3,792
1,694 Pool AL0446.................................................. 6.00% 05/01/24 1,710
4,839 Pool AL1195.................................................. 6.00% 09/01/23 4,901
389,323 Pool AL1850.................................................. 5.50% 07/01/40 414,573
69,399 Pool AL2142.................................................. 6.50% 09/01/38 75,374
336,096 Pool AL2551.................................................. 3.50% 10/01/42 332,735
8,032 Pool AL2589.................................................. 5.50% 05/01/25 8,103
68,006 Pool AL2892.................................................. 3.50% 12/01/42 67,331
445,976 Pool AL3093.................................................. 3.50% 02/01/43 441,528
18,108 Pool AL3154.................................................. 3.00% 02/01/43 17,484
1,023,269 Pool AL4703.................................................. 3.50% 12/01/28 1,017,059
5,168 Pool AL4962.................................................. 6.00% 05/01/24 5,234
96,906 Pool AL5616.................................................. 5.50% 09/01/41 103,195
519,627 Pool AL5890.................................................. 4.50% 03/01/43 543,813
1,449 Pool AL6057.................................................. 6.00% 08/01/24 1,458
1,950,755 Pool AL6513.................................................. 5.00% 07/01/44 2,063,678
56,134 Pool AL6948.................................................. 5.00% 09/01/25 57,259
67,470 Pool AL7046.................................................. 3.50% 06/01/45 66,750
188,978 Pool AL7231.................................................. 3.50% 08/01/45 186,925
414,109 Pool AL7449.................................................. 8.50% 12/01/37 468,415
518,832 Pool AL7637.................................................. 5.00% 01/01/42 530,325
1,800,129 Pool AL7905.................................................. 4.50% 03/01/34 1,869,882
76,770 Pool AL8139.................................................. 4.00% 02/01/32 76,599
58,767 Pool AL8353.................................................. 3.50% 08/01/44 58,180
2,719,524 Pool AL8652.................................................. 5.00% 07/01/44 2,959,459
341,696 Pool AL9143.................................................. 3.50% 09/01/36 340,071
115,841 Pool AL9226.................................................. 5.50% 12/01/41 126,006
866,052 Pool AL9777.................................................. 4.50% 01/01/47 899,638
189,303 Pool AP1197.................................................. 3.50% 09/01/42 187,878
115,180 Pool AP7963.................................................. 4.00% 09/01/42 117,074
1,591,639 Pool AQ0411.................................................. 3.50% 10/01/42 1,575,839
683,215 Pool AQ0535.................................................. 3.00% 11/01/42 658,343
428,914 Pool AQ1534.................................................. 3.50% 10/01/32 421,939
361,661 Pool AQ1607.................................................. 3.50% 11/01/32 355,735
44,703 Pool AQ9715.................................................. 3.00% 01/01/43 43,098
260,737 Pool AQ9999.................................................. 3.00% 02/01/43 251,505
958,997 Pool AR7582.................................................. 3.50% 03/01/33 943,540
185,126 Pool AR7961.................................................. 3.50% 03/01/33 182,148
2,523,182 Pool AS1719.................................................. 5.00% 02/01/44 2,698,034
324,246 Pool AS5236.................................................. 4.00% 05/01/45 323,510
565,488 Pool AS5515.................................................. 3.50% 06/01/30 570,263
230,087 Pool AS5635.................................................. 3.00% 08/01/45 221,026
191,560 Pool AS7211.................................................. 3.00% 04/01/46 182,055
4,591,239 Pool AS8548.................................................. 3.50% 12/01/46 4,561,172
214,827 Pool AS9990.................................................. 4.50% 07/01/47 219,660
69,125 Pool AT0332.................................................. 3.00% 04/01/43 64,973
536,852 Pool AT1747.................................................. 3.00% 04/01/43 518,185
310,815 Pool AT3892.................................................. 3.00% 06/01/43 294,592
Page 28 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 194,975 Pool AT4180.................................................. 3.50% 05/01/33 $ 191,919
64,290 Pool AY0013.................................................. 4.50% 01/01/45 65,531
407,974 Pool BA4113.................................................. 3.00% 04/01/46 389,666
7,006,901 Pool BD6438.................................................. 3.00% 10/01/46 6,730,789
276,591 Pool BE3631.................................................. 4.50% 05/01/47 284,745
1,621,311 Pool BH2633.................................................. 5.00% 08/01/47 1,703,207
16,129 Pool BH9428.................................................. 4.50% 09/01/47 16,578
9,881,221 Pool BJ1637.................................................. 3.50% 11/01/47 9,716,066
82,595 Pool BJ6232.................................................. 5.00% 04/01/48 85,771
765,637 Pool BJ9100.................................................. 4.50% 02/01/48 802,685
456,907 Pool BJ9111.................................................. 4.50% 03/01/48 473,207
1,163,120 Pool BJ9124.................................................. 4.50% 04/01/48 1,220,248
263,724 Pool BK4769.................................................. 5.00% 08/01/48 275,104
79,715 Pool BK4851.................................................. 5.00% 05/01/48 82,621
3,549,725 Pool BK8883.................................................. 5.00% 09/01/48 3,810,274
1,396,092 Pool BK9563.................................................. 4.50% 12/01/48 1,434,108
3,423,841 Pool BK9599.................................................. 5.00% 08/01/48 3,575,037
12,535,730 Pool BM4122.................................................. 7.47% 01/01/40 13,919,914
4,370,770 Pool BM4561.................................................. 5.00% 09/01/48 4,622,115
5,678,331 Pool BM4785.................................................. 4.50% 10/01/38 6,000,826
5,933,513 Pool BM5671.................................................. 4.50% 01/01/49 6,216,680
5,706,536 Pool BM6018.................................................. 5.00% 05/01/49 5,735,069
900,642 Pool BM6602.................................................. 3.50% 02/01/48 867,191
421,686 Pool BN1027.................................................. 5.50% 03/01/49 444,442
17,515,849 Pool BN3925.................................................. 4.50% 01/01/49 18,252,176
1,130,973 Pool BN4059.................................................. 4.00% 12/01/48 1,126,302
3,207,632 Pool BN4328.................................................. 5.00% 01/01/49 3,394,375
5,681,984 Pool BO5426.................................................. 4.00% 10/01/49 5,779,096
7,261,603 Pool BP1649.................................................. 3.50% 02/01/50 7,078,283
3,199,821 Pool BP4238.................................................. 3.00% 04/01/50 3,036,404
656,857 Pool BP6504.................................................. 1.50% 07/01/35 602,543
1,770,431 Pool BP8797.................................................. 3.00% 07/01/50 1,688,641
4,984,902 Pool BQ3099.................................................. 3.00% 10/01/50 4,741,349
10,689,022 Pool BT9396.................................................. 2.50% 11/01/41 9,954,508
6,825,332 Pool BT9397.................................................. 2.50% 11/01/41 6,360,378
10,753,570 Pool BU8953.................................................. 4.00% 04/01/52 10,861,256
6,491,259 Pool CA1576.................................................. 5.00% 01/01/48 6,796,707
3,756,956 Pool CA1917.................................................. 5.00% 06/01/48 3,979,991
2,104,583 Pool CA2520.................................................. 4.00% 10/01/33 2,165,281
3,826,982 Pool CA2947.................................................. 4.00% 12/01/48 3,907,706
9,320,296 Pool CA4978.................................................. 3.00% 01/01/50 8,845,535
7,341,578 Pool CA5352.................................................. 3.50% 03/01/50 7,157,172
27,643,844 Pool CA5569.................................................. 4.00% 04/01/50 27,945,159
10,449,189 Pool CA6423.................................................. 3.00% 07/01/50 9,910,161
50,168,483 Pool CB3507.................................................. 4.00% 04/01/52 50,704,355
1,998,696 Pool FM1284.................................................. 3.50% 02/01/46 1,978,791
1,824,947 Pool FM1285.................................................. 4.00% 10/01/43 1,848,678
1,879,456 Pool FM1287.................................................. 5.00% 11/01/44 1,973,949
40,937,979 Pool FM1725.................................................. 2.50% 11/01/47 37,765,132
20,527,367 Pool FM1873.................................................. 3.00% 11/01/49 19,468,101
8,734,357 Pool FM2001.................................................. 5.00% 09/01/49 9,138,566
5,608,830 Pool FM2450.................................................. 3.50% 12/01/39 5,705,273
See Notes to Financial Statements Page 29
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 50,455,005 Pool FM3047.................................................. 4.00% 04/01/45 $ 51,565,255
17,347,923 Pool FM3053.................................................. 3.50% 04/01/50 16,928,428
15,554,663 Pool FM3431.................................................. 3.00% 05/01/50 14,787,341
9,597,770 Pool FM4681.................................................. 2.50% 11/01/50 8,819,781
13,831,487 Pool FM7685.................................................. 3.00% 06/01/51 13,108,667
7,404,093 Pool FM8218.................................................. 4.00% 04/01/48 7,520,769
35,440,970 Pool FM8927.................................................. 4.00% 10/01/49 36,290,279
12,819,084 Pool FM8953.................................................. 5.00% 11/01/43 13,659,682
19,632,897 Pool FM9224.................................................. 4.00% 10/01/51 19,686,003
43,952,157 Pool FM9263.................................................. 2.00% 10/01/41 40,005,495
5,577,964 Pool FM9408.................................................. 4.50% 06/01/46 5,774,934
11,515,797 Pool FS0032.................................................. 3.00% 12/01/51 10,999,529
54,288,945 Pool FS0697.................................................. 2.50% 02/01/42 50,828,599
19,307,553 Pool FS1021.................................................. 3.00% 02/01/52 18,415,011
17,547,409 Pool FS1029.................................................. 3.00% 02/01/52 16,760,734
28,175,698 Pool FS1143.................................................. 3.00% 03/01/52 26,892,899
36,317,832 Pool FS1267.................................................. 4.00% 04/01/52 36,715,648
49,989,360 Pool FS1268.................................................. 4.00% 04/01/52 50,664,031
30,000,000 Pool FS1501.................................................. 4.00% 08/01/51 29,970,092
61,921,998 Pool FS1524.................................................. 2.50% 04/01/42 57,512,004
13,777,294 Pool FS1525.................................................. 3.00% 04/01/52 13,159,624
16,683,039 Pool FS1540.................................................. 3.00% 04/01/42 16,150,100
30,148,500 Pool FS1541.................................................. 3.00% 04/01/42 29,109,349
27,169,608 Pool FS1573.................................................. 2.50% 11/01/41 25,268,308
11,187,050 Pool FS1639.................................................. 4.00% 04/01/52 11,332,495
25,000,000 Pool FS1640.................................................. 4.00% 04/01/52 25,207,085
26,848,196 Pool FS1666.................................................. 3.50% 05/01/52 26,430,314
25,616,779 Pool FS1670.................................................. 4.00% 04/01/52 25,914,524
25,000,000 Pool FS1671.................................................. 4.00% 05/01/52 25,272,613
25,000,000 Pool FS1672.................................................. 4.00% 05/01/52 25,194,722
86,006 Pool MA0096.................................................. 4.50% 06/01/29 87,653
2,051 Pool MA0293.................................................. 4.50% 01/01/30 2,090
33,413 Pool MA0295.................................................. 5.00% 01/01/30 34,963
29,132 Pool MA0353.................................................. 4.50% 03/01/30 29,690
770,410 Pool MA0443.................................................. 5.00% 05/01/30 806,248
17,699 Pool MA0444.................................................. 5.00% 06/01/40 18,696
204,440 Pool MA0575.................................................. 4.50% 11/01/30 208,770
104,586 Pool MA0633.................................................. 5.00% 01/01/41 109,539
3,651 Pool MA0777.................................................. 5.00% 06/01/31 3,820
30,559 Pool MA1222.................................................. 4.00% 10/01/32 31,004
52,092 Pool MA1228.................................................. 3.00% 09/01/42 50,224
296,419 Pool MA1373.................................................. 3.50% 03/01/43 294,123
153,764 Pool MA2024.................................................. 4.00% 07/01/29 157,734
652,831 Pool MA2099.................................................. 3.50% 11/01/29 658,398
278,607 Pool MA2454.................................................. 3.50% 09/01/30 280,758
2,129 Pool MA2509.................................................. 3.00% 01/01/46 1,999
1,295,839 Pool MA2916.................................................. 4.00% 02/01/47 1,328,976
187,514 Pool MA3101.................................................. 4.50% 08/01/47 192,906
125,113 Pool MA3123.................................................. 5.00% 08/01/47 131,178
250,037 Pool MA3205.................................................. 5.00% 10/01/47 262,181
11,311,804 Pool MA3774.................................................. 3.00% 09/01/49 10,723,349
2,701,676 Pool MA3835.................................................. 3.50% 11/01/49 2,635,994
Page 30 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 1,890,444 Pool MA3991.................................................. 3.00% 04/01/50 $ 1,793,235
942,045 Pool MA4122.................................................. 1.50% 09/01/35 864,178
797,128 Pool MA4154.................................................. 1.50% 10/01/35 731,233
10,000,000 Pool TBA..................................................... 2.50% 05/15/52 9,133,594
68,000,000 Pool TBA..................................................... 3.00% 05/15/52 64,198,906
60,000,000 Pool TBA..................................................... 2.50% 06/15/52 54,688,753
85,000,000 Pool TBA (k)................................................. 1.50% 06/15/52 71,642,928
10,000,000 Pool TBA..................................................... 2.00% 06/15/52 8,817,642
277,000,000 Pool TBA (k)................................................. 4.00% 06/15/52 274,949,549
230,000,000 Pool TBA (k)................................................. 4.50% 06/15/52 232,987,454
150,000,000 Pool TBA (k)................................................. 4.00% 07/15/52 148,532,226
Government National Mortgage Association
60,652 Pool 3149.................................................... 6.00% 10/20/31 64,939
39,017 Pool 3172.................................................... 6.00% 12/20/31 42,796
40,747 Pool 3227.................................................... 6.00% 04/20/32 43,505
8,175 Pool 3474.................................................... 6.00% 11/20/33 8,824
83,523 Pool 4251.................................................... 5.50% 10/20/23 84,706
56,985 Pool 455986.................................................. 5.25% 07/15/25 56,004
81,585 Pool 487108.................................................. 6.00% 04/15/29 87,426
33,791 Pool 553144.................................................. 5.50% 04/15/33 36,339
134 Pool 589331.................................................. 6.00% 10/15/22 134
105,312 Pool 604338.................................................. 5.00% 05/15/33 112,055
93,900 Pool 604897.................................................. 5.00% 12/15/33 99,816
106,882 Pool 605389.................................................. 5.00% 04/15/34 113,747
243,532 Pool 615403.................................................. 4.50% 08/15/33 257,039
8,929 Pool 627123.................................................. 5.50% 03/15/34 9,660
70,941 Pool 638704.................................................. 5.50% 11/15/36 75,803
154,998 Pool 653143.................................................. 4.90% 04/15/36 162,562
244,772 Pool 658324.................................................. 5.50% 03/15/37 258,604
123,415 Pool 677190.................................................. 5.00% 06/15/38 131,353
16,449 Pool 687833.................................................. 6.00% 08/15/38 18,112
41,868 Pool 706840.................................................. 4.50% 05/15/40 44,547
190,797 Pool 706855.................................................. 4.50% 09/15/40 203,002
249,645 Pool 711483.................................................. 4.00% 01/15/40 259,456
113,323 Pool 711543.................................................. 4.00% 11/15/40 117,791
742,307 Pool 711563.................................................. 4.50% 03/15/41 789,832
4,806,030 Pool 720225.................................................. 4.50% 07/15/39 5,076,055
249,424 Pool 723216.................................................. 4.50% 08/15/40 262,972
66,068 Pool 723248.................................................. 5.00% 10/15/39 70,302
250,681 Pool 724230.................................................. 5.00% 08/15/39 266,115
64,958 Pool 724267.................................................. 5.00% 09/15/39 68,995
169,636 Pool 724340.................................................. 4.50% 09/15/39 177,617
81,422 Pool 725272.................................................. 4.50% 11/15/39 84,259
42,542 Pool 726394.................................................. 4.50% 10/15/39 44,919
19,193 Pool 728921.................................................. 4.50% 12/15/24 19,479
205,519 Pool 733595.................................................. 4.50% 04/15/40 226,440
78,291 Pool 733733.................................................. 5.00% 06/15/40 82,975
505,088 Pool 736317.................................................. 4.25% 06/20/36 518,143
103,570 Pool 736617.................................................. 4.00% 12/15/35 106,609
772,712 Pool 737673.................................................. 4.50% 11/15/40 814,449
181,907 Pool 737996.................................................. 4.00% 02/15/41 188,241
244,428 Pool 739341.................................................. 3.50% 10/15/41 245,860
See Notes to Financial Statements Page 31
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Government National Mortgage Association (Continued)
$ 153,787 Pool 743673.................................................. 4.50% 07/15/40 $ 164,581
257,367 Pool 745478.................................................. 5.00% 08/20/40 273,440
570,997 Pool 748939.................................................. 4.00% 09/20/40 580,275
78,635 Pool 754384.................................................. 4.50% 03/20/42 83,702
286,854 Pool 762905.................................................. 4.50% 04/15/41 301,628
1,208,467 Pool 769102.................................................. 4.50% 07/20/41 1,230,968
311,448 Pool 781623.................................................. 5.00% 06/15/33 326,612
49,309 Pool 781697.................................................. 6.00% 11/15/33 54,322
253,213 Pool 781824.................................................. 5.50% 11/15/34 276,609
9,980 Pool 781862.................................................. 5.50% 01/15/35 10,947
32,991 Pool 782070.................................................. 7.00% 06/15/32 35,072
105,189 Pool 782259.................................................. 5.00% 02/15/36 109,831
53,109 Pool 782810.................................................. 4.50% 11/15/39 56,821
81,303 Pool 783091.................................................. 5.50% 06/15/40 89,540
17,858 Pool 783220.................................................. 5.50% 09/15/24 18,239
129,776 Pool 783375.................................................. 5.00% 08/15/41 137,567
8,076,463 Pool 783590.................................................. 4.50% 06/20/41 8,491,971
204,962 Pool 783760.................................................. 5.00% 02/15/42 218,291
2,883,569 Pool 784063.................................................. 5.00% 09/20/45 3,044,234
456,829 Pool 784343.................................................. 5.00% 02/15/41 487,429
3,802,451 Pool 784752.................................................. 4.00% 03/15/45 3,952,374
2,214,984 Pool 785020.................................................. 3.00% 05/20/50 2,097,308
2,008,284 Pool AC0197.................................................. 4.00% 12/20/42 2,063,102
408,119 Pool AD0026.................................................. 3.50% 06/20/33 406,017
84,940 Pool AD0856.................................................. 3.75% 08/20/33 85,845
36,361 Pool AG8899.................................................. 4.00% 12/20/43 37,095
671,225 Pool AI6317.................................................. 4.50% 06/20/44 690,899
408,966 Pool AK2389.................................................. 4.50% 11/20/44 419,967
112,128 Pool AN4469.................................................. 5.00% 12/15/40 117,114
234,294 Pool AR8421.................................................. 5.00% 10/20/41 243,536
990,953 Pool BB1216.................................................. 4.50% 06/20/47 1,051,293
430,239 Pool BB4731.................................................. 4.00% 07/20/47 435,081
303,582 Pool BB4757.................................................. 4.00% 08/20/47 307,276
166,853 Pool BB4769.................................................. 4.00% 08/20/47 167,785
433,437 Pool BD0483.................................................. 4.50% 11/20/47 454,663
454,791 Pool BF0415.................................................. 5.00% 06/20/35 473,755
275,026 Pool BL6909.................................................. 5.00% 03/20/49 285,096
5,431,638 Pool BU8989.................................................. 5.50% 06/20/40 5,846,384
860,701 Pool BX7975.................................................. 5.50% 09/20/39 926,614
1,451,224 Pool CB3161.................................................. 5.50% 03/20/50 1,549,807
1,459,195 Pool CB8275.................................................. 5.50% 09/20/39 1,555,611
2,503,665 Pool CC3552.................................................. 5.50% 08/20/40 2,696,103
1,956,352 Pool CC3563.................................................. 5.50% 09/20/35 2,106,380
1,916,847 Pool CC3564.................................................. 6.00% 09/20/39 2,071,170
927,609 Pool CC3565.................................................. 6.50% 01/20/39 1,047,857
4,859,479 Pool CC3583.................................................. 5.50% 09/20/35 5,241,947
2,206,665 Pool CC8859.................................................. 5.50% 10/20/35 2,375,154
4,519,074 Pool CC8868.................................................. 5.50% 06/20/40 4,848,649
3,787,405 Pool CD4286.................................................. 6.00% 11/20/39 4,110,190
761,469 Pool CD6819.................................................. 6.50% 01/20/39 820,714
1,648,844 Pool CE1292.................................................. 6.00% 01/20/39 1,788,468
860,270 Pool CE1819.................................................. 5.50% 12/20/39 925,946
Page 32 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Government National Mortgage Association (Continued)
$ 3,029,157 Pool CE6488.................................................. 6.00% 09/20/39 $ 3,284,895
1,734,834 Pool CE6489.................................................. 6.50% 12/20/38 1,889,022
5,028,901 Pool CE6491.................................................. 6.00% 07/20/36 5,454,234
733,192 Pool CE6626.................................................. 6.00% 12/20/38 795,097
1,740,675 Pool CE7158.................................................. 5.50% 05/20/40 1,867,618
1,249,748 Pool CE9078.................................................. 5.50% 01/20/39 1,324,487
142,674 Pool MA1017.................................................. 6.00% 05/20/43 155,366
100,713 Pool MA1162.................................................. 6.00% 07/20/43 109,735
12,185 Pool MA2215.................................................. 3.50% 09/20/44 11,887
92,904 Pool MA2683.................................................. 6.00% 03/20/45 101,166
91,580 Pool MA2759.................................................. 6.00% 01/20/45 99,726
40,353 Pool MA2897.................................................. 6.00% 03/20/45 43,948
180,731 Pool MA2966.................................................. 6.00% 09/20/39 196,924
200,994 Pool MA3249.................................................. 6.00% 04/20/40 219,002
405,306 Pool MA3459.................................................. 6.00% 08/20/39 441,629
411,630 Pool MA4076.................................................. 7.00% 01/20/39 449,850
2,888,152 Pool MA5714.................................................. 6.00% 01/20/49 3,085,685
----------------
2,377,307,787
----------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES..................................... 4,727,042,903
(Cost $4,939,301,031) ----------------
MORTGAGE-BACKED SECURITIES -- 13.3%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 8.4%
Angel Oak Mortgage Trust
6,603,373 Series 2021-4, Class A1 (j).................................. 1.04% 01/20/65 6,216,142
7,782,224 Series 2021-5, Class A1 (j).................................. 0.95% 07/25/66 7,041,630
Arroyo Mortgage Trust
9,000,000 Series 2019-2, Class M1 (j).................................. 4.76% 04/25/49 8,619,339
3,464,718 Series 2019-3, Class A3 (j).................................. 3.42% 10/25/48 3,384,274
3,251,575 Series 2021-1R, Class A2 (j)................................. 1.48% 10/25/48 3,055,443
4,489,125 Series 2021-1R, Class A3 (j)................................. 1.64% 10/25/48 4,222,302
Barclays Mortgage Loan Trust
6,446,064 Series 2021-NQM1, Class A1 (j)............................... 1.75% 09/25/51 6,090,410
BRAVO Residential Funding Trust
2,299,175 Series 2021-NQM1, Class A2 (j)............................... 1.26% 02/25/49 2,185,830
5,747,937 Series 2021-NQM1, Class A3 (j)............................... 1.33% 02/25/49 5,462,382
4,555,466 Series 2021-NQM2, Class A1 (j)............................... 0.97% 03/25/60 4,418,905
CFMT LLC
4,052,000 Series 2021-EBO1, Class M1 (j)............................... 1.65% 11/25/50 3,892,399
Chase Home Lending Mortgage Trust
3,194,730 Series 2019-1, Class A11, 1 Mo. LIBOR + 0.85% (a) (j)........ 1.52% 03/25/50 3,179,036
248,457 Series 2019-ATR2, Class A11, 1 Mo. LIBOR +
0.90% (a) (j)............................................. 1.57% 07/25/49 246,699
CHL Mortgage Pass-Through Trust
30,253 Series 2004-8, Class 2A1..................................... 4.50% 06/25/19 30,328
CIM Trust
1,137,257 Series 2017-7, Class A (j)................................... 3.00% 04/25/57 1,140,444
2,292,360 Series 2018-J1, Class A22 (j)................................ 3.50% 03/25/48 2,206,847
1,996,899 Series 2019-INV1, Class A11 (j).............................. 4.00% 02/25/49 1,991,455
3,763,716 Series 2019-INV3, Class A11, 1 Mo. LIBOR +
1.00% (a) (j)............................................. 1.41% 08/25/49 3,757,468
See Notes to Financial Statements Page 33
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Citigroup Global Markets Mortgage Securities VII, Inc.
$ 241 Series 2003-UP2, Class PO1, PO............................... (b) 12/25/18 $ 214
Connecticut Avenue Securities Trust
3,252,753 Series 2019-R01, Class 2M2, 1 Mo. LIBOR + 2.45% (a) (j)...... 3.12% 07/25/31 3,264,371
1,525,852 Series 2019-R02, Class 1M2, 1 Mo. LIBOR + 2.30% (a) (j)...... 2.97% 08/25/31 1,526,917
483,775 Series 2019-R03, Class 1M2, 1 Mo. LIBOR + 2.15% (a) (j)...... 2.82% 09/25/31 483,934
2,564,447 Series 2019-R06, Class 2M2, 1 Mo. LIBOR + 2.10% (a) (j)...... 2.77% 09/25/39 2,565,081
2,950,000 Series 2022-R02, Class 2M2, 30 Day Average SOFR +
3.00% (a) (j)............................................. 3.29% 01/25/42 2,911,735
6,000,000 Series 2022-R03, Class 1M2, 30 Day Average SOFR +
3.50% (a) (j)............................................. 3.79% 03/25/42 6,114,805
4,251,000 Series 2022-R04, Class 1M2, 30 Day Average SOFR +
3.10% (a) (j)............................................. 3.39% 03/25/42 4,278,648
Ellington Financial Mortgage Trust
6,248,000 Series 2022-2, Class A1 (j).................................. 4.30% 04/25/67 6,191,597
Federal Home Loan Mortgage Corporation STACR Debt Notes
14,432,499 Series 2020-HQA5, Class M2, 30 Day Average SOFR +
2.60% (a) (j)............................................. 2.89% 11/25/50 14,479,411
5,500,000 Series 2022-DNA2, Class M1B, 30 Day Average SOFR +
2.40% (a) (j)............................................. 2.69% 02/25/42 5,408,518
Federal Home Loan Mortgage Corporation STACR REMIC Trust
1,697,988 Series 2020-DNA1, Class M2, 1 Mo. LIBOR +
1.70% (a) (j)............................................. 2.37% 01/25/50 1,692,443
1,623,624 Series 2020-HQA2, Class M2, 1 Mo. LIBOR +
3.10% (a) (j)............................................. 3.77% 03/25/50 1,631,514
6,250,000 Series 2021-DNA5, Class M2, 30 Day Average SOFR +
1.65% (a) (j)............................................. 1.94% 01/25/34 6,203,737
4,000,000 Series 2022-DNA3, Class M1B, 30 Day Average SOFR +
2.90% (a) (j)............................................. 3.15% 04/25/42 4,008,340
Federal Home Loan Mortgage Corporation STACR Trust
11,439,641 Series 2018-DNA2, Class M2, 1 Mo. LIBOR +
2.15% (a) (j)............................................. 2.82% 12/25/30 11,537,022
5,936,144 Series 2019-HQA1, Class M2, 1 Mo. LIBOR +
2.35% (a) (j)............................................. 3.02% 02/25/49 5,981,623
5,694,137 Series 2019-HQA2, Class M2, 1 Mo. LIBOR +
2.05% (a) (j)............................................. 2.72% 04/25/49 5,720,711
4,326,280 Series 2019-HQA3, Class M2, 1 Mo. LIBOR +
1.85% (a) (j)............................................. 2.52% 09/25/49 4,319,206
Federal National Mortgage Association Connecticut Avenue
Securities
12,540,232 Series 2018-C03, Class 1M2, 1 Mo. LIBOR + 2.15% (a).......... 2.82% 10/25/30 12,650,541
11,505,153 Series 2018-C06, Class 1M2, 1 Mo. LIBOR + 2.00% (a).......... 2.67% 03/25/31 11,522,581
Flagstar Mortgage Trust
532,959 Series 2018-2, Class A4 (j).................................. 3.50% 04/25/48 531,653
2,482,614 Series 2018-4, Class B1 (e) (j).............................. 4.25% 07/25/48 2,419,011
1,796,205 Series 2019-2, Class A11 (j)................................. 3.50% 12/25/49 1,733,324
3,236,725 Series 2020-1INV, Class A11, 1 Mo. LIBOR + 0.85% (a) (j)..... 1.52% 03/25/50 3,209,012
18,345,064 Series 2021-9INV, Class A1 (j)............................... 2.50% 09/25/41 17,211,598
GMACM Mortgage Loan Trust
892 Series 2003-J10, Class A1.................................... 4.75% 01/25/19 874
GS Mortgage-Backed Securities Corp. Trust
829,996 Series 2019-PJ3, Class A1 (j)................................ 3.50% 03/25/50 818,855
Page 34 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
JP Morgan Mortgage Trust
$ 6,086 Series 2004-S2, Class 5A1.................................... 5.50% 12/25/19 $ 5,692
4,175 Series 2014-IVR3, Class 2A1 (e) (j).......................... 2.34% 09/25/44 4,194
4,401,585 Series 2015-IVR2, Class A5 (e) (j)........................... 2.24% 01/25/45 4,369,787
841,419 Series 2018-5, Class A1 (j).................................. 3.50% 10/25/48 825,077
1,229,051 Series 2018-5, Class A13 (j)................................. 3.50% 10/25/48 1,175,771
5,840,358 Series 2018-7FRB, Class A2, 1 Mo. LIBOR + 0.75% (a) (j)...... 1.42% 04/25/46 5,818,397
1,913,890 Series 2018-8, Class A7 (j).................................. 4.00% 01/25/49 1,894,885
2,385,973 Series 2019-1, Class A5 (j).................................. 4.00% 05/25/49 2,366,107
776,646 Series 2019-5, Class A15 (j)................................. 4.00% 11/25/49 768,802
797,840 Series 2019-8, Class A15 (j)................................. 3.50% 03/25/50 769,382
1,170,723 Series 2019-9, Class A11, 1 Mo. LIBOR + 0.90% (a) (j)........ 1.36% 05/25/50 1,164,784
1,479,919 Series 2019-INV2, Class A15 (j).............................. 3.50% 02/25/50 1,439,347
11,359 Series 2019-LTV2, Class A11, 1 Mo. LIBOR +
0.90% (a) (j)............................................. 1.57% 12/25/49 11,360
322,356 Series 2019-LTV3, Class A15 (j).............................. 3.50% 03/25/50 320,103
11,379,342 Series 2020-7, Class A3 (j).................................. 3.00% 01/25/51 10,641,882
5,153,228 Series 2020-INV1, Class A15 (j).............................. 3.50% 08/25/50 4,978,004
7,784,257 Series 2021-3, Class A11, 30 Day Average SOFR +
0.60% (a) (j)............................................. 0.70% 07/25/51 7,557,060
9,224,880 Series 2021-INV4, Class A2 (j)............................... 3.00% 01/25/52 8,474,638
9,221,610 Series 2021-INV6, Class A2 (j)............................... 3.00% 04/25/52 8,466,737
JPMorgan Wealth Management
10,000,000 Series 2020-ATR1, Class A5 (j)............................... 3.00% 02/25/50 9,194,680
MASTR Seasoned Securitization Trust
1,003 Series 2005-2, Class 3A1..................................... 6.00% 11/25/17 988
Mello Mortgage Capital Acceptance
5,063,004 Series 2018-MTG2, Class A9 (j)............................... 4.35% 10/25/48 5,042,995
MetLife Securitization Trust
3,360,898 Series 2018-1A, Class A (j).................................. 3.75% 03/25/57 3,350,380
MFA Trust
7,248,377 Series 2021-NQM2, Class A1 (j)............................... 1.03% 11/25/64 6,657,896
9,817,648 Series 2022-INV1, Class A1, steps up to 4.91% on
03/25/26 (j) (l).......................................... 3.91% 04/25/66 9,726,084
MRA Issuance Trust
6,000,000 Series 2021-8, Class A2X, 1 Mo. LIBOR + 1.15% (a) (j)........ 1.38% 05/15/22 5,988,245
New Residential Mortgage Loan Trust
5,896,312 Series 2015-2A, Class B1 (j)................................. 4.50% 08/25/55 5,888,705
4,542,107 Series 2016-1A, Class A1 (j)................................. 3.75% 03/25/56 4,448,752
2,981,330 Series 2018-4A, Class A1M, 1 Mo. LIBOR + 0.90% (a) (j)....... 1.57% 01/25/48 2,950,721
26,768,503 Series 2018-4A, Class A1S, 1 Mo. LIBOR + 0.75% (a) (j)....... 1.42% 01/25/48 26,493,666
5,830,090 Series 2019-NQM5, Class A1 (j)............................... 2.71% 11/25/59 5,759,762
OBX Trust
1,811,468 Series 2018-EXP1, Class 1A3 (j).............................. 4.00% 04/25/48 1,759,263
1,941,964 Series 2018-EXP1, Class 2A1, 1 Mo. LIBOR +
0.85% (a) (j)............................................. 1.52% 04/25/48 1,949,518
PRKCM Trust
8,849,474 Series 2021-AFC1, Class A1 (j)............................... 1.51% 08/25/56 7,935,676
Provident Funding Mortgage Trust
1,439,062 Series 2019-1, Class A5 (j).................................. 3.00% 12/25/49 1,375,729
2,199,297 Series 2020-1, Class A5 (j).................................. 3.00% 02/25/50 2,101,516
PSMC Trust
3,485,716 Series 2020-3, Class A1 (j).................................. 3.00% 11/25/50 3,337,296
See Notes to Financial Statements Page 35
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
RUN Trust
$ 9,901,928 Series 2022-NQM1, Class A1 (j)............................... 4.00% 03/25/67 $ 9,780,580
Sequoia Mortgage Trust
2,015,425 Series 2017-2, Class A19 (j)................................. 3.50% 02/25/47 1,921,089
641,476 Series 2017-CH1, Class A13 (j)............................... 4.00% 08/25/47 636,977
5,396,144 Series 2018-CH1, Class B1B (j)............................... 4.47% 03/25/48 5,096,855
11,798,561 Series 2020-1, Class A7 (j).................................. 3.50% 02/25/50 11,327,675
3,798,779 Series 2020-1, Class A19 (j)................................. 3.50% 02/25/50 3,613,940
Starwood Mortgage Residential Trust 2022-3
9,000,000 Series 2022-3, Class A1 (j).................................. 4.16% 03/25/67 8,988,779
TIAA Bank Mortgage Loan Trust
410,720 Series 2018-3, Class A1 (j).................................. 4.00% 11/25/48 406,030
Towd Point Mortgage Trust
4,066,272 Series 2018-2, Class A1 (j).................................. 3.25% 03/25/58 4,046,787
Verus Securitization Trust
3,678,341 Series 2019-INV3, Class A2 (j)............................... 2.95% 11/25/59 3,674,524
6,255,000 Series 2020-INV1, Class A3, steps up to 4.89% on
05/26/24 (j) (l).......................................... 3.89% 03/25/60 6,228,115
5,597,620 Series 2021-1, Class A1 (j).................................. 0.82% 01/25/66 5,351,762
6,500,000 Series 2022-4, Class A1, steps up to 5.47% on
04/25/26 (j) (l).......................................... 4.47% 04/25/67 6,520,471
Vista Point Securitization Trust
4,200,000 Series 2020-1, Class M1 (j).................................. 4.15% 03/25/65 4,149,576
Wells Fargo Mortgage Backed Securities Trust
583,239 Series 2019-1, Class A1 (j).................................. 3.97% 11/25/48 579,960
265,744 Series 2019-3, Class A1 (j).................................. 3.50% 07/25/49 254,545
14,063,683 Series 2021-INV2, Class A2 (j)............................... 2.50% 09/25/51 12,463,723
WinWater Mortgage Loan Trust
1,403,324 Series 2016-1, Class 1A18 (j)................................ 3.50% 01/20/46 1,353,349
655,192 Series 2016-1, Class 2A3 (j)................................. 3.00% 12/20/30 631,437
4,081,198 Series 2016-1, Class B1 (e) (j).............................. 3.81% 01/20/46 3,951,394
----------------
461,550,058
----------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 4.9%
Austin Fairmont Hotel Trust
5,000,000 Series 2019-FAIR, Class A, 1 Mo. LIBOR + 1.05% (a) (j)....... 1.60% 09/15/32 4,943,225
BAMLL Commercial Mortgage Securities Trust
7,000,000 Series 2013-WBRK, Class A (e) (j)............................ 3.53% 03/10/37 6,830,547
BBCMS Mortgage Trust
12,000,000 Series 2017-DELC, Class A, 1 Mo. LIBOR + 0.85% (a) (j)....... 1.40% 08/15/36 11,833,237
8,394,000 Series 2018-TALL, Class A, 1 Mo. LIBOR + 0.72% (a) (j)....... 1.28% 03/15/37 8,158,155
BPR Trust
4,876,376 Series 2021-WILL, Class A, 1 Mo. LIBOR + 1.75% (a) (j)....... 2.30% 06/15/38 4,809,369
10,000,000 Series 2022-OANA, Class A, 1 Mo. CME Term SOFR +
1.90% (a) (j)............................................. 2.25% 04/15/37 10,003,888
BX Commercial Mortgage Trust
10,000,000 Series 2019-IMC, Class A, 1 Mo. LIBOR + 1.00% (a) (j)........ 1.55% 04/15/34 9,865,148
Citigroup Commercial Mortgage Trust
8,500,000 Series 2012-GC8, Class AS (j)................................ 3.68% 09/10/45 8,501,362
2,915,000 Series 2014-GC23, Class B.................................... 4.18% 07/10/47 2,893,726
90,666,609 Series 2016-P4, Class XA, IO (e)............................. 2.05% 07/10/49 5,577,982
COMM Mortgage Trust
7,450,000 Series 2012-CR3, Class AM (j)................................ 3.42% 10/15/45 7,417,789
Page 36 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
MORTGAGE-BACKED SECURITIES (CONTINUED)
COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
COMM Mortgage Trust (Continued)
$ 10,000,000 Series 2013-CR13, Class AM................................... 4.45% 11/10/46 $ 10,083,335
11,300,000 Series 2014-CR15, Class AM................................... 4.43% 02/10/47 11,337,528
6,850,000 Series 2014-CR21, Class AM................................... 3.99% 12/10/47 6,792,326
DBWF Mortgage Trust
10,844,968 Series 2018-GLKS, Class A, 1 Mo. LIBOR + 1.03% (a) (j)....... 1.58% 12/19/30 10,699,484
Fontainebleau Miami Beach Trust
5,000,000 Series 2019-FBLU, Class C (j)................................ 3.75% 12/10/36 4,849,459
GS Mortgage Securities Corp Trust
14,050,000 Series 2019-BOCA, Class A, 1 Mo. LIBOR + 1.20% (a) (j)....... 1.75% 06/15/38 14,044,400
GS Mortgage Securities Corp. II
10,717,000 Series 2012-TMSQ, Class A (j)................................ 3.01% 12/10/30 10,693,597
GS Mortgage Securities Trust
3,985,930 Series 2014-GC18, Class A3................................... 3.80% 01/10/47 3,977,900
Hawaii Hotel Trust
9,290,000 Series 2019-MAUI, Class A, 1 Mo. LIBOR + 1.15% (a) (j)....... 1.70% 05/15/38 9,190,181
J.P. Morgan Chase Commercial Mortgage Securities Trust
9,690,857 Series 2018-PHH, Class A, 1 Mo. LIBOR + 1.06%, 2.56%
Floor (a) (j)............................................. 2.56% 06/15/35 9,512,926
MHC Commercial Mortgage Trust
6,335,000 Series 2021-MHC, Class A, 1 Mo. LIBOR + 0.80% (a) (j)........ 1.36% 04/15/38 6,220,579
Morgan Stanley Bank of America Merrill Lynch Trust
8,015,000 Series 2014-C15, Class AS.................................... 4.26% 04/15/47 8,038,867
Motel Trust
6,240,231 Series 2021-MTL6, Class A, 1 Mo. LIBOR + 0.90% (a) (j)....... 1.45% 09/15/38 6,150,766
RBS Commercial Funding, Inc. Trust
7,045,000 Series 2013-GSP, Class A (e) (j)............................. 3.96% 01/15/32 7,024,198
Ready Capital Mortgage Financing LLC
9,800,000 Series 2021-FL6, Class A, 1 Mo. LIBOR + 0.95% (a) (j)........ 1.62% 07/25/36 9,614,515
RIAL 2022-FL8 Issuer Ltd.
4,428,000 Series 2022-FL8, Class A (a) (f) (g) (j)..................... 0.00% 01/19/27 4,428,000
UBS-Barclays Commercial Mortgage Trust
5,856,000 Series 2012-C3, Class B (e) (j).............................. 4.37% 08/10/49 5,865,455
12,250,000 Series 2013-C5, Class A4..................................... 3.18% 03/10/46 12,257,421
VMC Finance LLC
3,932,999 Series 2021-HT1, Class A, 1 Mo. LIBOR + 1.65% (a) (j)........ 2.20% 01/18/37 3,935,455
Wells Fargo Commercial Mortgage Trust
12,980,000 Series 2012-LC5, Class B..................................... 4.14% 10/15/45 13,015,182
4,379,333 Series 2015-LC22, Class ASB.................................. 3.57% 09/15/58 4,384,823
7,500,000 Series 2015-NXS2, Class B (e)................................ 4.43% 07/15/58 7,429,532
67,592,329 Series 2016-C37, Class XA, IO (e)............................ 0.96% 12/15/49 1,921,434
5,450,000 Series 2020-SDAL, Class C, 1 Mo. LIBOR + 1.74% (a) (j)....... 2.29% 02/15/37 5,319,919
WFRBS Commercial Mortgage Trust
4,292,804 Series 2013-C18, Class A4.................................... 3.90% 12/15/46 4,291,739
----------------
271,913,449
----------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................ 733,463,507
(Cost $758,160,386) ----------------
See Notes to Financial Statements Page 37
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
ASSET-BACKED SECURITIES -- 4.6%
Affirm Asset Securitization Trust
$ 8,160,000 Series 2021-A, Class A (j)................................... 0.88% 08/15/25 $ 8,112,856
American Credit Acceptance Receivables Trust
12,806,519 Series 2022-1, Class A (j)................................... 0.99% 12/15/25 12,687,756
9,000,000 Series 2022-1, Class B (j)................................... 1.68% 09/14/26 8,704,360
6,000,000 Series 2022-2, Class A (j)................................... 2.66% 02/13/26 6,012,104
AMSR Trust
2,500,000 Series 2020-SFR2, Class A (j)................................ 1.63% 07/17/37 2,334,221
6,393,000 Series 2020-SFR5, Class A (j)................................ 1.38% 11/17/37 5,852,470
CIG Auto Receivables Trust
6,873,355 Series 2021-1A, Class A (j).................................. 0.69% 04/14/25 6,776,859
Corevest American Finance Trust
13,651,866 Series 2020-3, Class A (j)................................... 1.36% 08/15/53 12,335,269
6,290,001 Series 2020-4, Class A (j)................................... 1.17% 12/15/52 5,725,351
CWABS, Inc. Asset-Backed Certificates Trust
3,260,981 Series 2004-5, Class M1, 1 Mo. LIBOR + 0.86% (a)............. 1.52% 08/25/34 3,236,150
Diamond Resorts Owner Trust
7,007,196 Series 2021-1A, Class A (j).................................. 1.51% 11/21/33 6,682,001
DT Auto Owner Trust
5,657,982 Series 2021-4A, Class A (j).................................. 0.56% 09/15/25 5,582,030
FCI Funding LLC
3,762,421 Series 2019-1A, Class A (j).................................. 3.63% 02/18/31 3,774,742
Flagship Credit Auto Trust
22,220,669 Series 2021-4, Class A (j)................................... 0.81% 07/17/26 21,644,267
13,922,778 Series 2022-1, Class A (j)................................... 1.79% 10/15/26 13,697,771
FNA VI LLC
9,179,482 Series 2021-1A, Class A (j).................................. 1.35% 01/10/32 8,713,166
Foursight Capital Automobile Receivables Trust
14,285,000 Series 2022-1, Class A2 (j).................................. 1.15% 09/15/25 14,057,250
GLS Auto Receivables Issuer Trust
23,235,975 Series 2021-4A, Class A (j).................................. 0.84% 07/15/25 22,969,830
GSAMP Trust
6,120,540 Series 2006-SEA1, Class M2, 1 Mo. LIBOR + 1.65% (a) (j)...... 2.32% 05/25/36 6,097,782
M360 Ltd.
5,000,000 Series 2021-CRE3, Class A, 1 Mo. LIBOR + 1.50% (a) (j)....... 2.13% 11/22/38 4,918,750
MF1 Ltd.
4,000,000 Series 2021-FL7, Class A, 1 Mo. LIBOR + 1.08% (a) (j)........ 1.63% 10/16/36 3,932,500
Mill City Mortgage Loan Trust
1,505,984 Series 2018-1, Class A1 (j).................................. 3.25% 05/25/62 1,495,354
1,553,712 Series 2018-2, Class A1 (e) (j).............................. 3.50% 05/25/58 1,543,578
Oscar US Funding XIV LLC
10,750,000 Series 2022-1A, Class A2 (j)................................. 1.60% 03/10/25 10,603,491
Santander Drive Auto Receivables Trust
10,115,000 Series 2021-4, Class A3...................................... 0.51% 08/15/25 9,990,688
9,500,000 Series 2022-1, Class A3...................................... 1.94% 11/17/25 9,351,586
Sierra Timeshare Receivables Funding LLC
2,517,469 Series 2019-1A, Class A (j).................................. 3.20% 01/20/36 2,493,526
5,455,709 Series 2020-2A, Class A (j).................................. 1.33% 07/20/37 5,182,927
Towd Point Mortgage Trust
73,714 Series 2015-3, Class A4B (j)................................. 3.50% 03/25/54 73,902
2,937,459 Series 2019-1, Class A1 (j).................................. 3.66% 03/25/58 2,901,499
United Auto Credit Securitization Trust
7,938,794 Series 2022-1, Class A (j)................................... 1.11% 07/10/24 7,910,735
Page 38 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
ASSET-BACKED SECURITIES (CONTINUED)
Westlake Automobile Receivables Trust
$ 10,750,000 Series 2021-3A, Class A3 (j)................................. 0.95% 06/16/25 $ 10,478,865
10,000,000 Series 2022-1A, Class A3 (j)................................. 2.42% 07/15/25 9,861,756
----------------
TOTAL ASSET-BACKED SECURITIES............................................................... 255,735,392
(Cost $262,246,312) ----------------
SHARES DESCRIPTION VALUE
---------------- -------------------------------------------------------------------------------------------- ----------------
EXCHANGE-TRADED FUNDS -- 0.0%
CAPITAL MARKETS -- 0.0%
29,359 First Trust Long Duration Opportunities ETF (m)............................................. 716,360
(Cost $805,933) ----------------
MONEY MARKET FUNDS -- 8.0%
160,513,072 BlackRock Treasury Trust Fund - Institutional Shares - 0.35% (n)............................ 160,513,072
280,309,642 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Shares -
0.23% (n)................................................................................ 280,309,642
----------------
TOTAL MONEY MARKET FUNDS.................................................................... 440,822,714
(Cost $440,822,714) ----------------
TOTAL INVESTMENTS -- 111.5%................................................................. 6,157,780,876
(Cost $6,401,336,376) ----------------
NUMBER OF NOTIONAL EXERCISE EXPIRATION
CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE
---------------- ------------------------------------------------- ------------- ------------ ------------ ----------------
PUT OPTIONS PURCHASED -- 0.0%
150 U.S. 5-Year Treasury Futures Put................. $ 16,900,781 $ 117.00 05/20/22 651,562
250 U.S. Treasury Long Bond Futures Put.............. 35,171,875 138.00 05/20/22 242,188
----------------
TOTAL PUT OPTIONS PURCHASED................................................................. 893,750
(Cost $306,642) ----------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------ ------------ ----------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT -- (21.2)%
Federal National Mortgage Association
$ (15,000,000) Pool TBA..................................................... 2.50% 05/15/52 (13,700,391)
(30,000,000) Pool TBA..................................................... 3.50% 05/15/52 (29,137,500)
(102,000,000) Pool TBA..................................................... 4.00% 05/15/52 (101,559,726)
(135,000,000) Pool TBA..................................................... 3.00% 06/15/52 (127,193,111)
(15,000,000) Pool TBA..................................................... 3.50% 06/15/52 (14,533,639)
(242,500,000) Pool TBA (k)................................................. 1.50% 06/15/37 (221,696,097)
(175,000,000) Pool TBA (k)................................................. 1.50% 07/15/37 (159,760,811)
(346,000,000) Pool TBA (k)................................................. 2.00% 06/15/52 (305,090,423)
(225,000,000) Pool TBA (k)................................................. 2.00% 07/15/52 (198,069,914)
----------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT.......................... (1,170,741,612)
(Proceeds $1,195,190,937) ----------------
See Notes to Financial Statements Page 39
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
NUMBER OF NOTIONAL EXERCISE EXPIRATION
CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE
---------------- ------------------------------------------------- ------------- ------------ ------------ ----------------
WRITTEN OPTIONS -- (0.0)%
CALL OPTIONS WRITTEN -- (0.0)%
(100) U.S. 5-Year Treasury Futures Call................ $ (11,267,187) $ 114.75 05/20/22 $ (7,031)
(100) U.S. 10-Year Treasury Futures Call............... (11,915,625) 127.00 05/20/22 (3,125)
(350) U.S. Treasury Long Bond Futures Call............. (49,240,625) 145.00 05/20/22 (207,813)
----------------
TOTAL CALL OPTIONS WRITTEN.................................................................. (217,969)
(Premiums received $312,243) ----------------
PUT OPTIONS WRITTEN -- (0.0)%
(100) U.S. 5-Year Treasury Futures Put................. (11,267,187) 113.00 05/20/22 (80,469)
(100) U.S. 5-Year Treasury Futures Put................. (11,267,187) 114.00 05/20/22 (149,219)
(50) U.S. 5-Year Treasury Futures Put................. (5,633,594) 116.00 05/20/22 (167,578)
(50) U.S. 10-Year Treasury Futures Put................ (6,450,000) 129.00 05/20/22 (70,312)
----------------
TOTAL PUT OPTIONS WRITTEN................................................................... (467,578)
(Premiums received $202,737) ----------------
TOTAL WRITTEN OPTIONS....................................................................... (685,547)
(Premiums received $514,980) ----------------
NET OTHER ASSETS AND LIABILITIES -- 9.7%.................................................... 537,785,790
----------------
NET ASSETS -- 100.0%........................................................................ $ 5,525,033,257
================
FUTURES CONTRACTS AT APRIL 30, 2022 (See Note 2D - Futures Contracts in the
Notes to Financial Statements):
UNREALIZED
APPRECIATION
NUMBER OF EXPIRATION NOTIONAL (DEPRECIATION)/
FUTURES CONTRACTS POSITION CONTRACTS DATE VALUE VALUE
------------------------------------------------------ ----------- ----------- ----------- --------------- ----------------
U.S. 2-Year Treasury Notes Short 150 Jun-2022 $ (31,621,875) $ 82,850
U.S. 5-Year Treasury Notes Short 2,249 Jun-2022 (253,399,047) 1,392,579
U.S. 10-Year Treasury Notes Short 251 Jun-2022 (29,908,219) (16,308)
Ultra 10-Year U.S. Treasury Notes Short 6,686 Jun-2022 (862,494,000) 52,621,536
U.S. Treasury Long Bond Futures Short 1,479 Jun-2022 (208,076,813) 7,943,758
Ultra U.S. Treasury Bond Futures Short 225 Jun-2022 (36,098,437) 446,819
--------------- ----------------
$(1,421,598,391) $ 62,471,234
=============== ================
-----------------------------
(a) Floating or variable rate security.
(b) Zero coupon security.
(c) Inverse floating rate security.
(d) 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.
(e) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.
(f) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940, as
amended. At April 30, 2022, securities noted as such are valued at
$378,082,807 or 6.8% of net assets.
(g) When-issued security. The interest rate shown reflects the rate in effect
at April 30, 2022. Interest will begin accruing on the security's first
settlement date.
(h) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by First Trust Advisors L.P.
(the "Advisor"), the Fund's advisor.
(i) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).
Page 40 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
(j) 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 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 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 April 30, 2022,
securities noted as such amounted to $946,136,364 or 17.1% of net assets.
(k) All or a portion of this security is part of a mortgage dollar roll
agreement (see Note 2I- Mortgage Dollar Rolls and TBA Transactions in the
Notes to Financial Statements).
(l) Step-up security. A security where the coupon increases or steps up at a
predetermined date.
(m) Investment in an affiliated fund.
(n) Rate shown reflects yield as of April 30, 2022.
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
REMIC - Real Estate Mortgage Investment Conduit
SOFR - Secured Overnight Financing Rate
STRIPS - Separate Trading of Registered Interest and Principal of Securities
TBA - To-Be-Announced Security
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of April 30,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
4/30/2022 PRICES INPUTS INPUTS
--------------- --------------- --------------- ---------------
U.S. Government Agency Mortgage-Backed Securities..... $ 4,727,042,903 $ -- $ 4,705,717,343 $ 21,325,560
Mortgage-Backed Securities............................ 733,463,507 -- 733,463,507 --
Asset-Backed Securities............................... 255,735,392 -- 255,735,392 --
Exchange-Traded Funds*................................ 716,360 716,360 -- --
Money Market Funds.................................... 440,822,714 440,822,714 -- --
--------------- --------------- --------------- ---------------
Total Investments..................................... 6,157,780,876 441,539,074 5,694,916,242 21,325,560
Put Options Purchased................................. 893,750 893,750 -- --
Futures Contracts**................................... 62,487,542 62,487,542 -- --
--------------- --------------- --------------- ---------------
Total................................................. $ 6,221,162,168 $ 504,920,366 $ 5,694,916,242 $ 21,325,560
=============== =============== =============== ===============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
4/30/2022 PRICES INPUTS INPUTS
--------------- --------------- --------------- ---------------
U.S. Government Agency Mortgage-Backed Securities
Sold Short......................................... $(1,170,741,612) $ -- $(1,170,741,612) $ --
Call Options Written.................................. (217,969) (217,969) -- --
Put Options Written................................... (467,578) (467,578) -- --
Futures Contracts**................................... (16,308) (16,308) -- --
--------------- --------------- --------------- ---------------
Total................................................. $(1,171,443,467) $ (701,855) $(1,170,741,612) $ --
=============== =============== =============== ===============
* See Portfolio of Investments for industry breakout.
** Includes cumulative appreciation/depreciation on futures contracts as
reported in the Futures Contracts table. Only the current day's variation margin
is presented on the Statement of Assets and Liabilities.
Level 3 Investments that are fair valued by the Advisor's Pricing Committee are
footnoted in the Portfolio of Investments. All Level 3 values are based on
unobservable inputs.
See Notes to Financial Statements Page 41
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2022 (UNAUDITED)
ASSETS:
Investments, at value - Unaffiliated...................................... $ 6,157,064,516
Investments, at value - Affiliated........................................ 716,360
---------------
Total investments, at value............................................... 6,157,780,876
Options contracts purchased, at value..................................... 893,750
Cash...................................................................... 505,789,520
Cash segregated as collateral for open futures and options contracts...... 26,799,708
Receivables:
Investment securities sold............................................. 6,561,698,184
Interest............................................................... 19,938,053
Variation margin....................................................... 3,047,363
Dividends.............................................................. 94,801
---------------
Total Assets........................................................... 13,276,042,255
---------------
LIABILITIES:
Investments sold short, at value (proceeds $1,195,190,937)................ 1,170,741,612
Options contracts written, at value....................................... 685,547
Payables:
Investment securities purchased........................................ 6,576,585,930
Investment advisory fees............................................... 2,987,516
Other Liabilities...................................................... 8,393
---------------
Total Liabilities...................................................... 7,751,008,998
---------------
NET ASSETS................................................................ $ 5,525,033,257
===============
NET ASSETS CONSIST OF:
Paid-in capital........................................................... $ 5,778,949,653
Par value................................................................. 1,133,500
Accumulated distributable earnings (loss)................................. (255,049,896)
---------------
NET ASSETS................................................................ $ 5,525,033,257
---------------
NET ASSET VALUE, per share................................................ $ 48.74
===============
Number of shares outstanding (unlimited number of shares authorized,
par value $0.01 per share)............................................. 113,350,002
===============
Investments, at cost - Unaffiliated....................................... $ 6,400,530,443
===============
Investments, at cost - Affiliated......................................... $ 805,933
===============
Total investments, at cost................................................ $ 6,401,336,376
===============
Premiums paid on options contracts purchased.............................. $ 306,642
===============
Premiums received on options contracts written............................ $ 514,980
===============
Page 42 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2022 (UNAUDITED)
INVESTMENT INCOME:
Interest.................................................................. $ 51,321,672
Dividends - Unaffiliated.................................................. 175,445
Dividends - Affiliated.................................................... 5,983
---------------
Total investment income................................................ 51,503,100
---------------
EXPENSES:
Investment advisory fees.................................................. 19,467,475
---------------
Total expenses......................................................... 19,467,475
---------------
NET INVESTMENT INCOME (LOSS).............................................. 32,035,625
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments - Unaffiliated............................................. (151,986,679)
Investments - Affiliated............................................... --
Investments sold short................................................. 71,813,246
Futures contracts...................................................... 80,199,556
Purchased options contracts............................................ (1,165,816)
Written options contracts.............................................. 7,195,714
---------------
Net realized gain (loss).................................................. 6,056,021
---------------
Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated............................................. (254,624,452)
Investments - Affiliated............................................... (97,178)
Investments sold short................................................. 23,932,727
Futures contracts...................................................... 48,023,510
Purchased options contracts............................................ 587,108
Written options contracts.............................................. 792,889
---------------
Net change in unrealized appreciation (depreciation)...................... (181,385,396)
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................... (175,329,375)
---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................................ $ (143,293,750)
===============
See Notes to Financial Statements Page 43
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED YEAR
4/30/2022 ENDED
(UNAUDITED) 10/31/2021
--------------- --------------
OPERATIONS:
Net investment income (loss).............................................. $ 32,035,625 $ 50,844,582
Net realized gain (loss).................................................. 6,056,021 31,189,777
Net change in unrealized appreciation (depreciation)...................... (181,385,396) (86,269,103)
--------------- --------------
Net increase (decrease) in net assets resulting from operations........... (143,293,750) (4,234,744)
--------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................................... (55,858,126) (48,092,827)
Return of capital......................................................... -- (90,717,550)
--------------- --------------
Total distributions to shareholders....................................... (55,858,126) (138,810,377)
--------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................................. -- 1,099,737,143
Cost of shares redeemed................................................... (1,056,782,579) (565,466,073)
--------------- --------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................................... (1,056,782,579) 534,271,070
--------------- --------------
Total increase (decrease) in net assets................................... (1,255,934,455) 391,225,949
NET ASSETS:
Beginning of period....................................................... 6,780,967,712 6,389,741,763
--------------- --------------
End of period............................................................. $ 5,525,033,257 $6,780,967,712
=============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................................... 134,550,002 124,200,002
Shares sold............................................................... -- 21,450,000
Shares redeemed........................................................... (21,200,000) (11,100,000)
--------------- --------------
Shares outstanding, end of period......................................... 113,350,002 134,550,002
=============== ==============
Page 44 See Notes to Financial Statements
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
4/30/2022 --------------------------------------------------------------------------
(UNAUDITED) 2021 2020 2019 2018 2017
------------ ------------ ------------ ------------ ------------ --------------
Net asset value, beginning of period..... $ 50.40 $ 51.45 $ 51.87 $ 50.78 $ 51.76 $ 52.54
---------- ---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)............. 0.27 0.39 0.87 1.24 1.17 1.13
Net realized and unrealized gain (loss).. (1.46) (0.40) (0.10) 1.21 (0.74) (0.50)
---------- ---------- ---------- ---------- ---------- --------
Total from investment operations......... (1.19) (0.01) 0.77 2.45 0.43 0.63
---------- ---------- ---------- ---------- ---------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income.................... (0.47) (0.36) (0.99) (1.23) (1.13) (1.14)
Net realized gain........................ -- -- -- (0.05) (0.28) (0.02)
Return of capital........................ -- (0.68) (0.20) (0.08) -- (0.25)
---------- ---------- ---------- ---------- ---------- --------
Total distributions...................... (0.47) (1.04) (1.19) (1.36) (1.41) (1.41)
---------- ---------- ---------- ---------- ---------- --------
Net asset value, end of period........... $ 48.74 $ 50.40 $ 51.45 $ 51.87 $ 50.78 $ 51.76
========== ========== ========== ========== ========== ========
TOTAL RETURN (a)......................... (2.36)% (0.02)% 1.50% 4.88% 0.84% 1.22%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)..... $5,525,033 $6,780,968 $6,389,742 $3,765,469 $1,729,078 $846,322
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets (b)............................ 0.65% (c) 0.65% 0.65% 0.65% 0.65% 0.65%
Ratio of net investment income (loss) to
average net assets.................... 1.07% (c) 0.75% 1.57% 2.41% 2.32% 2.20%
Portfolio turnover rate (d) (e).......... 394% 495% 434% 373% 331% 190%
(a) 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.
(b) The Fund indirectly bears its proportionate share of fees and expenses
incurred by the underlying funds in which the Fund invests. This ratio
does not include these indirect fees and expenses.
(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 301%
for the six months ended April 30, 2022, and 368%, 245%, 246%, 117% and
97% for the years ended October 31, 2021, 2020, 2019, 2018 and 2017,
respectively.
See Notes to Financial Statements Page 45
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
1. ORGANIZATION
First Trust Exchange-Traded Fund IV (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on September 15,
2010, 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 eleven funds that are offering shares. This
report covers the First Trust Low Duration Opportunities ETF (the "Fund"), a
diversified series of the Trust, which trades under the ticker "LMBS" on The
Nasdaq Stock Market LLC ("Nasdaq"). The Fund represents a separate series of
shares of beneficial interest in the Trust. Unlike conventional mutual funds,
the Fund issues and redeems shares on a continuous basis, at net asset value
("NAV"), only in large blocks of shares known as "Creation Units."
The Fund is an actively managed exchange-traded fund ("ETF"). The Fund's primary
investment objective is to generate current income. The Fund's secondary
investment objective is to provide capital appreciation. The Fund seeks to
achieve its investment objectives by investing, under normal market conditions,
at least 60% of its net assets (including investment borrowings) in
mortgage-related debt securities and other mortgage-related instruments
(collectively, "Mortgage-Related Investments"). The Fund normally expects to
invest in Mortgage-Related Investments tied to residential and commercial
mortgages. Mortgage-Related Investments include residential mortgage-backed
securities, commercial mortgage-backed securities, stripped mortgage-backed
securities, collateralized mortgage obligations and real estate mortgage
investment conduits. The Fund may also invest in investment companies, including
ETFs, that invest primarily in Mortgage-Related Investments. The Fund will limit
its investments in Mortgage-Related Investments that are not issued or
guaranteed by Government Entities(1) to 20% of its net assets (including
investment borrowings). The Fund may invest, without limitation, in mortgage
dollar rolls. The Fund intends to enter into mortgage dollar rolls only with
high quality securities dealers and banks, as determined by the Fund's
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor").
The Fund may also invest in to-be-announced transactions ("TBA Transactions").
Further, the Fund may enter into short sales as part of its overall portfolio
management strategies or to offset a potential decline in the value of a
security; however, the Fund does not expect, under normal market conditions, to
engage in short sales with respect to more than 30% of the value of its net
assets (including investment borrowings). Although the Fund intends to invest
primarily in investment grade securities, the Fund may invest up to 20% of its
net assets (including investment borrowings) in securities of any credit
quality, including securities that are below investment grade, which are also
known as high yield securities, or commonly referred to as "junk" bonds, or
unrated securities that have not been judged by the Advisor to be of comparable
quality to rated investment grade securities. In the case of a split rating
between one or more of the nationally recognized statistical rating
organizations, the Fund will consider the highest rating. The Fund targets an
estimated effective duration of three years or less.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund is considered an investment company and follows 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 Fund 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
The 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. The 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.
The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Advisor's Pricing Committee, in
-----------------------------
(1) "Government Entities" means the U.S. government, its agencies and
instrumentalities, and U.S. government-sponsored entities.
Page 46
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
accordance with valuation procedures adopted by the Trust's Board of Trustees,
and in accordance with provisions of the 1940 Act. Investments valued by the
Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to
the Portfolio of Investments. The Fund's investments are valued as follows:
U.S. government securities, mortgage-backed securities, asset-backed
securities and other debt securities are fair valued on the basis of
valuations provided by dealers who make markets in such securities or by a
third-party pricing service approved by the Trust's Board of Trustees,
which may use the following valuation inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
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.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Exchange-traded futures contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded futures contracts are fair valued at the mean
of their most recent bid and asked price, if available, and otherwise at
their closing bid price.
Exchange-traded options contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded options contracts are fair valued at the mean
of their most recent bid and asked price, if available, and otherwise at
their closing bid price.
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.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) 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
Page 47
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
before the calculation of the Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the fundamental business data relating to the issuer;
2) an evaluation of the forces which influence the market in
which these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the issuer;
5) the credit quality and cash flow of the issuer, based on the
Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities
of the issuer/borrower, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any,
securing the security;
10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management (for corporate debt
only);
11) the 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
12) other relevant factors.
The Fund is 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 the Fund's investments as of April 30, 2022, is
included with the Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded using the effective interest method.
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.
Page 48
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
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 Fund or
its investments.
The Fund invests in interest-only securities. For these securities, if there is
a change in the estimated cash flows, based on an evaluation of current
information, then the estimated yield is adjusted. Additionally, if the
evaluation of current information indicates a permanent impairment of the
security, the cost basis of the security is written down and a loss is
recognized. Debt obligations may be placed on non-accrual status and the related
interest income may be reduced by ceasing current accruals and writing off
interest receivables when the collection of all or a portion of interest has
become doubtful based on consistently applied procedures. A debt obligation is
removed from non-accrual status when the issuer resumes interest payments or
when collectability of interest is reasonably assured.
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. The
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 April 30, 2022, the Fund held $38,171,246 when-issued or
delayed-delivery securities. At April 30, 2022, the Fund held $1,034,904,160 of
forward purchase commitments.
C. SHORT SALES
Short sales are utilized to manage interest rate and spread risk, and are
transactions in which securities or other instruments (such as options,
forwards, futures or other derivative contracts) are sold that are not currently
owned in the Fund's portfolio. When the Fund engages in a short sale, the Fund
must borrow the security sold short and deliver the security to the
counterparty. Short selling allows the Fund to profit from a decline in a market
price to the extent such decline exceeds the transaction costs and the costs of
borrowing the securities. The Fund is charged a fee or premium to borrow the
securities sold short and is obligated to repay the lenders of the securities.
Any dividends or interest that accrues on the securities during the period of
the loan are due to the lenders. A gain, limited to the price at which the
security was sold short, or a loss, unlimited in size, will be recognized upon
the termination of the short sale; which is effected by the Fund purchasing the
security sold short and delivering the security to the lender. Any such gain or
loss may be offset, completely or in part, by the change in the value of the
long portion of the Fund's portfolio. The Fund is subject to the risk it may be
unable to reacquire a security to terminate a short position except at a price
substantially in excess of the last quoted price. Also, there is the risk that
the counterparty to a short sale may fail to honor its contractual terms,
causing a loss to the Fund.
D. FUTURES CONTRACTS
The Fund may purchase or sell (i.e., is long or short) exchange-listed futures
contracts to hedge against or gain exposure to changes in interest rates
(interest rate risk). Futures contracts are agreements between the Fund and a
counterparty to buy or sell a specific quantity of an underlying instrument at a
specified price and at a specified date. Depending on the terms of the contract,
futures contracts are settled either through physical delivery of the underlying
instrument on the settlement date or by payment of a cash settlement amount on
the settlement date. Open futures contracts can also be closed out prior to
settlement by entering into an offsetting transaction in a matching futures
contract. If the 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, the 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
Statement of Operations.
Upon entering into a futures contract, the 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
contracts 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 Statement of Operations. Pursuant to the contract, the 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
Page 49
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
on the Statement of Assets and Liabilities. If market conditions change
unexpectedly, the 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. OPTIONS CONTRACTS
The Fund may invest in exchange-listed options on U.S. Treasury securities,
exchange-listed options on U.S. Treasury futures contracts and exchange-listed
U.S. Treasury futures contracts. The Fund may also invest up to 20% of its net
assets in over-the-counter derivatives. The Fund uses derivative instruments
primarily to hedge interest rate risk and actively manage interest rate
exposure. The primary risk exposure is interest rate risk.
The Fund may purchase (buy) 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 option contract may be closed out by an
offsetting purchase or sale of a futures option of the same series. When the
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 Statement of
Assets and Liabilities. When the Fund purchases (buys) an option, the premium
paid represents the cost of the option, which is included in "Premiums paid on
options contracts purchased" on the Statement of Assets and Liabilities. 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.
The Fund uses options on futures contracts in connection with hedging
strategies. Generally, these strategies are applied under the same market and
market sector conditions in which the Fund uses put and call options on
securities. The purchase of put options on futures contracts is analogous to the
purchase of puts on securities so as to hedge the Fund's securities holdings
against the risk of declining market prices. The writing of a call option or the
purchasing of a put option on a futures contract constitutes a partial hedge
against declining prices of securities which are deliverable upon exercise of
the futures contract. If the price at expiration of a written call option is
below the exercise price, the Fund will retain the full amount of the option
premium which provides a partial hedge against any decline that may have
occurred in the Fund's holdings of securities. If the price when the option is
exercised is above the exercise price, however, the Fund will incur a loss,
which may be offset, in whole or in part, by the increase in the value of the
securities held by the Fund that were being hedged. Writing a put option or
purchasing a call option on a futures contract serves as a partial hedge against
an increase in the value of the securities the Fund intends to acquire. Realized
gains and losses on written options are included in "Net realized gain (loss) on
written options contracts" on the Statement of Operations. Realized gains and
losses on purchased options are included in "Net realized gain (loss) on
purchased options contracts" on the Statement of Operations.
The Fund is required to deposit and maintain margin with respect to put and call
options on futures contracts written by it. Such margin deposits will vary
depending on the nature of the underlying futures contract (and the related
initial margin requirements), the current market value of the option and other
futures positions held by the Fund. The Fund will pledge in a segregated account
at the Fund's custodian, liquid assets, such as cash, U.S. government securities
or other high-grade liquid debt obligations equal in value to the amount due on
the underlying obligation. Such segregated assets will be marked-to-market
daily, and additional assets will be pledged in the segregated account whenever
the total value of the pledged assets falls below the amount due on the
underlying obligation.
The risks associated with the use of options on future contracts include the
risk that the Fund may close out its position as a writer of an option only if a
liquid secondary market exists for such options, which cannot be assured. The
Fund's successful use of options on futures contracts depends on the Advisor's
ability to correctly predict the movement in prices on futures contracts and the
underlying instruments, which may prove to be incorrect. In addition, there may
be imperfect correlation between the instruments being hedged and the futures
contract subject to option.
F. 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 the Portfolio of Investments.
Page 50
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
G. PRINCIPAL-ONLY SECURITIES
A principal-only security ("PO Security") is the principal-only portion of a
mortgage-backed security that does not receive any interest, is priced at a deep
discount to its redemption value and ultimately receives the redemption value.
Generally speaking, when interest rates are falling and prepayment rates are
increasing, the value of a PO Security will rise. Conversely, when interest
rates are rising and prepayment rates are decreasing, generally the value of a
PO Security will fall. These securities, if any, are identified on the Portfolio
of Investments.
H. STRIPPED MORTGAGE-BACKED SECURITIES
Stripped mortgage-backed securities are created by segregating the cash flows
from underlying mortgage loans or mortgage securities to create two or more new
securities, each with a specified percentage of the underlying security's
principal or interest payments. Mortgage-backed securities may be partially
stripped so that each investor class receives some interest and some principal.
When securities are completely stripped, however, all of the interest is
distributed to holders of one type of security known as an IO Security and all
of the principal is distributed to holders of another type of security known as
a PO Security. These securities, if any, are identified on the Portfolio of
Investments.
I. MORTGAGE DOLLAR ROLLS AND TBA TRANSACTIONS
The Fund may invest, without limitation, in mortgage dollar rolls. The Fund
intends to enter into mortgage dollar rolls only with high quality securities
dealers and banks, as determined by the Fund's investment advisor. In a mortgage
dollar roll, the 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 the
Fund. The Fund may also invest in TBA Transactions. A TBA Transaction is a
method of trading mortgage-backed securities. TBA Transactions generally are
conducted in accordance with widely-accepted guidelines which establish commonly
observed terms and conditions for execution, settlement and delivery. In a TBA
Transaction, the buyer and the seller agree on general trade parameters such as
agency, settlement date, par amount and price.
J. AFFILIATED TRANSACTIONS
The Fund invests in securities of affiliated funds. Dividend income and realized
gains and losses, and change in appreciation (depreciation) from affiliated
funds are presented on the Statement of Operations. The Fund's investment
performance and risks are directly related to the investment performance and
risks of the affiliated funds.
Amounts related to these investments at April 30, 2022 and for the six months
then ended are as follows:
CHANGES IN
UNREALIZED REALIZED
SHARES AT VALUE AT APPRECIATION GAIN VALUE AT DIVIDEND
SECURITY NAME 4/30/2022 10/31/2021 PURCHASES SALES (DEPRECIATION) (LOSS) 4/30/2022 INCOME
------------------------------------------------------------------------------------------------------------------------------------
First Trust Long Duration
Opportunities ETF 29,359 $ 813,538 $ -- $ -- $ (97,178) $ -- $ 716,360 $ 5,983
K. DIVIDENDS AND DISTRIBUTION TO SHAREHOLDERS
Dividends from net investment income, if any, are declared and paid monthly by
the Fund, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by the Fund, if any, are distributed
at least annually.
Distributions in cash may be reinvested automatically in additional whole shares
only if the broker through whom the shares were purchased makes such option
available. Such shares will generally be reinvested by the broker based upon the
market price of those shares and investors may be subject to customary brokerage
commissions charged by the broker.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Fund 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 51
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
The tax character of distributions paid during the fiscal year ended October 31,
2021 was as follows:
Distributions paid from:
Ordinary income................................. $ 48,718,452
Capital gains................................... --
Return of capital............................... 90,717,550
As of October 31, 2021, the components of distributable earnings on a tax basis
for the Fund were as follows:
Undistributed ordinary income................... $ (10,258,184)
Accumulated capital and other gain (loss)....... (72,543,076)
Net unrealized appreciation (depreciation)...... 26,903,240
L. INCOME TAXES
The 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, the Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of the Fund's taxable income exceeds
the distributions from such taxable income for the calendar year.
The Fund is 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. The taxable years ended 2018,
2019, 2020, and 2021 remain open to federal and state audit. As of April 30,
2022, management has evaluated the application of these standards to the Fund
and has determined that no provision for income tax is required in the Fund's
financial statements for uncertain tax positions.
The 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.
The 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 October 31, 2021, the
Fund had non-expiring capital loss carryforwards available for federal income
tax purposes of $72,543,076.
During the taxable year ended October 31, 2021, the Fund utilized non-expiring
capital loss carryforwards in the amount of $36,399,411.
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 October 31, 2021, the Fund had no
net late year ordinary or capital losses.
As of April 30, 2022, the aggregate cost, gross unrealized appreciation, gross
unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:
Gross Gross Net Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------------- ---------------- ---------------- ----------------
$ 5,205,937,101 $ 105,974,609 $ (262,193,009) $ (156,218,400)
M. 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 Fund, 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 selection and ongoing monitoring of the securities
in the Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Fund.
Page 52
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
Pursuant to the Investment Management Agreement between the Trust and the
Advisor, First Trust manages the investment of the Fund's assets and is
responsible for the Fund's expenses, including the cost of transfer agency,
custody, fund administration, legal, audit and other services, but excluding fee
payments under the Investment Management Agreement, interest, taxes, pro rata
share of fees and expenses attributable to investments in other investment
companies ("acquired fund fees and expenses"), 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. The Fund has agreed to pay First Trust an annual unitary
management fee equal to 0.65% of its average daily net assets. In addition, the
Fund incurs acquired fund fees and expenses. The total of the unitary management
fee and acquired fund fees and expenses represents the Fund's total annual
operating expenses.
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
the Fund. As custodian, BNYM is responsible for custody of the Fund's assets. As
fund accountant and administrator, BNYM is responsible for maintaining the books
and records of the Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for the 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 defined-outcome fund or an index fund.
Additionally, the Lead Independent Trustee and the Chairs of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee Chairs
will 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
The cost of purchases of U.S. Government securities and non-U.S. Government
securities, excluding investments sold short and short-term investments, for the
six months ended April 30, 2022, were $14,551,541,304 and $542,206,291,
respectively. The proceeds from sales and paydowns of U.S. Government securities
and non-U.S. Government securities, excluding investments sold short and
short-term investments, for the six months ended April 30, 2022, were
$14,850,049,237 and $304,997,134, respectively. The cost of purchases to cover
investments sold short and the proceeds of investments sold short were
$10,623,256,992 and $11,315,839,191, respectively.
For the six months ended April 30, 2022, the Fund had no in-kind transactions.
5. DERIVATIVE TRANSACTIONS
The following table presents the types of derivatives held by the Fund at April
30, 2022, the primary underlying risk exposure and the location of these
instruments as presented on the Statement of Assets and Liabilities.
ASSET DERIVATIVES LIABILITY DERIVATIVES
----------------------------------------- ---------------------------------------
DERIVATIVE RISK STATEMENT OF ASSETS AND STATEMENT OF ASSETS AND
INSTRUMENTS EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE
----------- --------- ---------------------------- ----------- -------------------------- -----------
Futures Interest Unrealized appreciation on Unrealized depreciation on
rate risk futures contracts* $62,487,542 futures contracts* $ 16,308
Options Interest Options contracts purchased, Options contracts written,
rate risk at value 893,750 at value 685,547
* Includes cumulative appreciation/depreciation on futures contracts as reported
in the Portfolio of Investments. Only the current day's variation margin is
presented on the Statement of Assets and Liabilities.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
The following table presents the amount of net realized gain (loss) and change
in net unrealized appreciation (depreciation) recognized for the six months
ended April 30, 2022, on derivative instruments, as well as the primary
underlying risk exposure associated with the instruments.
STATEMENT OF OPERATIONS LOCATION INTEREST RATE RISK
----------------------------------------------------------------------------------
Net realized gain (loss) on:
Futures contracts $ 80,199,556
Purchased options contracts (1,165,816)
Written options contracts 7,195,714
Net change in unrealized appreciation (depreciation) on:
Futures contracts 48,023,510
Purchased options contracts 587,108
Written options contracts 792,889
For the six months ended April 30, 2022, the notional value of futures contracts
opened and closed were $10,636,680,448 and $10,631,212,892, respectively.
During the six months ended April 30, 2022, the premiums for purchased options
contracts opened were $1,500,447 and the premiums for purchased options
contracts closed, exercised and expired were $1,193,805.
During the six months ended April 30, 2022, the premiums for written options
contracts opened were $10,440,444 and the premiums for written options contracts
closed, exercised and expired were $14,050,516.
The Fund does not have the right to offset financial assets and financial
liabilities related to futures and options contracts on the Statement of Assets
and Liabilities.
6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES
The 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 the 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, the 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 the 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 the 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 the Fund's
shares and underlying securities provides arbitrage opportunities that are
designed to help keep the market price of the Fund's shares at or close to the
NAV per share of the Fund.
The 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 the 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, 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.
The 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 the 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 the 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.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
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 Fund is
authorized to pay an amount up to 0.25% of its average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Fund, 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 Fund, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before March 31, 2023.
8. INDEMNIFICATION
The Trust, on behalf of the Fund, 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 Fund through
the date the financial statements were issued, and has determined that there
were no subsequent events requiring recognition or disclosure in the financial
statements that have not already been disclosed.
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ADDITIONAL INFORMATION
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how the 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
the Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
The 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. The 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 the Fund is available to investors within 60 days after the
period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are
available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns
sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or
more indices or ETF models. As a result, such a fund may be included in one or
more index-tracking exchange-traded funds or mutual funds. Being a component
security of such a vehicle could greatly affect the trading activity involving a
fund, the size of the fund and the market volatility of the fund. Inclusion in
an index could increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods. In addition, index rebalances may potentially result in increased
trading activity in a fund's shares.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
same volume or liquidity. The unavailability or replacement of LIBOR may affect
the value, liquidity or return on certain fund investments and may result in
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
costs incurred in connection with closing out positions and entering into new
trades. Any potential effects of the transition away from LIBOR on the fund or
on certain instruments in which the fund invests can be difficult to ascertain,
and they may vary depending on a variety of factors, and they could result in
losses to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. In February 2022, Russia invaded Ukraine which has caused and could
continue to cause significant market disruptions and volatility within the
markets in Russia, Europe, and the United States. The hostilities and sanctions
resulting from those hostilities could have a significant impact on certain fund
investments as well as fund performance. The outbreak of the respiratory disease
designated as COVID-19 in December 2019 has caused significant volatility and
declines in global financial markets, which have caused losses for investors.
While the development of vaccines has slowed the spread of the virus and allowed
for the resumption of "reasonably" normal business activity in the United
States, many countries continue to impose lockdown measures in an attempt to
slow the spread. Additionally, there is no guarantee that vaccines will be
effective against emerging variants of the disease.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
VALUATION RISK. The valuation of municipal bonds or securitized assets 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. The 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 the 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
LIQUIDITY RISK MANAGEMENT PROGRAM
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as
amended (the "1940 Act"), the Fund and each other fund in the First Trust Fund
Complex, other than the closed-end funds, have adopted and implemented a
liquidity risk management program (the "Program") reasonably designed to assess
and manage the funds' liquidity risk, i.e., the risk that a fund could not meet
requests to redeem shares issued by the fund without significant dilution of
remaining investors' interests in the fund. The Board of Trustees of the First
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2022 (UNAUDITED)
Trust Funds has appointed First Trust Advisors L.P. (the "Advisor") as the
person designated to administer the Program, and in this capacity the Advisor
performs its duties primarily through the activities and efforts of the First
Trust Liquidity Committee (the "Liquidity Committee").
Pursuant to the Program, the Liquidity Committee classifies the liquidity of
each fund's portfolio investments into one of the four liquidity categories
specified by Rule 22e-4: highly liquid investments, moderately liquid
investments, less liquid investments and illiquid investments. The Liquidity
Committee determines certain of the inputs for this classification process,
including reasonably anticipated trade sizes and significant investor dilution
thresholds. The Liquidity Committee also determines and periodically reviews a
highly liquid investment minimum for certain funds, monitors the funds' holdings
of assets classified as illiquid investments to seek to ensure they do not
exceed 15% of a fund's net assets and establishes policies and procedures
regarding redemptions in kind.
At the April 18, 2022 meeting of the Board of Trustees, as required by Rule
22e-4 and the Program, the Advisor provided the Board with a written report
prepared by the Advisor that addressed the operation of the Program during the
period from March 16, 2021 through the Liquidity Committee's annual meeting held
on March 17, 2022 and assessed the Program's adequacy and effectiveness of
implementation during this period, including the operation of the highly liquid
investment minimum for each fund that is required under the Program to have one,
and any material changes to the Program. Note that because the Fund primarily
holds assets that are highly liquid investments, the Fund has not adopted any
highly liquid investment minimum.
As stated in the written report, during the review period, no fund breached the
15% limitation on illiquid investments, no fund with a highly liquid investment
minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor
concluded that each fund's investment strategy is appropriate for an open-end
fund; that the Program operated effectively in all material respects during the
review period; and that the Program is reasonably designed to assess and manage
the liquidity risk of each fund and to maintain compliance with Rule 22e-4.
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FIRST TRUST
First Trust Exchange-Traded Fund IV
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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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