First Trust Global Tactical Commodity Strategy Fund (FTGC)
Consolidated Portfolio of Investments
September 30, 2021 (Unaudited)
Shares | Description | Value | ||
MONEY MARKET FUNDS – 0.3% | ||||
5,500,000 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (a) | $5,500,000 | ||
(Cost $5,500,000) |
Total Investments – 0.3% | 5,500,000 | ||
(Cost $5,500,000) (b) |
Net Other Assets and Liabilities – 99.7% | 1,883,645,476 | ||
Net Assets – 100.0% | $1,889,145,476 |
The following futures contracts of the Fund’s wholly-owned subsidiary were open at September 30, 2021:
Futures Contracts Long: | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
Brent Crude Oil Futures | 361 | $28,269,910 | Oct–21 | $3,947,250 | ||||
Brent Crude Oil Futures | 337 | 26,127,610 | Nov–21 | 1,844,310 | ||||
Brent Crude Oil Futures | 342 | 26,251,920 | Dec–21 | 1,480,826 | ||||
Cattle Feeder Futures | 145 | 11,085,250 | Nov–21 | (260,048) | ||||
Cocoa Futures | 1,049 | 27,819,480 | Dec–21 | 1,367,173 | ||||
Coffee “C” Futures | 750 | 54,562,500 | Dec–21 | 8,411,335 | ||||
Copper Futures | 1,021 | 104,371,725 | Dec–21 | (5,209,795) | ||||
Corn Futures | 2,431 | 65,241,963 | Dec–21 | (1,844,618) | ||||
Cotton No. 2 Futures | 1,983 | 104,900,700 | Dec–21 | 15,220,714 | ||||
Gasoline RBOB Futures | 494 | 45,521,112 | Oct–21 | 2,573,135 | ||||
Gasoline RBOB Futures | 435 | 39,391,947 | Nov–21 | 2,998,336 | ||||
Gasoline RBOB Futures | 352 | 31,612,627 | Dec–21 | 1,308,096 | ||||
Gold 100 Oz. Futures | 702 | 123,341,400 | Dec–21 | (3,737,288) | ||||
Kansas City Hard Red Winter Wheat Futures | 530 | 19,391,375 | Dec–21 | 2,305,997 | ||||
Lean Hogs Futures | 1,362 | 46,525,920 | Dec–21 | 6,264,347 | ||||
Live Cattle Futures | 710 | 35,705,900 | Dec–21 | (818,126) | ||||
LME Aluminum Futures | 1,503 | 107,361,169 | Dec–21 | 9,521,869 | ||||
LME Lead Futures | 1,633 | 85,569,200 | Dec–21 | (7,553,225) | ||||
LME Nickel Futures | 581 | 62,526,639 | Dec–21 | (3,535,130) | ||||
LME Zinc Futures | 539 | 40,249,825 | Dec–21 | 177,506 | ||||
Low Sulphur Gasoil “G” Futures | 830 | 55,693,000 | Dec–21 | 7,140,426 | ||||
Low Sulphur Gasoil “G” Futures | 304 | 20,269,200 | Jan–22 | 825,661 | ||||
Natural Gas Futures | 1,069 | 64,920,370 | Dec–21 | 22,521,381 | ||||
Natural Gas Futures | 1,080 | 64,270,800 | Jan–22 | 22,153,732 | ||||
NY Harbor ULSD Futures | 295 | 28,974,015 | Oct–21 | 3,147,035 | ||||
NY Harbor ULSD Futures | 318 | 31,144,856 | Nov–21 | 3,638,577 | ||||
NY Harbor ULSD Futures | 64 | 6,241,536 | Dec–21 | 407,280 | ||||
Platinum Futures | 730 | 35,127,600 | Jan–22 | 1,002,849 | ||||
Silver Futures | 771 | 84,991,185 | Dec–21 | (15,025,200) | ||||
Soybean Futures | 1,127 | 70,775,600 | Nov–21 | (6,595,900) | ||||
Soybean Meal Futures | 1,461 | 48,023,070 | Dec–21 | (3,831,694) | ||||
Soybean Oil Futures | 2,805 | 98,775,270 | Dec–21 | (671,249) | ||||
Soybean Oil Futures | 122 | 4,285,860 | Jan–22 | (272,011) | ||||
Sugar #11 (World) Futures | 3,924 | 89,391,859 | Feb–22 | 2,429,139 | ||||
Wheat Futures | 499 | 18,101,225 | Dec–21 | 1,975,887 | ||||
WTI Crude Futures | 209 | 15,612,300 | Nov–21 | 2,444,047 | ||||
WTI Crude Futures | 334 | 24,779,460 | Dec–21 | 1,716,927 | ||||
Total | $1,847,205,378 | $77,469,551 |
(a) | Rate shown reflects yield as of September 30, 2021. |
First Trust Global Tactical Commodity Strategy Fund (FTGC)
Consolidated Portfolio of Investments (Continued)
September 30, 2021 (Unaudited)
(b) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of September 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $126,823,835 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $49,354,284. The net unrealized appreciation was $77,469,551. The amounts presented are inclusive of derivative contracts. |
Valuation Inputs
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:
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.) |
• | Level 3 – Level 3 inputs are unobservable inputs that 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 September 30, 2021 is as follows:
ASSETS TABLE | ||||
Total Value at 9/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $ 5,500,000 | $ 5,500,000 | $ — | $ — |
Futures Contracts | 126,823,835 | 126,823,835 | — | — |
Total | $ 132,323,835 | $ 132,323,835 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 9/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (49,354,284) | $ (49,354,284) | $ — | $ — |