UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23147
First Trust Exchange-Traded Fund VIII
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: August 31
Date of reporting period: February 29, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) | The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
Semi-Annual Report |
For the Six Months Ended February 29, 2024 |
First Trust TCW Opportunistic Fixed Income ETF (FIXD) |
First Trust TCW Unconstrained Plus Bond ETF (UCON) |
First Trust TCW Securitized Plus ETF (DEED) |
First Trust TCW Emerging Markets Debt ETF (EFIX) |
Semi-Annual Report
February 29, 2024
2 | |
3 | |
5 | |
8 | |
10 | |
12 | |
13 | |
14 | |
15 | |
48 | |
87 | |
98 | |
106 | |
107 | |
108 | |
110 | |
114 | |
128 |
Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | 5 Years Ended 2/29/24 | Inception (2/14/17) to 2/29/24 | 5 Years Ended 2/29/24 | Inception (2/14/17) to 2/29/24 | |
Fund Performance | ||||||
NAV | 2.23% | 2.90% | 0.44% | 0.97% | 2.23% | 7.03% |
Market Price | 2.25% | 2.96% | 0.46% | 1.00% | 2.33% | 7.28% |
Index Performance | ||||||
Bloomberg U.S. Aggregate Bond Index | 2.35% | 3.33% | 0.56% | 1.01% | 2.83% | 7.32% |
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. |
Fund Allocation | % of Net Assets |
U.S. Government Bonds and Notes | 37.6% |
U.S. Government Agency Mortgage-Backed Securities | 35.6 |
Corporate Bonds and Notes | 15.2 |
Asset-Backed Securities | 8.6 |
Mortgage-Backed Securities | 7.8 |
Foreign Corporate Bonds and Notes | 4.4 |
U.S. Government Agency Securities | 3.1 |
Senior Floating-Rate Loan Interests | 1.4 |
Foreign Sovereign Bonds and Notes | 0.9 |
Municipal Bonds | 0.4 |
Common Stocks | 0.0(1) |
U.S. Treasury Bills | 3.8 |
Money Market Funds | 0.7 |
Net Other Assets and Liabilities(2) | (19.5) |
Total | 100.0% |
Credit Quality(3) | % of Fixed-Income Investments |
Government/Agency | 67.4% |
AAA | 2.2 |
AA+ | 0.3 |
AA | 1.4 |
AA- | 0.9 |
A+ | 0.4 |
A | 1.8 |
A- | 4.4 |
BBB+ | 2.6 |
BBB | 4.0 |
BBB- | 4.0 |
BB+ | 1.9 |
BB | 1.3 |
BB- | 0.9 |
B+ | 0.2 |
B | 0.6 |
B- | 1.2 |
CCC+ | 0.2 |
CCC | 1.3 |
CCC- | 0.4 |
CC | 1.3 |
C | 0.1 |
D | 1.2 |
Total | 100.0% |
Top Ten Holdings | % of Fixed-Income Investments |
U.S. Treasury Note, 4.25%, 02/28/29 | 6.9% |
U.S. Treasury Note, 4.00%, 01/31/29 | 6.7 |
U.S. Treasury Bond, 4.75%, 11/15/43 | 4.5 |
U.S. Treasury Bond, 4.25%, 02/15/54 | 3.6 |
U.S. Treasury Note, 4.63%, 02/28/26 | 3.2 |
U.S. Treasury Note, 4.00%, 02/15/34 | 3.2 |
Federal National Mortgage Association, Pool TBA, 4.00%, 03/15/54 | 3.0 |
U.S. Treasury Note, 4.13%, 02/15/27 | 2.2 |
Federal National Mortgage Association, Pool TBA, 3.50%, 03/15/54 | 2.1 |
Federal National Mortgage Association, Pool TBA, 4.50%, 03/15/54 | 1.8 |
Total | 37.2% |
(1) | Amount is less than 0.1%. |
(2) | Includes variation margin on futures contracts, unrealized appreciation/depreciation on forward foreign currency contracts and unrealized appreciation/depreciation on interest rate swap agreements. |
(3) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the lowest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under “Government/Agency.” Credit ratings are subject to change. |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | 5 Years Ended 2/29/24 | Inception (6/4/18) to 2/29/24 | 5 Years Ended 2/29/24 | Inception (6/4/18) to 2/29/24 | |
Fund Performance | ||||||
NAV | 3.53% | 6.22% | 2.74% | 2.96% | 14.49% | 18.19% |
Market Price | 3.55% | 7.13% | 2.86% | 3.03% | 15.12% | 18.70% |
Index Performance | ||||||
ICE BofA 3-Month US Treasury Bill Index | 2.69% | 5.22% | 1.97% | 2.00% | 10.26% | 12.01% |
ICE BofA US Dollar 3-Month Deposit Offered Rate Average Index(1) | 2.75% | 5.42% | 2.21% | 2.25% | 11.57% | 13.64% |
Bloomberg US Aggregate Bond Index | 2.35% | 3.33% | 0.56% | 1.02% | 2.83% | 6.02% |
(1) | On May 31, 2023, the ICE BofA US Dollar 3-Month Deposit Offered Rate Average Index was replaced as a securities market index for the Fund with the ICE BofA 3-Month US Treasury Bill Index in connection with the phase out of the London interbank offered rate. |
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 indices do not actually hold a portfolio of securities and therefore do 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. |
Fund Allocation | % of Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 21.3% |
Mortgage-Backed Securities | 20.9 |
Asset-Backed Securities | 19.2 |
Corporate Bonds and Notes | 17.5 |
U.S. Government Bonds and Notes | 12.0 |
Foreign Corporate Bonds and Notes | 5.7 |
Foreign Sovereign Bonds and Notes | 2.3 |
Senior Floating-Rate Loan Interests | 1.3 |
U.S. Government Agency Securities | 1.2 |
Convertible Foreign Corporate Bonds and Notes | 0.0(1) |
Municipal Bonds | 0.0(1) |
Common Stocks | 0.0(1) |
U.S. Treasury Bills | 8.9 |
Money Market Funds | 1.5 |
Net Other Assets and Liabilities(2) | (11.8) |
Total | 100.0% |
Credit Quality(3) | % of Fixed-Income Investments |
Government/Agency | 39.2% |
AAA | 5.6 |
AA+ | 1.1 |
AA | 2.6 |
AA- | 1.0 |
A+ | 0.5 |
A | 2.4 |
A- | 6.3 |
BBB+ | 3.7 |
BBB | 6.7 |
BBB- | 5.1 |
BB+ | 3.0 |
BB | 2.8 |
BB- | 2.3 |
B+ | 0.9 |
B | 2.0 |
B- | 2.0 |
CCC+ | 0.7 |
CCC | 4.0 |
CCC- | 1.8 |
CC | 4.3 |
C | 0.8 |
D | 1.2 |
Total | 100.0% |
Top Ten Holdings | % of Fixed-Income Investments |
U.S. Treasury Note, 4.13%, 02/15/27 | 3.1% |
U.S. Treasury Note, 4.63%, 02/28/26 | 2.9 |
U.S. Treasury Bill, 0.00%, 04/18/24 | 2.8 |
U.S. Treasury Note, 4.00%, 01/31/29 | 2.7 |
U.S. Treasury Bill, 0.00%, 04/23/24 | 2.6 |
Federal National Mortgage Association, Pool TBA, 4.50%, 03/15/54 | 1.8 |
Federal National Mortgage Association, Pool TBA, 5.00%, 03/15/54 | 1.7 |
Government National Mortgage Association, Pool TBA, 4.50%, 03/15/54 | 1.4 |
U.S. Treasury Bill, 0.00%, 04/16/24 | 1.4 |
U.S. Treasury Note, 4.25%, 02/28/29 | 1.3 |
Total | 21.7% |
(1) | Amount is less than 0.1%. |
(2) | Includes variation margin on futures contracts, unrealized appreciation/depreciation on forward foreign currency contracts and unrealized appreciation/depreciation on interest rate swap agreements. |
(3) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the lowest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under “Government/Agency.” Credit ratings are subject to change. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (4/29/20) to 2/29/24 | Inception (4/29/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 1.86% | 2.49% | -1.74% | -6.51% |
Market Price | 1.57% | 2.54% | -1.83% | -6.85% |
Index Performance | ||||
Bloomberg U.S. Mortgage-Backed Securities Index | 1.89% | 2.28% | -2.65% | -9.79% |
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. |
Fund Allocation | % of Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 69.5% |
Mortgage-Backed Securities | 25.1 |
Asset-Backed Securities | 23.4 |
U.S. Government Bonds and Notes | 1.8 |
U.S. Treasury Bills | 4.0 |
Money Market Funds | 4.1 |
Net Other Assets and Liabilities(1) | (27.9) |
Total | 100.0% |
Credit Quality(2) | % of Fixed-Income Investments |
Government/Agency | 59.3% |
AAA | 3.0 |
AA+ | 0.9 |
AA | 4.8 |
AA- | 2.7 |
A+ | 0.8 |
A | 0.7 |
A- | 1.2 |
BBB | 1.4 |
BBB- | 0.8 |
BB+ | 0.0(3) |
BB | 2.1 |
BB- | 1.1 |
B+ | 0.1 |
B | 1.3 |
B- | 2.2 |
CCC+ | 0.7 |
CCC | 3.0 |
CCC- | 1.5 |
CC | 4.2 |
C | 1.6 |
D | 6.6 |
Total | 100.0% |
Top Ten Holdings | % of Fixed-Income Investments |
Federal National Mortgage Association, Pool TBA, 2.00%, 03/15/54 | 3.4% |
Federal National Mortgage Association, Pool TBA, 5.00%, 03/15/54 | 3.3 |
U.S. Treasury Bill, 0.00%, 05/16/24 | 3.2 |
Federal National Mortgage Association, Pool TBA, 5.50%, 03/15/54 | 2.9 |
Federal National Mortgage Association, Pool TBA, 2.50%, 03/15/54 | 2.8 |
Government National Mortgage Association, Pool TBA, 5.00%, 03/15/54 | 1.8 |
Government National Mortgage Association, Pool TBA, 4.50%, 03/15/54 | 1.7 |
Federal National Mortgage Association, Pool TBA, 4.50%, 03/15/54 | 1.7 |
Federal Home Loan Mortgage Corporation, Pool QD7088, 2.00%, 02/01/52 | 1.5 |
Federal National Mortgage Association, Pool BV8477, 3.00%, 05/01/52 | 1.5 |
Total | 23.8% |
(1) | Includes variation margin on futures contracts and unrealized appreciation/depreciation on forward foreign currency contracts. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the lowest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under “Government/Agency.” Credit ratings are subject to change. |
(3) | Amount is less than 0.1%. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (2/17/21) to 2/29/24 | Inception (2/17/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.34% | 10.40% | -2.26% | -6.69% |
Market Price | 6.68% | 10.28% | -2.23% | -6.59% |
Index Performance | ||||
JP Morgan Emerging Market Bond Index Global Diversified | 6.27% | 10.05% | -2.94% | -8.65% |
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. |
Fund Allocation | % of Net Assets |
Foreign Sovereign Bonds and Notes | 68.0% |
Foreign Corporate Bonds and Notes | 27.2 |
Corporate Bonds and Notes | 2.1 |
Money Market Funds | 1.7 |
Net Other Assets and Liabilities | 1.0 |
Total | 100.0% |
Credit Quality(1) | % of Fixed-Income Investments |
AA | 1.1% |
AA- | 1.9 |
A+ | 5.0 |
A- | 3.6 |
BBB+ | 2.0 |
BBB | 11.4 |
BBB- | 13.5 |
BB+ | 10.7 |
BB | 7.7 |
BB- | 11.9 |
B+ | 5.9 |
B | 6.8 |
B- | 11.1 |
CCC+ | 3.2 |
CCC- | 1.9 |
CC | 0.8 |
D | 1.5 |
Total | 100.0% |
Top Ten Holdings | % of Fixed-Income Investments |
Saudi Government International Bond, 5.75%, 01/16/54 | 2.0% |
Dominican Republic International Bond, 4.50%, 01/30/30 | 1.8 |
Oman Government International Bond, 6.25%, 01/25/31 | 1.7 |
Peruvian Government International Bond, 2.78%, 01/23/31 | 1.5 |
Republic of Poland Government International Bond, 4.88%, 10/04/33 | 1.5 |
Egypt Government International Bond, 7.30%, 09/30/33 | 1.4 |
Qatar Energy, 2.25%, 07/12/31 | 1.4 |
Greensaif Pipelines Bidco Sarl, 6.13%, 02/23/38 | 1.4 |
Petroleos Mexicanos, 6.70%, 02/16/32 | 1.3 |
Finance Department Government of Sharjah, 6.50%, 11/23/32 | 1.2 |
Total | 15.2% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the lowest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under “Government/Agency.” Credit ratings are subject to change. |
Ruben Hovhannisyan, CFA, Generalist Portfolio Manager in the Fixed Income Group of TCW
Stephen M. Kane, CFA, Generalist Portfolio Manager in the Fixed Income Group of TCW
Bryan T. Whalen, CFA, Generalist Portfolio Manager, Chief Investment Officer and Director in the Fixed Income Group of TCW
Ruben Hovhannisyan, CFA, Generalist Portfolio Manager in the Fixed Income Group of TCW
Stephen M. Kane, CFA, Generalist Portfolio Manager in the Fixed Income Group of TCW
Steven J. Purdy, Managing Director, Specialist Portfolio Manager and Co-Head of Global Credit Group of TCW
Bryan T. Whalen, CFA, Generalist Portfolio Manager, Chief Investment Officer and Director in the Fixed Income Group of TCW
Elizabeth J. Crawford, Specialist Portfolio Manager and Managing Director in the Fixed Income Group of TCW
Peter Van Gelderen, Specialist Portfolio Manager in the Fixed Income Group and Co-Head of Global Securitized Group of TCW
David I. Robbins, Group Managing Director at TCW
Alex Stanojevic, Group Managing Director at TCW
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust TCW Opportunistic Fixed Income ETF (FIXD) | ||||
Actual | $1,000.00 | $1,022.30 | 0.64% | $3.22 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | 0.64% | $3.22 |
First Trust TCW Unconstrained Plus Bond ETF (UCON) | ||||
Actual | $1,000.00 | $1,035.30 | 0.85% | $4.30 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
First Trust TCW Securitized Plus ETF (DEED) | ||||
Actual | $1,000.00 | $1,018.60 | 0.75% | $3.76 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.13 | 0.75% | $3.77 |
First Trust TCW Emerging Markets Debt ETF (EFIX) | ||||
Actual | $1,000.00 | $1,073.40 | 0.95% | $4.90 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.14 | 0.95% | $4.77 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT BONDS AND NOTES — 37.6% | |||||
$267,165,000 | U.S. Treasury Bond | 4.75% | 11/15/43 | $275,012,972 | |
36,300,000 | U.S. Treasury Bond | 4.50% | 02/15/44 | 36,297,164 | |
1,344,000 | U.S. Treasury Bond | 4.75% | 11/15/53 | 1,430,310 | |
220,555,000 | U.S. Treasury Bond | 4.25% | 02/15/54 | 216,471,287 | |
195,047,000 | U.S. Treasury Note | 4.63% | 02/28/26 | 195,039,381 | |
16,979,000 | U.S. Treasury Note | 4.00% | 01/15/27 | 16,782,017 | |
131,311,000 | U.S. Treasury Note | 4.13% | 02/15/27 | 130,238,969 | |
409,246,000 | U.S. Treasury Note | 4.00% | 01/31/29 | 404,578,038 | |
419,720,000 | U.S. Treasury Note | 4.25% | 02/28/29 | 419,801,976 | |
30,328,000 | U.S. Treasury Note | 4.50% | 11/15/33 | 30,908,497 | |
197,655,000 | U.S. Treasury Note | 4.00% | 02/15/34 | 193,809,994 | |
Total U.S. Government Bonds and Notes | 1,920,370,605 | ||||
(Cost $1,923,387,063) | |||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 35.6% | |||||
Collateralized Mortgage Obligations — 0.3% | |||||
Federal Home Loan Mortgage Corporation | |||||
290,953 | Series 2017-4656, Class EZ | 4.00% | 02/15/47 | 267,447 | |
Federal National Mortgage Association | |||||
1,563,808 | Series 2012-20, Class ZT | 3.50% | 03/25/42 | 1,449,231 | |
1,713,122 | Series 2012-84, Class VZ | 3.50% | 08/25/42 | 1,550,064 | |
187,076 | Series 2018-38, Class PA | 3.50% | 06/25/47 | 178,256 | |
577,459 | Series 2018-43, Class CT | 3.00% | 06/25/48 | 506,540 | |
138,145 | Series 2018-86, Class JA | 4.00% | 05/25/47 | 132,858 | |
70,920 | Series 2018-94, Class KD | 3.50% | 12/25/48 | 63,512 | |
88,477 | Series 2019-1, Class KP | 3.25% | 02/25/49 | 79,236 | |
32,137 | Series 2019-20, Class BA | 3.50% | 02/25/48 | 31,215 | |
44,878 | Series 2019-52, Class PA | 3.00% | 09/25/49 | 38,950 | |
Government National Mortgage Association | |||||
163,112 | Series 2018-115, Class DE | 3.50% | 08/20/48 | 147,332 | |
175,795 | Series 2018-124, Class NW | 3.50% | 09/20/48 | 158,948 | |
12,085,398 | Series 2018-78, Class NZ | 3.50% | 06/20/48 | 10,578,750 | |
300,071 | Series 2019-12, Class QA | 3.50% | 09/20/48 | 282,755 | |
26,360 | Series 2019-71, Class PT | 3.00% | 06/20/49 | 23,379 | |
325,889 | Series 2019-119, Class JE | 3.00% | 09/20/49 | 284,932 | |
1,005,000 | Series 2024-5369, Class FA, 30 Day Average SOFR + 1.25%, 6.50 Cap (a) (b) | 6.50% | 01/20/54 | 1,004,397 | |
16,777,802 | |||||
Pass-Through Securities — 35.3% | |||||
Federal Home Loan Mortgage Corporation | |||||
49,525 | Pool C91981 | 3.00% | 02/01/38 | 45,260 | |
46,684 | Pool G07961 | 3.50% | 03/01/45 | 42,565 | |
45,075 | Pool G08692 | 3.00% | 02/01/46 | 39,701 | |
1,325,259 | Pool G08715 | 3.00% | 08/01/46 | 1,161,089 | |
26,114 | Pool G08721 | 3.00% | 09/01/46 | 22,873 | |
301,666 | Pool G08726 | 3.00% | 10/01/46 | 264,109 | |
726,997 | Pool G08732 | 3.00% | 11/01/46 | 634,684 | |
95,409 | Pool G08738 | 3.50% | 12/01/46 | 86,614 | |
190,824 | Pool G08741 | 3.00% | 01/01/47 | 166,948 | |
132,913 | Pool G08747 | 3.00% | 02/01/47 | 116,274 | |
92,396 | Pool G08748 | 3.50% | 02/01/47 | 83,879 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal Home Loan Mortgage Corporation (Continued) | |||||
$433,139 | Pool G08750 | 3.00% | 03/01/47 | $378,826 | |
100,181 | Pool G08766 | 3.50% | 06/01/47 | 90,946 | |
266,880 | Pool G08788 | 3.50% | 11/01/47 | 242,038 | |
883,547 | Pool G08792 | 3.50% | 12/01/47 | 800,173 | |
119,574 | Pool G08800 | 3.50% | 02/01/48 | 108,549 | |
180,418 | Pool G08816 | 3.50% | 06/01/48 | 163,782 | |
46,205 | Pool G08833 | 5.00% | 07/01/48 | 45,662 | |
9,263 | Pool G08838 | 5.00% | 09/01/48 | 9,148 | |
164,787 | Pool G08843 | 4.50% | 10/01/48 | 158,982 | |
35,938 | Pool G08844 | 5.00% | 10/01/48 | 35,493 | |
93,334 | Pool G08849 | 5.00% | 11/01/48 | 92,128 | |
331,101 | Pool G16085 | 2.50% | 02/01/32 | 309,738 | |
208,115 | Pool G16350 | 2.50% | 10/01/32 | 193,695 | |
249,766 | Pool G16396 | 3.50% | 02/01/33 | 240,630 | |
736,311 | Pool G16524 | 3.50% | 05/01/33 | 706,961 | |
81,862 | Pool G18670 | 3.00% | 12/01/32 | 76,858 | |
23,385 | Pool G18691 | 3.00% | 06/01/33 | 21,940 | |
67,358 | Pool G18713 | 3.50% | 11/01/33 | 64,505 | |
1,162,911 | Pool G60038 | 3.50% | 01/01/44 | 1,065,387 | |
308,939 | Pool G60080 | 3.50% | 06/01/45 | 281,671 | |
625,312 | Pool G60344 | 4.00% | 12/01/45 | 590,025 | |
199,529 | Pool G60440 | 3.50% | 03/01/46 | 182,185 | |
614,343 | Pool G60582 | 3.50% | 05/01/46 | 560,431 | |
584,983 | Pool G60658 | 3.50% | 07/01/46 | 538,948 | |
260,363 | Pool G61556 | 3.50% | 08/01/48 | 237,508 | |
1,819,775 | Pool G61748 | 3.50% | 11/01/48 | 1,661,278 | |
608,951 | Pool G67700 | 3.50% | 08/01/46 | 556,014 | |
5,049,174 | Pool G67706 | 3.50% | 12/01/47 | 4,610,148 | |
1,234,192 | Pool G67707 | 3.50% | 01/01/48 | 1,128,156 | |
1,419,268 | Pool G67714 | 4.00% | 07/01/48 | 1,339,140 | |
1,960,923 | Pool G67717 | 4.00% | 11/01/48 | 1,850,212 | |
3,012,423 | Pool G67718 | 4.00% | 01/01/49 | 2,831,867 | |
109,025 | Pool Q44452 | 3.00% | 11/01/46 | 95,386 | |
190,376 | Pool Q50135 | 3.50% | 08/01/47 | 172,826 | |
7,880,191 | Pool QA7837 | 3.50% | 03/01/50 | 7,149,622 | |
22,277,297 | Pool QD3419 | 2.00% | 12/01/51 | 17,566,725 | |
20,296,026 | Pool QD8259 | 3.00% | 03/01/52 | 17,383,395 | |
14,384,103 | Pool QE0312 | 2.00% | 04/01/52 | 11,330,527 | |
20,976,136 | Pool QE0521 | 2.50% | 04/01/52 | 17,290,202 | |
13,017,871 | Pool RA3078 | 3.00% | 07/01/50 | 11,294,232 | |
17,559,596 | Pool RA4179 | 2.50% | 12/01/50 | 14,442,678 | |
5,882,198 | Pool RA4528 | 2.50% | 02/01/51 | 4,838,361 | |
360,323 | Pool RE6029 | 3.00% | 02/01/50 | 303,384 | |
12,216,216 | Pool SD0231 | 3.00% | 01/01/50 | 10,654,818 | |
3,280,414 | Pool SD7511 | 3.50% | 01/01/50 | 2,974,951 | |
10,206,344 | Pool SD7513 | 3.50% | 04/01/50 | 9,262,719 | |
6,075,213 | Pool SD7518 | 3.00% | 06/01/50 | 5,298,683 | |
158,702 | Pool SD8043 | 2.50% | 02/01/50 | 132,699 | |
2,009,909 | Pool SD8107 | 2.50% | 11/01/50 | 1,665,213 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal Home Loan Mortgage Corporation (Continued) | |||||
$13,848,711 | Pool SD8189 | 2.50% | 01/01/52 | $11,420,335 | |
17,551,326 | Pool SD8194 | 2.50% | 02/01/52 | 14,463,528 | |
7,357,296 | Pool SD8204 | 2.00% | 04/01/52 | 5,797,917 | |
21,363,750 | Pool SD8205 | 2.50% | 04/01/52 | 17,605,823 | |
30,285,399 | Pool SD8211 | 2.00% | 05/01/52 | 23,848,874 | |
18,364,049 | Pool SD8212 | 2.50% | 05/01/52 | 15,108,552 | |
22,555,973 | Pool SD8245 | 4.50% | 09/01/52 | 21,366,136 | |
234,128 | Pool U90772 | 3.50% | 01/01/43 | 213,639 | |
275,940 | Pool U99114 | 3.50% | 02/01/44 | 251,114 | |
567,473 | Pool ZA4692 | 3.50% | 06/01/46 | 514,420 | |
275,836 | Pool ZM0063 | 4.00% | 08/01/45 | 259,785 | |
13,227,929 | Pool ZM1779 | 3.00% | 09/01/46 | 11,569,476 | |
2,828,274 | Pool ZS4667 | 3.00% | 06/01/46 | 2,477,192 | |
4,671,875 | Pool ZS4688 | 3.00% | 11/01/46 | 4,072,625 | |
7,479,320 | Pool ZS4735 | 3.50% | 09/01/47 | 6,775,454 | |
238,360 | Pool ZS8602 | 3.00% | 03/01/31 | 226,245 | |
530,149 | Pool ZS9844 | 3.50% | 07/01/46 | 480,583 | |
1,427,592 | Pool ZT0277 | 3.50% | 10/01/46 | 1,294,121 | |
672,137 | Pool ZT0531 | 3.50% | 04/01/47 | 612,811 | |
650,591 | Pool ZT0536 | 3.50% | 03/01/48 | 591,850 | |
2,056,716 | Pool ZT0537 | 3.50% | 03/01/48 | 1,874,870 | |
351,489 | Pool ZT0542 | 4.00% | 07/01/48 | 331,166 | |
66,211 | Pool ZT1403 | 3.50% | 11/01/33 | 63,318 | |
995,561 | Pool ZT1703 | 4.00% | 01/01/49 | 934,534 | |
Federal National Mortgage Association | |||||
2,304,325 | Pool AL8825 | 3.50% | 06/01/46 | 2,099,226 | |
110,803 | Pool AN2786 | 2.76% | 09/01/36 | 91,708 | |
941,857 | Pool AS0225 | 4.00% | 08/01/43 | 887,067 | |
1,154,433 | Pool AS3134 | 3.50% | 08/01/44 | 1,051,627 | |
267,215 | Pool AS6620 | 3.50% | 02/01/46 | 242,254 | |
77,788 | Pool AS9334 | 3.00% | 03/01/32 | 73,500 | |
64,491 | Pool AS9749 | 4.00% | 06/01/47 | 60,712 | |
67,554 | Pool BD7081 | 4.00% | 03/01/47 | 62,984 | |
5,277,982 | Pool BE3774 | 4.00% | 07/01/47 | 4,976,591 | |
702,817 | Pool BJ2692 | 3.50% | 04/01/48 | 637,144 | |
850,194 | Pool BM1903 | 3.50% | 08/01/47 | 775,209 | |
231,312 | Pool BM2000 | 3.50% | 05/01/47 | 209,701 | |
602,913 | Pool BM3260 | 3.50% | 01/01/48 | 546,576 | |
206,454 | Pool BM4299 | 3.00% | 03/01/30 | 200,532 | |
175,448 | Pool BM4304 | 3.00% | 02/01/30 | 170,637 | |
718,505 | Pool BM4472 | 3.50% | 07/01/48 | 654,934 | |
1,553,448 | Pool BM5585 | 3.00% | 11/01/48 | 1,359,194 | |
11,990,141 | Pool BN7755 | 3.00% | 09/01/49 | 10,459,605 | |
27,147,987 | Pool BQ6913 | 2.00% | 12/01/51 | 21,418,204 | |
45,862,062 | Pool BQ7006 | 2.00% | 01/01/52 | 36,193,356 | |
24,744,011 | Pool BQ7056 | 2.00% | 01/01/52 | 19,513,810 | |
23,299,801 | Pool BT6179 | 2.50% | 07/01/51 | 19,240,124 | |
10,951,549 | Pool BV2784 | 2.50% | 02/01/52 | 9,020,031 | |
15,986,465 | Pool BV3101 | 2.00% | 03/01/52 | 12,604,811 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal National Mortgage Association (Continued) | |||||
$21,729,845 | Pool BV4133 | 2.50% | 03/01/52 | $17,906,362 | |
8,792,946 | Pool BV8515 | 3.00% | 05/01/52 | 7,535,445 | |
21,805,412 | Pool BW8980 | 4.00% | 10/01/52 | 20,077,526 | |
20,710,735 | Pool BW9886 | 4.50% | 10/01/52 | 19,618,298 | |
894,431 | Pool CA0854 | 3.50% | 12/01/47 | 814,454 | |
419,322 | Pool CA0907 | 3.50% | 12/01/47 | 381,883 | |
349,055 | Pool CA0996 | 3.50% | 01/01/48 | 317,844 | |
2,550,022 | Pool CA1182 | 3.50% | 02/01/48 | 2,314,863 | |
415,764 | Pool CA1187 | 3.50% | 02/01/48 | 378,148 | |
291,340 | Pool CA1710 | 4.50% | 05/01/48 | 280,270 | |
188,118 | Pool CA1711 | 4.50% | 05/01/48 | 180,913 | |
113,030 | Pool CA2208 | 4.50% | 08/01/48 | 108,401 | |
420,615 | Pool CA2327 | 4.00% | 09/01/48 | 399,039 | |
2,692,588 | Pool CA3633 | 3.50% | 06/01/49 | 2,445,265 | |
11,374,517 | Pool CA4534 | 3.00% | 11/01/49 | 9,922,610 | |
28,808,109 | Pool CB0290 | 2.00% | 04/01/51 | 22,734,119 | |
8,003,957 | Pool CB2404 | 2.50% | 12/01/51 | 6,591,773 | |
11,294,057 | Pool CB4818 | 4.00% | 10/01/52 | 10,400,248 | |
14,220,207 | Pool CB6854 | 4.50% | 08/01/53 | 13,474,405 | |
3,766,216 | Pool FM2870 | 3.00% | 03/01/50 | 3,285,452 | |
6,477,147 | Pool FM5397 | 3.00% | 12/01/50 | 5,645,637 | |
27,799,369 | Pool FS1598 | 2.00% | 04/01/52 | 21,911,571 | |
199,667 | Pool MA1146 | 4.00% | 08/01/42 | 188,599 | |
363,026 | Pool MA1373 | 3.50% | 03/01/43 | 330,762 | |
361,147 | Pool MA2077 | 3.50% | 11/01/34 | 342,176 | |
102,595 | Pool MA2145 | 4.00% | 01/01/45 | 96,627 | |
421,646 | Pool MA2670 | 3.00% | 07/01/46 | 366,801 | |
409,195 | Pool MA2806 | 3.00% | 11/01/46 | 359,550 | |
11,466 | Pool MA2896 | 3.50% | 02/01/47 | 10,395 | |
366,256 | Pool MA3057 | 3.50% | 07/01/47 | 332,036 | |
164,369 | Pool MA3088 | 4.00% | 08/01/47 | 154,568 | |
384,810 | Pool MA3210 | 3.50% | 12/01/47 | 348,140 | |
4,337,928 | Pool MA3238 | 3.50% | 01/01/48 | 3,932,593 | |
366,750 | Pool MA3239 | 4.00% | 01/01/48 | 344,350 | |
181,656 | Pool MA3276 | 3.50% | 02/01/48 | 164,682 | |
524,934 | Pool MA3332 | 3.50% | 04/01/48 | 475,883 | |
139,467 | Pool MA3336 | 3.50% | 04/01/38 | 130,206 | |
86,001 | Pool MA3410 | 3.50% | 07/01/33 | 82,245 | |
125,967 | Pool MA3537 | 4.50% | 12/01/48 | 121,272 | |
544,827 | Pool MA3846 | 3.00% | 11/01/49 | 458,884 | |
469,212 | Pool MA4078 | 2.50% | 07/01/50 | 389,545 | |
785,407 | Pool MA4093 | 2.00% | 08/01/40 | 661,531 | |
173,299 | Pool MA4120 | 2.50% | 09/01/50 | 143,716 | |
5,894,210 | Pool MA4128 | 2.00% | 09/01/40 | 4,953,566 | |
4,929,433 | Pool MA4158 | 2.00% | 10/01/50 | 3,908,906 | |
12,683,736 | Pool MA4364 | 2.00% | 06/01/41 | 10,630,544 | |
1,238,612 | Pool MA4379 | 2.50% | 07/01/51 | 1,023,311 | |
130,770 | Pool MA4438 | 2.50% | 10/01/51 | 107,958 | |
4,844,516 | Pool MA4547 | 2.00% | 02/01/52 | 3,816,014 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal National Mortgage Association (Continued) | |||||
$17,674,350 | Pool MA4548 | 2.50% | 02/01/52 | $14,551,324 | |
14,930,107 | Pool MA4577 | 2.00% | 04/01/52 | 11,760,647 | |
4,271,744 | Pool MA4598 | 2.50% | 05/01/52 | 3,520,866 | |
11,972,387 | Pool MA4733 | 4.50% | 09/01/52 | 11,340,838 | |
55,781,790 | Pool MA4917 | 4.50% | 02/01/53 | 52,839,230 | |
125,550,000 | Pool TBA (c) | 2.00% | 03/15/54 | 98,679,317 | |
48,275,000 | Pool TBA (c) | 2.50% | 03/15/54 | 39,669,700 | |
109,825,000 | Pool TBA (c) | 3.00% | 03/15/54 | 93,949,942 | |
144,825,000 | Pool TBA (c) | 3.50% | 03/15/54 | 128,853,404 | |
195,125,000 | Pool TBA (c) | 4.00% | 03/15/54 | 179,540,636 | |
111,875,000 | Pool TBA (c) | 4.50% | 03/15/54 | 105,910,251 | |
97,550,000 | Pool TBA (c) | 5.00% | 03/15/54 | 94,608,308 | |
70,150,000 | Pool TBA (c) | 5.50% | 03/15/54 | 69,401,432 | |
10,875,000 | Pool TBA (c) | 4.00% | 04/15/54 | 10,011,526 | |
Government National Mortgage Association | |||||
163,294 | Pool MA1157 | 3.50% | 07/20/43 | 150,940 | |
476,736 | Pool MA2825 | 3.00% | 05/20/45 | 425,586 | |
160,708 | Pool MA3521 | 3.50% | 03/20/46 | 147,393 | |
6,814,381 | Pool MA3662 | 3.00% | 05/20/46 | 6,062,457 | |
616,417 | Pool MA3663 | 3.50% | 05/20/46 | 565,296 | |
417,853 | Pool MA3735 | 3.00% | 06/20/46 | 371,572 | |
8,486,028 | Pool MA3937 | 3.50% | 09/20/46 | 7,780,244 | |
116,877 | Pool MA4069 | 3.50% | 11/20/46 | 107,144 | |
67,871 | Pool MA4195 | 3.00% | 01/20/47 | 60,285 | |
81,082 | Pool MA4196 | 3.50% | 01/20/47 | 74,318 | |
409,131 | Pool MA4261 | 3.00% | 02/20/47 | 363,484 | |
104,142 | Pool MA4262 | 3.50% | 02/20/47 | 95,371 | |
2,613,389 | Pool MA4322 | 4.00% | 03/20/47 | 2,459,974 | |
2,769,627 | Pool MA4382 | 3.50% | 04/20/47 | 2,538,257 | |
32,781 | Pool MA4453 | 4.50% | 05/20/47 | 31,868 | |
34,746 | Pool MA4586 | 3.50% | 07/20/47 | 31,853 | |
221,613 | Pool MA4588 | 4.50% | 07/20/47 | 215,440 | |
613,460 | Pool MA4651 | 3.00% | 08/20/47 | 544,378 | |
884,822 | Pool MA4652 | 3.50% | 08/20/47 | 810,512 | |
304,856 | Pool MA4719 | 3.50% | 09/20/47 | 279,229 | |
36,232 | Pool MA4722 | 5.00% | 09/20/47 | 35,980 | |
30,444 | Pool MA4777 | 3.00% | 10/20/47 | 27,047 | |
762,471 | Pool MA4778 | 3.50% | 10/20/47 | 698,318 | |
733,667 | Pool MA4836 | 3.00% | 11/20/47 | 651,649 | |
755,606 | Pool MA4837 | 3.50% | 11/20/47 | 691,971 | |
252,547 | Pool MA4838 | 4.00% | 11/20/47 | 238,200 | |
42,336 | Pool MA4901 | 4.00% | 12/20/47 | 39,931 | |
195,815 | Pool MA4961 | 3.00% | 01/20/48 | 174,076 | |
262,439 | Pool MA4962 | 3.50% | 01/20/48 | 240,319 | |
379,049 | Pool MA4963 | 4.00% | 01/20/48 | 357,247 | |
191,087 | Pool MA5078 | 4.00% | 03/20/48 | 180,199 | |
527,569 | Pool MA5136 | 3.50% | 04/20/48 | 483,061 | |
397,233 | Pool MA5399 | 4.50% | 08/20/48 | 384,572 | |
159,044 | Pool MA5466 | 4.00% | 09/20/48 | 149,817 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Government National Mortgage Association (Continued) | |||||
$41,807 | Pool MA5467 | 4.50% | 09/20/48 | $40,472 | |
108,325 | Pool MA5597 | 5.00% | 11/20/48 | 107,527 | |
135,284 | Pool MA5976 | 3.50% | 06/20/49 | 121,531 | |
32,541 | Pool MA6030 | 3.50% | 07/20/49 | 29,194 | |
195,461 | Pool MA6080 | 3.00% | 08/20/49 | 170,407 | |
53,275,000 | Pool TBA (c) | 2.50% | 03/15/54 | 45,097,810 | |
75,075,000 | Pool TBA (c) | 4.50% | 03/15/54 | 71,699,886 | |
67,275,000 | Pool TBA (c) | 5.00% | 03/15/54 | 65,718,256 | |
34,250,000 | Pool TBA (c) | 5.50% | 03/15/54 | 34,026,572 | |
1,800,113,796 | |||||
Total U.S. Government Agency Mortgage-Backed Securities | 1,816,891,598 | ||||
(Cost $1,895,016,249) | |||||
CORPORATE BONDS AND NOTES (d) — 15.2% | |||||
Aerospace/Defense — 0.1% | |||||
3,208,000 | BAE Systems Holdings, Inc. (e) | 3.85% | 12/15/25 | 3,130,179 | |
1,610,000 | Boeing (The) Co. | 4.88% | 05/01/25 | 1,595,533 | |
4,725,712 | |||||
Agriculture — 0.4% | |||||
979,000 | BAT Capital Corp. | 3.56% | 08/15/27 | 925,939 | |
1,400,000 | BAT Capital Corp. | 2.73% | 03/25/31 | 1,154,914 | |
4,530,000 | BAT Capital Corp. | 4.39% | 08/15/37 | 3,717,792 | |
1,855,000 | BAT Capital Corp. | 4.54% | 08/15/47 | 1,392,771 | |
409,000 | BAT Capital Corp. | 4.76% | 09/06/49 | 316,736 | |
2,143,000 | BAT Capital Corp. | 5.65% | 03/16/52 | 1,884,521 | |
1,022,000 | Philip Morris International, Inc. (EUR) | 2.00% | 05/09/36 | 891,593 | |
1,120,000 | Philip Morris International, Inc. (EUR) | 1.45% | 08/01/39 | 823,229 | |
4,250,000 | Reynolds American, Inc. | 5.70% | 08/15/35 | 4,062,743 | |
3,735,000 | Reynolds American, Inc. | 5.85% | 08/15/45 | 3,396,148 | |
18,566,386 | |||||
Airlines — 0.4% | |||||
792,221 | American Airlines Pass-Through Trust, Series 2014-1, Class A | 3.70% | 10/01/26 | 751,943 | |
96,706 | American Airlines Pass-Through Trust, Series 2015-2, Class AA | 3.60% | 09/22/27 | 91,569 | |
3,215,751 | American Airlines Pass-Through Trust, Series 2016-1, Class AA | 3.58% | 01/15/28 | 3,010,217 | |
3,953,606 | Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA | 2.00% | 06/10/28 | 3,523,315 | |
7,233,202 | JetBlue Pass-Through Trust, Series 2020-1, Class A | 4.00% | 11/15/32 | 6,668,678 | |
6,000,000 | United Airlines Pass-Through Trust, Series 2023-1, Class A | 5.80% | 01/15/36 | 6,105,392 | |
20,151,114 | |||||
Banks — 4.5% | |||||
8,965,000 | Bank of America Corp. (f) | 2.55% | 02/04/28 | 8,298,660 | |
13,606,000 | Bank of America Corp. (f) | 2.09% | 06/14/29 | 11,961,749 | |
2,000,000 | Bank of America Corp. (f) | 2.59% | 04/29/31 | 1,709,876 | |
5,265,000 | Bank of America Corp. (f) | 1.92% | 10/24/31 | 4,250,081 | |
2,500,000 | Bank of America Corp. (f) | 2.30% | 07/21/32 | 2,024,214 | |
1,195,000 | Bank of America Corp. (f) | 2.57% | 10/20/32 | 979,764 | |
2,020,000 | Bank of America Corp. (f) | 2.97% | 02/04/33 | 1,697,190 | |
21,290,000 | Bank of America Corp., Series N (f) | 1.66% | 03/11/27 | 19,759,924 | |
10,000 | Citigroup, Inc. (f) | 3.52% | 10/27/28 | 9,400 | |
4,110,000 | Citigroup, Inc. (f) | 2.98% | 11/05/30 | 3,623,933 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (d) (Continued) | |||||
Banks (Continued) | |||||
$6,755,000 | Citigroup, Inc. (f) | 2.57% | 06/03/31 | $5,713,834 | |
10,617,000 | Citigroup, Inc. (f) | 3.06% | 01/25/33 | 8,917,615 | |
1,995,000 | Goldman Sachs Group (The), Inc., SOFR + 0.49% (b) | 5.83% | 10/21/24 | 1,996,150 | |
950,000 | Goldman Sachs Group (The), Inc. (f) | 3.27% | 09/29/25 | 936,895 | |
18,965,000 | Goldman Sachs Group (The), Inc. (f) | 1.54% | 09/10/27 | 17,268,782 | |
3,365,000 | Goldman Sachs Group (The), Inc. (f) | 2.38% | 07/21/32 | 2,739,281 | |
2,372,000 | Goldman Sachs Group (The), Inc. (f) | 2.65% | 10/21/32 | 1,957,052 | |
13,465,000 | JPMorgan Chase & Co. (f) | 0.97% | 06/23/25 | 13,258,488 | |
8,015,000 | JPMorgan Chase & Co. (f) | 1.56% | 12/10/25 | 7,764,296 | |
1,895,000 | JPMorgan Chase & Co. (f) | 1.04% | 02/04/27 | 1,747,163 | |
10,455,000 | JPMorgan Chase & Co. (f) | 1.58% | 04/22/27 | 9,671,110 | |
2,625,000 | JPMorgan Chase & Co. (f) | 4.01% | 04/23/29 | 2,508,773 | |
1,445,000 | JPMorgan Chase & Co. (f) | 2.07% | 06/01/29 | 1,273,671 | |
3,900,000 | JPMorgan Chase & Co. (f) | 1.95% | 02/04/32 | 3,137,804 | |
5,955,000 | JPMorgan Chase & Co. (f) | 2.58% | 04/22/32 | 4,984,584 | |
3,020,000 | JPMorgan Chase & Co. (f) | 2.55% | 11/08/32 | 2,487,704 | |
13,355,000 | Morgan Stanley (f) | 1.16% | 10/21/25 | 12,961,568 | |
495,000 | Morgan Stanley (f) | 0.99% | 12/10/26 | 456,899 | |
610,000 | Morgan Stanley (f) | 1.51% | 07/20/27 | 558,223 | |
6,500,000 | Morgan Stanley (f) | 1.93% | 04/28/32 | 5,155,292 | |
1,845,000 | Morgan Stanley (f) | 2.24% | 07/21/32 | 1,486,953 | |
4,615,000 | Morgan Stanley (f) | 2.48% | 09/16/36 | 3,619,071 | |
970,000 | PNC Financial Services Group (The), Inc. (f) | 6.04% | 10/28/33 | 995,774 | |
8,545,000 | PNC Financial Services Group (The), Inc. (f) | 5.07% | 01/24/34 | 8,219,729 | |
4,535,000 | PNC Financial Services Group (The), Inc. (f) | 6.88% | 10/20/34 | 4,915,244 | |
1,525,000 | US Bancorp (f) | 5.85% | 10/21/33 | 1,544,509 | |
9,675,000 | US Bancorp (f) | 4.84% | 02/01/34 | 9,109,576 | |
3,015,000 | US Bancorp (f) | 5.84% | 06/12/34 | 3,046,088 | |
770,000 | US Bancorp (f) | 5.68% | 01/23/35 | 768,644 | |
2,520,000 | Wells Fargo & Co. (f) | 2.16% | 02/11/26 | 2,438,033 | |
6,809,000 | Wells Fargo & Co. (f) | 2.39% | 06/02/28 | 6,213,349 | |
8,000,000 | Wells Fargo & Co. (f) | 5.57% | 07/25/29 | 8,055,819 | |
5,790,000 | Wells Fargo & Co. (f) | 2.88% | 10/30/30 | 5,080,047 | |
3,795,000 | Wells Fargo & Co. (f) | 2.57% | 02/11/31 | 3,237,086 | |
7,950,000 | Wells Fargo & Co. (f) | 3.35% | 03/02/33 | 6,826,210 | |
5,920,000 | Wells Fargo & Co. (f) | 5.39% | 04/24/34 | 5,824,626 | |
231,190,733 | |||||
Beverages — 0.1% | |||||
4,300,000 | Constellation Brands, Inc. | 2.88% | 05/01/30 | 3,778,663 | |
3,385,000 | Triton Water Holdings, Inc. (e) | 6.25% | 04/01/29 | 2,958,135 | |
6,736,798 | |||||
Biotechnology — 0.0% | |||||
1,510,000 | Regeneron Pharmaceuticals, Inc. | 1.75% | 09/15/30 | 1,221,866 | |
Chemicals — 0.2% | |||||
610,000 | International Flavors & Fragrances, Inc. (e) | 1.83% | 10/15/27 | 536,410 | |
8,003,000 | International Flavors & Fragrances, Inc. (e) | 2.30% | 11/01/30 | 6,570,358 | |
1,040,000 | International Flavors & Fragrances, Inc. (e) | 3.27% | 11/15/40 | 730,087 | |
1,480,000 | International Flavors & Fragrances, Inc. | 4.38% | 06/01/47 | 1,105,706 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (d) (Continued) | |||||
Chemicals (Continued) | |||||
$3,359,000 | International Flavors & Fragrances, Inc. | 5.00% | 09/26/48 | $2,830,202 | |
1,235,000 | International Flavors & Fragrances, Inc. (e) | 3.47% | 12/01/50 | 813,888 | |
12,586,651 | |||||
Commercial Services — 0.1% | |||||
1,118,000 | Adtalem Global Education, Inc. (e) | 5.50% | 03/01/28 | 1,065,370 | |
2,685,000 | Global Payments, Inc. (EUR) | 4.88% | 03/17/31 | 2,993,595 | |
345,000 | WASH Multifamily Acquisition, Inc. (e) | 5.75% | 04/15/26 | 334,936 | |
4,393,901 | |||||
Diversified Financial Services — 0.2% | |||||
360,000 | Air Lease Corp. | 2.30% | 02/01/25 | 348,755 | |
1,890,000 | Air Lease Corp. | 3.25% | 03/01/25 | 1,845,803 | |
940,000 | Air Lease Corp. | 3.38% | 07/01/25 | 913,410 | |
3,000,000 | Air Lease Corp. | 4.63% | 10/01/28 | 2,900,125 | |
3,755,000 | Discover Financial Services | 3.95% | 11/06/24 | 3,707,933 | |
9,716,026 | |||||
Electric — 1.8% | |||||
2,655,000 | Alliant Energy Finance LLC (e) | 1.40% | 03/15/26 | 2,420,576 | |
200,000 | Ameren Illinois Co. | 3.70% | 12/01/47 | 154,758 | |
3,000,000 | Appalachian Power Co., Series Z | 3.70% | 05/01/50 | 2,152,783 | |
12,605,000 | Arizona Public Service Co. | 6.35% | 12/15/32 | 13,337,221 | |
5,000,000 | Black Hills Corp. | 6.15% | 05/15/34 | 5,143,482 | |
750,000 | Cleco Power LLC | 6.00% | 12/01/40 | 762,317 | |
5,953,000 | Commonwealth Edison Co. | 6.45% | 01/15/38 | 6,466,874 | |
500,000 | Consolidated Edison Co. of New York, Inc. | 4.50% | 05/15/58 | 421,337 | |
1,695,000 | Dominion Energy, Inc., Series A | 3.30% | 03/15/25 | 1,657,010 | |
2,375,000 | Duke Energy Carolinas LLC | 5.35% | 01/15/53 | 2,328,239 | |
2,000,000 | Duke Energy Corp. (EUR) | 3.85% | 06/15/34 | 2,099,818 | |
1,030,000 | Duke Energy Florida LLC | 5.88% | 11/15/33 | 1,078,978 | |
3,500,000 | Duke Energy Progress LLC | 5.25% | 03/15/33 | 3,496,331 | |
750,000 | Entergy Texas, Inc. | 3.45% | 12/01/27 | 701,572 | |
4,000,000 | Eversource Energy | 5.95% | 02/01/29 | 4,099,178 | |
9,101,000 | FirstEnergy Transmission LLC (e) | 2.87% | 09/15/28 | 8,228,786 | |
3,855,000 | Interstate Power and Light Co. | 2.30% | 06/01/30 | 3,253,276 | |
1,450,000 | Interstate Power and Light Co. | 5.70% | 10/15/33 | 1,476,341 | |
1,500,000 | ITC Holdings Corp. (e) | 2.95% | 05/14/30 | 1,310,192 | |
1,750,000 | Jersey Central Power & Light Co. (e) | 4.30% | 01/15/26 | 1,708,757 | |
830,000 | Metropolitan Edison Co. (e) | 4.00% | 04/15/25 | 812,798 | |
2,253,000 | Metropolitan Edison Co. (e) | 4.30% | 01/15/29 | 2,167,328 | |
1,605,000 | MidAmerican Energy Co. | 5.85% | 09/15/54 | 1,693,126 | |
10,000,000 | Niagara Mohawk Power Corp. (e) | 3.03% | 06/27/50 | 6,249,408 | |
4,820,000 | Oncor Electric Delivery Co., LLC | 4.95% | 09/15/52 | 4,494,047 | |
825,000 | Public Service Co. of New Mexico | 3.85% | 08/01/25 | 802,153 | |
7,305,000 | Southwestern Electric Power Co. | 5.30% | 04/01/33 | 7,212,184 | |
3,480,000 | Southwestern Public Service Co., Series 9 | 5.15% | 06/01/52 | 2,987,600 | |
700,000 | Trans-Allegheny Interstate Line Co. (e) | 3.85% | 06/01/25 | 685,289 | |
2,310,000 | Tucson Electric Power Co. | 5.50% | 04/15/53 | 2,264,100 | |
1,505,000 | Xcel Energy, Inc. | 4.80% | 09/15/41 | 1,302,560 | |
92,968,419 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (d) (Continued) | |||||
Electronics — 0.1% | |||||
$2,860,000 | Honeywell International, Inc. (EUR) (g) | 3.75% | 03/01/36 | $3,064,228 | |
Engineering & Construction — 0.0% | |||||
1,015,000 | Artera Services LLC (e) | 8.50% | 02/15/31 | 1,037,577 | |
Entertainment — 0.3% | |||||
9,840,000 | Warnermedia Holdings, Inc. | 5.05% | 03/15/42 | 8,281,096 | |
11,190,000 | Warnermedia Holdings, Inc. | 5.14% | 03/15/52 | 9,101,001 | |
17,382,097 | |||||
Food — 0.2% | |||||
4,075,000 | Pilgrim’s Pride Corp. | 3.50% | 03/01/32 | 3,408,147 | |
4,536,000 | Pilgrim’s Pride Corp. | 6.25% | 07/01/33 | 4,590,223 | |
2,500,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed (e) | 4.63% | 03/01/29 | 2,193,291 | |
10,191,661 | |||||
Gas — 0.3% | |||||
2,765,000 | East Ohio Gas (The), Co. (e) | 2.00% | 06/15/30 | 2,268,686 | |
2,180,000 | KeySpan Gas East Corp. (e) | 5.99% | 03/06/33 | 2,174,391 | |
1,080,000 | NiSource, Inc. | 5.40% | 06/30/33 | 1,080,859 | |
4,125,000 | Piedmont Natural Gas Co., Inc. | 5.40% | 06/15/33 | 4,136,982 | |
500,000 | Piedmont Natural Gas Co., Inc. | 3.35% | 06/01/50 | 333,528 | |
2,495,000 | Southern Co. Gas Capital Corp. | 5.75% | 09/15/33 | 2,557,804 | |
3,856,000 | Southern Co. Gas Capital Corp. | 5.88% | 03/15/41 | 3,855,232 | |
16,407,482 | |||||
Healthcare-Products — 0.1% | |||||
525,000 | Alcon Finance Corp. (e) | 2.75% | 09/23/26 | 492,986 | |
1,500,000 | Alcon Finance Corp. (e) | 2.60% | 05/27/30 | 1,288,442 | |
5,000,000 | Revvity, Inc. | 2.55% | 03/15/31 | 4,189,879 | |
5,971,307 | |||||
Healthcare-Services — 0.6% | |||||
2,105,000 | Bon Secours Mercy Health, Inc., Series 20-2 | 2.10% | 06/01/31 | 1,721,106 | |
2,130,000 | Catalent Pharma Solutions, Inc. (EUR) (h) | 2.38% | 03/01/28 | 2,217,349 | |
1,845,000 | Centene Corp. | 4.25% | 12/15/27 | 1,756,997 | |
2,982,000 | Centene Corp. | 3.00% | 10/15/30 | 2,550,072 | |
475,000 | CommonSpirit Health | 2.78% | 10/01/30 | 406,949 | |
473,000 | Fortrea Holdings, Inc. (e) | 7.50% | 07/01/30 | 484,234 | |
3,250,000 | HCA, Inc. | 3.13% | 03/15/27 | 3,054,900 | |
8,233,000 | HCA, Inc. | 4.13% | 06/15/29 | 7,755,904 | |
7,530,000 | IQVIA, Inc. | 5.70% | 05/15/28 | 7,594,080 | |
3,725,000 | ModivCare Escrow Issuer, Inc. (e) | 5.00% | 10/01/29 | 2,751,304 | |
610,000 | ModivCare, Inc. (e) | 5.88% | 11/15/25 | 596,092 | |
200,000 | New York and Presbyterian (The) Hospital | 3.56% | 08/01/36 | 171,183 | |
160,000 | UnitedHealth Group, Inc. | 4.45% | 12/15/48 | 140,768 | |
2,630,000 | Universal Health Services, Inc. | 1.65% | 09/01/26 | 2,391,903 | |
33,592,841 | |||||
Household Products/Wares — 0.0% | |||||
2,210,000 | Spectrum Brands, Inc. (e) | 3.88% | 03/15/31 | 2,100,881 | |
Insurance — 1.0% | |||||
5,090,000 | Athene Global Funding, SOFR Compounded Index + 0.70% (b) (e) | 6.04% | 05/24/24 | 5,093,931 | |
2,145,000 | Athene Global Funding (e) | 3.21% | 03/08/27 | 1,980,265 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (d) (Continued) | |||||
Insurance (Continued) | |||||
$5,585,000 | Athene Global Funding (e) | 1.99% | 08/19/28 | $4,794,576 | |
2,605,000 | Athene Global Funding (e) | 2.72% | 01/07/29 | 2,268,978 | |
1,650,000 | Farmers Exchange Capital (e) | 7.05% | 07/15/28 | 1,663,292 | |
2,200,000 | Farmers Exchange Capital II (e) (f) | 6.15% | 11/01/53 | 2,026,948 | |
1,770,000 | Farmers Exchange Capital III (e) (f) | 5.45% | 10/15/54 | 1,453,984 | |
600,000 | Farmers Insurance Exchange (e) | 8.63% | 05/01/24 | 602,328 | |
3,495,000 | Farmers Insurance Exchange (e) (f) | 4.75% | 11/01/57 | 2,586,959 | |
4,645,000 | Metropolitan Life Global Funding I (e) | 3.45% | 12/18/26 | 4,453,379 | |
2,380,000 | Metropolitan Life Global Funding I (e) | 5.15% | 03/28/33 | 2,355,967 | |
7,000,000 | National General Holdings Corp. (e) | 6.75% | 05/15/24 | 6,990,417 | |
1,525,000 | Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (b) (e) | 7.94% | 12/15/24 | 1,526,780 | |
1,665,000 | New York Life Insurance Co. (e) | 3.75% | 05/15/50 | 1,273,273 | |
1,790,000 | Teachers Insurance & Annuity Association of America (e) | 4.90% | 09/15/44 | 1,628,010 | |
3,910,000 | Teachers Insurance & Annuity Association of America (e) | 4.27% | 05/15/47 | 3,218,551 | |
1,980,000 | Teachers Insurance & Annuity Association of America (e) (f) | 4.38% | 09/15/54 | 1,952,655 | |
3,925,000 | Willis North America, Inc. | 5.35% | 05/15/33 | 3,862,222 | |
49,732,515 | |||||
Internet — 0.1% | |||||
1,701,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc. (e) | 4.75% | 04/30/27 | 1,634,176 | |
1,400,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc. (e) | 6.00% | 02/15/28 | 1,345,345 | |
2,979,521 | |||||
Investment Companies — 0.1% | |||||
2,107,000 | Icahn Enterprises, L.P. / Icahn Enterprises Finance Corp. | 5.25% | 05/15/27 | 1,938,187 | |
1,175,000 | Icahn Enterprises, L.P. / Icahn Enterprises Finance Corp. (e) | 9.75% | 01/15/29 | 1,229,344 | |
517,000 | Icahn Enterprises, L.P. / Icahn Enterprises Finance Corp. | 4.38% | 02/01/29 | 436,862 | |
3,604,393 | |||||
Lodging — 0.1% | |||||
4,385,000 | Hyatt Hotels Corp. | 1.80% | 10/01/24 | 4,287,236 | |
Media — 0.7% | |||||
875,000 | Cable One, Inc. (e) | 4.00% | 11/15/30 | 661,938 | |
1,475,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 4.91% | 07/23/25 | 1,454,986 | |
1,410,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 2.30% | 02/01/32 | 1,071,957 | |
1,471,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.38% | 04/01/38 | 1,268,451 | |
6,920,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.38% | 05/01/47 | 5,469,549 | |
4,767,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 3.90% | 06/01/52 | 2,999,775 | |
1,960,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.25% | 04/01/53 | 1,523,220 | |
4,670,000 | Cox Enterprises, Inc. (e) | 7.38% | 07/15/27 | 4,922,434 | |
635,000 | CSC Holdings LLC (e) | 11.75% | 01/31/29 | 664,176 | |
8,620,000 | CSC Holdings LLC (e) | 6.50% | 02/01/29 | 7,522,760 | |
2,000,000 | CSC Holdings LLC (e) | 5.75% | 01/15/30 | 1,178,000 | |
8,320,000 | Time Warner Cable LLC | 5.50% | 09/01/41 | 6,864,266 | |
35,601,512 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (d) (Continued) | |||||
Miscellaneous Manufacturing — 0.0% | |||||
$943,000 | General Electric Co., 3 Mo. CME Term SOFR + CSA + 0.38% (b) | 5.91% | 05/05/26 | $940,101 | |
Packaging & Containers — 0.3% | |||||
3,000,000 | Amcor Finance USA, Inc. | 3.63% | 04/28/26 | 2,889,310 | |
1,000,000 | Amcor Flexibles North America, Inc. | 2.63% | 06/19/30 | 853,838 | |
3,948,000 | Berry Global, Inc. | 1.57% | 01/15/26 | 3,678,082 | |
2,125,000 | Berry Global, Inc. (e) | 4.88% | 07/15/26 | 2,077,300 | |
2,809,000 | Berry Global, Inc. | 1.65% | 01/15/27 | 2,531,209 | |
1,005,000 | Berry Global, Inc. (e) | 5.65% | 01/15/34 | 992,367 | |
1,350,000 | Clearwater Paper Corp. (e) | 4.75% | 08/15/28 | 1,250,613 | |
14,272,719 | |||||
Pharmaceuticals — 0.6% | |||||
1,045,000 | Bayer US Finance II LLC (e) | 3.38% | 07/15/24 | 1,034,445 | |
625,000 | Bayer US Finance II LLC (e) | 2.85% | 04/15/25 | 601,707 | |
7,880,000 | Bayer US Finance II LLC (e) | 4.25% | 12/15/25 | 7,664,647 | |
3,160,000 | Bayer US Finance II LLC (e) | 4.38% | 12/15/28 | 2,945,427 | |
815,000 | Bayer US Finance II LLC (e) | 4.63% | 06/25/38 | 671,246 | |
1,750,000 | Bayer US Finance II LLC (e) | 4.40% | 07/15/44 | 1,321,813 | |
2,540,000 | Bayer US Finance II LLC (e) | 4.88% | 06/25/48 | 2,014,461 | |
7,245,000 | Bayer US Finance LLC (e) | 6.50% | 11/21/33 | 7,253,756 | |
2,107,000 | Becton Dickinson & Co. | 3.73% | 12/15/24 | 2,077,850 | |
2,000,000 | Cigna Group (The) | 3.40% | 03/01/27 | 1,904,737 | |
75,000 | Cigna Group (The) | 3.05% | 10/15/27 | 70,148 | |
1,225,000 | CVS Health Corp. | 1.75% | 08/21/30 | 995,528 | |
926,000 | CVS Health Corp. | 5.13% | 07/20/45 | 842,980 | |
29,398,745 | |||||
Pipelines — 0.3% | |||||
340,000 | Columbia Pipelines Operating Co. LLC (e) | 6.04% | 11/15/33 | 349,245 | |
3,200,000 | Energy Transfer, L.P. | 4.90% | 03/15/35 | 2,985,991 | |
2,600,000 | Energy Transfer, L.P. | 6.13% | 12/15/45 | 2,586,432 | |
2,101,000 | Energy Transfer, L.P. | 5.40% | 10/01/47 | 1,907,547 | |
3,640,000 | NGPL PipeCo LLC (e) | 4.88% | 08/15/27 | 3,554,773 | |
1,500,000 | Rockies Express Pipeline LLC (e) | 4.80% | 05/15/30 | 1,390,777 | |
1,360,000 | Rockies Express Pipeline LLC (e) | 6.88% | 04/15/40 | 1,340,317 | |
1,114,000 | Venture Global LNG, Inc. (e) | 9.50% | 02/01/29 | 1,188,458 | |
900,000 | Venture Global LNG, Inc. (e) | 9.88% | 02/01/32 | 948,155 | |
16,251,695 | |||||
Real Estate Investment Trusts — 1.7% | |||||
612,000 | Alexandria Real Estate Equities, Inc. | 4.50% | 07/30/29 | 586,776 | |
500,000 | American Assets Trust, L.P. | 3.38% | 02/01/31 | 403,443 | |
4,665,000 | American Homes 4 Rent, L.P. | 3.38% | 07/15/51 | 3,081,808 | |
300,000 | American Homes 4 Rent, L.P. | 4.30% | 04/15/52 | 233,514 | |
3,230,000 | American Tower Corp. | 2.70% | 04/15/31 | 2,712,590 | |
750,000 | American Tower Corp. (EUR) | 1.00% | 01/15/32 | 651,397 | |
7,465,000 | American Tower Corp. | 5.55% | 07/15/33 | 7,463,446 | |
6,901,000 | Crown Castle, Inc. | 2.50% | 07/15/31 | 5,656,943 | |
750,000 | CubeSmart, L.P. | 4.38% | 02/15/29 | 714,126 | |
543,000 | Extra Space Storage, L.P. | 3.90% | 04/01/29 | 507,444 | |
1,135,000 | Extra Space Storage, L.P. | 2.20% | 10/15/30 | 928,686 | |
615,000 | Extra Space Storage, L.P. | 2.55% | 06/01/31 | 506,183 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (d) (Continued) | |||||
Real Estate Investment Trusts (Continued) | |||||
$872,000 | Extra Space Storage, L.P. | 2.40% | 10/15/31 | $704,848 | |
3,170,000 | Extra Space Storage, L.P. | 2.35% | 03/15/32 | 2,516,699 | |
1,210,000 | GLP Capital, L.P. / GLP Financing II, Inc. | 5.30% | 01/15/29 | 1,174,989 | |
11,305,000 | GLP Capital, L.P. / GLP Financing II, Inc. | 4.00% | 01/15/30 | 10,182,140 | |
615,000 | GLP Capital, L.P. / GLP Financing II, Inc. | 4.00% | 01/15/31 | 543,082 | |
1,763,000 | GLP Capital, L.P. / GLP Financing II, Inc. | 3.25% | 01/15/32 | 1,464,256 | |
895,000 | Healthcare Realty Holdings, L.P. | 3.63% | 01/15/28 | 818,934 | |
2,000,000 | Healthcare Realty Holdings, L.P. | 3.10% | 02/15/30 | 1,723,224 | |
6,020,000 | Healthcare Realty Holdings, L.P. | 2.00% | 03/15/31 | 4,722,526 | |
453,000 | Healthcare Realty Holdings, L.P. | 2.05% | 03/15/31 | 344,958 | |
5,335,000 | Hudson Pacific Properties, L.P. | 3.95% | 11/01/27 | 4,613,141 | |
2,515,000 | Hudson Pacific Properties, L.P. | 4.65% | 04/01/29 | 2,097,792 | |
1,135,000 | Hudson Pacific Properties, L.P. | 3.25% | 01/15/30 | 853,490 | |
4,569,000 | Invitation Homes Operating Partnership, L.P. | 2.00% | 08/15/31 | 3,571,260 | |
476,000 | Invitation Homes Operating Partnership, L.P. | 4.15% | 04/15/32 | 429,656 | |
1,960,000 | Invitation Homes Operating Partnership, L.P. | 5.50% | 08/15/33 | 1,937,468 | |
860,000 | Kilroy Realty, L.P. | 2.50% | 11/15/32 | 636,656 | |
1,093,000 | Kilroy Realty, L.P. | 2.65% | 11/15/33 | 796,746 | |
1,605,000 | LXP Industrial Trust | 2.70% | 09/15/30 | 1,325,770 | |
3,852,000 | LXP Industrial Trust | 2.38% | 10/01/31 | 3,061,547 | |
475,000 | Physicians Realty, L.P. | 4.30% | 03/15/27 | 462,727 | |
54,000 | Physicians Realty, L.P. | 3.95% | 01/15/28 | 51,400 | |
670,000 | Piedmont Operating Partnership, L.P. | 3.15% | 08/15/30 | 511,829 | |
3,000,000 | Prologis Euro Finance LLC (EUR) | 4.25% | 01/31/43 | 3,172,937 | |
1,700,000 | Realty Income Corp. (EUR) | 4.88% | 07/06/30 | 1,936,722 | |
2,510,000 | Realty Income Corp. (EUR) | 5.13% | 07/06/34 | 2,917,281 | |
170,000 | Rexford Industrial Realty, L.P. | 2.15% | 09/01/31 | 134,588 | |
1,000,000 | Ventas Realty, L.P. | 2.65% | 01/15/25 | 972,594 | |
750,000 | VICI Properties, L.P. | 4.95% | 02/15/30 | 714,598 | |
4,849,000 | VICI Properties, L.P. | 5.13% | 05/15/32 | 4,554,996 | |
320,000 | VICI Properties, L.P. / VICI Note Co., Inc. (e) | 4.63% | 06/15/25 | 314,854 | |
867,000 | VICI Properties, L.P. / VICI Note Co., Inc. (e) | 4.50% | 01/15/28 | 824,552 | |
1,620,000 | VICI Properties, L.P. / VICI Note Co., Inc. (e) | 3.88% | 02/15/29 | 1,479,335 | |
1,570,000 | VICI Properties, L.P. / VICI Note Co., Inc. (e) | 4.13% | 08/15/30 | 1,409,383 | |
86,423,334 | |||||
Retail — 0.1% | |||||
475,000 | Ferrellgas, L.P. / Ferrellgas Finance Corp. (e) | 5.88% | 04/01/29 | 451,394 | |
5,035,000 | Michaels (The) Cos., Inc. (e) | 7.88% | 05/01/29 | 3,257,613 | |
3,709,007 | |||||
Software — 0.2% | |||||
1,400,000 | Fiserv, Inc. | 2.25% | 06/01/27 | 1,281,373 | |
510,000 | Fiserv, Inc. | 2.65% | 06/01/30 | 439,660 | |
1,090,000 | Oracle Corp. | 6.50% | 04/15/38 | 1,165,710 | |
8,212,000 | Oracle Corp. | 3.95% | 03/25/51 | 6,131,346 | |
9,018,089 | |||||
Telecommunications — 0.6% | |||||
145,000 | AT&T, Inc. | 4.30% | 12/15/42 | 122,854 | |
80,000 | Frontier Communications Holdings LLC (e) | 5.00% | 05/01/28 | 74,121 | |
3,666,000 | Frontier Communications Holdings LLC (e) | 8.63% | 03/15/31 | 3,717,664 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (d) (Continued) | |||||
Telecommunications (Continued) | |||||
$4,500,000 | SES GLOBAL Americas Holdings, Inc. (e) | 5.30% | 03/25/44 | $3,456,038 | |
168,438 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (e) | 4.74% | 03/20/25 | 167,339 | |
17,973,250 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (e) | 5.15% | 03/20/28 | 17,921,519 | |
3,415,000 | T-Mobile USA, Inc. | 3.75% | 04/15/27 | 3,274,559 | |
28,734,094 | |||||
Total Corporate Bonds and Notes | 776,958,641 | ||||
(Cost $828,672,722) | |||||
ASSET-BACKED SECURITIES — 8.6% | |||||
ACE Securities Corp. Home Equity Loan Trust | |||||
13,938,132 | Series 2007-HE1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.30% (b) | 5.74% | 01/25/37 | 7,503,763 | |
12,299,935 | Series 2007-WM2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.21% (b) | 5.65% | 02/25/37 | 5,245,423 | |
AGL CLO Ltd. | |||||
13,000,000 | Series 2021-12A, Class A1, 3 Mo. CME Term SOFR + CSA + 1.16% (b) (e) | 6.74% | 07/20/34 | 13,016,251 | |
AMSR Trust | |||||
5,000,000 | Series 2021-SFR3, Class G (e) | 3.80% | 10/17/38 | 4,443,226 | |
Argent Securities, Inc. | |||||
70,587 | Series 2005-W2, Class M1, 1 Mo. CME Term SOFR + CSA + 0.74% (b) | 6.17% | 10/25/35 | 68,852 | |
Asset Backed Funding Certificates Trust | |||||
7,863,291 | Series 2006-HE1, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.11% (b) | 5.66% | 01/25/37 | 4,435,714 | |
Bardot CLO Ltd. | |||||
10,400,000 | Series 2019-2A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.60% (b) (e) | 7.18% | 10/22/32 | 10,433,002 | |
Barings CLO Ltd. | |||||
12,500,000 | Series 2019-2A, Class A2R, 3 Mo. CME Term SOFR + CSA + 1.70% (b) (e) | 7.28% | 04/15/36 | 12,515,144 | |
Carrington Mortgage Loan Trust | |||||
18,000,000 | Series 2006-NC4, Class A4, 1 Mo. CME Term SOFR + CSA + 0.24% (b) | 5.68% | 10/25/36 | 14,667,325 | |
281,855 | Series 2006-OPT1, Class M1, 1 Mo. CME Term SOFR + CSA + 0.53% (b) | 5.96% | 02/25/36 | 276,534 | |
Carvana Auto Receivables Trust | |||||
70,350 | Series 2022-P3, Class R (e) | (i) | 09/10/29 | 9,347,376 | |
CIFC Funding Ltd. | |||||
5,610,000 | Series 2021-7A, Class A1, 3 Mo. CME Term SOFR + CSA + 1.13% (b) (e) | 6.71% | 01/23/35 | 5,607,756 | |
CIM Trust | |||||
3,575,659 | Series 2021-NR3, Class A1, steps up to 5.57% on 04/01/24 (e) (j) | 2.57% | 06/25/57 | 3,528,135 | |
14,143,251 | Series 2021-NR4, Class A1, steps up to 5.82% on 10/01/24 (e) (j) | 2.82% | 10/25/61 | 13,780,955 | |
14,002,390 | Series 2023-NR1, Class A1, steps up to 9.00% on 01/01/26 (e) (j) | 6.00% | 06/25/62 | 13,844,135 | |
Dryden 70 CLO Ltd. | |||||
2,500,000 | Series 2018-70A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (b) (e) | 7.28% | 01/16/32 | 2,505,323 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Dryden Senior Loan Fund | |||||
$614,157 | Series 2013-26A, Class AR, 3 Mo. CME Term SOFR + CSA + 0.90% (b) (e) | 6.48% | 04/15/29 | $615,002 | |
486,231 | Series 2013-28A, Class A1LR, 3 Mo. CME Term SOFR + CSA + 1.20% (b) (e) | 6.77% | 08/15/30 | 486,766 | |
ECMC Group Student Loan Trust | |||||
1,301,668 | Series 2017-2A, Class A, 30 Day Average SOFR + 1.16% (b) (e) | 6.49% | 05/25/67 | 1,298,208 | |
Elmwood CLO VI Ltd. | |||||
13,400,000 | Series 2020-3A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (b) (e) | 7.23% | 10/20/34 | 13,443,558 | |
Exeter Automobile Receivables Trust | |||||
10,000 | Series 2021-4A, Class R (e) | (i) | 12/15/33 | 1,280,303 | |
First Franklin Mortgage Loan Trust | |||||
15,306,990 | Series 2006-FF13, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.32% (b) | 5.76% | 10/25/36 | 9,862,831 | |
11,494,480 | Series 2007-FF2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.28% (b) | 5.72% | 03/25/37 | 6,039,930 | |
GE-WMC Mortgage Securities LLC | |||||
244,543 | Series 2005-1, Class M1, 1 Mo. CME Term SOFR + CSA + 0.66% (b) | 6.10% | 10/25/35 | 238,404 | |
GoldenTree Loan Management US CLO Ltd. | |||||
5,000,000 | Series 2020-8A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.15% (b) (e) | 6.73% | 10/20/34 | 5,006,250 | |
GSAMP Trust | |||||
12,165,807 | Series 2006-NC2, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.30% (b) | 5.74% | 06/25/36 | 6,789,795 | |
8,769,978 | Series 2007-FM2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.14% (b) | 5.58% | 01/25/37 | 5,085,822 | |
JP Morgan Mortgage Acquisition Trust | |||||
2,117,464 | Series 2006-WF1, Class A6 | 6.50% | 07/25/36 | 611,809 | |
17,151,062 | Series 2006-WMC2, Class A4, 1 Mo. CME Term SOFR + CSA + 0.30% (b) | 5.74% | 07/25/36 | 7,332,655 | |
18,146,485 | Series 2006-WMC2, Class A5, 1 Mo. CME Term SOFR + CSA + 0.50% (b) | 5.94% | 07/25/36 | 7,773,219 | |
39,429 | Series 2007-CH2, Class MV1, 1 Mo. CME Term SOFR + CSA + 0.28% (b) | 5.72% | 01/25/37 | 39,424 | |
Lehman XS Trust | |||||
2,597,858 | Series 2006-9, Class A1C, 1 Mo. CME Term SOFR + CSA + 0.52% (b) | 5.96% | 05/25/46 | 2,258,854 | |
Long Beach Mortgage Loan Trust | |||||
328,827 | Series 2006-1, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.44% (b) | 5.88% | 02/25/36 | 319,185 | |
Madison Park Funding XXVII Ltd. | |||||
250,000 | Series 2018-27A, Class A2, 3 Mo. CME Term SOFR + CSA + 1.35% (b) (e) | 6.93% | 04/20/30 | 250,765 | |
Mastr Asset Backed Securities Trust | |||||
6,864,970 | Series 2006-WMC3, Class A2, 1 Mo. CME Term SOFR + CSA + 0.10% (b) | 5.54% | 08/25/36 | 2,486,107 | |
Merrill Lynch First Franklin Mortgage Loan Trust | |||||
255,579 | Series 2007-3, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.26% (b) | 5.70% | 06/25/37 | 197,349 | |
Mid-State Trust | |||||
74,232 | Series 11, Class A1 | 4.86% | 07/15/38 | 72,756 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Morgan Stanley ABS Capital I, Inc. Trust | |||||
$9,639,522 | Series 2006-HE4, Class A3, 1 Mo. CME Term SOFR + CSA + 0.30% (b) | 5.74% | 06/25/36 | $5,063,265 | |
5,225,988 | Series 2006-HE8, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.10% (b) | 5.54% | 10/25/36 | 2,247,462 | |
141,694 | Series 2006-NC1, Class M1, 1 Mo. CME Term SOFR + CSA + 0.57% (b) | 6.01% | 12/25/35 | 140,054 | |
5,594,812 | Series 2007-HE1, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.23% (b) | 5.67% | 11/25/36 | 3,208,945 | |
24,848,421 | Series 2007-HE2, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.21% (b) | 5.65% | 01/25/37 | 11,738,707 | |
6,001,372 | Series 2007-NC3, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.26% (b) | 5.70% | 05/25/37 | 4,452,332 | |
Navient Student Loan Trust | |||||
147,422 | Series 2014-1, Class A3, 30 Day Average SOFR + CSA + 0.51% (b) | 5.95% | 06/25/31 | 144,728 | |
254,063 | Series 2017-3A, Class A3, 30 Day Average SOFR + 1.16% (b) (e) | 6.49% | 07/26/66 | 255,157 | |
New Century Home Equity Loan Trust | |||||
17,853 | Series 2005-4, Class M3, 1 Mo. CME Term SOFR + CSA + 0.83% (b) | 6.26% | 09/25/35 | 18,178 | |
New Residential Mortgage Loan Trust | |||||
16,615,000 | Series 2022-SFR2, Class B (e) | 3.75% | 09/04/39 | 15,467,218 | |
15,000,000 | Series 2022-SFR2, Class E1 (e) | 4.00% | 09/04/39 | 13,395,893 | |
OCP CLO Ltd. | |||||
6,200,000 | Series 2020-19A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.15% (b) (e) | 6.73% | 10/20/34 | 6,194,420 | |
8,530,000 | Series 2021-21A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (b) (e) | 7.28% | 07/20/34 | 8,515,994 | |
Octagon Investment Partners 46 Ltd. | |||||
14,000,000 | Series 2020-2A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.16% (b) (e) | 6.74% | 07/15/36 | 14,034,308 | |
OHA Credit Funding 4 Ltd. | |||||
12,685,000 | Series 2019-4A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (b) (e) | 7.23% | 10/22/36 | 12,723,742 | |
Progress Residential Trust | |||||
9,120,000 | Series 2021-SFR2, Class G (e) | 4.25% | 04/19/38 | 8,386,764 | |
4,130,000 | Series 2021-SFR3, Class G (e) | 4.25% | 05/17/26 | 3,778,336 | |
PRPM LLC | |||||
8,258,557 | Series 2021-7, Class A1, steps up to 4.87% on 08/25/24 (e) (j) | 1.87% | 08/25/26 | 8,001,011 | |
15,687,850 | Series 2021-10, Class A1, steps up to 5.49% on 10/25/24 (e) (j) | 2.49% | 10/25/26 | 15,441,184 | |
Rad CLO 14 Ltd. | |||||
10,000,000 | Series 2021-14A, Class B, 3 Mo. CME Term SOFR + CSA + 1.65% (b) (e) | 7.23% | 01/15/35 | 10,029,487 | |
Residential Asset Securities Corp. | |||||
65,643 | Series 2006-EMX3, Class A3, 1 Mo. CME Term SOFR + CSA + 0.28% (b) | 6.00% | 04/25/36 | 64,999 | |
388,591 | Series 2006-KS3, Class M1, 1 Mo. CME Term SOFR + CSA + 0.33% (b) | 5.93% | 04/25/36 | 381,798 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Rockford Tower CLO Ltd. | |||||
$7,549,375 | Series 2017-3A, Class A, 3 Mo. CME Term SOFR + CSA + 1.19% (b) (e) | 6.77% | 10/20/30 | $7,577,048 | |
1,625,000 | Series 2019-2A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.10% (b) (e) | 6.68% | 08/20/32 | 1,627,395 | |
Saxon Asset Securities Trust | |||||
520,894 | Series 2007-2, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.24% (b) | 5.68% | 05/25/47 | 365,438 | |
Securitized Asset-Backed Receivables LLC Trust | |||||
21,535,458 | Series 2006-WM4, Class A1, 1 Mo. CME Term SOFR + CSA + 0.38% (b) (e) | 5.82% | 11/25/36 | 10,021,924 | |
Skyline Aircraft Finance LLC | |||||
11,614,521 | Series 2020-1, Class A (a) (k) | 3.23% | 05/10/38 | 10,358,992 | |
SLC Student Loan Trust | |||||
868,344 | Series 2008-1, Class A4A, 90 Day Average SOFR + CSA + 1.60% (b) | 7.21% | 12/15/32 | 881,339 | |
SLM Student Loan Trust | |||||
80,000 | Series 2007-7, Class B, 90 Day Average SOFR + CSA + 0.75% (b) | 6.37% | 10/27/70 | 74,033 | |
130,000 | Series 2008-2, Class B, 90 Day Average SOFR + CSA + 1.20% (b) | 6.82% | 01/25/83 | 124,739 | |
700,000 | Series 2008-3, Class B, 90 Day Average SOFR + CSA + 1.20% (b) | 6.82% | 04/26/83 | 670,389 | |
3,063,849 | Series 2008-6, Class A4, 90 Day Average SOFR + 1.36% (b) | 6.72% | 07/25/23 | 3,040,502 | |
320,000 | Series 2008-7, Class B, 90 Day Average SOFR + 2.11% (b) | 7.47% | 07/26/83 | 301,804 | |
477,861 | Series 2012-2, Class A, 30 Day Average SOFR + 0.81% (b) | 6.14% | 01/25/29 | 463,035 | |
169,311 | Series 2012-6, Class A3, 30 Day Average SOFR + 0.86% (b) | 6.19% | 05/26/26 | 164,260 | |
2,533,147 | Series 2012-7, Class A3, 30 Day Average SOFR + 0.76% (b) | 6.09% | 05/26/26 | 2,455,044 | |
555,000 | Series 2012-7, Class B, 30 Day Average SOFR + CSA + 1.80% (b) | 7.24% | 09/25/43 | 510,891 | |
89,708 | Series 2013-2, Class A, 30 Day Average SOFR + 0.56% (b) | 5.89% | 06/25/43 | 88,074 | |
Soundview Home Loan Trust | |||||
5,814,577 | Series 2007-OPT4, Class 1A1, 1 Mo. CME Term SOFR + CSA + 1.00% (b) | 6.44% | 09/25/37 | 3,994,998 | |
Structured Asset Investment Loan Trust | |||||
508,483 | Series 2004-6, Class A3, 1 Mo. CME Term SOFR + CSA + 0.80% (b) | 6.24% | 07/25/34 | 502,813 | |
Structured Asset Securities Corp. Mortgage Loan Trust | |||||
574,727 | Series 2005-NC2, Class M5, 1 Mo. CME Term SOFR + CSA + 0.93% (b) | 6.37% | 05/25/35 | 566,107 | |
TAL Advantage VII LLC | |||||
7,695,000 | Series 2020-1A, Class A (e) | 2.05% | 09/20/45 | 6,980,065 | |
TIF Funding II LLC | |||||
7,032,500 | Series 2020-1A, Class A (e) | 2.09% | 08/20/45 | 6,346,773 | |
Trestles CLO V Ltd. | |||||
13,000,000 | Series 2021-5A, Class A1, 3 Mo. CME Term SOFR + CSA + 1.17% (b) (e) | 6.75% | 10/20/34 | 13,008,048 | |
Voya CLO Ltd. | |||||
13,000,000 | Series 2020-1A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.15% (b) (e) | 6.73% | 07/16/34 | 13,006,334 | |
Wachovia Student Loan Trust | |||||
484,535 | Series 2006-1, Class A6, 90 Day Average SOFR + 0.43% (b) (e) | 5.79% | 04/25/40 | 472,862 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
WaMu Asset-Backed Certificates WaMu Trust | |||||
$1,044,708 | Series 2007-HE2, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.11% (b) | 5.55% | 04/25/37 | $397,639 | |
3,625,314 | Series 2007-HE2, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.19% (b) | 5.63% | 04/25/37 | 1,381,658 | |
7,768,531 | Series 2007-HE2, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.25% (b) | 5.69% | 04/25/37 | 2,961,714 | |
Wellman Park CLO Ltd. | |||||
11,650,000 | Series 2021-1A, Class B, 3 Mo. CME Term SOFR + CSA + 1.60% (b) (e) | 7.18% | 07/15/34 | 11,685,237 | |
Total Asset-Backed Securities | 436,421,043 | ||||
(Cost $476,708,000) | |||||
MORTGAGE-BACKED SECURITIES — 7.8% | |||||
Collateralized Mortgage Obligations — 4.4% | |||||
Ajax Mortgage Loan Trust | |||||
2,031,666 | Series 2019-F, Class A1, steps up to 3.86% on 11/25/26 (e) (j) | 2.86% | 07/25/59 | 1,917,227 | |
Alternative Loan Trust | |||||
4,684,586 | Series 2005-16, Class A4, 1 Mo. CME Term SOFR + CSA + 0.48% (b) | 5.92% | 06/25/35 | 4,046,842 | |
5,317,569 | Series 2005-56, Class 1A1, 1 Mo. CME Term SOFR + CSA + 1.46% (b) | 6.90% | 11/25/35 | 4,777,611 | |
5,032,964 | Series 2005-67CB, Class A1 | 5.50% | 01/25/36 | 3,714,176 | |
2,520,473 | Series 2007-13, Class A1 | 6.00% | 06/25/47 | 1,299,761 | |
American Home Mortgage Assets Trust | |||||
11,773,757 | Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (b) | 5.78% | 02/25/47 | 4,394,561 | |
American Home Mortgage Investment Trust | |||||
1,390,754 | Series 2005-4, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.58% (b) | 6.02% | 11/25/45 | 1,193,825 | |
Banc of America Funding Trust | |||||
353,608 | Series 2014-R6, Class 2A13 (e) (l) | 5.71% | 07/26/36 | 348,411 | |
Bear Stearns Mortgage Funding Trust | |||||
84,336 | Series 2006-AR1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.42% (b) | 5.86% | 07/25/36 | 74,072 | |
2,049,018 | Series 2006-AR3, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.36% (b) | 5.80% | 10/25/36 | 1,693,911 | |
2,925,506 | Series 2006-AR5, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.38% (b) | 5.82% | 01/25/37 | 2,632,011 | |
156,281 | Series 2007-AR5, Class 1A1G, 1 Mo. CME Term SOFR + CSA + 0.32% (b) | 5.60% | 06/25/47 | 130,445 | |
CIM Trust | |||||
2,516,091 | Series 2019-R1, Class A (e) | 3.25% | 10/25/58 | 2,229,904 | |
2,819,757 | Series 2019-R4, Class A1 (e) | 3.00% | 10/25/59 | 2,580,046 | |
4,491,008 | Series 2020-R3, Class A1A (e) | 4.00% | 01/26/60 | 4,133,738 | |
21,112,000 | Series 2020-R7, Class A1B (e) (m) | 2.25% | 12/27/61 | 14,844,451 | |
12,637,383 | Series 2021-R3, Class A1A (e) | 1.95% | 06/25/57 | 11,341,346 | |
14,148,765 | Series 2023-R1, Class A1A (e) | 5.40% | 04/25/62 | 13,619,495 | |
14,067,675 | Series 2023-R3, Class A1A (e) | 4.50% | 01/25/63 | 12,660,437 | |
Connecticut Avenue Securities Trust | |||||
6,623,907 | Series 2019-R04, Class 2B1, 30 Day Average SOFR + 5.36% (b) (e) | 10.69% | 06/25/39 | 7,069,423 | |
Credit Suisse Mortgage Trust | |||||
8,803,997 | Series 2007-2, Class 1A4 | 5.75% | 03/25/37 | 4,582,768 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
Credit Suisse Mortgage Trust (Continued) | |||||
$26,131,086 | Series 2007-3, Class 1A1A | 5.84% | 04/25/37 | $6,397,303 | |
11,220,147 | Series 2021-RP11, Class A1 (e) | 2.25% | 10/25/61 | 8,546,986 | |
13,550,907 | Series 2021-RP11, Class PT (e) | 3.76% | 10/25/61 | 9,272,078 | |
CSMCM Trust | |||||
580,872 | Series 2021-RP11 (e) | 3.78% | 10/27/61 | 431,189 | |
GMACM Mortgage Loan Trust | |||||
1,266,244 | Series 2006-AR1, Class 1A1 (l) | 3.60% | 04/19/36 | 980,767 | |
1,120,036 | Series 2006-J1, Class A4 | 5.75% | 04/25/36 | 950,731 | |
GreenPoint Mortgage Funding Trust | |||||
61,342 | Series 2006-AR1, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.58% (b) | 6.02% | 02/25/36 | 52,842 | |
GSR Mortgage Loan Trust | |||||
21,406,942 | Series 2006-OA1, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.52% (b) | 5.96% | 08/25/46 | 5,358,592 | |
HarborView Mortgage Loan Trust | |||||
164,424 | Series 2005-10, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.62% (b) | 6.05% | 11/19/35 | 109,652 | |
1,007,709 | Series 2007-7, Class 1A1, 1 Mo. CME Term SOFR + CSA + 2.00% (b) | 6.44% | 10/25/37 | 739,192 | |
HomeBanc Mortgage Trust | |||||
485,091 | Series 2004-2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.74% (b) | 6.18% | 12/25/34 | 452,216 | |
Impac CMB Trust | |||||
130,899 | Series 2005-2, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.52% (b) | 5.96% | 04/25/35 | 122,269 | |
413,283 | Series 2005-4, Class 1A1A, 1 Mo. CME Term SOFR + CSA + 0.27% (b) | 5.98% | 05/25/35 | 376,057 | |
IndyMac INDX Mortgage Loan Trust | |||||
1,199,722 | Series 2005-AR14, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.60% (b) | 6.04% | 07/25/35 | 949,877 | |
15,606,997 | Series 2005-AR29, Class A1 (l) | 3.84% | 01/25/36 | 12,541,828 | |
2,777,537 | Series 2006-AR6, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.40% (b) | 5.84% | 06/25/46 | 2,153,490 | |
3,457,931 | Series 2007-FLX4, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.50% (b) | 5.94% | 07/25/37 | 3,065,407 | |
JP Morgan Mortgage Trust | |||||
1,310,503 | Series 2006-A4, Class 1A1 (l) | 4.60% | 06/25/36 | 899,605 | |
Lehman XS Trust | |||||
218,546 | Series 2006-16N, Class A4A, 1 Mo. CME Term SOFR + CSA + 0.38% (b) | 5.82% | 11/25/46 | 186,199 | |
4,273,531 | Series 2007-16N, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.94% (b) | 6.38% | 09/25/47 | 3,895,410 | |
2,075,408 | Series 2007-16N, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.80% (b) | 6.24% | 09/25/47 | 1,752,119 | |
Merrill Lynch Alternative Note Asset Trust | |||||
2,794,179 | Series 2007-OAR3, Class A1, 1 Mo. CME Term SOFR + CSA + 0.19% (b) | 5.63% | 07/25/47 | 2,480,063 | |
Morgan Stanley Mortgage Loan Trust | |||||
19,326 | Series 2005-2AR, Class A, 1 Mo. CME Term SOFR + CSA + 0.26% (b) | 5.70% | 04/25/35 | 17,852 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
MortgageIT Trust | |||||
$37,680 | Series 2005-5, Class A1, 1 Mo. CME Term SOFR + CSA + 0.52% (b) | 5.96% | 12/25/35 | $36,273 | |
Nomura Resecuritization Trust | |||||
142,980 | Series 2015-5R, Class 1A1 (e) | 4.00% | 08/26/37 | 141,506 | |
OBX Trust | |||||
4,002,623 | Series 2021-NQM2, Class A1 (e) | 1.10% | 05/25/61 | 3,155,942 | |
9,706,168 | Series 2021-NQM3, Class A1 (e) | 1.05% | 07/25/61 | 7,553,788 | |
Opteum Mortgage Acceptance Corp. | |||||
752,590 | Series 2005-5, Class 1A1D, 1 Mo. CME Term SOFR + CSA + 0.76% (b) | 6.20% | 12/25/35 | 695,979 | |
243,227 | Series 2006-1, Class 1APT, 1 Mo. CME Term SOFR + CSA + 0.42% (b) | 5.86% | 04/25/36 | 218,018 | |
PRKCM Trust | |||||
16,362,853 | Series 2021-AFC2, Class A1 (e) | 2.07% | 11/25/56 | 13,727,306 | |
RALI Trust | |||||
5,832,227 | Series 2007-QS7, Class 1A1 | 6.00% | 05/25/37 | 4,403,781 | |
2,786,777 | Series 2007-QS9, Class A33 | 6.50% | 07/25/37 | 2,153,134 | |
RFMSI Trust | |||||
5,993,750 | Series 2007-S6, Class 1A4 | 6.00% | 06/25/37 | 4,432,516 | |
Structured Adjustable Rate Mortgage Loan Trust | |||||
10,439 | Series 2004-12, Class 3A1 (l) | 5.95% | 09/25/34 | 10,053 | |
22,274,661 | Series 2006-2, Class 4A1 (l) | 4.64% | 03/25/36 | 13,051,851 | |
Structured Asset Mortgage Investments II Trust | |||||
1,320,868 | Series 2006-AR1, Class 3A1, 1 Mo. CME Term SOFR + CSA + 0.46% (b) | 5.90% | 02/25/36 | 1,021,460 | |
6,551,499 | Series 2006-AR7, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.42% (b) | 5.86% | 08/25/36 | 5,216,826 | |
4,776,122 | Series 2007-AR6, Class A1, 12 Mo. Treasury Average + 1.50% (b) | 6.58% | 08/25/47 | 3,806,102 | |
WaMu Mortgage Pass-Through Certificates Trust | |||||
61,735 | Series 2005-AR1, Class A2A1, 1 Mo. CME Term SOFR + CSA + 0.68% (b) | 6.12% | 01/25/45 | 58,726 | |
131,678 | Series 2005-AR15, Class A1A1, 1 Mo. CME Term SOFR + CSA + 0.52% (b) | 5.96% | 11/25/45 | 119,676 | |
171,120 | Series 2006-AR3, Class A1A, 12 Mo. Treasury Average + 1.00% (b) | 6.08% | 02/25/46 | 148,733 | |
263,687 | Series 2006-AR4, Class 1A1A, 12 Mo. Treasury Average + 0.94% (b) | 4.46% | 05/25/46 | 234,080 | |
221,201,935 | |||||
Commercial Mortgage-Backed Securities — 3.4% | |||||
BAMLL Commercial Mortgage Securities Trust | |||||
7,651,000 | Series 2015-200P, Class F (e) (l) | 3.60% | 04/14/33 | 7,101,357 | |
BFLD TRUST Mortgage-Backed Securities | |||||
2,000,000 | Series 2020-EYP, Class A, 1 Mo. CME Term SOFR + CSA + 1.15% (b) (e) | 6.58% | 10/15/35 | 1,619,899 | |
BX Commercial Mortgage Trust | |||||
12,546,000 | Series 2020-VIV2, Class C (e) (l) | 3.54% | 03/09/44 | 10,771,873 | |
9,320,000 | Series 2020-VIVA, Class D (e) (l) | 3.55% | 03/11/44 | 7,844,387 | |
3,909,651 | Series 2021-XL2, Class J, 1 Mo. CME Term SOFR + CSA + 3.89% (b) (e) | 9.32% | 10/15/38 | 3,848,122 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
BX Trust | |||||
$8,670,000 | Series 2019-OC11, Class D (e) (l) | 3.94% | 12/09/41 | $7,546,908 | |
BXHPP Trust | |||||
5,200,000 | Series 2021-FILM, Class E, 1 Mo. CME Term SOFR + CSA + 2.00% (b) (e) | 7.43% | 08/15/36 | 4,556,286 | |
BXP Trust | |||||
8,500,000 | Series 2017-CC, Class B (e) (l) | 3.55% | 08/13/37 | 7,593,052 | |
1,440,000 | Series 2017-CC, Class D (e) (l) | 3.55% | 08/13/37 | 1,092,274 | |
5,000,000 | Series 2017-GM, Class D (e) (l) | 3.42% | 06/13/39 | 4,429,547 | |
BXSC Commercial Mortgage Trust | |||||
8,450,000 | Series 2022-WSS, Class D, 1 Mo. CME Term SOFR + 3.19% (b) (e) | 8.51% | 03/15/35 | 8,392,442 | |
CAMB Commercial Mortgage Trust | |||||
9,150,000 | Series 2019-LIFE, Class F, 1 Mo. CME Term SOFR + CSA + 2.55% (b) (e) | 8.17% | 12/15/37 | 9,059,721 | |
CENT Trust | |||||
6,470,000 | Series 2023-CITY, Class A, 1 Mo. CME Term SOFR + 2.62% (b) (e) | 7.94% | 09/15/38 | 6,517,281 | |
Century Plaza Towers | |||||
3,500,000 | Series 2019-CPT, Class A (e) | 2.87% | 11/13/39 | 2,992,778 | |
CRSO Trust | |||||
1,700,000 | Series 2023-BRND | 7.91% | 07/10/28 | 1,755,470 | |
DC Office Trust | |||||
3,600,000 | Series 2019-MTC, Class A (e) | 2.97% | 09/15/45 | 3,052,959 | |
DROP Mortgage Trust | |||||
12,284,000 | Series 2021-FILE, Class B, 1 Mo. CME Term SOFR + CSA + 1.70% (b) (e) | 7.13% | 10/15/43 | 11,362,836 | |
Grace Trust | |||||
5,080,000 | Series 2020-GRCE, Class D (e) (l) | 2.68% | 12/10/40 | 3,829,773 | |
Hilton U.S.A. Trust | |||||
7,000,000 | Series 2016-HHV, Class F (e) (l) | 4.19% | 11/05/38 | 6,395,788 | |
Hudson Yards Mortgage Trust | |||||
3,537,000 | Series 2019-30HY, Class D (e) (l) | 3.44% | 07/10/39 | 2,957,273 | |
Life Mortgage Trust | |||||
4,914,851 | Series 2021-BMR, Class F, 1 Mo. CME Term SOFR + 2.46% (b) (e) | 7.78% | 03/15/38 | 4,760,025 | |
7,863,761 | Series 2021-BMR, Class G, 1 Mo. CME Term SOFR + CSA + 2.95% (b) (e) | 8.38% | 03/15/38 | 7,560,881 | |
Manhattan West | |||||
3,855,000 | Series 2020-1MW, Class A (e) | 2.13% | 09/10/39 | 3,418,397 | |
Med Trust | |||||
6,966,566 | Series 2021-MDLN, Class D, 1 Mo. CME Term SOFR + CSA + 2.00% (b) (e) | 7.43% | 11/15/38 | 6,900,940 | |
MKT Mortgage Trust | |||||
2,719,000 | Series 2020-525M, Class D (e) (l) | 2.94% | 02/12/40 | 1,653,803 | |
SFAVE Commercial Mortgage Securities Trust | |||||
9,265,000 | Series 2015-5AVE, Class A2A (e) (l) | 3.66% | 01/05/43 | 7,266,731 | |
SLG Office Trust | |||||
7,600,000 | Series 2021-OVA, Class A (e) | 2.59% | 07/15/41 | 6,244,362 | |
5,000,000 | Series 2021-OVA, Class E (e) | 2.85% | 07/15/41 | 3,757,433 | |
5,000,000 | Series 2021-OVA, Class F (e) | 2.85% | 07/15/41 | 3,513,030 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
SREIT Trust | |||||
$7,100,000 | Series 2021-PALM, Class E, 1 Mo. CME Term SOFR + 1.91% (b) (e) | 7.34% | 10/15/34 | $6,917,357 | |
6,430,000 | Series 2021-PALM, Class G, 1 Mo. CME Term SOFR + 3.62% (b) (e) | 9.05% | 10/15/34 | 6,295,138 | |
TPGI Trust | |||||
3,600,000 | Series 2021-DGWD, Class E, 1 Mo. CME Term SOFR + CSA + 2.35% (b) (e) | 7.78% | 06/15/26 | 3,591,339 | |
174,599,462 | |||||
Total Mortgage-Backed Securities | 395,801,397 | ||||
(Cost $444,016,768) | |||||
FOREIGN CORPORATE BONDS AND NOTES (d) — 4.4% | |||||
Agriculture — 0.2% | |||||
2,750,000 | Imperial Brands Finance Netherlands B.V. (EUR) (h) | 1.75% | 03/18/33 | 2,364,250 | |
2,325,000 | Imperial Brands Finance PLC (e) | 3.13% | 07/26/24 | 2,300,374 | |
1,790,000 | Imperial Brands Finance PLC (e) | 4.25% | 07/21/25 | 1,754,773 | |
3,295,000 | Imperial Brands Finance PLC (e) | 3.50% | 07/26/26 | 3,135,506 | |
9,554,903 | |||||
Airlines — 0.0% | |||||
538,800 | Air Canada Pass-Through Trust, Series 2017-1, Class AA (e) | 3.30% | 01/15/30 | 487,778 | |
Banks — 1.4% | |||||
1,830,000 | HSBC Holdings PLC (f) | 2.10% | 06/04/26 | 1,751,347 | |
1,765,000 | HSBC Holdings PLC (f) | 4.76% | 06/09/28 | 1,723,770 | |
6,100,000 | HSBC Holdings PLC (f) | 2.01% | 09/22/28 | 5,406,504 | |
8,045,000 | HSBC Holdings PLC (f) | 2.21% | 08/17/29 | 6,988,217 | |
7,820,000 | HSBC Holdings PLC (f) | 2.80% | 05/24/32 | 6,468,350 | |
3,000,000 | Lloyds Banking Group PLC (f) | 3.87% | 07/09/25 | 2,978,012 | |
3,835,000 | Lloyds Banking Group PLC (f) | 1.63% | 05/11/27 | 3,518,745 | |
730,000 | Lloyds Banking Group PLC (f) | 3.57% | 11/07/28 | 681,984 | |
2,610,000 | NatWest Group PLC (f) | 4.27% | 03/22/25 | 2,607,773 | |
5,545,000 | Santander UK Group Holdings PLC (f) | 1.09% | 03/15/25 | 5,536,140 | |
930,000 | Santander UK Group Holdings PLC (f) | 1.53% | 08/21/26 | 872,141 | |
5,250,000 | Santander UK Group Holdings PLC (f) | 1.67% | 06/14/27 | 4,774,211 | |
1,735,000 | Santander UK Group Holdings PLC (f) | 2.47% | 01/11/28 | 1,580,269 | |
4,220,000 | UBS Group AG (e) (f) | 2.59% | 09/11/25 | 4,148,123 | |
1,200,000 | UBS Group AG (e) (f) | 1.36% | 01/30/27 | 1,106,084 | |
9,910,000 | UBS Group AG (e) (f) | 1.31% | 02/02/27 | 9,135,862 | |
8,463,000 | UBS Group AG (e) (f) | 4.19% | 04/01/31 | 7,786,611 | |
5,970,000 | UBS Group AG (e) (f) | 3.09% | 05/14/32 | 5,019,121 | |
1,440,000 | UBS Group AG (e) (f) | 9.02% | 11/15/33 | 1,733,282 | |
73,816,546 | |||||
Beverages — 0.3% | |||||
6,260,000 | Bacardi Ltd. (e) | 4.45% | 05/15/25 | 6,169,275 | |
7,000,000 | Becle SAB de C.V. (e) | 2.50% | 10/14/31 | 5,483,870 | |
4,230,000 | JDE Peet’s N.V. (e) | 2.25% | 09/24/31 | 3,314,111 | |
14,967,256 | |||||
Commercial Services — 0.1% | |||||
2,500,000 | Worldline S.A. (EUR) (h) | 4.13% | 09/12/28 | 2,635,289 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (d) (Continued) | |||||
Diversified Financial Services — 0.4% | |||||
$1,000,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.50% | 01/15/25 | $980,950 | |
1,296,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.45% | 10/01/25 | 1,271,491 | |
11,200,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.00% | 10/29/28 | 10,073,041 | |
1,755,000 | Avolon Holdings Funding Ltd. (e) | 2.88% | 02/15/25 | 1,703,816 | |
670,000 | Avolon Holdings Funding Ltd. (e) | 3.25% | 02/15/27 | 619,430 | |
5,256,000 | Avolon Holdings Funding Ltd. (e) | 2.53% | 11/18/27 | 4,655,209 | |
557,000 | GGAM Finance Ltd. (e) | 8.00% | 06/15/28 | 576,686 | |
19,880,623 | |||||
Electric — 0.2% | |||||
230,573 | Mong Duong Finance Holdings B.V. (h) | 5.13% | 05/07/29 | 220,297 | |
4,860,000 | TenneT Holding B.V. (EUR) (h) | 4.50% | 10/28/34 | 5,636,717 | |
2,390,000 | TenneT Holding B.V. (EUR) (h) | 2.75% | 05/17/42 | 2,355,272 | |
1,190,000 | TenneT Holding B.V. (EUR) (h) | 4.75% | 10/28/42 | 1,453,876 | |
9,666,162 | |||||
Food — 0.5% | |||||
3,600,000 | ELO SACA (EUR) (h) | 6.00% | 03/22/29 | 3,902,944 | |
10,605,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS Luxembourg S.A.R.L. (e) | 6.75% | 03/15/34 | 10,929,750 | |
1,670,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS Luxembourg S.A.R.L. (e) | 7.25% | 11/15/53 | 1,750,814 | |
150,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 5.50% | 01/15/30 | 146,290 | |
1,505,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 3.75% | 12/01/31 | 1,280,695 | |
2,115,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 3.00% | 05/15/32 | 1,694,720 | |
3,000,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 4.38% | 02/02/52 | 2,160,607 | |
2,015,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 6.50% | 12/01/52 | 1,938,699 | |
23,804,519 | |||||
Gas — 0.0% | |||||
1,555,000 | National Gas Transmission PLC (EUR) (h) | 4.25% | 04/05/30 | 1,716,191 | |
Healthcare-Products — 0.0% | |||||
1,400,000 | Medtronic Global Holdings SCA (EUR) | 3.38% | 10/15/34 | 1,484,720 | |
800,000 | Sartorius Finance B.V. (EUR) (h) | 4.50% | 09/14/32 | 893,805 | |
2,378,525 | |||||
Healthcare-Services — 0.1% | |||||
3,410,000 | Kedrion S.p.A. (e) | 6.50% | 09/01/29 | 3,073,010 | |
Investment Companies — 0.0% | |||||
2,000,000 | Gaci First Investment Co. (h) | 5.25% | 10/13/32 | 2,005,000 | |
Media — 0.0% | |||||
714,000 | VZ Secured Financing B.V. (e) | 5.00% | 01/15/32 | 610,243 | |
Mining — 0.1% | |||||
2,790,000 | Corp. Nacional del Cobre de Chile (h) | 5.13% | 02/02/33 | 2,618,942 | |
600,000 | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT (e) | 5.45% | 05/15/30 | 587,256 | |
3,206,198 | |||||
Oil & Gas — 0.1% | |||||
450,000 | Ecopetrol S.A. | 8.88% | 01/13/33 | 473,456 | |
1,383,000 | KazMunayGas National Co. JSC (h) | 5.38% | 04/24/30 | 1,343,134 | |
1,200,000 | KazMunayGas National Co. JSC (e) | 3.50% | 04/14/33 | 977,550 | |
2,504,000 | Pertamina Persero PT (e) | 3.10% | 08/27/30 | 2,210,905 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (d) (Continued) | |||||
Oil & Gas (Continued) | |||||
$797,000 | Petroleos Mexicanos | 6.63% | 06/15/35 | $583,536 | |
507,000 | Petroleos Mexicanos | 6.75% | 09/21/47 | 322,644 | |
573,000 | Petroleos Mexicanos | 6.35% | 02/12/48 | 351,177 | |
6,262,402 | |||||
Packaging & Containers — 0.1% | |||||
3,571,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (e) | 5.25% | 08/15/27 | 2,594,140 | |
1,500,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (e) | 5.25% | 08/15/27 | 1,089,670 | |
3,683,810 | |||||
Pharmaceuticals — 0.2% | |||||
3,250,000 | 1375209 BC Ltd. (e) | 9.00% | 01/30/28 | 3,180,710 | |
1,485,000 | Grifols S.A. (EUR) (h) | 3.88% | 10/15/28 | 1,365,757 | |
5,680,000 | Pfizer Investment Enterprises Pte Ltd. | 5.30% | 05/19/53 | 5,560,223 | |
10,106,690 | |||||
Pipelines — 0.2% | |||||
1,528,992 | Galaxy Pipeline Assets Bidco Ltd. (e) | 2.16% | 03/31/34 | 1,313,319 | |
800,000 | Southern Gas Corridor CJSC (h) | 6.88% | 03/24/26 | 809,548 | |
3,010,000 | TMS Issuer Sarl (h) | 5.78% | 08/23/32 | 3,088,853 | |
4,920,000 | TransCanada PipeLines Ltd. | 4.63% | 03/01/34 | 4,562,363 | |
275,000 | TransCanada PipeLines Ltd. | 5.85% | 03/15/36 | 275,029 | |
10,049,112 | |||||
Real Estate — 0.3% | |||||
1,270,000 | Annington Funding PLC (GBP) (h) | 3.18% | 07/12/29 | 1,419,577 | |
1,400,000 | Annington Funding PLC (GBP) (h) | 2.31% | 10/06/32 | 1,363,459 | |
650,000 | Annington Funding PLC (GBP) (h) | 4.75% | 08/09/33 | 758,686 | |
900,000 | Annington Funding PLC (GBP) (h) | 3.69% | 07/12/34 | 949,505 | |
1,560,000 | Blackstone Property Partners Europe Holdings S.A.R.L. (EUR) (h) | 1.00% | 05/04/28 | 1,446,499 | |
1,350,000 | Blackstone Property Partners Europe Holdings S.A.R.L. (EUR) (h) | 1.75% | 03/12/29 | 1,258,403 | |
3,650,000 | Blackstone Property Partners Europe Holdings S.A.R.L. (EUR) (h) | 1.63% | 04/20/30 | 3,261,138 | |
700,000 | LEG Immobilien SE (EUR) (h) | 0.88% | 03/30/33 | 564,576 | |
500,000 | Vonovia Finance B.V. (EUR) (h) | 2.25% | 04/07/30 | 486,403 | |
400,000 | Vonovia SE (EUR) (h) | 5.00% | 11/23/30 | 450,023 | |
1,800,000 | Vonovia SE (EUR) (h) | 0.75% | 09/01/32 | 1,453,721 | |
13,411,990 | |||||
Real Estate Investment Trusts — 0.1% | |||||
1,000,000 | CapitaLand Ascendas REIT (EUR) (h) | 0.75% | 06/23/28 | 920,348 | |
4,065,000 | Digital Intrepid Holding B.V. (EUR) (h) | 0.63% | 07/15/31 | 3,406,149 | |
4,326,497 | |||||
Savings & Loans — 0.1% | |||||
4,055,000 | Nationwide Building Society (e) (f) | 2.97% | 02/16/28 | 3,753,451 | |
Telecommunications — 0.0% | |||||
200,000 | C&W Senior Financing DAC (e) | 6.88% | 09/15/27 | 188,711 | |
500,000 | Ooredoo International Finance Ltd. (h) | 2.63% | 04/08/31 | 429,570 | |
900,000 | TDC Net A/S (EUR) (h) | 6.50% | 06/01/31 | 1,042,013 | |
1,660,294 | |||||
Water — 0.0% | |||||
2,230,000 | Thames Water Utilities Finance PLC (EUR) (h) | 4.38% | 01/18/31 | 2,238,127 | |
Total Foreign Corporate Bonds and Notes | 223,294,616 | ||||
(Cost $231,508,869) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY SECURITIES — 3.1% | |||||
$50,000,000 | Federal Home Loan Bank Discount Notes | (i) | 04/22/24 | $49,614,646 | |
50,000,000 | Federal Home Loan Bank Discount Notes | (i) | 04/29/24 | 49,563,750 | |
25,000,000 | Federal Home Loan Bank Discount Notes | (i) | 05/15/24 | 24,725,556 | |
25,000,000 | Federal Home Loan Bank Discount Notes | (i) | 08/28/24 | 24,358,958 | |
10,000,000 | Federal Home Loan Bank Discount Notes | (i) | 10/30/24 | 9,664,161 | |
Total U.S. Government Agency Securities | 157,927,071 | ||||
(Cost $157,969,150) |
Principal Value | Description | Rate (n) | Stated Maturity (o) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS — 1.4% | |||||
Aerospace/Defense — 0.0% | |||||
682,995 | Transdigm, Inc., Term Loan, 3 Mo. CME Term SOFR + 3.25%, 0.00% Floor | 8.60% | 08/24/28 | 685,102 | |
Airlines — 0.0% | |||||
253,781 | AAdvantage Loyalty IP Ltd., Term Loan, 3 Mo. CME Term SOFR + CSA + 4.75%, 0.75% Floor | 10.33% | 04/20/28 | 259,041 | |
Automotive — 0.0% | |||||
366,526 | First Brands Group LLC, Term Loan B, 3 Mo. CME Term SOFR + CSA + 5.00%, 1.00% Floor | 10.57% | 03/30/27 | 367,855 | |
Brokerage/Asset Managers/Exchanges — 0.0% | |||||
167,398 | Deerfield Dakota Holding LLC, Term Loan B, 3 Mo. CME Term SOFR + 3.75%, 1.00% Floor | 9.10% | 04/09/27 | 165,654 | |
1,179,519 | Jane Street Group LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.00% Floor | 7.94% | 01/26/28 | 1,178,257 | |
1,343,911 | |||||
Cable Satellite — 0.0% | |||||
518,737 | CSC Holdings LLC, Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 7.93% | 04/15/27 | 487,170 | |
725,000 | Virgin Media Bristol LLC, Term Loan N, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.00% Floor | 7.93% | 01/31/28 | 719,316 | |
1,206,486 | |||||
Chemicals — 0.0% | |||||
955,877 | Chemours (The) Co., Term Loan B2, 1 Mo. CME Term SOFR + 3.50%, 0.50% Floor | 8.83% | 08/18/28 | 941,539 | |
Consumer Cyclical Services — 0.1% | |||||
115,844 | 8 Avenue Food & Provisions, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.75%, 0.00% Floor | 9.19% | 10/01/25 | 114,581 | |
349,833 | Arches Buyer, Inc., Term Loan, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor | 8.68% | 12/06/27 | 336,087 | |
292,616 | Buzz Finco LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.75%, 0.00% Floor | 8.18% | 01/29/27 | 293,256 | |
221,266 | Match Group Holdings II LLC, Term Loan B, 3 Mo. CME Term SOFR + CSA + 1.75%, 0.00% Floor | 7.27% | 02/16/27 | 220,990 | |
487,342 | Prime Security Services Borrower LLC, Term Loan, 6 Mo. CME Term SOFR + 2.25%, 0.00% Floor | 7.50% | 03/14/28 | 485,716 | |
650,000 | TruGreen, L.P., Term Loan B, 1 Mo. CME Term SOFR + CSA + 4.00%, 0.75% Floor | 9.43% | 11/02/27 | 629,574 | |
2,080,204 |
Principal Value | Description | Rate (n) | Stated Maturity (o) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | |||||
Consumer Products — 0.0% | |||||
$103,376 | AI Aqua Merger Sub, Inc., Delayed Draw Term Loan, 1 Mo. CME Term SOFR + 4.00%, 0.50% Floor | 9.33% | 07/31/28 | $103,220 | |
597,660 | AI Aqua Merger Sub, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.75%, 0.50% Floor | 9.08% | 07/31/28 | 596,757 | |
612,652 | Sunshine Luxembourg VII, Term Loan B, 3 Mo. CME Term SOFR + 3.75%, 0.75% Floor | 8.95% | 10/02/26 | 614,226 | |
1,314,203 | |||||
Diversified Manufacturing — 0.0% | |||||
302,397 | Filtration Group Corp., Term Loan, 1 Mo. CME Term SOFR + CSA + 4.25%, 0.50% Floor | 9.69% | 10/24/28 | 303,030 | |
Environmental — 0.0% | |||||
162,481 | Patriot Container Corp., Term Loan, 1 Mo. CME Term SOFR + CSA + 3.75%, 1.00% Floor | 9.18% | 03/20/25 | 158,013 | |
Finance Companies — 0.1% | |||||
833,344 | Avolon TLB Borrower 1 (U.S.) LLC, Term Loan B, 1 Mo. CME Term SOFR + 2.00%, 0.50% Floor | 7.32% | 06/22/28 | 834,265 | |
1,450,000 | Setanta Aircraft Leasing DAC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.00%, 0.00% Floor | 7.61% | 11/06/28 | 1,453,328 | |
2,287,593 | |||||
Financial Other — 0.0% | |||||
660,106 | Trans Union LLC, Term Loan B, 1 Mo. CME Term SOFR + 2.00%, 0.50% Floor | 7.33% | 12/01/28 | 660,400 | |
Food and Beverage — 0.1% | |||||
458,491 | City Brewing Co. LLC, Term Loan B, 3 Mo. CME Term SOFR + CSA + 3.50%, 0.75% Floor | 9.08% | 04/05/28 | 354,414 | |
664,438 | Froneri US, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.25%, 0.00% Floor | 7.68% | 02/01/27 | 664,983 | |
391,227 | H-Food Holdings LLC, Term Loan, 3 Mo. CME Term SOFR + CSA + 3.69%, 0.00% Floor | 9.29% | 05/30/25 | 290,869 | |
2,585,590 | Naked Juice LLC, Term Loan, 3 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor | 8.70% | 01/24/29 | 2,443,382 | |
303,142 | Naked Juice LLC, Term Loan, 3 Mo. CME Term SOFR + CSA + 6.00%, 0.50% Floor | 11.45% | 01/24/30 | 248,387 | |
550,085 | Triton Water Holdings, Inc., Term Loan B, 3 Mo. CME Term SOFR + CSA + 3.50%, 0.50% Floor | 8.86% | 03/31/28 | 541,490 | |
4,543,525 | |||||
Gaming — 0.0% | |||||
1,328,945 | Caesars Entertainment, Inc., Term Loan B1, 3 Mo. CME Term SOFR + 2.75%, 0.50% Floor | 8.04% | 02/06/31 | 1,329,503 | |
151,333 | Churchill Downs, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.00%, 0.00% Floor | 7.43% | 03/17/28 | 151,459 | |
1,480,962 | |||||
Healthcare — 0.1% | |||||
852,305 | Bausch & Lomb Corp., Term Loan, 1 Mo. CME Term SOFR + 4.00%, 0.00% Floor | 9.33% | 09/29/28 | 852,305 | |
1,117,347 | Gainwell Acquisition Corp., Term Loan B, 3 Mo. CME Term SOFR + CSA + 4.00%, 0.75% Floor | 9.45% | 10/01/27 | 1,071,256 | |
576,631 | ICON Luxembourg S.A.R.L., Term Loan B, 3 Mo. CME Term SOFR + CSA + 2.50%, 0.50% Floor | 7.86% | 07/03/28 | 578,110 |
Principal Value | Description | Rate (n) | Stated Maturity (o) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | |||||
Healthcare (Continued) | |||||
$589,500 | Medline Borrower, L.P., Term Loan B, 1 Mo. CME Term SOFR + 3.25%, 0.50% Floor | 8.44% | 10/21/28 | $590,237 | |
774,091 | Phoenix Newco, Inc., Term Loan, 1 Mo. CME Term SOFR + 3.50%, 0.50% Floor | 8.69% | 11/15/28 | 774,335 | |
143,668 | PRA Health Sciences, Inc., Term Loan B, 3 Mo. CME Term SOFR + CSA + 2.50%, 0.50% Floor | 7.86% | 07/03/28 | 144,037 | |
753,806 | Star Parent, Inc., Term Loan, 3 Mo. CME Term SOFR + 4.00%, 0.00% Floor | 9.35% | 09/30/30 | 745,329 | |
4,755,609 | |||||
Industrial Other — 0.0% | |||||
759,184 | Artera Services LLC, Term Loan, 1 Mo. CME Term SOFR + 4.50%, 0.00% Floor | 9.81% | 02/10/31 | 762,031 | |
Insurance — 0.1% | |||||
1,126,590 | Acrisure LLC, Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 8.94% | 02/15/27 | 1,126,855 | |
557,994 | Acrisure LLC, Term Loan B2, 1 Mo. CME Term SOFR + 3.75%, 0.50% Floor | 9.07% | 02/15/27 | 558,691 | |
2,897,535 | AmWINS Group, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.25%, 0.75% Floor | 7.69% | 02/22/28 | 2,889,074 | |
347,035 | Asurion LLC (fka Asurion Corp.), Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.00% Floor | 8.69% | 12/23/26 | 345,493 | |
4,920,113 | |||||
Leisure — 0.0% | |||||
963,401 | William Morris Endeavor Entertainment LLC, Term Loan B1, 1 Mo. CME Term SOFR + CSA + 2.75%, 0.00% Floor | 8.19% | 05/19/25 | 963,656 | |
Media Entertainment — 0.0% | |||||
304,174 | Magnite, Inc., Term Loan B, 3 Mo. CME Term SOFR + 4.50%, 0.00% Floor | 9.60%-9.82% | 02/06/31 | 304,554 | |
324,895 | MH Sub I LLC, Term Loan, 1 Mo. CME Term SOFR + 4.25%, 0.50% Floor | 9.58% | 05/03/28 | 320,062 | |
589,745 | Research Now Group, Inc., Term Loan, 3 Mo. CME Term SOFR + CSA + 5.50%, 1.00% Floor | 11.07% | 12/20/24 | 346,328 | |
970,944 | |||||
Medical Equipment & Devices — 0.0% | |||||
1,098,159 | Avantor Funding, Inc., Term Loan B, 1 Mo. CME Term SOFR + 2.50%, 0.50% Floor | 7.68% | 11/08/27 | 1,103,617 | |
Packaging — 0.1% | |||||
3,237,570 | Berry Global, Inc., Term Loan, 1 Mo. CME Term SOFR + CSA + 1.75%, 0.00% Floor | 7.18% | 07/02/29 | 3,233,863 | |
1,503,500 | Plaze, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.75%, 0.75% Floor | 9.19% | 08/03/26 | 1,470,145 | |
4,704,008 | |||||
Paper — 0.0% | |||||
423,489 | Mativ Holdings, Inc., Delayed Draw Term Loan, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.00% Floor | 7.93% | 05/06/27 | 417,136 | |
Pharmaceuticals — 0.2% | |||||
1,541,199 | Elanco Animal Health, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 1.75%, 0.00% Floor | 7.18% | 08/02/27 | 1,524,007 | |
2,989,262 | Grifols Worldwide Operations Ltd., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.00%, 0.00% Floor | 7.43% | 11/15/27 | 2,937,323 |
Principal Value | Description | Rate (n) | Stated Maturity (o) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | |||||
Pharmaceuticals (Continued) | |||||
$2,408,281 | Jazz Financing LUX S.A.R.L., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.00%, 0.50% Floor | 8.44% | 05/05/28 | $2,414,302 | |
2,269,278 | Organon & Co., Term Loan, 1 Mo. CME Term SOFR + CSA + 3.00%, 0.50% Floor | 8.43% | 06/02/28 | 2,274,963 | |
740,625 | Perrigo Investments LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.50% Floor | 7.68% | 04/20/29 | 738,773 | |
9,889,368 | |||||
Railroads — 0.0% | |||||
168,864 | Genesee & Wyoming, Inc., Term Loan, 3 Mo. CME Term SOFR + CSA + 2.00%, 0.00% Floor | 7.45% | 12/30/26 | 169,059 | |
Restaurants — 0.0% | |||||
521,864 | 1011778 BC ULC, Term Loan, 1 Mo. CME Term SOFR + 2.25%, 0.00% Floor | 7.58% | 09/23/30 | 520,327 | |
368,777 | Whatabrands LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor | 8.69% | 08/03/28 | 368,600 | |
888,927 | |||||
Retailers — 0.0% | |||||
775,602 | Hanesbrands, Inc., Term Loan A, 1 Mo. CME Term SOFR + 2.60%, 0.00% Floor | 7.93% | 11/19/26 | 764,937 | |
Services — 0.1% | |||||
1,648,388 | Spin Holdco, Inc., Term Loan, 3 Mo. CME Term SOFR + CSA + 4.00%, 0.75% Floor | 9.62% | 03/06/28 | 1,503,857 | |
Technology — 0.3% | |||||
363,119 | Amentum Government Services Holdings LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 4.00%, 0.00% Floor | 9.44% | 01/31/27 | 363,876 | |
423,360 | Central Parent, Inc., Term Loan, 3 Mo. CME Term SOFR + 4.00%, 0.00% Floor | 9.35% | 07/06/29 | 424,825 | |
3,639,624 | Commscope, Inc., Term Loan B2, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.00% Floor | 8.69% | 04/06/26 | 3,299,428 | |
143,768 | DTI Holdco, Inc., Term Loan B, 3 Mo. CME Term SOFR + 4.75%, 0.75% Floor | 10.06% | 04/26/29 | 143,603 | |
2,340,799 | EagleView Technology Corp., Term Loan B, 3 Mo. CME Term SOFR + CSA + 3.50%, 0.00% Floor | 9.11% | 08/14/25 | 2,286,914 | |
76,372 | Entegris, Inc., Term Loan B, 3 Mo. CME Term SOFR + 2.50%, 0.00% Floor | 7.85% | 07/06/29 | 76,592 | |
1,187,412 | Gen Digital, Inc., Term Loan A2, 1 Mo. CME Term SOFR + CSA + 1.75%, 0.00% Floor | 7.18% | 09/13/27 | 1,182,959 | |
783,016 | GTCR W. Merger Sub, Term Loan, 1 Mo. CME Term SOFR + 3.00%, 0.50% Floor | 8.33% | 01/31/31 | 786,931 | |
330,647 | Open Text Corp., Term Loan B, 1 Mo. CME Term SOFR + CSA + 1.75%, 0.00% Floor | 7.18% | 05/30/25 | 331,293 | |
695,212 | Open Text Corp., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.75%, 0.50% Floor | 8.18% | 01/31/30 | 696,759 | |
2,588,904 | Oracle Corp., Term Loan A1, 1 Mo. CME Term SOFR + CSA + 1.60%, 0.00% Floor | 7.03% | 08/16/27 | 2,588,904 | |
589,113 | Peraton Corp., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.75%, 0.75% Floor | 9.18% | 02/01/28 | 590,462 |
Principal Value | Description | Rate (n) | Stated Maturity (o) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | |||||
Technology (Continued) | |||||
$732,417 | Renaissance Holding Corp., Term Loan, 1 Mo. CME Term SOFR + 4.25%, 0.50% Floor | 9.58% | 04/08/30 | $731,728 | |
534,608 | SS&C Technologies, Inc., Term Loan B-5, 1 Mo. CME Term SOFR + CSA + 1.75%, 0.00% Floor | 7.19% | 04/16/25 | 534,864 | |
14,039,138 | |||||
Wireless — 0.1% | |||||
611,826 | CCI Buyer, Inc., Term Loan B, 3 Mo. CME Term SOFR + 4.00%, 0.75% Floor | 9.35% | 12/17/27 | 608,776 | |
1,843,106 | SBA Senior Finance II LLC, Term Loan B, 1 Mo. CME Term SOFR + 2.00%, 0.00% Floor | 7.33% | 01/27/31 | 1,844,258 | |
2,453,034 | |||||
Wirelines — 0.1% | |||||
1,500,000 | Frontier Communications Corp., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.75%, 0.75% Floor | 9.19% | 10/08/27 | 1,496,520 | |
250,000 | Zayo Group Holdings, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.00%, 0.00% Floor | 8.44% | 03/09/27 | 225,729 | |
1,790,184 | Zayo Group Holdings, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 4.25%, 0.50% Floor | 9.65% | 03/09/27 | 1,621,092 | |
3,343,341 | |||||
Total Senior Floating-Rate Loan Interests | 69,280,639 | ||||
(Cost $69,680,821) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (d) — 0.9% | |||||
Brazil — 0.1% | |||||
500,000 | Brazilian Government International Bond | 6.00% | 10/20/33 | 495,771 | |
4,330,000 | Brazilian Government International Bond | 6.13% | 03/15/34 | 4,285,182 | |
4,780,953 | |||||
Colombia — 0.1% | |||||
875,000 | Colombia Government International Bond | 4.50% | 03/15/29 | 799,840 | |
1,485,000 | Colombia Government International Bond | 3.00% | 01/30/30 | 1,219,479 | |
325,000 | Colombia Government International Bond | 3.13% | 04/15/31 | 257,329 | |
500,000 | Colombia Government International Bond | 8.00% | 04/20/33 | 523,688 | |
2,800,336 | |||||
Costa Rica — 0.0% | |||||
600,000 | Costa Rica Government International Bond (h) | 6.55% | 04/03/34 | 619,854 | |
Dominican Republic — 0.1% | |||||
3,235,000 | Dominican Republic International Bond (e) | 4.50% | 01/30/30 | 2,944,053 | |
790,000 | Dominican Republic International Bond (h) | 4.88% | 09/23/32 | 704,075 | |
3,648,128 | |||||
Guatemala — 0.0% | |||||
1,000,000 | Guatemala Government Bond (h) | 5.25% | 08/10/29 | 963,750 | |
2,000,000 | Guatemala Government Bond (h) | 3.70% | 10/07/33 | 1,643,750 | |
2,607,500 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (d) (Continued) | |||||
Hungary — 0.1% | |||||
$1,000,000 | Hungary Government International Bond (h) | 5.25% | 06/16/29 | $983,638 | |
3,130,000 | Hungary Government International Bond (e) | 2.13% | 09/22/31 | 2,452,699 | |
3,436,337 | |||||
Indonesia — 0.0% | |||||
500,000 | Indonesia Government International Bond | 4.85% | 01/11/33 | 491,102 | |
Mexico — 0.1% | |||||
5,772,000 | Mexico Government International Bond | 2.66% | 05/24/31 | 4,784,357 | |
1,700,000 | Mexico Government International Bond | 4.75% | 04/27/32 | 1,602,886 | |
6,387,243 | |||||
Oman — 0.0% | |||||
800,000 | Oman Government International Bond (h) | 6.75% | 10/28/27 | 829,512 | |
1,100,000 | Oman Government International Bond (h) | 5.63% | 01/17/28 | 1,102,750 | |
1,932,262 | |||||
Panama — 0.1% | |||||
3,510,000 | Panama Government International Bond | 3.16% | 01/23/30 | 2,895,894 | |
500,000 | Panama Government International Bond | 2.25% | 09/29/32 | 351,761 | |
3,247,655 | |||||
Paraguay — 0.1% | |||||
2,485,000 | Paraguay Government International Bond (h) | 4.95% | 04/28/31 | 2,387,364 | |
2,800,000 | Paraguay Government International Bond (h) | 3.85% | 06/28/33 | 2,417,766 | |
4,805,130 | |||||
Peru — 0.0% | |||||
1,510,000 | Peruvian Government International Bond | 2.78% | 01/23/31 | 1,287,144 | |
Philippines — 0.0% | |||||
2,500,000 | Philippine Government International Bond | 2.46% | 05/05/30 | 2,157,262 | |
Poland — 0.0% | |||||
152,000 | Republic of Poland Government International Bond | 5.75% | 11/16/32 | 158,705 | |
1,995,000 | Republic of Poland Government International Bond | 4.88% | 10/04/33 | 1,956,598 | |
2,115,303 | |||||
Romania — 0.1% | |||||
250,000 | Romanian Government International Bond (e) | 6.63% | 02/17/28 | 257,252 | |
3,000,000 | Romanian Government International Bond (h) | 3.00% | 02/14/31 | 2,498,670 | |
2,755,922 | |||||
South Africa — 0.1% | |||||
730,000 | Republic of South Africa Government International Bond | 4.85% | 09/30/29 | 656,773 | |
1,759,000 | Republic of South Africa Government International Bond | 5.88% | 06/22/30 | 1,634,433 | |
1,550,000 | Republic of South Africa Government International Bond | 5.88% | 04/20/32 | 1,400,967 | |
3,692,173 | |||||
United Arab Emirates — 0.0% | |||||
1,302,000 | Finance Department Government of Sharjah (e) | 6.50% | 11/23/32 | 1,340,534 | |
Total Foreign Sovereign Bonds and Notes | 48,104,838 | ||||
(Cost $51,613,013) | |||||
MUNICIPAL BONDS — 0.4% | |||||
California — 0.1% | |||||
4,545,000 | Regents of the Univ of CA Med Ctr Pooled Rev, Ser N | 3.26% | 05/15/60 | 3,104,564 | |
Massachusetts — 0.0% | |||||
1,845,000 | Massachusetts Sch Bldg Auth Rev, Ser B | 2.97% | 10/15/32 | 1,617,236 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
New Jersey — 0.0% | |||||
$2,000,000 | NJ St Turnpike Auth Rev, Ser B | 1.86% | 01/01/31 | $1,669,617 | |
500,000 | NJ St Turnpike Auth Rev, Ser F | 3.73% | 01/01/36 | 446,888 | |
2,116,505 | |||||
New York — 0.3% | |||||
2,285,000 | City of New York NY, Ser F | 3.62% | 04/01/31 | 2,135,477 | |
970,000 | New York City NY Transitional Fin Auth Rev, Ser A3 | 3.96% | 08/01/32 | 910,978 | |
6,940,000 | New York City NY Transitional Fin Auth Rev, Ser B-3 | 1.85% | 08/01/32 | 5,516,497 | |
400,000 | New York City NY Transitional Fin Auth Rev Qualified Sch Constr, Ser BD G-3 | 5.27% | 05/01/27 | 404,853 | |
2,690,000 | NY St Dorm Auth, Ser D | 5.00% | 03/15/24 | 2,689,301 | |
5,140,000 | NY St Urban Dev Corp., Rev, Ser B | 2.97% | 03/15/34 | 4,348,803 | |
16,005,909 | |||||
Total Municipal Bonds | 22,844,214 | ||||
(Cost $27,714,972) |
Shares | Description | Value | |||
COMMON STOCKS — 0.0% | |||||
Wireless Telecommunication Services — 0.0% | |||||
59,835 | Intelsat Jackson Emergence S.A. (a) (k) (p) (q) | 0 | |||
(Cost $2,002,850) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. TREASURY BILLS — 3.8% | |||||
21,540,000 | U.S. Treasury Bill | (i) | 04/04/24 | 21,432,553 | |
91,955,000 | U.S. Treasury Bill | (i) | 04/16/24 | 91,334,375 | |
40,975,000 | U.S. Treasury Bill | (i) | 04/18/24 | 40,687,356 | |
26,740,000 | U.S. Treasury Bill | (i) | 04/23/24 | 26,532,141 | |
13,170,000 | U.S. Treasury Bill | (i) | 04/25/24 | 13,063,752 | |
Total U.S. Treasury Bills | 193,050,177 | ||||
(Cost $193,037,805) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
35,390,579 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (r) | 35,390,579 | |||
(Cost $35,390,579) | |||||
Total Investments — 119.5% | 6,096,335,418 | ||||
(Cost $6,336,718,861) | |||||
Net Other Assets and Liabilities — (19.5)% | (993,665,103 ) | ||||
Net Assets — 100.0% | $5,102,670,315 |
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 2/29/2024 | Sale Value as of 2/29/2024 | Unrealized Appreciation (Depreciation) | ||
04/12/2024 | BNY | EUR | 1,569,000 | USD | 1,691,729 | $1,698,880 | $1,691,729 | $7,151 |
04/12/2024 | Citi | EUR | 531,000 | USD | 578,739 | 574,955 | 578,739 | (3,784 ) |
04/12/2024 | Citi | EUR | 540,000 | USD | 586,847 | 584,701 | 586,847 | (2,146 ) |
04/12/2024 | BNY | USD | 1,564,355 | EUR | 1,444,000 | 1,564,355 | 1,563,533 | 822 |
04/12/2024 | BOFA | USD | 1,460,506 | EUR | 1,328,000 | 1,460,506 | 1,437,930 | 22,576 |
04/12/2024 | BOFA | USD | 778,826 | EUR | 724,000 | 778,826 | 783,932 | (5,106 ) |
04/12/2024 | BOFA | USD | 1,091,285 | EUR | 1,013,000 | 1,091,285 | 1,096,855 | (5,570 ) |
04/12/2024 | Citi | USD | 987,556 | EUR | 899,000 | 987,556 | 973,419 | 14,137 |
04/12/2024 | Citi | USD | 3,198,494 | EUR | 2,906,000 | 3,198,494 | 3,146,555 | 51,939 |
04/12/2024 | Citi | USD | 45,208,217 | EUR | 41,059,000 | 45,208,217 | 44,457,817 | 750,400 |
04/12/2024 | Citi | USD | 2,002,711 | EUR | 1,824,000 | 2,002,711 | 1,974,988 | 27,723 |
04/12/2024 | Citi | USD | 464,519 | EUR | 422,000 | 464,519 | 456,933 | 7,586 |
04/12/2024 | Citi | USD | 1,089,014 | EUR | 988,000 | 1,089,014 | 1,069,785 | 19,229 |
04/12/2024 | Citi | USD | 885,931 | EUR | 811,000 | 885,931 | 878,134 | 7,797 |
04/12/2024 | Citi | USD | 1,464,048 | EUR | 1,341,000 | 1,464,048 | 1,452,006 | 12,042 |
04/12/2024 | Citi | USD | 223,266 | EUR | 206,000 | 223,266 | 223,052 | 214 |
04/12/2024 | Citi | USD | 1,146,477 | EUR | 1,055,000 | 1,146,477 | 1,142,332 | 4,145 |
04/12/2024 | Citi | USD | 2,415,090 | EUR | 2,226,000 | 2,415,090 | 2,410,265 | 4,825 |
04/12/2024 | Citi | USD | 2,097,030 | EUR | 1,939,000 | 2,097,030 | 2,099,508 | (2,478 ) |
04/12/2024 | GSIL | USD | 209,535 | EUR | 193,000 | 209,535 | 208,976 | 559 |
04/12/2024 | Citi | USD | 3,802,530 | GBP | 2,979,000 | 3,802,530 | 3,761,388 | 41,142 |
04/12/2024 | Citi | USD | 773,920 | GBP | 608,000 | 773,920 | 767,682 | 6,238 |
Net Unrealized Appreciation (Depreciation) | $959,441 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
Euro-Schatz Futures | Long | 21 | Mar-2024 | $2,386,570 | $(12,149 ) |
U.S. 2-Year Treasury Notes | Long | 6,413 | Jun-2024 | 1,313,061,750 | 696,723 |
U.S. 5-Year Treasury Notes | Long | 732 | Jun-2024 | 78,255,375 | (4,917 ) |
Ultra U.S. Treasury Bond Futures | Long | 153 | Jun-2024 | 19,564,875 | 174,965 |
Euro-Bobl Futures | Short | 144 | Mar-2024 | (18,087,934 ) | 238,412 |
Euro-Bund Future | Short | 223 | Mar-2024 | (31,971,110 ) | 298,665 |
Euro-Buxl 30 Year Bonds Futures | Short | 30 | Mar-2024 | (4,317,582 ) | (29,955 ) |
Long Gilt Futures | Short | 5 | Jun-2024 | (619,099 ) | (4,491 ) |
Ultra 10-Year U.S. Treasury Notes | Short | 418 | Jun-2024 | (47,723,844 ) | (120,886 ) |
$1,310,549,001 | $1,236,367 |
Counterparty | Floating Rate | Expiration Date | Notional Value | Fixed Rate | Unrealized Appreciation (Depreciation)/ Value |
Citadel Securities LLC | SOFR(1) | 12/20/2053 | $27,661,000 | 3.520 %(1) | $547,377 |
(1) | The Fund pays the fixed rate and receives the floating rate. At February 29, 2024, the floating rate accrued is 5.32%. |
(a) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At February 29, 2024, securities noted as such are valued at $11,363,389 or 0.2% of net assets. |
(b) | Floating or variable rate security. |
(c) | All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2J - Mortgage Dollar Rolls in the Notes to Financial Statements). |
(d) | Principal Value is in U.S. dollars unless otherwise indicated in the security description. |
(e) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At February 29, 2024, securities noted as such amounted to $872,964,764 or 17.1% of net assets. |
(f) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at February 29, 2024. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(g) | When-issued security. The interest rate shown reflects the rate in effect at February 29, 2024. Interest will begin accruing on the security’s first settlement date. |
(h) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(i) | Zero coupon security. |
(j) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(k) | This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
(l) | Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically. |
(m) | 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. |
(n) | Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the SOFR obtained from the U.S. Department of the Treasury’s Office of Financial Research or another major financial institution, (iii) the prime rate offered by one or more United States banks or (iv) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR or SOFR floor that establishes a minimum LIBOR or SOFR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR or SOFR period, spread and floor, but different LIBOR or SOFR reset dates. |
(o) | Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown. |
(p) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(q) | Non-income producing security. |
(r) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
BNY | – Bank of New York (The) |
BOFA | – Bank of America N.A. |
Citi | – Citibank N.A. |
CME | – Chicago Mercantile Exchange |
CSA | – Credit Spread Adjustment |
EUR | – Euro |
GBP | – British Pound Sterling |
GSIL | – Goldman Sachs International, London |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To-Be-Announced Security |
USD | – United States Dollar |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Government Bonds and Notes | $1,920,370,605 | $— | $1,920,370,605 | $— |
U.S. Government Agency Mortgage-Backed Securities | 1,816,891,598 | — | 1,816,891,598 | — |
Corporate Bonds and Notes* | 776,958,641 | — | 776,958,641 | — |
Asset-Backed Securities | 436,421,043 | — | 426,062,051 | 10,358,992 |
Mortgage-Backed Securities | 395,801,397 | — | 395,801,397 | — |
Foreign Corporate Bonds and Notes* | 223,294,616 | — | 223,294,616 | — |
U.S. Government Agency Securities | 157,927,071 | — | 157,927,071 | — |
Senior Floating-Rate Loan Interests* | 69,280,639 | — | 69,280,639 | — |
Foreign Sovereign Bonds and Notes** | 48,104,838 | — | 48,104,838 | — |
Municipal Bonds*** | 22,844,214 | — | 22,844,214 | — |
Common Stocks* | — **** | — | — | — **** |
U.S. Treasury Bills | 193,050,177 | — | 193,050,177 | — |
Money Market Funds | 35,390,579 | 35,390,579 | — | — |
Total Investments | 6,096,335,418 | 35,390,579 | 6,050,585,847 | 10,358,992 |
Forward Foreign Currency Contracts | 978,525 | — | 978,525 | — |
Futures Contracts***** | 1,408,765 | 1,408,765 | — | — |
Interest Rate Swap Agreements | 547,377 | — | 547,377 | — |
Total | $6,099,270,085 | $36,799,344 | $6,052,111,749 | $10,358,992 |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts | $(19,084 ) | $— | $(19,084 ) | $— |
Futures Contracts***** | (172,398 ) | (172,398 ) | — | — |
Total | $(191,482 ) | $(172,398 ) | $(19,084 ) | $— |
* | See Portfolio of Investments for industry breakout. |
** | See Portfolio of Investments for country breakout. |
*** | See Portfolio of Investments for state breakout. |
**** | Investment is valued at $0. |
***** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 21.3% | |||||
Collateralized Mortgage Obligations — 0.0% | |||||
Federal National Mortgage Association | |||||
$587,688 | Series 2011-116, Class SA, IO, (30 Day Average SOFR + CSA) ×-1+ 6.00% (a) | 0.56% | 11/25/41 | $43,367 | |
106,085 | Series 2012-128, Class UA | 2.50% | 06/25/42 | 90,228 | |
633,561 | Series 2013-18, Class MI, IO | 3.00% | 02/25/33 | 30,140 | |
Government National Mortgage Association | |||||
760,301 | Series 2003-110, Class S, IO, (1 Mo. CME Term SOFR + CSA) ×-1+ 6.60% (a) | 1.17% | 10/20/33 | 3,978 | |
835,381 | Series 2018-63, Class IO, IO | 4.00% | 09/20/47 | 130,551 | |
298,264 | |||||
Commercial Mortgage-Backed Securities — 0.4% | |||||
Federal Home Loan Mortgage Corporation Multiclass Certificates | |||||
10,060,593 | Series 2021-P009, Class X, IO (b) | 1.35% | 01/25/31 | 388,215 | |
Federal Home Loan Mortgage Corporation Multifamily PC REMIC Trust | |||||
4,095,000 | Series 2019-P002, Class X, IO (c) | 1.14% | 07/25/33 | 287,975 | |
Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates | |||||
275,717 | Series K037, Class X3, IO (b) (d) | 5.14% | 01/25/42 | 69 | |
25,375,905 | Series K039, Class X1, IO (b) | 0.61% | 07/25/24 | 31,393 | |
2,145,000 | Series K039, Class X3, IO (b) | 2.08% | 08/25/42 | 35,327 | |
110,541,025 | Series K043, Class X1, IO (b) | 0.50% | 12/25/24 | 331,922 | |
10,816,684 | Series K044, Class X1, IO (b) | 0.74% | 01/25/25 | 52,923 | |
20,449,223 | Series K048, Class X3, IO (b) | 1.49% | 08/25/43 | 340,345 | |
15,253,576 | Series K051, Class X1, IO (b) | 0.49% | 09/25/25 | 93,507 | |
46,915,000 | Series K053, Class X3, IO (b) | 1.64% | 03/25/44 | 1,348,895 | |
6,897,149 | Series K056, Class X3, IO (b) | 2.12% | 06/25/44 | 307,044 | |
38,206,238 | Series K059, Class X3, IO (b) | 1.92% | 11/25/44 | 1,757,189 | |
1,900,000 | Series K060, Class X3, IO (b) | 1.90% | 12/25/44 | 87,045 | |
4,891,891 | Series K726, Class X1, IO (b) | 0.94% | 04/25/24 | 1,139 | |
2,230,000 | Series K728, Class X3, IO (b) | 1.99% | 11/25/45 | 26,322 | |
1,337,163 | Series KC04, Class X1, IO (b) | 1.25% | 12/25/26 | 21,083 | |
6,569,507 | Series KC05, Class X1, IO (b) | 1.23% | 06/25/27 | 139,413 | |
4,208,436 | Series KLU1, Class X3, IO (b) | 4.11% | 01/25/31 | 423,672 | |
3,535,754 | Series KS06, Class X, IO (b) | 1.07% | 08/25/26 | 54,498 | |
4,707,602 | Series KS07, Class X, IO (b) | 0.61% | 09/25/25 | 42,319 | |
64,607,782 | Series Q017, Class X, IO (c) | 1.23% | 04/25/30 | 854,210 | |
Federal National Mortgage Association | |||||
21,484 | Series 2016-M2, Class X3, IO (b) | 2.04% | 04/25/36 | 2 | |
1,138,777 | Series 2016-M4, Class X2, IO (b) | 2.68% | 01/25/39 | 6,098 | |
89,804 | Series 2016-M11, Class X2, IO (b) (d) | 3.05% | 07/25/39 | 1,055 | |
6,100,000 | Series 2019-M29, Class X4, IO | 0.70% | 03/25/29 | 162,488 | |
FREMF | |||||
195,478,946 | Series 20K-1517, Class X2A, IO (e) | 0.10% | 07/25/35 | 1,340,634 | |
Government National Mortgage Association | |||||
103,181 | Series 2011-119, Class D | 3.51% | 04/16/45 | 100,711 | |
280,223 | Series 2013-125, Class IO, IO (c) | 0.23% | 10/16/54 | 4,133 | |
565,017 | Series 2014-52, Class D (c) | 3.62% | 05/16/46 | 550,878 | |
693,368 | Series 2014-125, Class IO, IO (c) | 0.90% | 11/16/54 | 16,033 | |
8,806,537 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities — 20.9% | |||||
Federal Home Loan Mortgage Corporation | |||||
$21,401,152 | Pool RA4528 | 2.50% | 02/01/51 | $17,603,366 | |
4,539,240 | Pool SD3890 | 3.00% | 08/01/52 | 3,889,426 | |
1,194,166 | Pool SD8193 | 2.00% | 02/01/52 | 939,742 | |
6,249,919 | Pool SD8199 | 2.00% | 03/01/52 | 4,928,342 | |
612,805 | Pool SD8204 | 2.00% | 04/01/52 | 482,921 | |
17,730,839 | Pool SD8211 | 2.00% | 05/01/52 | 13,962,522 | |
17,127,891 | Pool SD8244 | 4.00% | 09/01/52 | 15,773,182 | |
4,458,429 | Pool SD8245 | 4.50% | 09/01/52 | 4,223,245 | |
13,597,720 | Pool SD8256 | 4.00% | 10/01/52 | 12,519,721 | |
13,693,134 | Pool SD8265 | 4.00% | 11/01/52 | 12,608,774 | |
5,949,620 | Pool SD8272 | 3.00% | 12/01/52 | 5,094,051 | |
Federal National Mortgage Association | |||||
443,888 | Pool AM2974 | 4.10% | 04/01/43 | 409,464 | |
1,449,359 | Pool AM9897 | 3.50% | 09/01/35 | 1,299,383 | |
13,459,607 | Pool BV3023 | 2.00% | 02/01/52 | 10,610,011 | |
18,857,294 | Pool CA8513 | 2.50% | 01/01/51 | 15,536,265 | |
5,263,205 | Pool CB4818 | 4.00% | 10/01/52 | 4,846,676 | |
16,985,606 | Pool FS3275 | 3.00% | 04/01/52 | 14,557,734 | |
1,379,189 | Pool MA4562 | 2.00% | 03/01/52 | 1,086,115 | |
5,026,705 | Pool MA4732 | 4.00% | 09/01/52 | 4,629,123 | |
3,624,343 | Pool MA4733 | 4.50% | 09/01/52 | 3,433,157 | |
18,973,111 | Pool MA4840 | 4.50% | 12/01/52 | 17,972,332 | |
9,718,325 | Pool MA4917 | 4.50% | 02/01/53 | 9,205,671 | |
18,437,476 | Pool MA4958 | 4.50% | 03/01/53 | 17,464,852 | |
16,825,000 | Pool TBA (f) | 2.00% | 03/15/54 | 13,224,050 | |
20,050,000 | Pool TBA (f) | 2.50% | 03/15/54 | 16,475,971 | |
23,975,000 | Pool TBA (f) | 3.00% | 03/15/54 | 20,509,446 | |
11,900,000 | Pool TBA (f) | 4.00% | 03/15/54 | 10,949,563 | |
44,525,000 | Pool TBA (f) | 4.50% | 03/15/54 | 42,151,097 | |
40,075,000 | Pool TBA (f) | 5.00% | 03/15/54 | 38,866,509 | |
17,775,000 | Pool TBA (f) | 5.50% | 03/15/54 | 17,585,324 | |
20,600,000 | Pool TBA (f) | 4.00% | 04/15/54 | 18,964,363 | |
Government National Mortgage Association | |||||
33,925,000 | Pool TBA (f) | 4.50% | 03/15/54 | 32,399,848 | |
23,550,000 | Pool TBA (f) | 5.00% | 03/15/54 | 23,005,053 | |
11,550,000 | Pool TBA (f) | 5.50% | 03/15/54 | 11,474,654 | |
438,681,953 | |||||
Total U.S. Government Agency Mortgage-Backed Securities | 447,786,754 | ||||
(Cost $455,639,239) | |||||
MORTGAGE-BACKED SECURITIES — 20.9% | |||||
Collateralized Mortgage Obligations — 12.3% | |||||
Adjustable Rate Mortgage Trust | |||||
73,513 | Series 2005-8, Class 3A21 (b) | 4.52% | 11/25/35 | 50,786 | |
Ajax Mortgage Loan Trust | |||||
5,392,057 | Series 2021-C, Class A, steps up to 5.12% on 09/25/24 (e) (g) | 2.12% | 01/25/61 | 5,237,944 | |
4,982,019 | Series 2021-D, Class A, steps up to 5.00% on 02/25/25 (e) (g) | 2.00% | 03/25/60 | 4,766,329 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
Alternative Loan Trust | |||||
$216,775 | Series 2005-16, Class A3, 1 Mo. CME Term SOFR + CSA + 0.50% (h) | 5.94% | 06/25/35 | $187,420 | |
663,378 | Series 2005-65CB, Class 2A4 | 5.50% | 12/25/35 | 461,761 | |
57,245 | Series 2005-76, Class 1A1, 12 Mo. Treasury Average + 1.48% (h) | 6.56% | 01/25/36 | 51,908 | |
259,833 | Series 2006-33CB, Class 2A1 | 6.00% | 11/25/36 | 140,808 | |
841,768 | Series 2007-15CB, Class A6 | 5.75% | 07/25/37 | 487,032 | |
379,273 | Series 2007-OA6, Class A1B, 1 Mo. CME Term SOFR + CSA + 0.40% (h) | 5.84% | 06/25/37 | 331,105 | |
American Home Mortgage Assets Trust | |||||
1,079,065 | Series 2006-1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.21% (h) | 5.65% | 05/25/46 | 908,866 | |
12,495,529 | Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (h) | 5.78% | 02/25/47 | 4,663,962 | |
2,984,661 | Series 2007-2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.13% (h) | 5.56% | 03/25/47 | 2,605,354 | |
American Home Mortgage Investment Trust | |||||
467,799 | Series 2005-4, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.58% (h) | 6.02% | 11/25/45 | 401,559 | |
APS Resecuritization Trust | |||||
14,607,255 | Series 2016-3, Class 3MZ (b) (e) | 1.07% | 09/27/46 | 6,998,795 | |
Banc of America Funding Trust | |||||
608,744 | Series 2007-1, Class TA3A, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 5.76% | 01/25/37 | 538,917 | |
1,822,236 | Series 2007-2, Class TA4, 1 Mo. CME Term SOFR + CSA + 0.80% (h) | 6.24% | 03/25/37 | 1,657,533 | |
BCAP LLC Trust | |||||
273,830 | Series 2007-AA3, Class 1A1A, 1 Mo. CME Term SOFR + CSA + 0.42% (h) | 5.86% | 04/25/37 | 251,345 | |
4,551,635 | Series 2012-RR8, Class 4A6 (b) (e) | 2.54% | 11/20/36 | 3,832,307 | |
Bear Stearns ALT-A Trust | |||||
324,028 | Series 2004-8, Class M1, 1 Mo. CME Term SOFR + CSA + 0.92% (h) | 6.35% | 09/25/34 | 320,536 | |
1,234,771 | Series 2006-1, Class 21A2 (b) | 4.48% | 02/25/36 | 845,925 | |
Bear Stearns Mortgage Funding Trust | |||||
3,925,059 | Series 2006-AR1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.42% (h) | 5.86% | 07/25/36 | 3,447,361 | |
411,725 | Series 2006-AR3, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.36% (h) | 5.80% | 10/25/36 | 340,371 | |
5,353,384 | Series 2007-AR1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.16% (h) | 5.60% | 01/25/37 | 4,511,789 | |
148,311 | Series 2007-AR3, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.14% (h) | 5.58% | 03/25/37 | 131,901 | |
3,456,706 | Series 2007-AR5, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.23% (h) | 5.67% | 06/25/37 | 2,962,039 | |
CIM Trust | |||||
7,223,807 | Series 2020-R6, Class A1 (e) | 2.25% | 12/25/60 | 6,048,500 | |
485,672 | Series 2020-R7, Class A1A (c) (e) | 2.25% | 12/27/61 | 416,405 | |
4,856,872 | Series 2021-INV1, Class A2 (e) | 2.50% | 07/01/51 | 3,903,491 | |
901,955 | Series 2021-R3, Class A1A (e) | 1.95% | 06/25/57 | 809,454 | |
1,282,916 | Series 2021-R5, Class A1A (e) | 2.00% | 08/25/61 | 1,025,531 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
CIM Trust (Continued) | |||||
$6,241,081 | Series 2023-R1, Class A1A (e) | 5.40% | 04/25/62 | $6,007,618 | |
5,445,552 | Series 2023-R3, Class A1A (e) | 4.50% | 01/25/63 | 4,900,814 | |
Citigroup Mortgage Loan Trust | |||||
417,436 | Series 2005-8, Class 2A4A | 5.50% | 09/25/35 | 372,065 | |
1,057,374 | Series 2009-10, Class 2A2 (e) | 7.00% | 12/25/35 | 754,337 | |
COLT Mortgage Loan Trust | |||||
2,402,773 | Series 2021-2, Class A1 (e) | 0.92% | 08/25/66 | 1,904,602 | |
Connecticut Avenue Securities Trust | |||||
2,500,000 | Series 2021-R03, Class 1B1, 30 Day Average SOFR + 2.75% (e) (h) | 8.07% | 12/25/41 | 2,542,735 | |
Credit Suisse Mortgage Trust | |||||
31,457 | Series 2014-2R, Class 28A1 (b) (e) | 3.00% | 06/27/37 | 29,910 | |
883,549 | Series 2014-8R, Class 3A2 (b) (e) | 5.10% | 02/27/36 | 649,576 | |
1,476,438 | Series 2014-11R, Class 17A2, 1 Mo. CME Term SOFR + CSA + 0.15% (e) (h) | 5.75% | 12/27/36 | 1,198,748 | |
6,618,871 | Series 2020-RPL3, Class A1 (b) (e) | 4.07% | 03/25/60 | 6,598,474 | |
6,927,961 | Series 2020-RPL6, Class A1 (e) | 3.40% | 03/25/59 | 6,885,347 | |
4,455,461 | Series 2021-RP11, Class A1 (e) | 2.25% | 10/25/61 | 3,393,963 | |
4,971,824 | Series 2021-RPL4, Class A1 (e) | 1.80% | 12/27/60 | 4,826,341 | |
3,258,378 | Series 2022-RPL1, Class A1 (e) | 4.15% | 04/25/61 | 2,864,908 | |
121,321 | Series 2022-RPL1, Class CERT (e) | 4.23% | 04/25/61 | 102,662 | |
2,886,596 | Series 2022-RPL1, Class PT (e) | 4.63% | 04/25/61 | 2,477,865 | |
Deutsche Alt-A Securities Mortgage Loan Trust | |||||
5,526,202 | Series 2006-AF1, Class A4, 1 Mo. CME Term SOFR + CSA + 0.60% (h) | 6.04% | 04/25/36 | 4,902,541 | |
2,332,539 | Series 2007-AR3, Class 2A5, 1 Mo. CME Term SOFR + CSA + 0.40% (h) | 5.84% | 06/25/37 | 1,952,705 | |
DSLA Mortgage Loan Trust | |||||
42,375 | Series 2004-AR4, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.72% (h) | 6.15% | 01/19/45 | 32,025 | |
4,755,878 | Series 2005-AR3, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.52% (h) | 5.95% | 07/19/45 | 3,722,105 | |
Federal Home Loan Mortgage Corporation STACR REMIC Trust | |||||
1,750,000 | Series 2021-DNA6, Class M2, 30 Day Average SOFR + 1.50% (e) (h) | 6.82% | 10/25/41 | 1,747,314 | |
2,975,000 | Series 2021-HQA2, Class M2, 30 Day Average SOFR + 2.05% (e) (h) | 7.37% | 12/25/33 | 3,013,310 | |
4,770,000 | Series 2022-DNA1, Class M2, 30 Day Average SOFR + 2.50% (e) (h) | 7.82% | 01/25/42 | 4,828,393 | |
4,000,000 | Series 2022-DNA3, Class M1B, 30 Day Average SOFR + 2.90% (e) (h) | 8.22% | 04/25/42 | 4,146,051 | |
First Horizon Alternative Mortgage Securities Trust | |||||
20,818 | Series 2004-AA4, Class A1 (b) | 6.14% | 10/25/34 | 20,309 | |
1,452,635 | Series 2005-AA4, Class 2A1 (b) | 5.84% | 06/25/35 | 1,291,810 | |
2,244,142 | Series 2007-FA1, Class A4 | 6.25% | 03/25/37 | 925,158 | |
GreenPoint Mortgage Funding Trust | |||||
33,844 | Series 2006-AR1, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.58% (h) | 6.02% | 02/25/36 | 29,154 | |
3,673,770 | Series 2006-AR6, Class A3A, 1 Mo. CME Term SOFR + CSA + 0.44% (h) | 5.88% | 10/25/46 | 3,331,595 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
GreenPoint Mortgage Funding Trust (Continued) | |||||
$4,966,337 | Series 2007-AR1, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.40% (h) | 5.84% | 03/25/47 | $4,360,075 | |
471,875 | Series 2007-AR2, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.40% (h) | 5.84% | 05/25/37 | 441,796 | |
HarborView Mortgage Loan Trust | |||||
141,153 | Series 2005-9, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.68% (h) | 6.11% | 06/20/35 | 130,088 | |
388,955 | Series 2005-9, Class 2A1C, 1 Mo. CME Term SOFR + CSA + 0.90% (h) | 6.33% | 06/20/35 | 353,943 | |
5,240,242 | Series 2007-5, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.38% (h) | 5.81% | 09/19/37 | 4,390,742 | |
615,822 | Series 2007-7, Class 1A1, 1 Mo. CME Term SOFR + CSA + 2.00% (h) | 6.44% | 10/25/37 | 451,729 | |
Headlands Residential LLC | |||||
3,797,334 | Series 2021-RPL1, Class NOTE (e) | 2.49% | 09/25/26 | 3,712,336 | |
HomeBanc Mortgage Trust | |||||
4,057,000 | Series 2005-3, Class M4, 1 Mo. CME Term SOFR + CSA + 1.01% (h) | 6.44% | 07/25/35 | 3,930,994 | |
Impac CMB Trust | |||||
35,382 | Series 2005-1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.52% (h) | 5.96% | 04/25/35 | 32,236 | |
4,041,530 | Series 2005-3, Class A1, 1 Mo. CME Term SOFR + CSA + 0.48% (h) | 5.92% | 08/25/35 | 3,639,907 | |
3,291,608 | Series 2005-5, Class A1, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 6.08% | 08/25/35 | 3,003,780 | |
2,598,930 | Series 2005-8, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.52% (h) | 5.96% | 02/25/36 | 2,351,215 | |
Impac Secured Assets Trust | |||||
4,491,182 | Series 2007-1, Class A3, 1 Mo. CME Term SOFR + CSA + 0.48% (h) | 5.92% | 03/25/37 | 3,754,570 | |
IndyMac INDX Mortgage Loan Trust | |||||
3,124,229 | Series 2006-AR2, Class 1A1B, 1 Mo. CME Term SOFR + CSA + 0.42% (h) | 5.86% | 04/25/46 | 2,549,502 | |
410,011 | Series 2006-AR4, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.42% (h) | 5.86% | 05/25/46 | 355,503 | |
133,860 | Series 2007-FLX2, Class A1C, 1 Mo. CME Term SOFR + CSA + 0.19% (h) | 5.63% | 04/25/37 | 119,028 | |
JP Morgan Alternative Loan Trust | |||||
665,625 | Series 2006-S1, Class 3A4 | 6.18% | 03/25/36 | 555,608 | |
44,103 | Series 2007-S1, Class A2, 1 Mo. CME Term SOFR + CSA + 0.68% (h) | 6.12% | 04/25/47 | 41,871 | |
JP Morgan Mortgage Trust | |||||
4,920,748 | Series 2021-5, Class A4 (e) | 2.50% | 08/25/51 | 4,322,104 | |
JP Morgan Resecuritization Trust | |||||
5,405,860 | Series 2014-6, Class 3A2, 1 Mo. CME Term SOFR + CSA + 0.21% (e) (h) | 4.08% | 07/27/46 | 4,821,959 | |
Legacy Mortgage Asset Trust | |||||
3,275,034 | Series 2020-GS2, Class A1, steps up to 6.75% on 03/25/24 (e) (g) | 5.75% | 03/25/60 | 3,275,753 | |
Lehman Mortgage Trust | |||||
731,714 | Series 2006-1, Class 1A5 | 5.50% | 02/25/36 | 359,393 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
Lehman XS Trust | |||||
$55,308 | Series 2005-5N, Class 3A1A, 1 Mo. CME Term SOFR + CSA + 0.30% (h) | 5.74% | 11/25/35 | $54,333 | |
630,515 | Series 2006-2N, Class 2A1, 12 Mo. Treasury Average + CSA + 1.91% (h) | 7.10% | 02/25/36 | 533,438 | |
6,098,429 | Series 2006-4N, Class A1D1, 1 Mo. CME Term SOFR + CSA + 0.66% (h) | 6.10% | 04/25/46 | 5,454,842 | |
471,326 | Series 2007-12N, Class 1A3A, 1 Mo. CME Term SOFR + CSA + 0.40% (h) | 5.84% | 07/25/47 | 451,949 | |
5,452,296 | Series 2007-16N, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.94% (h) | 6.38% | 09/25/47 | 4,969,878 | |
MASTR Adjustable Rate Mortgages Trust | |||||
5,194,606 | Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average + 0.80% (h) | 5.88% | 12/25/46 | 3,572,488 | |
5,999,450 | Series 2007-1, Class I1A, 1 Mo. CME Term SOFR + CSA + 0.39% (h) | 5.83% | 01/25/47 | 2,173,250 | |
416,996 | Series 2007-1, Class I2A3, 12 Mo. Treasury Average + 0.74% (h) | 5.82% | 01/25/47 | 413,374 | |
4,700,000 | Series 2007-HF2, Class A2, 1 Mo. CME Term SOFR + CSA + 1.10% (h) | 6.54% | 09/25/37 | 2,059,777 | |
Merrill Lynch Mortgage Investors Trust | |||||
56,491 | Series 2003-D, Class A, 1 Mo. CME Term SOFR + CSA + 0.62% (h) | 6.06% | 08/25/28 | 53,269 | |
New Residential Mortgage Loan Trust | |||||
8,100,000 | Series 2019-RPL3, Class M1 (e) | 3.25% | 07/25/59 | 7,055,952 | |
Nomura Resecuritization Trust | |||||
1,601,475 | Series 2014-1R, Class 1A13, 1 Mo. CME Term SOFR + CSA + 0.16% (e) (h) | 1.63% | 10/26/36 | 1,304,000 | |
OBX Trust | |||||
2,150,000 | Series 2024-HYB1, Class A1 (b) (e) | 3.54% | 03/25/53 | 2,060,667 | |
Opteum Mortgage Acceptance Corp Trust | |||||
4,772,223 | Series 2006-1, Class 1AC1, 1 Mo. CME Term SOFR + CSA + 0.60% (h) | 6.04% | 04/25/36 | 4,326,869 | |
PHH Alternative Mortgage Trust | |||||
844,508 | Series 2007-2, Class 1A4, 1 Mo. CME Term SOFR + CSA + 0.60% (h) | 6.04% | 05/25/37 | 729,987 | |
RALI Trust | |||||
1,275,107 | Series 2005-QO1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.30% (h) | 5.74% | 08/25/35 | 945,864 | |
1,913,560 | Series 2006-QO10, Class A1, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 5.76% | 01/25/37 | 1,626,777 | |
402,850 | Series 2006-QS6, Class 1A15 | 6.00% | 06/25/36 | 304,395 | |
7,380,250 | Series 2007-QA3, Class A1, 1 Mo. CME Term SOFR + CSA + 0.20% (h) | 5.64% | 05/25/37 | 6,585,426 | |
2,583,087 | Series 2007-QA3, Class A2, 1 Mo. CME Term SOFR + CSA + 0.34% (h) | 5.78% | 05/25/37 | 2,258,413 | |
850,219 | Series 2007-QH4, Class A1, 1 Mo. CME Term SOFR + CSA + 0.38% (h) | 5.82% | 05/25/37 | 745,969 | |
3,780,697 | Series 2007-QH9, Class A1 (b) | 6.37% | 11/25/37 | 2,991,609 | |
1,967,632 | Series 2007-QS9, Class A33 | 6.50% | 07/25/37 | 1,520,242 | |
Structured Adjustable Rate Mortgage Loan Trust | |||||
10,994 | Series 2005-12, Class 3A1 (b) | 5.70% | 06/25/35 | 9,536 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
Structured Adjustable Rate Mortgage Loan Trust (Continued) | |||||
$483,692 | Series 2007-4, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.48% (h) | 5.92% | 05/25/37 | $410,083 | |
474,612 | Series 2007-4, Class 1A2, 1 Mo. CME Term SOFR + CSA + 0.44% (h) | 5.88% | 05/25/37 | 405,598 | |
Structured Asset Mortgage Investments II Trust | |||||
83,732 | Series 2003-AR3, Class A1, 1 Mo. CME Term SOFR + CSA + 0.68% (h) | 6.11% | 11/19/33 | 79,590 | |
221,440 | Series 2005-AR2, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.46% (h) | 5.90% | 05/25/45 | 196,427 | |
249,315 | Series 2006-AR1, Class 3A1, 1 Mo. CME Term SOFR + CSA + 0.46% (h) | 5.90% | 02/25/36 | 192,801 | |
315,745 | Series 2006-AR3, Class 12A1, 1 Mo. CME Term SOFR + CSA + 0.44% (h) | 5.88% | 05/25/36 | 245,767 | |
370,370 | Series 2006-AR4, Class 3A1, 1 Mo. CME Term SOFR + CSA + 0.38% (h) | 5.82% | 06/25/36 | 309,102 | |
38,759 | Series 2006-AR5, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.42% (h) | 5.86% | 05/25/36 | 25,686 | |
1,505,740 | Series 2006-AR6, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.38% (h) | 5.82% | 07/25/46 | 1,040,801 | |
521,617 | Series 2006-AR8, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.40% (h) | 5.84% | 10/25/36 | 443,893 | |
7,519,995 | Series 2006-AR8, Class A2, 1 Mo. CME Term SOFR + CSA + 0.42% (h) | 5.86% | 10/25/36 | 5,973,335 | |
323,570 | Series 2007-AR1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 5.76% | 01/25/37 | 281,362 | |
136,978 | Series 2007-AR1, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.18% (h) | 5.80% | 01/25/37 | 114,430 | |
536,907 | Series 2007-AR6, Class A1, 12 Mo. Treasury Average + 1.50% (h) | 6.58% | 08/25/47 | 427,862 | |
WaMu Mortgage Pass-Through Certificates Trust | |||||
4,632,073 | Series 2005-AR15, Class A1A2, 1 Mo. CME Term SOFR + CSA + 0.56% (h) | 6.00% | 11/25/45 | 4,136,194 | |
2,089,209 | Series 2006-AR3, Class A1A, 12 Mo. Treasury Average + 1.00% (h) | 6.08% | 02/25/46 | 1,815,878 | |
41,576 | Series 2006-AR11, Class 1A, 12 Mo. Treasury Average + 0.96% (h) | 6.04% | 09/25/46 | 32,667 | |
2,478,032 | Series 2007-OA4, Class 1A, 12 Mo. Treasury Average + 0.77% (h) | 5.85% | 05/25/47 | 1,971,058 | |
709,760 | Series 2007-OA5, Class 1A, 12 Mo. Treasury Average + 0.75% (h) | 5.83% | 06/25/47 | 565,165 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | |||||
1,980,241 | Series 2006-AR6, Class 2A, 12 Mo. Treasury Average + 0.96% (h) | 6.04% | 08/25/46 | 1,072,511 | |
585,275 | Series 2007-OC1, Class A4, 1 Mo. CME Term SOFR + CSA + 0.64% (h) | 6.08% | 01/25/47 | 535,563 | |
Wells Fargo Mortgage Backed Securities Trust | |||||
5,627,483 | Series 2007-7, Class A1 | 6.00% | 06/25/37 | 4,955,139 | |
175,649 | Series 2007-AR5, Class A1 (b) | 6.02% | 10/25/37 | 146,357 | |
258,323,174 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities — 8.6% | |||||
1211 Avenue of the Americas Trust | |||||
$2,970,000 | Series 2015-1211, Class A1A2 (e) | 3.90% | 08/10/35 | $2,862,644 | |
2,385,000 | Series 2015-1211, Class C (b) (e) | 4.14% | 08/10/35 | 2,260,156 | |
245 Park Avenue Trust | |||||
4,441,000 | Series 2017-245P, Class A (e) | 3.51% | 06/05/37 | 4,061,034 | |
BAMLL Commercial Mortgage Securities Trust | |||||
4,050,000 | Series 2015-200P, Class D (b) (e) | 3.60% | 04/14/33 | 3,839,812 | |
4,000,000 | Series 2015-200P, Class F (b) (e) | 3.60% | 04/14/33 | 3,712,642 | |
3,150,000 | Series 2018-PARK, Class A (b) (e) | 4.09% | 08/10/38 | 2,917,803 | |
2,975,000 | Series 2020-BHP3, Class A, 1 Mo. CME Term SOFR + CSA + 1.90% (e) (h) | 7.33% | 03/15/37 | 2,976,475 | |
Banc of America Commercial Mortgage Trust | |||||
12,140,095 | Series 2015-UBS7, Class XA, IO (b) | 0.74% | 09/15/48 | 102,600 | |
BANK | |||||
34,047,422 | Series 2020-BN27, Class XA, IO (b) | 1.16% | 04/15/63 | 1,842,289 | |
Bayview Commercial Asset Trust | |||||
543,874 | Series 2005-4A, Class A1, 1 Mo. CME Term SOFR + CSA + 0.45% (e) (h) | 5.89% | 01/25/36 | 503,910 | |
BBCMS Mortgage Trust | |||||
2,445,000 | Series 2020-BID, Class A, 1 Mo. CME Term SOFR + CSA + 2.14% (e) (h) | 7.57% | 10/15/37 | 2,432,113 | |
3,000,000 | Series 2020-BID, Class C, 1 Mo. CME Term SOFR + CSA + 3.64% (e) (h) | 9.07% | 10/15/37 | 2,930,618 | |
BDS Ltd. | |||||
1,341,141 | Series 2021-FL8, Class A, 1 Mo. CME Term SOFR + CSA + 0.92% (e) (h) | 6.35% | 01/18/36 | 1,337,789 | |
Benchmark Mortgage Trust | |||||
2,000,000 | Series 2020-B18, Class AGNE (e) | 3.76% | 07/15/53 | 1,832,559 | |
1,810,000 | Series 2020-IG2, Class UBRD (b) (e) | 3.51% | 09/15/48 | 1,604,551 | |
72,050,596 | Series 2020-IG3, Class XA, IO (b) (e) | 0.73% | 09/15/48 | 1,193,963 | |
BFLD Trust | |||||
2,304,000 | Series 2019-DPLO, Class A, 1 Mo. CME Term SOFR + CSA + 1.09% (e) (h) | 6.52% | 10/15/34 | 2,300,203 | |
BLOX Trust | |||||
1,570,000 | Series 2021-BLOX, Class D, 1 Mo. CME Term SOFR + CSA + 1.75% (e) (h) | 7.18% | 09/15/26 | 1,427,469 | |
BX Commercial Mortgage Trust | |||||
3,420,000 | Series 2020-VIV3, Class B (b) (e) | 3.54% | 03/09/44 | 3,001,558 | |
4,050,000 | Series 2020-VIV4, Class A (e) | 2.84% | 03/09/44 | 3,485,650 | |
2,462,000 | Series 2021-VOLT, Class E, 1 Mo. CME Term SOFR + CSA + 2.00% (e) (h) | 7.43% | 09/15/36 | 2,430,354 | |
2,443,532 | Series 2021-XL2, Class B, 1 Mo. CME Term SOFR + CSA + 1.00% (e) (h) | 6.43% | 10/15/38 | 2,416,836 | |
3,123,029 | Series 2021-XL2, Class J, 1 Mo. CME Term SOFR + CSA + 3.89% (e) (h) | 9.32% | 10/15/38 | 3,073,880 | |
2,845,000 | Series 2022-AHP, Class AS, 1 Mo. CME Term SOFR + 1.49% (e) (h) | 6.81% | 01/17/39 | 2,813,025 | |
BX Trust | |||||
2,800,000 | Series 2019-OC11, Class A (e) | 3.20% | 12/09/41 | 2,479,413 | |
2,261,716 | Series 2021-LBA, Class CV, 1 Mo. CME Term SOFR + CSA + 1.35% (e) (h) | 6.78% | 02/15/36 | 2,237,327 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
BX Trust (Continued) | |||||
$4,146,216 | Series 2021-LBA, Class DV, 1 Mo. CME Term SOFR + CSA + 1.60% (e) (h) | 7.03% | 02/15/36 | $4,068,031 | |
2,028,478 | Series 2021-RISE, Class D, 1 Mo. CME Term SOFR + CSA + 1.75% (e) (h) | 7.18% | 11/15/36 | 2,007,232 | |
2,250,000 | Series 2021-VIEW, Class A, 1 Mo. CME Term SOFR + CSA + 1.28% (e) (h) | 6.71% | 06/15/36 | 2,187,245 | |
1,500,000 | Series 2022-VAMF, Class E, 1 Mo. CME Term SOFR + 2.70% (e) (h) | 8.02% | 01/15/39 | 1,422,136 | |
2,784,000 | Series 2024-BIO, Class D, 1 Mo. CME Term SOFR + 3.64% (e) (h) | 8.94% | 02/15/41 | 2,792,202 | |
BXHPP Trust | |||||
6,225,000 | Series 2021-FILM, Class A, 1 Mo. CME Term SOFR + CSA + 0.65% (e) (h) | 6.08% | 08/15/36 | 5,995,426 | |
BXMT Ltd. | |||||
2,676,383 | Series 2020-FL3, Class A, 1 Mo. CME Term SOFR + CSA + 1.40% (e) (h) | 6.84% | 11/15/37 | 2,576,633 | |
CAMB Commercial Mortgage Trust | |||||
3,050,000 | Series 2019-LIFE, Class F, 1 Mo. CME Term SOFR + CSA + 2.55% (e) (h) | 8.17% | 12/15/37 | 3,019,907 | |
Citigroup Commercial Mortgage Trust | |||||
2,000,000 | Series 2014-GC23, Class AS | 3.86% | 07/10/47 | 1,973,803 | |
46,523,520 | Series 2017-C4, Class XA, IO (b) | 0.98% | 10/12/50 | 1,317,560 | |
2,307,000 | Series 2018-TBR, Class E, 1 Mo. CME Term SOFR + 3.16% (e) (h) | 8.48% | 12/15/36 | 2,277,266 | |
COMM Mortgage Trust | |||||
4,070,000 | Series 2020-CX, Class B (e) | 2.45% | 11/10/46 | 3,263,389 | |
307,887 | Series 2012-CR4, Class XA, IO (b) (d) | 1.14% | 10/15/45 | 19 | |
4,601,344 | Series 2020-CBM, Class XCP, IO (b) (e) | 0.60% | 02/10/37 | 20,084 | |
21,254,000 | Series 2020-SBX, Class X, IO (b) (e) | 0.58% | 01/10/38 | 199,734 | |
Credit Suisse Mortgage Capital Trust | |||||
4,987,591 | Series 2019-ICE4, Class D, 1 Mo. CME Term SOFR + CSA + 1.60% (e) (h) | 6.97% | 05/15/36 | 4,985,802 | |
Credit Suisse Mortgage Trust | |||||
25,699,000 | Series 2021-980M, Class X, IO (b) (e) | 0.99% | 07/15/31 | 567,118 | |
Csail Commercial Mortgage Trust | |||||
1,350,000 | Series 2015-C2, Class C (b) | 4.17% | 06/15/57 | 1,186,385 | |
DC Office Trust | |||||
2,067,000 | Series 2019-MTC, Class B (b) (e) | 3.07% | 09/15/45 | 1,626,319 | |
DOLP Trust | |||||
6,000,000 | Series 2021-NYC, Class A (e) | 2.96% | 05/10/41 | 5,007,229 | |
DROP Mortgage Trust | |||||
3,280,000 | Series 2021-FILE, Class B, 1 Mo. CME Term SOFR + CSA + 1.70% (e) (h) | 7.13% | 10/15/43 | 3,034,036 | |
Extended Stay America Trust | |||||
3,537,761 | Series 2021-ESH, Class B, 1 Mo. CME Term SOFR + CSA + 1.38% (e) (h) | 6.81% | 07/15/38 | 3,535,247 | |
3,131,354 | Series 2021-ESH, Class C, 1 Mo. CME Term SOFR + CSA + 1.70% (e) (h) | 7.13% | 07/15/38 | 3,129,660 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
FREMF Mortgage Trust | |||||
$2,282,949 | Series 2019-KF64, Class B, 30 Day Average SOFR + 2.41% (e) (h) | 7.75% | 06/25/26 | $2,203,232 | |
GS Mortgage Securities Corp Trust | |||||
2,600,000 | Series 2020-UPTN, Class XA, IO (b) (e) | 0.35% | 02/10/37 | 7,520 | |
GS Mortgage Securities Trust | |||||
82,554,817 | Series 2016-GS4, Class XA, IO (b) | 0.56% | 11/10/49 | 981,148 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust | |||||
4,500,000 | Series 2022-ACB, Class C, 30 Day Average SOFR + 2.20% (e) (h) | 7.52% | 03/15/39 | 4,435,934 | |
JP Morgan Chase Commercial Mortgage Securities Trust | |||||
30,141,418 | Series 2016-JP3, Class XA, IO (b) | 1.33% | 08/15/49 | 777,887 | |
1,757,303 | Series 2022-NLP, Class G, 1 Mo. CME Term SOFR + 4.27% (e) (h) | 9.59% | 04/15/37 | 1,335,921 | |
Life Mortgage Trust | |||||
2,309,980 | Series 2021-BMR, Class G, 1 Mo. CME Term SOFR + CSA + 2.95% (e) (h) | 8.38% | 03/15/38 | 2,221,009 | |
Med Trust | |||||
1,393,313 | Series 2021-MDLN, Class G, 1 Mo. CME Term SOFR + CSA + 5.25% (e) (h) | 10.68% | 11/15/38 | 1,377,025 | |
MF1, Ltd. | |||||
4,163,268 | Series 2020-FL4, Class A, 1 Mo. CME Term SOFR + CSA + 1.70% (e) (h) | 7.13% | 11/15/35 | 4,164,550 | |
MHC Commercial Mortgage Trust | |||||
4,605,433 | Series 2021-MHC, Class B, 1 Mo. CME Term SOFR + CSA + 1.10% (e) (h) | 6.53% | 04/15/38 | 4,575,687 | |
MKT Mortgage Trust | |||||
3,530,000 | Series 2020-525M, Class A (e) | 2.69% | 02/12/40 | 2,842,350 | |
Morgan Stanley Capital I Trust | |||||
26,056,621 | Series 2018-H4, Class XA, IO (b) | 0.81% | 12/15/51 | 824,987 | |
1,050,000 | Series 2018-MP, Class A (b) (e) | 4.28% | 07/11/40 | 934,266 | |
NYC Commercial Mortgage Trust | |||||
1,670,000 | Series 2021-909, Class B (e) | 3.14% | 04/10/43 | 1,097,329 | |
One Bryant Park Trust | |||||
2,800,000 | Series 2019-OBP, Class A (e) | 2.52% | 09/15/54 | 2,393,041 | |
One New York Plaza Trust | |||||
4,212,000 | Series 2020-1NYP, Class AJ, 1 Mo. CME Term SOFR + CSA + 1.25% (e) (h) | 6.68% | 01/15/36 | 4,019,487 | |
SFAVE Commercial Mortgage Securities Trust | |||||
545,000 | Series 2015-5AVE, Class C (b) (e) | 4.39% | 01/05/43 | 345,026 | |
Shelter Growth CRE Issuer Ltd. | |||||
3,055,770 | Series 2021-FL3, Class A, 1 Mo. CME Term SOFR + CSA + 1.08% (e) (h) | 6.51% | 09/15/36 | 3,046,898 | |
SLG Office Trust | |||||
2,950,000 | Series 2021-OVA, Class C (e) | 2.85% | 07/15/41 | 2,358,173 | |
SMRT | |||||
2,730,000 | Series 2022-MINI, Class F, 1 Mo. CME Term SOFR + 3.35% (e) (h) | 8.67% | 01/15/39 | 2,537,245 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
SREIT Trust | |||||
$1,423,000 | Series 2021-MFP2, Class C, 1 Mo. CME Term SOFR + CSA + 1.37% (e) (h) | 6.80% | 11/15/36 | $1,408,668 | |
2,212,000 | Series 2021-MFP2, Class D, 1 Mo. CME Term SOFR + CSA + 1.57% (e) (h) | 7.00% | 11/15/36 | 2,184,556 | |
STWD Mortgage Trust | |||||
1,550,000 | Series 2021-LIH, Class AS, 1 Mo. CME Term SOFR + CSA + 1.26% (e) (h) | 6.69% | 11/15/36 | 1,534,283 | |
STWD Trust | |||||
5,520,000 | Series 2021-FLWR, Class C, 1 Mo. CME Term SOFR + CSA + 1.03% (e) (h) | 6.46% | 07/15/36 | 5,442,595 | |
2,157,000 | Series 2021-FLWR, Class D, 1 Mo. CME Term SOFR + CSA + 1.38% (e) (h) | 6.81% | 07/15/36 | 2,117,899 | |
UBS Commercial Mortgage Trust | |||||
57,691,211 | Series 2017-C4, Class XA, IO (b) | 1.09% | 10/15/50 | 1,760,257 | |
VMC Finance LLC | |||||
779,000 | Series 2021-FL4, Class B, 1 Mo. CME Term SOFR + CSA + 1.80% (e) (h) | 7.23% | 06/16/36 | 745,737 | |
900,000 | Series 2021-HT1, Class B, 1 Mo. CME Term SOFR + CSA + 4.50% (e) (h) | 9.93% | 01/18/37 | 863,422 | |
Wells Fargo Commercial Mortgage Trust | |||||
31,816,963 | Series 2016-C35, Class XA, IO (b) | 1.88% | 07/15/48 | 1,035,229 | |
3,975,000 | Series 2019-JWDR, Class E (b) (e) | 3.86% | 09/15/31 | 3,659,982 | |
181,500,479 | |||||
Total Mortgage-Backed Securities | 439,823,653 | ||||
(Cost $461,744,642) | |||||
ASSET-BACKED SECURITIES — 19.2% | |||||
ABFC Trust | |||||
60,249 | Series 2007-NC1, Class A2, 1 Mo. CME Term SOFR + CSA + 0.30% (e) (h) | 5.74% | 05/25/37 | 55,710 | |
897,424 | Series 2007-WMC1, Class A1A, 1 Mo. CME Term SOFR + CSA + 1.25% (h) | 6.69% | 06/25/37 | 615,125 | |
ACE Securities Corp. Home Equity Loan Trust | |||||
3,197,555 | Series 2006-ASP6, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 5.76% | 12/25/36 | 1,107,923 | |
772,400 | Series 2006-HE3, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.30% (h) | 5.74% | 06/25/36 | 562,146 | |
2,008,619 | Series 2007-HE1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.30% (h) | 5.74% | 01/25/37 | 1,081,364 | |
2,813,682 | Series 2007-WM2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.21% (h) | 5.65% | 02/25/37 | 1,199,921 | |
AFN LLC | |||||
3,449,719 | Series 2019-1A, Class A1 (e) | 3.78% | 05/20/49 | 3,142,646 | |
AGL CLO Ltd. | |||||
3,600,000 | Series 2021-12A, Class A1, 3 Mo. CME Term SOFR + CSA + 1.16% (e) (h) | 6.74% | 07/20/34 | 3,604,500 | |
AIG CLO Ltd. | |||||
1,600,000 | Series 2018-1A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.70% (e) (h) | 7.28% | 04/20/32 | 1,605,722 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Aimco CLO Ltd. | |||||
$2,600,000 | Series 2015-AA, Class BR2, 3 Mo. CME Term SOFR + CSA + 1.60% (e) (h) | 7.18% | 10/17/34 | $2,602,910 | |
Allegro CLO VI Ltd. | |||||
4,000,000 | Series 2017-2A, Class B, 3 Mo. CME Term SOFR + CSA + 1.50% (e) (h) | 7.08% | 01/17/31 | 4,015,479 | |
Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through Certificates | |||||
242,081 | Series 2002-AR1, Class M1, 1 Mo. CME Term SOFR + CSA + 1.07% (h) | 3.39% | 09/25/32 | 259,976 | |
AMMC CLO Ltd. | |||||
2,500,000 | Series 2021-24A, Class B, 3 Mo. CME Term SOFR + CSA + 1.75% (e) (h) | 7.33% | 01/20/35 | 2,507,941 | |
Apidos CLO XXXVII | |||||
1,625,000 | Series 2021-37A, Class B, 3 Mo. CME Term SOFR + CSA + 1.60% (e) (h) | 7.18% | 10/22/34 | 1,623,830 | |
Ares LXII CLO Ltd. | |||||
2,000,000 | Series 2021-62A, Class B, 3 Mo. CME Term SOFR + CSA + 1.65% (e) (h) | 7.24% | 01/25/34 | 2,002,954 | |
Argent Securities Trust | |||||
1,228,506 | Series 2006-W2, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.38% (h) | 5.82% | 03/25/36 | 664,982 | |
Argent Securities, Inc., Asset-Backed Pass-Through Certificates | |||||
90,044 | Series 2005-W3, Class M1, 1 Mo. CME Term SOFR + CSA + 0.66% (h) | 6.10% | 11/25/35 | 86,721 | |
2,200,000 | Series 2005-W3, Class M2, 1 Mo. CME Term SOFR + CSA + 0.69% (h) | 6.13% | 11/25/35 | 1,849,166 | |
Avis Budget Rental Car Funding AESOP LLC | |||||
5,030,000 | Series 2024-1A, Class A (e) | 5.36% | 06/20/30 | 5,046,329 | |
BCMSC Trust | |||||
2,369,065 | Series 2000-A, Class A5 | 8.32% | 06/15/30 | 290,430 | |
BlueMountain CLO XXII Ltd. | |||||
4,500,000 | Series 2018-22A, Class A2, 3 Mo. CME Term SOFR + CSA + 1.40% (e) (h) | 6.98% | 07/15/31 | 4,510,535 | |
BlueMountain CLO XXXI Ltd | |||||
2,500,000 | Series 2021-31A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (e) (h) | 7.27% | 04/19/34 | 2,507,567 | |
BlueMountain Fuji U.S. CLO II Ltd. | |||||
4,500,000 | Series 2017-2A, Class A2, 3 Mo. CME Term SOFR + CSA + 1.60% (e) (h) | 7.18% | 10/20/30 | 4,488,777 | |
BNC Mortgage Loan Trust | |||||
798,737 | Series 2006-2, Class A4, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 5.76% | 11/25/36 | 765,775 | |
BRAVO Residential Funding Trust | |||||
3,181,112 | Series 2021-A, Class A1, steps up to 4.99% on 01/25/24 (e) (g) | 4.99% | 10/25/59 | 3,136,606 | |
CAL Funding IV Ltd. | |||||
2,954,705 | Series 2020-1A, Class A (e) | 2.22% | 09/25/45 | 2,650,139 | |
Carvana Auto Receivables Trust | |||||
5,450 | Series 2020-P1, Class R (e) | (i) | 09/08/27 | 490,565 | |
2,800 | Series 2021-P4, Class R (e) | (i) | 09/11/28 | 718,280 | |
19,300 | Series 2022-N1, Class R (e) | (i) | 12/11/28 | 1,425,923 | |
17,100 | Series 2022-P2, Class R (e) | (i) | 05/10/29 | 2,454,929 | |
9,800 | Series 2023-N3, Class R (e) | (i) | 09/10/30 | 2,426,025 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Carvana Auto Receivables Trust (Continued) | |||||
$120,524,235 | Series 2023-N3, Class XS, IO (e) | (i) | 09/10/30 | $2,060,964 | |
8,700 | Series 2023-P3, Class R (e) | (i) | 08/12/30 | 1,930,068 | |
C-BASS Mortgage Loan Trust | |||||
4,670,806 | Series 2007-CB3, Class A1 (g) | 3.32% | 03/25/37 | 1,703,076 | |
1,682,651 | Series 2007-CB3, Class A4, steps up to 6.47% after Redemption (g) | 3.32% | 03/25/37 | 613,261 | |
6,156,219 | Series 2007-CB3, Class A5 (g) | 3.32% | 03/25/37 | 2,244,444 | |
C-BASS TRUST | |||||
2,593,255 | Series 2007-CB1, Class AF2, steps up to 6.22% after Redemption Date (g) | 3.20% | 01/25/37 | 801,894 | |
2,568,710 | Series 2007-CB1, Class AF3, steps up to 6.24% after Redemption Date (g) | 3.20% | 01/25/37 | 794,272 | |
Cedar Funding VII CLO Ltd. | |||||
4,000,000 | Series 2018-7A, Class B, 3 Mo. CME Term SOFR + CSA + 1.40% (e) (h) | 6.98% | 01/20/31 | 4,011,437 | |
Chase Auto Owner Trust | |||||
10,000 | Series 2022-AA, Class R1 (e) | (i) | 06/25/30 | 967,718 | |
CIM Trust | |||||
3,571,442 | Series 2021-NR1, Class A1, steps up to 5.00% on 02/25/25 (e) (g) | 5.57% | 07/25/55 | 3,539,109 | |
6,196,214 | Series 2023-NR1, Class A1, steps up to 9.00% on 01/01/26 (e) (g) | 6.00% | 06/25/62 | 6,126,184 | |
CIT Education Loan Trust | |||||
2,155,632 | Series 2005-1, Class A4, 90 Day Average SOFR + CSA + 0.16% (h) | 5.77% | 12/15/33 | 2,078,271 | |
Citigroup Mortgage Loan Trust | |||||
2,617,028 | Series 2006-HE3, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.20% (h) | 5.64% | 12/25/36 | 1,732,487 | |
Citigroup Mortgage Loan Trust, Inc. | |||||
195,511 | Series 2007-WFH3, Class M1, 1 Mo. CME Term SOFR + CSA + 0.39% (h) | 5.83% | 06/25/37 | 192,569 | |
CLI Funding VI LLC | |||||
1,100,331 | Series 2020-1A, Class A (e) | 2.08% | 09/18/45 | 984,338 | |
4,114,000 | Series 2020-3A, Class A (e) | 2.07% | 10/18/45 | 3,694,432 | |
Cologix Data Centers US Issuer LLC | |||||
1,960,000 | Series 2021-1A, Class A2 (e) | 3.30% | 12/26/51 | 1,780,029 | |
Conseco Finance Corp. | |||||
1,372,392 | Series 1999-3, Class A8 | 7.06% | 02/01/31 | 1,214,019 | |
CoreVest American Finance Trust | |||||
753,607 | Series 2020-1, Class XA, IO (b) (e) | 2.51% | 03/15/50 | 33,439 | |
1,640,000 | Series 2020-4, Class B (e) | 1.71% | 12/15/52 | 1,506,150 | |
Credit-Based Asset Servicing & Securitization LLC | |||||
587,540 | Series 2006-MH1, Class B1 (e) (g) | 6.75% | 10/25/36 | 573,052 | |
CWABS Asset-Backed Certificates Trust | |||||
1,950,000 | Series 2005-17, Class MV2, 1 Mo. CME Term SOFR + CSA + 0.72% (h) | 6.16% | 05/25/36 | 1,813,548 | |
CWABS Inc Asset-backed Certificates | |||||
9,467,000 | Series 2007-12, Class 2A4, 1 Mo. CME Term SOFR + CSA + 1.35% (h) | 6.79% | 08/25/47 | 8,614,969 | |
DataBank Issuer | |||||
2,245,000 | Series 2021-1A, Class A2 (e) | 2.06% | 02/27/51 | 2,039,338 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Dryden CLO Ltd. | |||||
$625,000 | Series 2019-72A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (e) (h) | 7.22% | 05/15/32 | $625,890 | |
Eaton Vance CLO Ltd. | |||||
1,800,000 | Series 2019-1A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.10% (e) (h) | 6.68% | 04/15/31 | 1,806,398 | |
ECMC Group Student Loan Trust | |||||
1,083,185 | Series 2021-1A, Class A1B, 30 Day Average SOFR + CSA + 0.57% (e) (h) | 6.01% | 11/25/70 | 1,063,920 | |
Elmwood CLO VI Ltd. | |||||
2,600,000 | Series 2020-3A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (e) (h) | 7.23% | 10/20/34 | 2,608,452 | |
First Franklin Mortgage Loan Trust | |||||
6,881,200 | Series 2006-FF7, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.48% (h) | 5.92% | 05/25/36 | 5,755,160 | |
7,075,000 | Series 2006-FF9, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.50% (h) | 5.94% | 06/25/36 | 6,189,257 | |
FirstKey Homes Trust | |||||
4,760,000 | Series 2020-SFR1, Class B (e) | 1.74% | 08/17/37 | 4,474,625 | |
2,893,000 | Series 2020-SFR1, Class F2 (e) | 4.28% | 08/17/37 | 2,759,462 | |
2,420,000 | Series 2020-SFR2, Class F1 (e) | 3.02% | 10/19/37 | 2,273,479 | |
Flatiron CLO Ltd. | |||||
1,000,000 | Series 2021-1A, Class B, 3 Mo. CME Term SOFR + CSA + 1.60% (e) (h) | 7.17% | 07/19/34 | 1,002,656 | |
Fremont Home Loan Trust | |||||
2,503,617 | Series 2005-A, Class M4, 1 Mo. CME Term SOFR + CSA + 1.02% (h) | 6.46% | 01/25/35 | 2,153,446 | |
9,036 | Series 2005-D, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.68% (h) | 6.12% | 11/25/35 | 8,937 | |
GCI Funding I LLC | |||||
2,364,598 | Series 2021-1, Class A (e) | 2.38% | 06/18/46 | 2,063,652 | |
GLS Auto Select Receivables Trust | |||||
4,950,000 | Series 2023-2A, Class D (e) | 8.22% | 02/18/31 | 5,328,761 | |
Goldentree Loan Management US CLO Ltd. | |||||
1,200,000 | Series 2019-4A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.11% (e) (h) | 6.69% | 04/24/31 | 1,203,790 | |
Golub Capital Partners CLO 42M-R | |||||
3,500,000 | Series 2019-42RA, Class A2R, 3 Mo. CME Term SOFR + 2.75% (e) (h) | 8.07% | 01/20/36 | 3,531,501 | |
Golub Capital Partners CLO 66B Ltd. | |||||
2,500,000 | Series 2023-66A, Class AJ, 3 Mo. CME Term SOFR + 2.20% (e) (h) | 7.52% | 04/25/36 | 2,518,879 | |
Golub Capital Partners CLO, L.P. | |||||
1,575,000 | Series 2021-54A, Class A, 3 Mo. CME Term SOFR + CSA + 1.53% (e) (h) | 7.06% | 08/05/33 | 1,574,993 | |
GoodLeap Sustainable Home Solutions Trust | |||||
4,350,972 | Series 2023-1GS, Class A (e) | 5.52% | 02/22/55 | 4,224,313 | |
GSAA Home Equity Trust | |||||
3,455,000 | Series 2005-4, Class M2, 1 Mo. CME Term SOFR + CSA + 1.05% (h) | 6.49% | 03/25/35 | 3,358,873 | |
166,056 | Series 2007-8, Class A3, 1 Mo. CME Term SOFR + CSA + 0.90% (h) | 6.34% | 08/25/37 | 158,269 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
GSAMP Trust | |||||
$657,197 | Series 2006-HE4, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.52% (h) | 5.96% | 06/25/36 | $626,128 | |
1,478,864 | Series 2007-FM2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.14% (h) | 5.58% | 01/25/37 | 857,612 | |
HPS Loan Management Ltd. | |||||
3,244,911 | Series 2021-16A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (e) (h) | 7.28% | 01/23/35 | 3,254,834 | |
HSI Asset Securitization Corp Trust | |||||
5,201,057 | Series 2007-OPT1, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.14% (h) | 5.58% | 12/25/36 | 4,383,097 | |
J.G. Wentworth XXXVIII LLC | |||||
2,807,221 | Series 2017-1A, Class B (e) | 5.43% | 08/15/62 | 2,603,405 | |
JP Morgan Mortgage Acquisition Trust | |||||
596,571 | Series 2006-CH2, Class AF6, steps up to 6.04% after Redemption Date (g) | 5.54% | 10/25/36 | 362,087 | |
570,535 | Series 2006-WF1, Class A5 (g) | 6.91% | 07/25/36 | 164,673 | |
875,370 | Series 2007-CH2, Class AF6, steps up to 6.05% after Redemption Date (g) | 4.47% | 01/25/37 | 456,443 | |
LAD Auto Receivables Trust | |||||
4,950,000 | Series 2023-1A, Class D (e) | 7.30% | 06/17/30 | 5,012,576 | |
Lehman XS Trust | |||||
1,103,405 | Series 2006-15, Class A4, 1 Mo. CME Term SOFR + CSA + 0.34% (h) | 5.78% | 10/25/36 | 992,913 | |
5,863,502 | Series 2006-17, Class 1A3, 1 Mo. CME Term SOFR + CSA + 0.50% (h) | 5.94% | 08/25/46 | 5,072,579 | |
7,784,485 | Series 2006-19, Class A3, 1 Mo. CME Term SOFR + CSA + 0.50% (h) | 5.94% | 12/25/36 | 7,088,879 | |
1,812,031 | Series 2007-11, Class A3, 1 Mo. CME Term SOFR + CSA + 0.52% (h) | 5.96% | 02/25/47 | 1,591,099 | |
Long Beach Mortgage Loan Trust | |||||
6,304,006 | Series 2006-1, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.38% (h) | 5.82% | 02/25/36 | 5,159,634 | |
2,197,485 | Series 2006-8, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 5.76% | 09/25/36 | 618,746 | |
12,795,698 | Series 2006-10, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 5.76% | 11/25/36 | 4,004,178 | |
6,672,913 | Series 2006-10, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.44% (h) | 5.88% | 11/25/36 | 2,088,614 | |
Madison Park Funding XXIX Ltd. | |||||
1,500,000 | Series 2018-29A, Class A2, 3 Mo. CME Term SOFR + CSA + 1.45% (e) (h) | 7.01% | 10/18/30 | 1,502,403 | |
Magnetite XXI Ltd | |||||
2,000,000 | Series 2019-21A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.35% (e) (h) | 6.93% | 04/20/34 | 1,989,598 | |
Mastr Asset Backed Securities Trust | |||||
3,645,569 | Series 2005-NC2, Class A4, 1 Mo. CME Term SOFR + CSA + 0.70% (h) | 6.14% | 11/25/35 | 2,110,500 | |
112,161 | Series 2006-HE5, Class A3, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 5.76% | 11/25/36 | 66,326 | |
1,557,353 | Series 2006-NC2, Class A3, 1 Mo. CME Term SOFR + CSA + 0.22% (h) | 5.66% | 08/25/36 | 607,960 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Merrill Lynch First Franklin Mortgage Loan Trust | |||||
$1,610,576 | Series 2007-1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.28% (h) | 5.72% | 04/25/37 | $687,456 | |
2,950,926 | Series 2007-5, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.85% (h) | 6.29% | 10/25/37 | 1,789,219 | |
6,555,704 | Series 2007-5, Class 2A2, 1 Mo. CME Term SOFR + CSA + 1.00% (h) | 6.44% | 10/25/37 | 5,411,535 | |
Merrill Lynch Mortgage Investors Trust | |||||
2,742,754 | Series 2006-HE6, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.46% (h) | 4.10% | 11/25/37 | 956,064 | |
Morgan Stanley ABS Capital I, Inc. Trust | |||||
1,762,135 | Series 2006-HE8, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.10% (h) | 5.54% | 10/25/36 | 757,815 | |
1,706,080 | Series 2006-HE8, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.14% (h) | 5.58% | 10/25/36 | 733,704 | |
4,367,550 | Series 2007-HE2, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.09% (h) | 5.53% | 01/25/37 | 2,063,329 | |
1,250,191 | Series 2007-HE4, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.18% (h) | 5.62% | 02/25/37 | 412,658 | |
3,550,002 | Series 2007-NC3, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.26% (h) | 5.70% | 05/25/37 | 2,633,696 | |
Navient Student Loan Trust | |||||
16,181 | Series 2014-1, Class A3, 30 Day Average SOFR + CSA + 0.51% (h) | 5.95% | 06/25/31 | 15,885 | |
1,937,986 | Series 2016-2A, Class A3, 30 Day Average SOFR + CSA + 1.50% (e) (h) | 6.94% | 06/25/65 | 1,968,802 | |
2,500,000 | Series 2019-3A, Class B, 30 Day Average SOFR + CSA + 1.55% (e) (h) | 6.99% | 07/25/68 | 2,403,609 | |
Nelnet Student Loan Trust | |||||
2,025,000 | Series 2015-3A, Class B, 30 Day Average SOFR + 1.61% (e) (h) | 6.94% | 06/25/54 | 1,893,197 | |
Neuberger Berman Loan Advisers CLO 33 Ltd. | |||||
5,250,000 | Series 2019-33A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.60% (e) (h) | 7.18% | 10/16/33 | 5,261,110 | |
NovaStar Mortgage Funding Trust | |||||
486,384 | Series 2007-2, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.20% (h) | 5.64% | 09/25/37 | 468,651 | |
OCP CLO Ltd. | |||||
1,500,000 | Series 2021-21A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (e) (h) | 7.28% | 07/20/34 | 1,497,537 | |
Octagon Investment Partners 46 Ltd. | |||||
2,100,000 | Series 2020-2A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.16% (e) (h) | 6.74% | 07/15/36 | 2,105,146 | |
Octagon Investment Partners XVI Ltd. | |||||
4,500,000 | Series 2013-1A, Class A2R, 3 Mo. CME Term SOFR + CSA + 1.40% (e) (h) | 6.98% | 07/17/30 | 4,516,253 | |
OHA Credit Funding Ltd. | |||||
2,000,000 | Series 2019-3A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.14% (e) (h) | 6.72% | 07/02/35 | 1,999,800 | |
3,000,000 | Series 2020-5A, Class B, 3 Mo. CME Term SOFR + CSA + 1.60% (e) (h) | 7.16% | 04/18/33 | 3,008,881 | |
Park Place Securities Inc Asset-Backed Pass-Through Certificates | |||||
3,200,000 | Series 2005-WHQ4, Class M3, 1 Mo. CME Term SOFR + CSA + 0.78% (h) | 6.22% | 09/25/35 | 2,762,931 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
PRET LLC | |||||
$1,710,119 | Series 2021-RN2, Class A1, steps up to 7.43% on 09/25/24 (e) (g) | 1.74% | 07/25/51 | $1,655,214 | |
3,385,741 | Series 2022-RN2, Class A1, steps up to 9.00% on 07/25/26 (e) (g) | 5.00% | 06/25/52 | 3,365,224 | |
Progress Residential Trust | |||||
3,887,195 | Series 2020-SFR1, Class G (e) | 4.03% | 04/17/37 | 3,719,597 | |
5,635,000 | Series 2021-SFR2, Class E2 (e) | 2.65% | 04/19/38 | 5,156,053 | |
5,500,000 | Series 2021-SFR6, Class G (e) | 4.00% | 07/17/38 | 4,917,788 | |
6,928,000 | Series 2021-SFR8, Class E1 (e) | 2.38% | 10/17/38 | 6,212,411 | |
8,100,000 | Series 2021-SFR9, Class F (e) | 4.05% | 11/17/40 | 6,941,415 | |
4,071,633 | Series 2021-SFR10, Class F (e) | 4.61% | 12/17/40 | 3,552,867 | |
PRPM LLC | |||||
2,085,555 | Series 2021-6, Class A1, steps up to 5.93% on 07/25/25 (e) (g) | 1.79% | 07/25/26 | 2,026,970 | |
7,121,123 | Series 2021-9, Class A1, steps up to 5.36% on 10/25/24 (e) (g) | 2.36% | 10/25/26 | 6,925,253 | |
7,873,942 | Series 2021-10, Class A1, steps up to 5.49% on 10/25/24 (e) (g) | 2.49% | 10/25/26 | 7,750,137 | |
Rad CLO 22 Ltd. | |||||
2,350,000 | Series 2023-22A, Class D, 3 Mo. CME Term SOFR + 5.00% (e) (h) | 10.37% | 01/20/37 | 2,381,262 | |
Rad CLO 7 Ltd. | |||||
6,000,000 | Series 2020-7A, Class B1R, 3 Mo. CME Term SOFR + 1.90% (e) (h) (j) | 7.23% | 04/17/36 | 6,013,218 | |
Regatta XII Funding Ltd. | |||||
3,000,000 | Series 2019-1A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.60% (e) (h) | 7.18% | 10/15/32 | 3,009,074 | |
Regatta XX Funding Ltd | |||||
3,200,000 | Series 2021-2A, Class A, 3 Mo. CME Term SOFR + CSA + 1.16% (e) (h) | 6.74% | 10/15/34 | 3,202,720 | |
Residential Asset Mortgage Products, Inc. | |||||
1,355,878 | Series 2006-NC2, Class M1, 1 Mo. CME Term SOFR + CSA + 0.54% (h) | 5.98% | 02/25/36 | 1,291,649 | |
1,439,394 | Series 2006-RZ2, Class M1, 1 Mo. CME Term SOFR + CSA + 0.33% (h) | 5.93% | 05/25/36 | 1,415,185 | |
Residential Asset Securities Corp. | |||||
14,574 | Series 2005-KS11, Class M2, 1 Mo. CME Term SOFR + CSA + 0.63% (h) | 6.07% | 12/25/35 | 14,501 | |
Rockford Tower CLO Ltd. | |||||
1,325,000 | Series 2019-2A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (e) (h) | 7.23% | 08/20/32 | 1,325,331 | |
Sabey Data Center Issuer LLC | |||||
1,785,000 | Series 2020-1, Class A2 (e) | 3.81% | 04/20/45 | 1,726,013 | |
Saxon Asset Securities Trust | |||||
928,472 | Series 2006-1, Class M1, 1 Mo. CME Term SOFR + CSA + 0.47% (h) | 5.90% | 03/25/36 | 877,446 | |
Securitized Asset Backed Receivables LLC Trust | |||||
2,147,427 | Series 2006-CB5, Class A3, 1 Mo. CME Term SOFR + CSA + 0.28% (h) | 5.72% | 06/25/36 | 1,411,046 | |
Skyline Aircraft Finance LLC | |||||
580,726 | Series 2020-1, Class A (k) (l) | 3.23% | 05/10/38 | 517,950 | |
SLM Student Loan EDC Repackaging Trust | |||||
1,000 | Series 2013-M1, Class M1R (e) | (i) | 10/28/29 | 385,514 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
SLM Student Loan Trust | |||||
$1,892,812 | Series 2006-2, Class B, 90 Day Average SOFR + CSA + 0.22% (h) | 5.84% | 01/25/41 | $1,765,108 | |
6,525 | Series 2006-2, Class R | (i) | 01/25/41 | 559,410 | |
1,763,213 | Series 2007-1, Class B, 90 Day Average SOFR + CSA + 0.22% (h) | 5.84% | 01/27/42 | 1,655,983 | |
1,375 | Series 2007-4, Class R | (i) | 01/25/42 | 198,576 | |
1,103,477 | Series 2007-7, Class A4, 90 Day Average SOFR + CSA + 0.33% (h) | 5.95% | 01/25/22 | 1,080,098 | |
905,000 | Series 2007-7, Class B, 90 Day Average SOFR + CSA + 0.75% (h) | 6.37% | 10/27/70 | 837,501 | |
300,000 | Series 2008-2, Class B, 90 Day Average SOFR + CSA + 1.20% (h) | 6.82% | 01/25/83 | 287,859 | |
300,000 | Series 2008-3, Class B, 90 Day Average SOFR + CSA + 1.20% (h) | 6.82% | 04/26/83 | 287,310 | |
513,511 | Series 2008-4, Class A4, 90 Day Average SOFR + CSA + 1.65% (h) | 7.27% | 07/25/22 | 514,348 | |
650,000 | Series 2008-5, Class B, 90 Day Average SOFR + CSA + 1.85% (h) | 7.47% | 07/25/73 | 646,483 | |
340,000 | Series 2008-6, Class B, 90 Day Average SOFR + CSA + 1.85% (h) | 7.47% | 07/26/83 | 323,220 | |
100,000 | Series 2012-7, Class B, 30 Day Average SOFR + CSA + 1.80% (h) | 7.24% | 09/25/43 | 92,052 | |
Soundview Home Loan Trust | |||||
1,888,808 | Series 2007-OPT1, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.21% (h) | 5.65% | 06/25/37 | 1,234,577 | |
175,957 | Series 2007-OPT2, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.25% (h) | 5.69% | 07/25/37 | 133,824 | |
Specialty Underwriting & Residential Finance Trust | |||||
2,625,198 | Series 2006-AB3, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.48% (h) | 5.92% | 09/25/37 | 1,842,180 | |
Stack Infrastructure Issuer LLC | |||||
1,405,000 | Series 2020-1A, Class A2 (e) | 1.89% | 08/25/45 | 1,317,149 | |
4,050,000 | Series 2023-2A, Class A2 (e) | 5.90% | 07/25/48 | 3,976,487 | |
Structured Asset Securities Corp Mortgage Loan Trust | |||||
4,812,094 | Series 2005-2XS, Class M1, 1 Mo. CME Term SOFR + CSA + 0.71% (h) | 6.14% | 02/25/35 | 4,395,077 | |
856,216 | Series 2006-BC3, Class A3, 1 Mo. CME Term SOFR + CSA + 0.32% (h) | 5.76% | 10/25/36 | 699,685 | |
Structured Receivables Finance LLC | |||||
36,754 | Series 2010-B, Class A (e) | 3.73% | 08/15/36 | 36,096 | |
STWD Ltd. | |||||
2,483,000 | Series 2019-FL1, Class AS, 1 Mo. CME Term SOFR + CSA + 1.40% (e) (h) | 6.83% | 07/15/38 | 2,432,549 | |
Symphony CLO XIX Ltd. | |||||
1,500,000 | Series 2018-19A, Class B, 3 Mo. CME Term SOFR + CSA + 1.35% (e) (h) | 6.93% | 04/16/31 | 1,493,633 | |
Taco Bell Funding LLC | |||||
5,901,563 | Series 2016-1A, Class A23 (e) | 4.97% | 05/25/46 | 5,819,744 | |
TAL Advantage VII LLC | |||||
2,298,881 | Series 2020-1A, Class A (e) | 2.05% | 09/20/45 | 2,085,294 | |
Textainer Marine Containers Ltd. | |||||
1,440,000 | Series 2021-3A, Class A (e) | 1.94% | 08/20/46 | 1,233,795 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Textainer Marine Containers VII Ltd. | |||||
$1,688,410 | Series 2020-2A, Class A (e) | 2.10% | 09/20/45 | $1,533,614 | |
Tricon Residential Trust | |||||
4,100,000 | Series 2021-SFR1, Class F (e) | 3.69% | 07/17/38 | 3,742,550 | |
Triton Container Finance VIII LLC | |||||
3,515,990 | Series 2021-1A, Class A (e) | 1.86% | 03/20/46 | 3,056,266 | |
TRP LLC | |||||
5,220,453 | Series 2021-1, Class A (e) | 2.07% | 06/19/51 | 4,698,679 | |
Vantage Data Centers LLC | |||||
5,360,000 | Series 2020-1A, Class A2 (e) | 1.65% | 09/15/45 | 5,004,011 | |
Wachovia Student Loan Trust | |||||
954,834 | Series 2006-1, Class B, 90 Day Average SOFR + CSA + 0.24% (e) (h) | 5.86% | 04/25/40 | 893,449 | |
WaMu Asset-Backed Certificates WaMu Trust | |||||
1,553,706 | Series 2007-HE2, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.25% (h) | 5.69% | 04/25/37 | 592,343 | |
622,435 | Series 2007-HE3, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.24% (h) | 5.68% | 05/25/37 | 543,472 | |
4,069,288 | Series 2007-HE3, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.29% (h) | 5.73% | 05/25/37 | 3,555,250 | |
1,956,947 | Series 2007-HE3, Class 2A5, 1 Mo. CME Term SOFR + CSA + 0.25% (h) | 5.69% | 05/25/37 | 1,708,956 | |
Washington Mutual Asset-Backed Certificates WMABS Trust | |||||
383,595 | Series 2006-HE5, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.31% (h) | 4.05% | 10/25/36 | 284,889 | |
Wells Fargo Home Equity Asset-Backed Securities Trust | |||||
3,000,000 | Series 2007-1, Class A3, 1 Mo. CME Term SOFR + CSA + 0.64% (h) | 6.08% | 03/25/37 | 2,674,174 | |
Westlake Automobile Receivables Trust | |||||
5,290,000 | Series 2023-1A, Class D (e) | 6.79% | 11/15/28 | 5,375,407 | |
Total Asset-Backed Securities | 403,601,175 | ||||
(Cost $418,128,168) | |||||
CORPORATE BONDS AND NOTES (m) — 17.5% | |||||
Aerospace/Defense — 0.1% | |||||
2,250,000 | TransDigm, Inc. (e) | 6.75% | 08/15/28 | 2,279,713 | |
Agriculture — 0.2% | |||||
1,250,000 | BAT Capital Corp. | 4.54% | 08/15/47 | 938,525 | |
1,870,000 | BAT Capital Corp. | 4.76% | 09/06/49 | 1,448,158 | |
1,905,000 | BAT Capital Corp. | 5.65% | 03/16/52 | 1,675,228 | |
575,000 | Philip Morris International, Inc. (EUR) | 1.45% | 08/01/39 | 422,640 | |
645,000 | Reynolds American, Inc. | 5.85% | 08/15/45 | 586,483 | |
5,071,034 | |||||
Airlines — 0.1% | |||||
264,074 | American Airlines Pass-Through Trust, Series 2014-1, Class A | 3.70% | 10/01/26 | 250,648 | |
482,213 | JetBlue Pass-Through Trust, Series 2020-1, Class A | 4.00% | 11/15/32 | 444,578 | |
396,241 | United Airlines Pass-Through Trust, Series 2013-1, Class A | 4.30% | 08/15/25 | 386,584 | |
84,966 | US Airways Pass-Through Trust, Series 2012-1, Class A | 5.90% | 10/01/24 | 84,921 | |
1,166,731 | |||||
Auto Manufacturers — 0.0% | |||||
850,000 | Allison Transmission, Inc. (e) | 3.75% | 01/30/31 | 735,195 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Banks — 5.9% | |||||
$4,665,000 | Bank of America Corp. (n) | 1.53% | 12/06/25 | $4,517,694 | |
3,580,000 | Bank of America Corp. (n) | 1.32% | 06/19/26 | 3,389,753 | |
815,000 | Bank of America Corp. (n) | 1.73% | 07/22/27 | 747,534 | |
3,490,000 | Bank of America Corp. (n) | 2.55% | 02/04/28 | 3,230,599 | |
2,120,000 | Bank of America Corp. (n) | 2.09% | 06/14/29 | 1,863,803 | |
5,123,000 | Bank of America Corp. (n) | 1.92% | 10/24/31 | 4,135,454 | |
415,000 | Bank of America Corp. (n) | 2.69% | 04/22/32 | 347,697 | |
3,510,000 | Bank of America Corp. (n) | 2.30% | 07/21/32 | 2,841,996 | |
1,665,000 | Bank of America Corp. (n) | 2.57% | 10/20/32 | 1,365,111 | |
1,020,000 | Bank of America Corp. (n) | 2.97% | 02/04/33 | 856,997 | |
570,000 | Bank of America Corp., Series RR (n) | 4.38% | (o) | 527,720 | |
500,000 | Citigroup, Inc., SOFR + 0.69% (h) | 6.03% | 10/30/24 | 500,604 | |
4,065,000 | Citigroup, Inc. (n) | 0.98% | 05/01/25 | 4,029,655 | |
2,000,000 | Citigroup, Inc. (n) | 3.52% | 10/27/28 | 1,880,032 | |
525,000 | Citigroup, Inc. (n) | 2.98% | 11/05/30 | 462,911 | |
415,000 | Citigroup, Inc. (n) | 2.56% | 05/01/32 | 341,816 | |
1,540,000 | Citigroup, Inc. (n) | 2.52% | 11/03/32 | 1,250,422 | |
4,100,000 | Citigroup, Inc. (n) | 3.06% | 01/25/33 | 3,443,743 | |
135,000 | Comerica, Inc. (n) | 5.63% | (o) | 129,551 | |
1,615,000 | Goldman Sachs Group (The), Inc., SOFR + 0.49% (h) | 5.83% | 10/21/24 | 1,615,931 | |
18,970,000 | Goldman Sachs Group (The), Inc. (n) | 1.09% | 12/09/26 | 17,580,115 | |
348,000 | Goldman Sachs Group (The), Inc. (n) | 1.99% | 01/27/32 | 279,143 | |
535,000 | Goldman Sachs Group (The), Inc. (n) | 2.38% | 07/21/32 | 435,517 | |
600,000 | Goldman Sachs Group (The), Inc. (n) | 2.65% | 10/21/32 | 495,038 | |
715,000 | JPMorgan Chase & Co. (n) | 0.97% | 06/23/25 | 704,034 | |
14,325,000 | JPMorgan Chase & Co. (n) | 1.56% | 12/10/25 | 13,876,923 | |
750,000 | JPMorgan Chase & Co. (n) | 1.04% | 02/04/27 | 691,489 | |
1,660,000 | JPMorgan Chase & Co. (n) | 1.58% | 04/22/27 | 1,535,537 | |
2,780,000 | JPMorgan Chase & Co. (n) | 1.47% | 09/22/27 | 2,526,794 | |
160,000 | JPMorgan Chase & Co. (n) | 4.01% | 04/23/29 | 152,916 | |
690,000 | JPMorgan Chase & Co. (n) | 1.95% | 02/04/32 | 555,150 | |
1,605,000 | JPMorgan Chase & Co. (n) | 2.58% | 04/22/32 | 1,343,452 | |
2,575,000 | JPMorgan Chase & Co. (n) | 2.55% | 11/08/32 | 2,121,139 | |
595,000 | JPMorgan Chase & Co., Series KK (n) | 3.65% | (o) | 554,783 | |
3,290,000 | Morgan Stanley (n) | 1.16% | 10/21/25 | 3,193,078 | |
4,772,000 | Morgan Stanley (n) | 2.19% | 04/28/26 | 4,593,735 | |
1,000,000 | Morgan Stanley (n) | 1.59% | 05/04/27 | 922,168 | |
3,280,000 | Morgan Stanley (n) | 1.79% | 02/13/32 | 2,597,826 | |
1,080,000 | Morgan Stanley (n) | 2.24% | 07/21/32 | 870,411 | |
1,320,000 | Morgan Stanley (n) | 2.48% | 09/16/36 | 1,035,141 | |
1,245,000 | PNC Financial Services Group (The), Inc. (n) | 6.04% | 10/28/33 | 1,278,082 | |
1,090,000 | PNC Financial Services Group (The), Inc. (n) | 5.07% | 01/24/34 | 1,048,508 | |
3,120,000 | PNC Financial Services Group (The), Inc. (n) | 6.88% | 10/20/34 | 3,381,601 | |
555,000 | US Bancorp (n) | 3.70% | (o) | 474,933 | |
1,000,000 | US Bancorp (n) | 4.65% | 02/01/29 | 973,013 | |
1,255,000 | US Bancorp (n) | 5.85% | 10/21/33 | 1,271,055 | |
2,875,000 | US Bancorp (n) | 4.84% | 02/01/34 | 2,706,980 | |
605,000 | US Bancorp (n) | 5.84% | 06/12/34 | 611,238 | |
250,000 | US Bancorp (n) | 5.68% | 01/23/35 | 249,560 | |
5,965,000 | Wells Fargo & Co. (n) | 2.16% | 02/11/26 | 5,770,980 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Banks (Continued) | |||||
$5,435,000 | Wells Fargo & Co. (n) | 2.39% | 06/02/28 | $4,959,547 | |
1,000,000 | Wells Fargo & Co. (n) | 5.57% | 07/25/29 | 1,006,977 | |
2,155,000 | Wells Fargo & Co. (n) | 2.57% | 02/11/31 | 1,838,187 | |
5,555,000 | Wells Fargo & Co. (n) | 3.35% | 03/02/33 | 4,769,761 | |
385,000 | Wells Fargo & Co. (n) | 5.01% | 04/04/51 | 356,256 | |
124,240,090 | |||||
Beverages — 0.2% | |||||
720,000 | Primo Water Holdings, Inc. (e) | 4.38% | 04/30/29 | 653,800 | |
3,162,000 | Triton Water Holdings, Inc. (e) | 6.25% | 04/01/29 | 2,763,256 | |
3,417,056 | |||||
Biotechnology — 0.1% | |||||
320,000 | Amgen, Inc. | 5.65% | 03/02/53 | 320,094 | |
1,000,000 | Illumina, Inc. | 2.55% | 03/23/31 | 821,918 | |
1,142,012 | |||||
Chemicals — 0.4% | |||||
475,000 | International Flavors & Fragrances, Inc. (e) | 1.23% | 10/01/25 | 442,877 | |
3,685,000 | International Flavors & Fragrances, Inc. (e) | 1.83% | 10/15/27 | 3,240,446 | |
3,575,000 | International Flavors & Fragrances, Inc. (e) | 2.30% | 11/01/30 | 2,935,028 | |
60,000 | International Flavors & Fragrances, Inc. (e) | 3.27% | 11/15/40 | 42,120 | |
395,000 | International Flavors & Fragrances, Inc. | 4.38% | 06/01/47 | 295,104 | |
855,000 | International Flavors & Fragrances, Inc. | 5.00% | 09/26/48 | 720,400 | |
235,000 | International Flavors & Fragrances, Inc. (e) | 3.47% | 12/01/50 | 154,870 | |
175,000 | Unifrax Escrow Issuer Corp. (e) | 5.25% | 09/30/28 | 111,215 | |
625,000 | Unifrax Escrow Issuer Corp. (e) | 7.50% | 09/30/29 | 341,883 | |
8,283,943 | |||||
Commercial Services — 0.6% | |||||
2,062,000 | Adtalem Global Education, Inc. (e) | 5.50% | 03/01/28 | 1,964,931 | |
375,000 | Carriage Services, Inc. (e) | 4.25% | 05/15/29 | 326,402 | |
880,000 | Global Payments, Inc. (EUR) | 4.88% | 03/17/31 | 981,141 | |
2,050,000 | Hertz (The) Corp. (e) | 5.00% | 12/01/29 | 1,572,799 | |
1,475,000 | Prime Security Services Borrower LLC / Prime Finance, Inc. (e) | 3.38% | 08/31/27 | 1,351,919 | |
1,250,000 | Rent-A-Center, Inc. (e) | 6.38% | 02/15/29 | 1,197,375 | |
61,000 | Service Corp. International | 4.63% | 12/15/27 | 58,575 | |
1,819,000 | Valvoline, Inc. (e) | 3.63% | 06/15/31 | 1,539,060 | |
1,500,000 | VT Topco, Inc. (e) | 8.50% | 08/15/30 | 1,565,985 | |
1,425,000 | WASH Multifamily Acquisition, Inc. (e) | 5.75% | 04/15/26 | 1,383,433 | |
11,941,620 | |||||
Computers — 0.0% | |||||
448,000 | NCR Corp. (e) | 5.13% | 04/15/29 | 415,941 | |
145,000 | NCR Voyix Corp. (e) | 5.25% | 10/01/30 | 131,149 | |
547,090 | |||||
Cosmetics/Personal Care — 0.0% | |||||
243,000 | Edgewell Personal Care Co. (e) | 5.50% | 06/01/28 | 237,457 | |
Diversified Financial Services — 0.4% | |||||
2,300,000 | Air Lease Corp. | 2.88% | 01/15/26 | 2,194,458 | |
1,390,000 | Air Lease Corp. | 2.20% | 01/15/27 | 1,275,004 | |
605,000 | American Express Co. (n) | 3.55% | (o) | 547,357 | |
1,505,000 | Capital One Financial Corp. (n) | 1.88% | 11/02/27 | 1,366,380 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Diversified Financial Services (Continued) | |||||
$540,000 | Charles Schwab Corp. (The), Series K (n) | 5.00% | (o) | $499,509 | |
1,750,000 | Jane Street Group / JSG Finance, Inc. (e) | 4.50% | 11/15/29 | 1,612,012 | |
7,494,720 | |||||
Electric — 1.0% | |||||
3,500,000 | Alliant Energy Finance LLC (e) | 1.40% | 03/15/26 | 3,190,966 | |
2,045,000 | Alliant Energy Finance LLC (e) | 3.60% | 03/01/32 | 1,769,839 | |
1,285,000 | American Electric Power Co., Inc. | 2.03% | 03/15/24 | 1,283,390 | |
365,000 | Appalachian Power Co., Series X | 3.30% | 06/01/27 | 343,497 | |
3,000,000 | Arizona Public Service Co. | 6.35% | 12/15/32 | 3,174,269 | |
540,000 | Duke Energy Carolinas LLC | 3.55% | 03/15/52 | 389,271 | |
1,000,000 | Duke Energy Corp. | 3.75% | 04/15/24 | 997,458 | |
600,000 | Duke Energy Corp. (EUR) | 3.85% | 06/15/34 | 629,946 | |
100,000 | Evergy Metro, Inc. | 4.20% | 06/15/47 | 80,816 | |
750,000 | Jersey Central Power & Light Co. (e) | 4.70% | 04/01/24 | 749,419 | |
2,165,000 | Jersey Central Power & Light Co. (e) | 4.30% | 01/15/26 | 2,113,977 | |
2,000,000 | Metropolitan Edison Co. (e) | 4.00% | 04/15/25 | 1,958,549 | |
750,000 | MidAmerican Energy Co. | 3.95% | 08/01/47 | 602,146 | |
1,395,000 | New England Power Co. (e) | 5.94% | 11/25/52 | 1,422,119 | |
500,000 | Pennsylvania Electric Co. (e) | 4.15% | 04/15/25 | 489,495 | |
800,000 | Pike Corp. (e) | 8.63% | 01/31/31 | 845,842 | |
100,000 | Puget Sound Energy, Inc. | 4.22% | 06/15/48 | 80,757 | |
450,000 | Southwestern Electric Power Co., Series M | 4.10% | 09/15/28 | 431,583 | |
20,553,339 | |||||
Electrical Components & Equipments — 0.0% | |||||
900,000 | Energizer Holdings, Inc. (e) | 4.38% | 03/31/29 | 798,336 | |
Electronics — 0.1% | |||||
1,185,000 | Honeywell International, Inc. (EUR) (j) | 3.75% | 03/01/36 | 1,269,619 | |
Engineering & Construction — 0.0% | |||||
875,000 | Artera Services LLC (e) | 8.50% | 02/15/31 | 894,463 | |
Entertainment — 0.5% | |||||
515,000 | Churchill Downs, Inc. (e) | 5.50% | 04/01/27 | 506,200 | |
1,220,000 | Everi Holdings, Inc. (e) | 5.00% | 07/15/29 | 1,210,447 | |
590,000 | Live Nation Entertainment, Inc. (e) | 4.75% | 10/15/27 | 565,391 | |
1,580,000 | Penn Entertainment, Inc. (e) | 4.13% | 07/01/29 | 1,328,511 | |
1,000,000 | Warnermedia Holdings Inc. | 3.76% | 03/15/27 | 946,519 | |
110,000 | Warnermedia Holdings, Inc. | 4.28% | 03/15/32 | 97,089 | |
2,715,000 | Warnermedia Holdings, Inc. | 5.05% | 03/15/42 | 2,284,876 | |
5,131,000 | Warnermedia Holdings, Inc. | 5.14% | 03/15/52 | 4,173,122 | |
11,112,155 | |||||
Environmental Control — 0.1% | |||||
200,000 | Clean Harbors, Inc. (e) | 4.88% | 07/15/27 | 193,180 | |
1,356,000 | Madison IAQ LLC (e) | 4.13% | 06/30/28 | 1,236,602 | |
1,098,000 | Waste Pro USA, Inc. (e) | 5.50% | 02/15/26 | 1,077,221 | |
2,507,003 | |||||
Food — 0.2% | |||||
248,000 | B&G Foods, Inc. | 5.25% | 04/01/25 | 247,371 | |
1,420,000 | H-Food Holdings LLC / Hearthside Finance Co., Inc. (e) | 8.50% | 06/01/26 | 63,900 | |
300,000 | Kraft Heinz Foods Co. | 3.75% | 04/01/30 | 280,162 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Food (Continued) | |||||
$186,000 | Kraft Heinz Foods Co. | 4.25% | 03/01/31 | $176,833 | |
286,000 | Pilgrim’s Pride Corp. | 4.25% | 04/15/31 | 255,863 | |
1,395,000 | Pilgrim’s Pride Corp. | 3.50% | 03/01/32 | 1,166,715 | |
835,000 | Pilgrim’s Pride Corp. | 6.25% | 07/01/33 | 844,982 | |
2,000,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed (e) | 4.63% | 03/01/29 | 1,754,633 | |
387,000 | Smithfield Foods, Inc. (e) | 5.20% | 04/01/29 | 371,563 | |
5,162,022 | |||||
Healthcare-Products — 0.3% | |||||
1,600,000 | Alcon Finance Corp. (e) | 3.00% | 09/23/29 | 1,436,069 | |
1,425,000 | DENTSPLY SIRONA, Inc. | 3.25% | 06/01/30 | 1,240,990 | |
1,997,000 | Embecta Corp. (e) | 5.00% | 02/15/30 | 1,593,985 | |
208,000 | Hologic, Inc. (e) | 4.63% | 02/01/28 | 199,500 | |
770,000 | PerkinElmer, Inc. | 2.25% | 09/15/31 | 626,723 | |
185,000 | Revvity, Inc. | 2.55% | 03/15/31 | 155,026 | |
5,252,293 | |||||
Healthcare-Services — 0.7% | |||||
635,000 | Barnabas Health, Inc., Series 2012 | 4.00% | 07/01/28 | 605,212 | |
429,000 | Cano Health LLC (e) (p) (q) | 6.25% | 10/01/28 | 6,435 | |
435,000 | Catalent Pharma Solutions, Inc. (EUR) (r) | 2.38% | 03/01/28 | 452,839 | |
400,000 | Catalent Pharma Solutions, Inc. (e) | 3.13% | 02/15/29 | 386,646 | |
1,396,000 | Centene Corp. | 3.00% | 10/15/30 | 1,193,796 | |
250,000 | CommonSpirit Health | 3.35% | 10/01/29 | 227,439 | |
1,090,000 | HCA, Inc. | 5.25% | 04/15/25 | 1,085,122 | |
365,000 | HCA, Inc. | 7.58% | 09/15/25 | 373,840 | |
380,000 | HCA, Inc. | 5.38% | 09/01/26 | 379,024 | |
360,000 | HCA, Inc. | 7.05% | 12/01/27 | 377,807 | |
417,000 | HCA, Inc. | 4.13% | 06/15/29 | 392,835 | |
2,870,000 | HCA, Inc. | 3.50% | 09/01/30 | 2,565,099 | |
1,830,000 | HCA, Inc. | 5.50% | 06/15/47 | 1,705,560 | |
4,072,000 | ModivCare Escrow Issuer, Inc. (e) | 5.00% | 10/01/29 | 3,007,599 | |
1,350,000 | Prime Healthcare Services, Inc. (e) | 7.25% | 11/01/25 | 1,348,063 | |
1,350,000 | Universal Health Services, Inc. | 1.65% | 09/01/26 | 1,227,783 | |
15,335,099 | |||||
Household Products/Wares — 0.1% | |||||
120,000 | Central Garden & Pet Co. | 4.13% | 10/15/30 | 106,715 | |
952,000 | Spectrum Brands, Inc. (e) | 5.50% | 07/15/30 | 932,397 | |
500,000 | Spectrum Brands, Inc. (e) | 3.88% | 03/15/31 | 475,312 | |
1,514,424 | |||||
Insurance — 0.5% | |||||
437,000 | Acrisure LLC / Acrisure Finance, Inc. (e) | 4.25% | 02/15/29 | 388,071 | |
700,000 | Acrisure LLC / Acrisure Finance, Inc. (e) | 6.00% | 08/01/29 | 630,777 | |
1,115,000 | Athene Global Funding (e) | 3.21% | 03/08/27 | 1,029,369 | |
1,560,000 | Athene Global Funding (e) | 1.99% | 08/19/28 | 1,339,219 | |
675,000 | Athene Global Funding (e) | 2.72% | 01/07/29 | 587,931 | |
250,000 | Farmers Exchange Capital III (e) (n) | 5.45% | 10/15/54 | 205,365 | |
775,000 | Farmers Insurance Exchange (e) | 8.63% | 05/01/24 | 778,008 | |
465,000 | Farmers Insurance Exchange (e) (n) | 4.75% | 11/01/57 | 344,188 | |
750,000 | MassMutual Global Funding II (e) | 3.40% | 03/08/26 | 726,704 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Insurance (Continued) | |||||
$965,000 | Metropolitan Life Global Funding I (e) | 5.15% | 03/28/33 | $955,256 | |
1,360,000 | Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (e) (h) | 7.94% | 12/15/24 | 1,361,587 | |
50,000 | Teachers Insurance & Annuity Association of America (e) | 4.27% | 05/15/47 | 41,158 | |
220,000 | Teachers Insurance & Annuity Association of America (e) | 3.30% | 05/15/50 | 154,111 | |
1,260,000 | Teachers Insurance & Annuity Association of America (e) (n) | 4.38% | 09/15/54 | 1,242,598 | |
9,784,342 | |||||
Internet — 0.3% | |||||
800,000 | Cogent Communications Group, Inc. (e) | 7.00% | 06/15/27 | 799,568 | |
1,250,000 | Gen Digital, Inc. (e) | 6.75% | 09/30/27 | 1,257,561 | |
1,775,000 | Netflix, Inc. | 5.88% | 02/15/25 | 1,780,611 | |
1,552,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc. (e) | 4.75% | 04/30/27 | 1,491,030 | |
902,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc. (e) | 6.00% | 02/15/28 | 866,786 | |
6,195,556 | |||||
Investment Companies — 0.1% | |||||
1,447,000 | Icahn Enterprises, L.P. / Icahn Enterprises Finance Corp. | 5.25% | 05/15/27 | 1,331,066 | |
760,000 | Icahn Enterprises, L.P. / Icahn Enterprises Finance Corp. (e) | 9.75% | 01/15/29 | 795,150 | |
716,000 | Icahn Enterprises, L.P. / Icahn Enterprises Finance Corp. | 4.38% | 02/01/29 | 605,017 | |
2,731,233 | |||||
Iron/Steel — 0.0% | |||||
700,000 | ATI, Inc. | 7.25% | 08/15/30 | 720,265 | |
Lodging — 0.1% | |||||
569,000 | Boyd Gaming Corp. (e) | 4.75% | 06/15/31 | 517,417 | |
1,626,000 | Hilton Domestic Operating Co., Inc. (e) | 3.63% | 02/15/32 | 1,390,450 | |
1,907,867 | |||||
Machinery-Diversified — 0.1% | |||||
2,900,000 | OT Merger Corp. (e) | 7.88% | 10/15/29 | 1,888,161 | |
Media — 0.9% | |||||
2,729,000 | Cable One, Inc. (e) | 4.00% | 11/15/30 | 2,064,488 | |
1,500,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 4.91% | 07/23/25 | 1,479,646 | |
295,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 2.30% | 02/01/32 | 224,275 | |
370,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.38% | 05/01/47 | 292,447 | |
325,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.75% | 04/01/48 | 270,795 | |
542,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.13% | 07/01/49 | 412,013 | |
1,000,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 4.80% | 03/01/50 | 724,251 | |
2,000,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 3.90% | 06/01/52 | 1,258,559 | |
690,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.25% | 04/01/53 | 536,236 | |
173,000 | Cox Communications, Inc. (e) | 3.15% | 08/15/24 | 170,757 | |
900,000 | Cox Enterprises, Inc. (e) | 7.38% | 07/15/27 | 948,649 | |
700,000 | CSC Holdings LLC (e) | 5.38% | 02/01/28 | 610,865 | |
700,000 | CSC Holdings LLC (e) | 7.50% | 04/01/28 | 498,400 | |
1,980,000 | CSC Holdings LLC (e) | 11.75% | 01/31/29 | 2,070,975 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Media (Continued) | |||||
$1,322,000 | CSC Holdings LLC (e) | 6.50% | 02/01/29 | $1,153,723 | |
600,000 | CSC Holdings LLC (e) | 4.63% | 12/01/30 | 334,260 | |
1,032,000 | Directv Financing LLC / Directv Financing Co-Obligor, Inc. (e) | 5.88% | 08/15/27 | 974,796 | |
750,000 | Scripps Escrow, Inc. (e) | 5.88% | 07/15/27 | 609,530 | |
1,165,000 | Sirius XM Radio, Inc. (e) | 3.88% | 09/01/31 | 964,137 | |
630,000 | Time Warner Cable LLC | 5.88% | 11/15/40 | 543,760 | |
3,970,000 | Time Warner Cable LLC | 5.50% | 09/01/41 | 3,275,377 | |
19,417,939 | |||||
Oil & Gas — 0.0% | |||||
800,000 | Sunoco, L.P. / Sunoco Finance Corp. | 4.50% | 05/15/29 | 739,730 | |
Packaging & Containers — 0.4% | |||||
3,830,000 | Berry Global, Inc. (e) | 4.88% | 07/15/26 | 3,744,028 | |
295,000 | Berry Global, Inc. | 1.65% | 01/15/27 | 265,826 | |
1,500,000 | Berry Global, Inc. (e) | 5.50% | 04/15/28 | 1,491,358 | |
1,755,000 | Clearwater Paper Corp. (e) | 4.75% | 08/15/28 | 1,625,797 | |
728,000 | Graphic Packaging International LLC | 4.13% | 08/15/24 | 719,277 | |
60,000 | Sealed Air Corp. (e) | 5.50% | 09/15/25 | 59,943 | |
725,000 | Sealed Air Corp. / Sealed Air Corp. U.S. (e) | 7.25% | 02/15/31 | 749,384 | |
8,655,613 | |||||
Pharmaceuticals — 0.5% | |||||
810,000 | Bayer US Finance II LLC (e) | 2.85% | 04/15/25 | 779,812 | |
180,000 | Bayer US Finance II LLC (e) | 4.25% | 12/15/25 | 175,081 | |
880,000 | Bayer US Finance II LLC (e) | 4.38% | 12/15/28 | 820,245 | |
265,000 | Bayer US Finance II LLC (e) | 4.63% | 06/25/38 | 218,258 | |
1,960,000 | Bayer US Finance II LLC (e) | 4.40% | 07/15/44 | 1,480,430 | |
400,000 | Bayer US Finance II LLC (e) | 4.88% | 06/25/48 | 317,238 | |
1,000,000 | Bayer US Finance LLC (e) | 6.25% | 01/21/29 | 1,007,963 | |
2,490,000 | Bayer US Finance LLC (e) | 6.50% | 11/21/33 | 2,493,009 | |
330,000 | Cigna Group (The) | 4.38% | 10/15/28 | 320,467 | |
400,000 | Cigna Group (The) | 4.90% | 12/15/48 | 359,829 | |
946,000 | Option Care Health, Inc. (e) | 4.38% | 10/31/29 | 864,592 | |
550,000 | Prestige Brands, Inc. (e) | 5.13% | 01/15/28 | 532,125 | |
1,721,000 | Prestige Brands, Inc. (e) | 3.75% | 04/01/31 | 1,488,321 | |
10,857,370 | |||||
Pipelines — 0.6% | |||||
3,095,000 | Energy Transfer, L.P. | 5.00% | 05/15/50 | 2,670,518 | |
594,000 | Energy Transfer, L.P., Series B (n) | 6.63% | (o) | 552,519 | |
765,000 | Global Partners, L.P. / GLP Finance Corp. | 6.88% | 01/15/29 | 754,646 | |
2,050,000 | Global Partners, L.P. / GLP Finance Corp. (e) | 8.25% | 01/15/32 | 2,103,971 | |
800,000 | NGL Energy Operating LLC (e) | 8.38% | 02/15/32 | 813,274 | |
350,000 | Rockies Express Pipeline LLC (e) | 4.95% | 07/15/29 | 327,627 | |
100,000 | Rockies Express Pipeline LLC (e) | 6.88% | 04/15/40 | 98,553 | |
1,274,000 | TransMontaigne Partners, L.P. / TLP Finance Corp. | 6.13% | 02/15/26 | 1,182,371 | |
951,000 | Venture Global Calcasieu Pass LLC (e) | 6.25% | 01/15/30 | 950,199 | |
520,000 | Venture Global Calcasieu Pass LLC (e) | 4.13% | 08/15/31 | 456,786 | |
1,645,000 | Venture Global LNG, Inc. (e) | 9.50% | 02/01/29 | 1,754,949 | |
11,665,413 | |||||
Real Estate — 0.0% | |||||
463,000 | Greystar Real Estate Partners LLC (e) | 7.75% | 09/01/30 | 480,813 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Real Estate Investment Trusts — 1.8% | |||||
$75,000 | Alexandria Real Estate Equities, Inc. | 3.45% | 04/30/25 | $73,264 | |
1,310,000 | American Assets Trust, L.P. | 3.38% | 02/01/31 | 1,057,021 | |
1,835,000 | American Homes 4 Rent, L.P. | 4.30% | 04/15/52 | 1,428,329 | |
2,500,000 | American Tower Corp. | 5.25% | 07/15/28 | 2,493,031 | |
330,000 | American Tower Corp. | 2.70% | 04/15/31 | 277,138 | |
250,000 | American Tower Corp. (EUR) | 1.00% | 01/15/32 | 217,132 | |
2,356,000 | American Tower Corp. | 5.55% | 07/15/33 | 2,355,510 | |
250,000 | Boston Properties, L.P. | 2.75% | 10/01/26 | 231,526 | |
200,000 | Boston Properties, L.P. | 3.40% | 06/21/29 | 176,669 | |
3,890,000 | Crown Castle, Inc. | 3.80% | 02/15/28 | 3,665,672 | |
534,000 | Crown Castle, Inc. | 2.50% | 07/15/31 | 437,735 | |
500,000 | CubeSmart, L.P. | 4.38% | 02/15/29 | 476,084 | |
281,000 | Extra Space Storage, L.P. | 3.90% | 04/01/29 | 262,600 | |
975,000 | Extra Space Storage, L.P. | 2.55% | 06/01/31 | 802,485 | |
1,978,000 | Extra Space Storage, L.P. | 2.40% | 10/15/31 | 1,598,840 | |
270,000 | Extra Space Storage, L.P. | 2.35% | 03/15/32 | 214,356 | |
390,000 | GLP Capital, L.P. / GLP Financing II, Inc. | 5.38% | 04/15/26 | 386,107 | |
675,000 | GLP Capital, L.P. / GLP Financing II, Inc. | 5.75% | 06/01/28 | 670,248 | |
2,270,000 | GLP Capital, L.P. / GLP Financing II, Inc. | 4.00% | 01/15/30 | 2,044,534 | |
55,000 | GLP Capital, L.P. / GLP Financing II, Inc. | 4.00% | 01/15/31 | 48,568 | |
1,753,000 | GLP Capital, L.P. / GLP Financing II, Inc. | 3.25% | 01/15/32 | 1,455,951 | |
490,000 | Healthcare Realty Holdings, L.P. | 3.63% | 01/15/28 | 448,355 | |
595,000 | Healthcare Realty Holdings, L.P. | 3.10% | 02/15/30 | 512,659 | |
1,597,000 | Healthcare Realty Holdings, L.P. | 2.40% | 03/15/30 | 1,283,508 | |
430,000 | Healthcare Realty Holdings, L.P. | 2.00% | 03/15/31 | 337,323 | |
190,000 | Healthcare Realty Holdings, L.P. | 2.05% | 03/15/31 | 144,685 | |
423,000 | Hudson Pacific Properties, L.P. | 3.95% | 11/01/27 | 365,765 | |
330,000 | Hudson Pacific Properties, L.P. | 4.65% | 04/01/29 | 275,257 | |
3,340,000 | Hudson Pacific Properties, L.P. | 3.25% | 01/15/30 | 2,511,592 | |
1,210,000 | Invitation Homes Operating Partnership, L.P. | 2.00% | 08/15/31 | 945,770 | |
135,000 | Invitation Homes Operating Partnership, L.P. | 4.15% | 04/15/32 | 121,856 | |
349,000 | Invitation Homes Operating Partnership, L.P. | 5.50% | 08/15/33 | 344,988 | |
1,385,000 | Invitation Homes Operating Partnership, L.P. | 2.70% | 01/15/34 | 1,079,264 | |
163,000 | Iron Mountain, Inc. (e) | 5.63% | 07/15/32 | 151,678 | |
173,000 | Kilroy Realty, L.P. | 4.25% | 08/15/29 | 157,932 | |
400,000 | Kilroy Realty, L.P. | 2.50% | 11/15/32 | 296,119 | |
505,000 | LXP Industrial Trust | 2.70% | 09/15/30 | 417,142 | |
830,000 | Physicians Realty, L.P. | 2.63% | 11/01/31 | 676,267 | |
1,440,000 | Prologis Euro Finance LLC (EUR) | 4.25% | 01/31/43 | 1,523,010 | |
624,000 | Realty Income Corp. (EUR) | 4.88% | 07/06/30 | 710,891 | |
1,035,000 | Realty Income Corp. (EUR) | 5.13% | 07/06/34 | 1,202,943 | |
200,000 | Rexford Industrial Realty, L.P. | 2.15% | 09/01/31 | 158,338 | |
250,000 | Ventas Realty, L.P. | 2.65% | 01/15/25 | 243,148 | |
265,000 | VICI Properties, L.P. | 4.95% | 02/15/30 | 252,491 | |
1,266,000 | VICI Properties, L.P. | 5.13% | 05/15/32 | 1,189,240 | |
268,000 | VICI Properties, L.P. | 5.63% | 05/15/52 | 242,937 | |
270,000 | VICI Properties, L.P. / VICI Note Co., Inc. (e) | 4.50% | 01/15/28 | 256,781 | |
2,026,000 | VICI Properties, L.P. / VICI Note Co., Inc. (e) | 4.13% | 08/15/30 | 1,818,732 | |
38,041,471 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Retail — 0.3% | |||||
$750,000 | Ferrellgas Escrow LLC / FG Operating Finance Escrow Corp. (e) | 5.38% | 04/01/26 | $743,074 | |
967,000 | Ferrellgas, L.P. / Ferrellgas Finance Corp. (e) | 5.88% | 04/01/29 | 918,944 | |
1,132,000 | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. (e) | 6.75% | 01/15/30 | 1,000,908 | |
788,000 | FirstCash, Inc. (e) | 5.63% | 01/01/30 | 747,427 | |
365,000 | FirstCash, Inc. (e) | 6.88% | 03/01/32 | 361,849 | |
550,000 | Lithia Motors, Inc. (e) | 3.88% | 06/01/29 | 491,381 | |
2,170,000 | Michaels (The) Cos., Inc. (e) | 7.88% | 05/01/29 | 1,403,976 | |
725,000 | Raising Cane’s Restaurants LLC (e) | 9.38% | 05/01/29 | 773,186 | |
6,440,745 | |||||
Semiconductors — 0.0% | |||||
75,000 | Broadcom, Inc. | 3.63% | 10/15/24 | 74,061 | |
415,000 | Intel Corp. | 3.73% | 12/08/47 | 315,738 | |
389,799 | |||||
Software — 0.2% | |||||
225,000 | Central Parent, Inc. / CDK Global, Inc. (e) | 7.25% | 06/15/29 | 226,746 | |
895,000 | Oracle Corp. | 6.50% | 04/15/38 | 957,165 | |
1,640,000 | Oracle Corp. | 4.00% | 11/15/47 | 1,257,463 | |
480,000 | Oracle Corp. | 3.95% | 03/25/51 | 358,384 | |
775,000 | RingCentral, Inc. (e) | 8.50% | 08/15/30 | 801,873 | |
3,601,631 | |||||
Telecommunications — 0.7% | |||||
162,000 | CommScope, Inc. (e) | 6.00% | 03/01/26 | 145,994 | |
1,441,000 | CommScope, Inc. (e) | 4.75% | 09/01/29 | 988,562 | |
1,646,000 | Frontier Communications Holdings LLC (e) | 5.00% | 05/01/28 | 1,525,034 | |
925,000 | Frontier Communications Holdings LLC (e) | 6.75% | 05/01/29 | 831,559 | |
1,160,000 | Frontier Communications Holdings LLC (e) | 8.63% | 03/15/31 | 1,176,347 | |
342,000 | Qwest Corp. | 7.25% | 09/15/25 | 331,168 | |
335,000 | SES GLOBAL Americas Holdings, Inc. (e) | 5.30% | 03/25/44 | 257,283 | |
614,063 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (e) | 4.74% | 03/20/25 | 610,058 | |
6,710,750 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (e) | 5.15% | 03/20/28 | 6,691,435 | |
74,000 | T-Mobile USA, Inc. | 4.75% | 02/01/28 | 72,765 | |
1,000,000 | T-Mobile USA, Inc. | 2.63% | 02/15/29 | 887,449 | |
1,660,000 | Zayo Group Holdings, Inc. (e) | 4.00% | 03/01/27 | 1,383,892 | |
14,901,546 | |||||
Total Corporate Bonds and Notes | 369,374,908 | ||||
(Cost $380,598,971) | |||||
U.S. GOVERNMENT BONDS AND NOTES — 12.0% | |||||
135,000 | U.S. Treasury Bond | 4.75% | 11/15/53 | 143,670 | |
1,870,000 | U.S. Treasury Bond | 4.25% | 02/15/54 | 1,835,376 | |
67,355,000 | U.S. Treasury Note | 4.63% | 02/28/26 | 67,352,369 | |
9,305,000 | U.S. Treasury Note | 4.00% | 01/15/27 | 9,197,047 | |
71,940,000 | U.S. Treasury Note | 4.13% | 02/15/27 | 71,352,678 | |
62,284,000 | U.S. Treasury Note | 4.00% | 01/31/29 | 61,573,573 | |
30,475,000 | U.S. Treasury Note | 4.25% | 02/28/29 | 30,480,952 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT BONDS AND NOTES (Continued) | |||||
$1,345,000 | U.S. Treasury Note | 4.50% | 11/15/33 | $1,370,744 | |
9,490,000 | U.S. Treasury Note | 4.00% | 02/15/34 | 9,305,390 | |
Total U.S. Government Bonds and Notes | 252,611,799 | ||||
(Cost $253,313,928) | |||||
FOREIGN CORPORATE BONDS AND NOTES (m) — 5.7% | |||||
Agriculture — 0.2% | |||||
2,555,000 | BAT International Finance PLC (GBP) (r) | 2.25% | 09/09/52 | 1,404,721 | |
1,000,000 | Imperial Brands Finance Netherlands B.V. (EUR) (r) | 1.75% | 03/18/33 | 859,727 | |
1,200,000 | Imperial Brands Finance PLC (e) | 6.13% | 07/27/27 | 1,222,024 | |
3,486,472 | |||||
Banks — 1.4% | |||||
955,000 | DNB Bank ASA (e) (n) | 0.86% | 09/30/25 | 927,887 | |
5,465,000 | HSBC Holdings PLC (n) | 2.10% | 06/04/26 | 5,230,115 | |
505,000 | HSBC Holdings PLC (n) | 1.59% | 05/24/27 | 462,468 | |
3,180,000 | HSBC Holdings PLC (n) | 4.76% | 06/09/28 | 3,105,716 | |
265,000 | HSBC Holdings PLC (n) | 2.21% | 08/17/29 | 230,190 | |
3,662,000 | HSBC Holdings PLC (n) | 2.80% | 05/24/32 | 3,029,041 | |
200,000 | Lloyds Banking Group PLC | 3.90% | 03/12/24 | 199,912 | |
1,005,000 | Lloyds Banking Group PLC (n) | 3.57% | 11/07/28 | 938,896 | |
865,000 | NatWest Group PLC (n) | 4.27% | 03/22/25 | 864,262 | |
2,005,000 | Santander UK Group Holdings PLC (n) | 1.09% | 03/15/25 | 2,001,796 | |
2,390,000 | Santander UK Group Holdings PLC (n) | 1.67% | 06/14/27 | 2,173,403 | |
430,000 | Santander UK Group Holdings PLC (n) | 2.47% | 01/11/28 | 391,652 | |
505,000 | UBS Group AG (e) (n) | 2.59% | 09/11/25 | 496,398 | |
2,160,000 | UBS Group AG (e) (n) | 1.31% | 02/02/27 | 1,991,267 | |
2,000,000 | UBS Group AG (e) (n) | 1.49% | 08/10/27 | 1,812,415 | |
1,100,000 | UBS Group AG (e) (n) | 4.19% | 04/01/31 | 1,012,084 | |
5,545,000 | UBS Group AG (e) (n) | 3.09% | 05/14/32 | 4,661,814 | |
510,000 | UBS Group AG (e) (n) | 9.02% | 11/15/33 | 613,871 | |
30,143,187 | |||||
Beverages — 0.3% | |||||
505,000 | Bacardi Ltd. (e) | 2.75% | 07/15/26 | 476,026 | |
3,170,000 | Bacardi Ltd. (e) | 4.70% | 05/15/28 | 3,082,756 | |
1,000,000 | Becle SAB de C.V. (e) | 2.50% | 10/14/31 | 783,410 | |
1,895,000 | JDE Peet’s N.V. (e) | 2.25% | 09/24/31 | 1,484,691 | |
5,826,883 | |||||
Building Materials — 0.0% | |||||
40,000 | Ingersoll-Rand Luxembourg Finance S.A. | 3.55% | 11/01/24 | 39,474 | |
Chemicals — 0.1% | |||||
150,000 | Axalta Coating Systems Dutch Holding B B.V. (e) | 7.25% | 02/15/31 | 155,805 | |
700,000 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B B.V. (e) | 4.75% | 06/15/27 | 676,602 | |
1,675,000 | EverArc Escrow S.A.R.L. (e) | 5.00% | 10/30/29 | 1,423,820 | |
275,000 | Herens Holdco S.A.R.L. (e) | 4.75% | 05/15/28 | 240,465 | |
2,496,692 | |||||
Commercial Services — 0.1% | |||||
900,000 | Worldline S.A. (EUR) (r) | 4.13% | 09/12/28 | 948,704 | |
Diversified Financial Services — 0.7% | |||||
2,000,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 2.45% | 10/29/26 | 1,845,722 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Diversified Financial Services (Continued) | |||||
$115,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.88% | 01/23/28 | $108,376 | |
1,650,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.00% | 10/29/28 | 1,483,975 | |
2,720,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.30% | 01/30/32 | 2,301,861 | |
100,000 | Avolon Holdings Funding Ltd. (e) | 3.95% | 07/01/24 | 99,262 | |
325,000 | Avolon Holdings Funding Ltd. (e) | 2.88% | 02/15/25 | 315,522 | |
5,645,000 | Avolon Holdings Funding Ltd. (e) | 2.53% | 11/18/27 | 4,999,744 | |
1,045,000 | GGAM Finance Ltd. (e) | 8.00% | 02/15/27 | 1,071,748 | |
1,480,000 | GGAM Finance Ltd. (e) | 8.00% | 06/15/28 | 1,532,306 | |
13,758,516 | |||||
Electric — 0.2% | |||||
500,000 | Comision Federal de Electricidad (r) | 3.88% | 07/26/33 | 409,062 | |
230,573 | Mong Duong Finance Holdings B.V. (r) | 5.13% | 05/07/29 | 220,297 | |
2,055,000 | TenneT Holding B.V. (EUR) (r) | 4.50% | 10/28/34 | 2,383,426 | |
945,000 | TenneT Holding B.V. (EUR) (r) | 2.75% | 05/17/42 | 931,269 | |
280,000 | TenneT Holding B.V. (EUR) (r) | 4.75% | 10/28/42 | 342,089 | |
4,286,143 | |||||
Engineering & Construction — 0.0% | |||||
1,000,000 | Heathrow Funding Ltd. (EUR) (r) | 1.88% | 03/14/34 | 888,702 | |
Entertainment — 0.1% | |||||
700,000 | Banijay Entertainment SASU (e) | 8.13% | 05/01/29 | 724,613 | |
899,000 | Ontario Gaming GTA, L.P. (e) | 8.00% | 08/01/30 | 917,582 | |
1,642,195 | |||||
Environmental Control — 0.1% | |||||
1,400,000 | GFL Environmental, Inc. (e) | 4.00% | 08/01/28 | 1,284,846 | |
750,000 | GFL Environmental, Inc. (e) | 3.50% | 09/01/28 | 680,677 | |
1,965,523 | |||||
Food — 0.5% | |||||
1,900,000 | ELO SACA (EUR) (r) | 6.00% | 03/22/29 | 2,059,887 | |
4,617,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS Luxembourg S.A.R.L. (e) | 6.75% | 03/15/34 | 4,758,383 | |
1,500,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 5.13% | 02/01/28 | 1,470,716 | |
1,700,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 3.75% | 12/01/31 | 1,446,633 | |
9,735,619 | |||||
Gas — 0.0% | |||||
680,000 | National Gas Transmission PLC (EUR) (r) | 4.25% | 04/05/30 | 750,488 | |
Healthcare-Products — 0.0% | |||||
500,000 | Medtronic Global Holdings SCA (EUR) | 3.38% | 10/15/34 | 530,257 | |
300,000 | Sartorius Finance B.V. (EUR) (r) | 4.50% | 09/14/32 | 335,177 | |
865,434 | |||||
Healthcare-Services — 0.1% | |||||
2,740,000 | Kedrion S.p.A. (e) | 6.50% | 09/01/29 | 2,469,222 | |
Investment Companies — 0.1% | |||||
1,640,000 | Gaci First Investment Co. (r) | 5.25% | 10/13/32 | 1,644,100 | |
Machinery-Diversified — 0.0% | |||||
222,000 | Titan Acquisition Ltd. / Titan Co-Borrower LLC (e) | 7.75% | 04/15/26 | 222,178 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Media — 0.2% | |||||
$1,090,000 | Tele Columbus AG (EUR) (r) | 3.88% | 05/02/25 | $739,692 | |
2,850,000 | VZ Secured Financing B.V. (e) | 5.00% | 01/15/32 | 2,435,843 | |
3,175,535 | |||||
Mining — 0.2% | |||||
2,750,000 | Corp. Nacional del Cobre de Chile (r) | 5.13% | 02/02/33 | 2,581,395 | |
1,000,000 | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT (r) | 5.45% | 05/15/30 | 981,260 | |
3,562,655 | |||||
Oil & Gas — 0.2% | |||||
570,000 | Ecopetrol S.A. | 8.88% | 01/13/33 | 599,711 | |
1,100,000 | KazMunayGas National Co. JSC (r) | 5.38% | 04/24/30 | 1,068,292 | |
1,000,000 | KazMunayGas National Co. JSC (r) | 3.50% | 04/14/33 | 814,625 | |
1,100,000 | Pertamina Persero PT (e) | 3.10% | 08/27/30 | 971,244 | |
170,000 | Petroleos Mexicanos | 6.35% | 02/12/48 | 104,189 | |
200,000 | Saudi Arabian Oil Co. (e) | 2.25% | 11/24/30 | 167,730 | |
3,725,791 | |||||
Packaging & Containers — 0.1% | |||||
900,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (e) | 5.25% | 08/15/27 | 653,802 | |
2,000,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (e) | 5.25% | 08/15/27 | 1,452,893 | |
850,000 | Trivium Packaging Finance B.V. (e) | 8.50% | 08/15/27 | 829,444 | |
2,936,139 | |||||
Pharmaceuticals — 0.2% | |||||
1,650,000 | 1375209 BC Ltd. (e) | 9.00% | 01/30/28 | 1,614,822 | |
435,000 | Grifols S.A. (EUR) (r) | 3.88% | 10/15/28 | 400,070 | |
1,826,000 | Grifols S.A. (e) | 4.75% | 10/15/28 | 1,522,702 | |
365,000 | Jazz Securities DAC (e) | 4.38% | 01/15/29 | 336,621 | |
3,874,215 | |||||
Pipelines — 0.2% | |||||
2,463,376 | Galaxy Pipeline Assets Bidco Ltd. (e) | 2.16% | 03/31/34 | 2,115,902 | |
400,000 | QazaqGaz NC JSC (r) | 4.38% | 09/26/27 | 374,300 | |
2,380,000 | TMS Issuer Sarl (r) | 5.78% | 08/23/32 | 2,442,349 | |
4,932,551 | |||||
Real Estate — 0.2% | |||||
415,000 | Annington Funding PLC (GBP) (r) | 3.18% | 07/12/29 | 463,877 | |
380,000 | Annington Funding PLC (GBP) (r) | 2.31% | 10/06/32 | 370,082 | |
310,000 | Annington Funding PLC (GBP) (r) | 4.75% | 08/09/33 | 361,835 | |
400,000 | Annington Funding PLC (GBP) (r) | 3.69% | 07/12/34 | 422,002 | |
495,000 | Blackstone Property Partners Europe Holdings S.A.R.L. (EUR) (r) | 1.00% | 05/04/28 | 458,985 | |
600,000 | Blackstone Property Partners Europe Holdings S.A.R.L. (EUR) (r) | 1.75% | 03/12/29 | 559,290 | |
1,530,000 | Blackstone Property Partners Europe Holdings S.A.R.L. (EUR) (r) | 1.63% | 04/20/30 | 1,366,998 | |
605,000 | China Aoyuan Group Ltd. (r) | 6.35% | 02/08/24 | 13,612 | |
200,000 | China SCE Group Holdings Ltd. (p) (r) | 7.00% | 05/02/25 | 12,500 | |
200,000 | LEG Immobilien SE (EUR) (r) | 1.50% | 01/17/34 | 168,849 | |
35,173 | Sunac China Holdings Ltd. (e) (s) | 6.00% | 09/30/25 | 4,221 | |
35,173 | Sunac China Holdings Ltd. (e) (t) | 6.25% | 09/30/26 | 3,893 | |
70,346 | Sunac China Holdings Ltd. (e) (u) | 6.50% | 09/30/27 | 7,035 | |
105,519 | Sunac China Holdings Ltd. (e) (v) | 6.75% | 09/30/28 | 9,233 | |
105,519 | Sunac China Holdings Ltd. (e) (w) | 7.00% | 09/30/29 | 8,178 | |
49,569 | Sunac China Holdings Ltd. (e) (x) | 7.25% | 09/30/30 | 3,445 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (m) (Continued) | |||||
Real Estate (Continued) | |||||
$200,000 | Times China Holdings Ltd. (p) (r) | 6.75% | 07/08/25 | $7,200 | |
100,000 | Vonovia Finance B.V. (EUR) (r) | 2.25% | 04/07/30 | 97,280 | |
100,000 | Vonovia SE (EUR) (r) | 5.00% | 11/23/30 | 112,506 | |
800,000 | Vonovia SE (EUR) (r) | 0.75% | 09/01/32 | 646,098 | |
415,000 | Zhenro Properties Group Ltd. (p) (r) | 6.63% | 01/07/26 | 7,134 | |
5,104,253 | |||||
Real Estate Investment Trusts — 0.1% | |||||
510,000 | CapitaLand Ascendas REIT (EUR) (r) | 0.75% | 06/23/28 | 469,378 | |
1,945,000 | Digital Intrepid Holding B.V. (EUR) (r) | 0.63% | 07/15/31 | 1,629,756 | |
2,099,134 | |||||
Retail — 0.0% | |||||
345,000 | 1011778 BC ULC / New Red Finance, Inc. (e) | 3.50% | 02/15/29 | 311,362 | |
Savings & Loans — 0.1% | |||||
1,520,000 | Nationwide Building Society (e) (n) | 2.97% | 02/16/28 | 1,406,966 | |
Software — 0.2% | |||||
3,695,000 | Open Text Corp. (e) | 6.90% | 12/01/27 | 3,817,800 | |
Telecommunications — 0.1% | |||||
200,000 | C&W Senior Financing DAC (e) | 6.88% | 09/15/27 | 188,711 | |
1,500,000 | Global Switch Finance B.V. (EUR) (r) | 1.38% | 10/07/30 | 1,481,380 | |
609,000 | Intelsat Jackson Holdings S.A. (e) (p) | 6.50% | 03/15/30 | 568,125 | |
400,000 | TDC Net A/S (EUR) (r) | 6.50% | 06/01/31 | 463,117 | |
2,701,333 | |||||
Water — 0.0% | |||||
750,000 | Thames Water Utilities Finance PLC (EUR) (r) | 4.38% | 01/18/31 | 752,733 | |
Total Foreign Corporate Bonds and Notes | 119,569,999 | ||||
(Cost $122,058,769) | |||||
FOREIGN SOVEREIGN BONDS AND NOTES — 2.3% | |||||
Brazil — 0.2% | |||||
1,200,000 | Brazilian Government International Bond | 6.00% | 10/20/33 | 1,189,850 | |
2,850,000 | Brazilian Government International Bond | 6.13% | 03/15/34 | 2,820,501 | |
4,010,351 | |||||
Colombia — 0.1% | |||||
1,154,000 | Colombia Government International Bond | 4.50% | 03/15/29 | 1,054,875 | |
1,450,000 | Colombia Government International Bond | 3.00% | 01/30/30 | 1,190,737 | |
524,000 | Colombia Government International Bond | 3.13% | 04/15/31 | 414,894 | |
200,000 | Colombia Government International Bond | 8.00% | 04/20/33 | 209,475 | |
2,869,981 | |||||
Costa Rica — 0.0% | |||||
600,000 | Costa Rica Government International Bond (r) | 6.55% | 04/03/34 | 619,854 | |
Dominican Republic — 0.2% | |||||
4,150,000 | Dominican Republic International Bond (e) | 4.50% | 01/30/30 | 3,776,760 | |
Guatemala — 0.2% | |||||
800,000 | Guatemala Government Bond (r) | 5.25% | 08/10/29 | 771,000 | |
700,000 | Guatemala Government Bond (r) | 4.90% | 06/01/30 | 666,050 | |
2,217,000 | Guatemala Government Bond (r) | 3.70% | 10/07/33 | 1,822,097 | |
3,259,147 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (Continued) | |||||
Hungary — 0.1% | |||||
$3,200,000 | Hungary Government International Bond (e) | 2.13% | 09/22/31 | $2,507,552 | |
Indonesia — 0.1% | |||||
1,000,000 | Indonesia Government International Bond | 4.85% | 01/11/33 | 982,205 | |
Mexico — 0.3% | |||||
1,960,000 | Mexico Government International Bond | 2.66% | 05/24/31 | 1,624,626 | |
500,000 | Mexico Government International Bond | 4.75% | 04/27/32 | 471,437 | |
700,000 | Mexico Government International Bond | 3.50% | 02/12/34 | 579,326 | |
4,080,000 | Mexico Government International Bond | 6.35% | 02/09/35 | 4,183,469 | |
6,858,858 | |||||
Oman — 0.2% | |||||
600,000 | Oman Government International Bond (r) | 6.75% | 10/28/27 | 622,134 | |
2,650,000 | Oman Government International Bond (r) | 5.63% | 01/17/28 | 2,656,625 | |
3,278,759 | |||||
Panama — 0.2% | |||||
2,339,000 | Panama Government International Bond | 3.16% | 01/23/30 | 1,929,771 | |
1,733,000 | Panama Government International Bond | 2.25% | 09/29/32 | 1,219,203 | |
3,148,974 | |||||
Paraguay — 0.2% | |||||
2,420,000 | Paraguay Government International Bond (r) | 4.95% | 04/28/31 | 2,324,918 | |
3,200,000 | Paraguay Government International Bond (r) | 3.85% | 06/28/33 | 2,763,161 | |
5,088,079 | |||||
Peru — 0.1% | |||||
2,370,000 | Peruvian Government International Bond | 2.78% | 01/23/31 | 2,020,219 | |
550,000 | Peruvian Government International Bond | 1.86% | 12/01/32 | 416,863 | |
2,437,082 | |||||
Philippines — 0.1% | |||||
1,950,000 | Philippine Government International Bond | 2.46% | 05/05/30 | 1,682,664 | |
Poland — 0.0% | |||||
100,000 | Republic of Poland Government International Bond | 4.88% | 10/04/33 | 98,075 | |
Romania — 0.1% | |||||
1,000,000 | Romanian Government International Bond (e) | 6.63% | 02/17/28 | 1,029,006 | |
2,350,000 | Romanian Government International Bond (r) | 3.00% | 02/14/31 | 1,957,292 | |
2,986,298 | |||||
South Africa — 0.2% | |||||
1,693,000 | Republic of South Africa Government International Bond | 4.30% | 10/12/28 | 1,527,611 | |
200,000 | Republic of South Africa Government International Bond | 4.85% | 09/30/29 | 179,938 | |
2,083,000 | Republic of South Africa Government International Bond | 5.88% | 06/22/30 | 1,935,488 | |
400,000 | Republic of South Africa Government International Bond | 5.88% | 04/20/32 | 361,540 | |
4,004,577 | |||||
United Arab Emirates — 0.0% | |||||
200,000 | Finance Department Government of Sharjah (e) | 6.50% | 11/23/32 | 205,919 | |
Total Foreign Sovereign Bonds and Notes | 47,815,135 | ||||
(Cost $49,326,179) |
Principal Value | Description | Rate (y) | Stated Maturity (z) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS — 1.3% | |||||
Brokerage/Asset Managers/Exchanges — 0.0% | |||||
$984,339 | Jane Street Group LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.00% Floor | 7.94% | 01/26/28 | $983,286 | |
Consumer Cyclical Services — 0.0% | |||||
190,630 | Match Group Holdings II LLC, Term Loan B, 3 Mo. CME Term SOFR + CSA + 1.75%, 0.00% Floor | 7.27% | 02/16/27 | 190,392 | |
Electric — 0.1% | |||||
1,902,805 | Calpine Corp., Term Loan B9, 1 Mo. CME Term SOFR + 2.00%, 0.00% Floor | 7.33% | 04/01/26 | 1,891,778 | |
Environmental — 0.0% | |||||
221,841 | Patriot Container Corp., Term Loan, 1 Mo. CME Term SOFR + 7.75%, 1.00% Floor | 13.09% | 03/20/26 | 193,002 | |
Financial Other — 0.1% | |||||
1,217,994 | Greystar Real Estate Partners LLC, Term Loan B1, 1 Mo. CME Term SOFR + 3.25%, 0.50% Floor | 8.58% | 08/21/30 | 1,219,517 | |
561,036 | Trans Union LLC, Term Loan B, 1 Mo. CME Term SOFR + 2.00%, 0.50% Floor | 7.33% | 12/01/28 | 561,286 | |
1,780,803 | |||||
Food and Beverage — 0.1% | |||||
563,030 | Froneri US, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.25%, 0.00% Floor | 7.68% | 02/01/27 | 563,492 | |
332,850 | H-Food Holdings LLC, Term Loan, 3 Mo. CME Term SOFR + CSA + 3.69%, 0.00% Floor | 9.29% | 05/30/25 | 247,467 | |
1,448,790 | Naked Juice LLC, Term Loan, 3 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor | 8.70% | 01/24/29 | 1,369,106 | |
473,922 | Triton Water Holdings, Inc., Term Loan B, 3 Mo. CME Term SOFR + CSA + 3.50%, 0.50% Floor | 8.86% | 03/31/28 | 466,517 | |
2,646,582 | |||||
Gaming — 0.1% | |||||
351,887 | Bally’s Corp., Term Loan B, 3 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor | 8.83% | 10/02/28 | 335,063 | |
1,130,647 | Caesars Entertainment, Inc., Term Loan B1, 3 Mo. CME Term SOFR + 2.75%, 0.50% Floor | 8.04% | 02/06/31 | 1,131,122 | |
912,879 | Ontario Gaming GTA, L.P., Term Loan B, 1 Mo. CME Term SOFR + 4.25%, 0.50% Floor | 9.60% | 08/01/30 | 913,203 | |
2,379,388 | |||||
Healthcare — 0.2% | |||||
1,000,000 | Bausch & Lomb Corp., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor | 8.67% | 05/10/27 | 992,030 | |
470,269 | Carestream Dental Technology, Inc., Term Loan B1, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 8.86% | 09/01/24 | 413,447 | |
1,500,000 | Gainwell Acquisition Corp., Term Loan B, 3 Mo. CME Term SOFR + CSA + 4.00%, 0.75% Floor | 9.45% | 10/01/27 | 1,438,125 | |
655,000 | Star Parent, Inc., Term Loan, 3 Mo. CME Term SOFR + 4.00%, 0.00% Floor | 9.35% | 09/30/30 | 647,634 | |
3,491,236 | |||||
Industrial Other — 0.0% | |||||
653,480 | Artera Services LLC, Term Loan, 1 Mo. CME Term SOFR + 4.50%, 0.00% Floor | 9.81% | 02/10/31 | 655,931 |
Principal Value | Description | Rate (y) | Stated Maturity (z) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | |||||
Insurance — 0.1% | |||||
$1,450,034 | Acrisure LLC, Term Loan B2, 1 Mo. CME Term SOFR + 3.75%, 0.50% Floor | 9.07% | 02/15/27 | $1,451,846 | |
Media Entertainment — 0.0% | |||||
258,987 | Magnite, Inc., Term Loan B, 3 Mo. CME Term SOFR + 4.50%, 0.00% Floor | 9.60%-9.82% | 02/06/31 | 259,311 | |
507,822 | Research Now Group, Inc., Term Loan, 3 Mo. CME Term SOFR + CSA + 5.50%, 1.00% Floor | 11.07% | 12/20/24 | 298,218 | |
557,529 | |||||
Midstream — 0.1% | |||||
1,000,000 | Buckeye Partners, L.P., Term Loan B, 1 Mo. CME Term SOFR + 2.00%, 0.00% Floor | 7.33% | 11/02/26 | 1,001,600 | |
Natural Gas — 0.0% | |||||
667,706 | NGL Energy Operating LLC, Term Loan B, 1 Mo. CME Term SOFR + 4.50%, 0.00% Floor | 9.83% | 02/03/31 | 670,838 | |
Paper — 0.0% | |||||
26,861 | Mativ Holdings, Inc., Delayed Draw Term Loan, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.00% Floor | 7.93% | 05/06/27 | 26,458 | |
Pharmaceuticals — 0.2% | |||||
1,500,000 | Grifols Worldwide Operations Ltd., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.00%, 0.00% Floor | 7.43% | 11/15/27 | 1,473,938 | |
2,009,772 | Jazz Financing LUX S.A.R.L., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.00%, 0.50% Floor | 8.44% | 05/05/28 | 2,014,796 | |
3,488,734 | |||||
Restaurants — 0.0% | |||||
317,717 | Whatabrands LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor | 8.69% | 08/03/28 | 317,565 | |
Technology — 0.2% | |||||
2,662,468 | EagleView Technology Corp., Term Loan B, 3 Mo. CME Term SOFR + CSA + 3.50%, 0.00% Floor | 9.11% | 08/14/25 | 2,601,179 | |
620,158 | Renaissance Holding Corp., Term Loan, 1 Mo. CME Term SOFR + 4.25%, 0.50% Floor | 9.58% | 04/08/30 | 619,575 | |
3,220,754 | |||||
Wireless — 0.1% | |||||
529,368 | CCI Buyer, Inc., Term Loan B, 3 Mo. CME Term SOFR + 4.00%, 0.75% Floor | 9.35% | 12/17/27 | 526,729 | |
1,573,323 | SBA Senior Finance II LLC, Term Loan B, 1 Mo. CME Term SOFR + 2.00%, 0.00% Floor | 7.33% | 01/27/31 | 1,574,306 | |
2,101,035 | |||||
Wirelines — 0.0% | |||||
1,000,000 | Frontier Communications Corp., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.75%, 0.75% Floor | 9.19% | 10/08/27 | 997,680 | |
Total Senior Floating-Rate Loan Interests | 28,046,437 | ||||
(Cost $28,068,266) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY SECURITIES — 1.2% | |||||
25,000,000 | Federal Home Loan Bank Discount Notes | (i) | 05/15/24 | 24,725,555 | |
(Cost $24,729,385) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CONVERTIBLE FOREIGN CORPORATE BONDS AND NOTES (m) — 0.0% | |||||
Commercial Services — 0.0% | |||||
$619,200 | Worldline S.A. (EUR) (r) | (i) | 07/30/26 | $602,473 | |
Real Estate — 0.0% | |||||
43,478 | Sunac China Holdings Ltd. (e) | 1.00% | 09/30/32 | 2,826 | |
Total Convertible Foreign Corporate Bonds and Notes | 605,299 | ||||
(Cost $595,070) | |||||
MUNICIPAL BONDS — 0.0% | |||||
Colorado — 0.0% | |||||
220,000 | City & Cnty of Denver Cnty Arpt Rev, Ser C | 2.24% | 11/15/30 | 188,655 | |
(Cost $220,000) |
Shares | Description | Value | |||
COMMON STOCKS — 0.0% | |||||
Wireless Telecommunication Services — 0.0% | |||||
15,769 | Intelsat Jackson Emergence S.A. (d) (k) (l) (aa) | 0 | |||
(Cost $527,847) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. TREASURY BILLS — 8.9% | |||||
31,820,000 | U.S. Treasury Bill | (i) | 04/16/24 | 31,605,240 | |
64,335,000 | U.S. Treasury Bill | (i) | 04/18/24 | 63,883,368 | |
60,805,000 | U.S. Treasury Bill | (i) | 04/23/24 | 60,332,343 | |
19,340,000 | U.S. Treasury Bill | (i) | 04/25/24 | 19,183,976 | |
13,215,000 | U.S. Treasury Bill | (i) | 05/16/24 | 13,069,036 | |
Total U.S. Treasury Bills | 188,073,963 | ||||
(Cost $188,057,999) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.5% | |||||
31,963,914 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (ab) | 31,963,914 | |||
(Cost $31,963,914) | |||||
Total Investments — 111.8% | 2,354,187,246 | ||||
(Cost $2,414,972,377) | |||||
Net Other Assets and Liabilities — (11.8)% | (248,818,819 ) | ||||
Net Assets — 100.0% | $2,105,368,427 |
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 2/29/2024 | Sale Value as of 2/29/2024 | Unrealized Appreciation (Depreciation) | ||
03/04/2024 | Citi | EUR | 203,083 | USD | 219,289 | $219,529 | $219,289 | $240 |
04/12/2024 | BNY | EUR | 490,000 | USD | 528,328 | 530,561 | 528,328 | 2,233 |
04/12/2024 | Citi | EUR | 212,000 | USD | 231,060 | 229,549 | 231,060 | (1,511 ) |
04/12/2024 | Citi | EUR | 218,000 | USD | 236,912 | 236,046 | 236,912 | (866 ) |
04/12/2024 | Citi | GBP | 135,000 | USD | 170,907 | 170,456 | 170,907 | (451 ) |
04/12/2024 | BNY | USD | 447,423 | EUR | 413,000 | 447,423 | 447,188 | 235 |
04/12/2024 | BOFA | USD | 923,500 | EUR | 841,000 | 923,500 | 910,617 | 12,883 |
04/12/2024 | BOFA | USD | 463,007 | EUR | 421,000 | 463,007 | 455,850 | 7,157 |
04/12/2024 | BOFA | USD | 589,513 | EUR | 541,000 | 589,513 | 585,783 | 3,730 |
04/12/2024 | BOFA | USD | 110,800 | EUR | 103,000 | 110,800 | 111,526 | (726 ) |
04/12/2024 | BOFA | USD | 484,776 | EUR | 450,000 | 484,776 | 487,250 | (2,474 ) |
04/12/2024 | BOFA | USD | 1,113,938 | EUR | 1,028,000 | 1,113,938 | 1,113,097 | 841 |
04/12/2024 | Citi | USD | 439,402 | EUR | 400,000 | 439,402 | 433,112 | 6,290 |
04/12/2024 | Citi | USD | 1,283,360 | EUR | 1,166,000 | 1,283,360 | 1,262,520 | 20,840 |
04/12/2024 | Citi | USD | 18,507,634 | EUR | 16,809,000 | 18,507,634 | 18,200,430 | 307,204 |
04/12/2024 | Citi | USD | 735,645 | EUR | 670,000 | 735,645 | 725,462 | 10,183 |
04/12/2024 | Citi | USD | 731,888 | EUR | 664,000 | 731,888 | 718,965 | 12,923 |
04/12/2024 | Citi | USD | 191,777 | EUR | 176,000 | 191,777 | 190,569 | 1,208 |
04/12/2024 | Citi | USD | 388,666 | EUR | 356,000 | 388,666 | 385,469 | 3,197 |
04/12/2024 | Citi | USD | 169,413 | EUR | 155,000 | 169,413 | 167,831 | 1,582 |
04/12/2024 | Citi | USD | 446,532 | EUR | 412,000 | 446,532 | 446,105 | 427 |
04/12/2024 | Citi | USD | 485,758 | EUR | 447,000 | 485,758 | 484,002 | 1,756 |
04/12/2024 | Citi | USD | 1,049,143 | EUR | 967,000 | 1,049,143 | 1,047,047 | 2,096 |
04/12/2024 | Citi | USD | 219,545 | EUR | 203,000 | 219,545 | 219,804 | (259 ) |
04/12/2024 | GSIL | USD | 93,368 | EUR | 86,000 | 93,368 | 93,119 | 249 |
04/12/2024 | Citi | USD | 2,796,691 | GBP | 2,191,000 | 2,796,691 | 2,766,432 | 30,259 |
04/12/2024 | Citi | USD | 369,139 | GBP | 290,000 | 369,139 | 366,163 | 2,976 |
Net Unrealized Appreciation (Depreciation) | $422,222 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
U.S. 2-Year Treasury Notes | Long | 1,117 | Jun-2024 | $228,705,750 | $121,905 |
U.S. 5-Year Treasury Notes | Long | 3,513 | Jun-2024 | 375,561,656 | (19,912 ) |
Euro-Bobl Futures | Short | 54 | Mar-2024 | (6,782,975 ) | 81,871 |
Euro-Bund Future | Short | 98 | Mar-2024 | (14,050,084 ) | 145,305 |
Euro-Buxl 30 Year Bonds Futures | Short | 13 | Mar-2024 | (1,870,952 ) | (14,928 ) |
Long Gilt Futures | Short | 21 | Jun-2024 | (2,600,215 ) | (18,864 ) |
Ultra 10-Year U.S. Treasury Notes | Short | 1,139 | Jun-2024 | (130,041,766 ) | (329,895 ) |
Ultra U.S. Treasury Bond Futures | Short | 480 | Jun-2024 | (61,380,000 ) | (71,789 ) |
$387,541,414 | $(106,307 ) |
Counterparty | Floating Rate | Expiration Date | Notional Value | Fixed Rate | Unrealized Appreciation (Depreciation)/ Value |
Citadel Securities LLC | SOFR(1) | 12/20/2053 | $3,279,000 | 3.520 %(1) | $64,888 |
(1) | The Fund pays the fixed rate and receives the floating rate. At February 29, 2024, the floating rate accrued is 5.32%. |
(a) | Inverse floating rate security. |
(b) | Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically. |
(c) | 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. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(e) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At February 29, 2024, securities noted as such amounted to $761,156,273 or 36.2% of net assets. |
(f) | All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2J - Mortgage Dollar Rolls in the Notes to Financial Statements). |
(g) | Step-up security. A security where the coupon increases or steps up at a predetermined date. The coupon rate is determined based on the underlying investments. The coupon rate resets periodically. |
(h) | Floating or variable rate security. |
(i) | Zero coupon security. |
(j) | When-issued security. The interest rate shown reflects the rate in effect at February 29, 2024. Interest will begin accruing on the security’s first settlement date. |
(k) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At February 29, 2024, securities noted as such are valued at $517,950 or 0.0% of net assets. |
(l) | This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
(m) | Principal Value is in U.S. dollars unless otherwise indicated in the security description. |
(n) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at February 29, 2024. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(o) | Perpetual maturity. |
(p) | This issuer is in default. |
(q) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2K - Restricted Securities in the Notes to Financial Statements). |
(r) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(s) | The issuer will pay interest on the bonds in cash or in Payment-In-Kind (“PIK”) interest. Interest paid in cash will accrue at the rate of 5.00% per annum (“Cash Interest Rate”) and PIK interest will accrue on the bond at the rate of 6.00% per annum. The first interest payment is scheduled for March 30, 2024. |
(t) | The issuer will pay interest on the bonds in cash or in PIK interest. Interest paid in cash will accrue at the rate of 5.25% per annum (“Cash Interest Rate”) and PIK interest will accrue on the bond at the rate of 6.75% per annum. The first interest payment is scheduled for March 30, 2024. |
(u) | The issuer will pay interest on the bonds in cash or in PIK interest. Interest paid in cash will accrue at the rate of 5.50% per annum (“Cash Interest Rate”) and PIK interest will accrue on the bond at the rate of 6.50% per annum. The first interest payment is scheduled for March 30, 2024. |
(v) | The issuer will pay interest on the bonds in cash or in PIK interest. Interest paid in cash will accrue at the rate of 5.75% per annum (“Cash Interest Rate”) and PIK interest will accrue on the bond at the rate of 6.75% per annum. The first interest payment is scheduled for March 30, 2024. |
(w) | The issuer will pay interest on the bonds in cash or in PIK interest. Interest paid in cash will accrue at the rate of 6.00% per annum (“Cash Interest Rate”) and PIK interest will accrue on the bond at the rate of 7.00% per annum. The first interest payment is scheduled for March 30, 2024. |
(x) | The issuer will pay interest on the bonds in cash or in PIK interest. Interest paid in cash will accrue at the rate of 6.25% per annum (“Cash Interest Rate”) and PIK interest will accrue on the bond at the rate of 7.25% per annum. The first interest payment is scheduled for March 30, 2024. |
(y) | Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the SOFR obtained from the U.S. Department of the Treasury’s Office of Financial Research or another major financial institution, (iii) the prime rate offered by one or more United States banks or (iv) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR or SOFR floor that establishes a minimum LIBOR or SOFR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR or SOFR period, spread and floor, but different LIBOR or SOFR reset dates. |
(z) | Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown. |
(aa) | Non-income producing security. |
(ab) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
BNY | – Bank of New York (The) |
BOFA | – Bank of America N.A. |
Citi | – Citibank N.A. |
CME | – Chicago Mercantile Exchange |
CSA | – Credit Spread Adjustment |
EUR | – Euro |
GBP | – British Pound Sterling |
GSIL | – Goldman Sachs International, London |
IO | – Interest-Only Security - Principal amount shown represents par value on which interest payments are based |
LIBOR | – London Interbank Offered Rate |
REMIC | – Real Estate Mortgage Investment Conduit |
SOFR | – Secured Overnight Financing Rate |
TBA | – To-Be-Announced Security |
USD | – United States Dollar |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Government Agency Mortgage-Backed Securities | $447,786,754 | $— | $447,786,754 | $— |
Mortgage-Backed Securities | 439,823,653 | — | 439,823,653 | — |
Asset-Backed Securities | 403,601,175 | — | 403,083,225 | 517,950 |
Corporate Bonds and Notes* | 369,374,908 | — | 369,374,908 | — |
U.S. Government Bonds and Notes | 252,611,799 | — | 252,611,799 | — |
Foreign Corporate Bonds and Notes* | 119,569,999 | — | 119,569,999 | — |
Foreign Sovereign Bonds and Notes** | 47,815,135 | — | 47,815,135 | — |
Senior Floating-Rate Loan Interests | 28,046,437 | — | 28,046,437 | — |
U.S. Government Agency Securities | 24,725,555 | — | 24,725,555 | — |
Convertible Foreign Corporate Bonds and Notes | 605,299 | — | 605,299 | — |
Municipal Bonds*** | 188,655 | — | 188,655 | — |
Common Stocks* | — **** | — | — | — **** |
U.S. Treasury Bills | 188,073,963 | — | 188,073,963 | — |
Money Market Funds | 31,963,914 | 31,963,914 | — | — |
Total Investments | 2,354,187,246 | 31,963,914 | 2,321,705,382 | 517,950 |
Forward Foreign Currency Contracts | 428,509 | — | 428,509 | — |
Futures Contracts***** | 349,081 | 349,081 | — | — |
Interest Rate Swap Agreements | 64,888 | — | 64,888 | — |
Total | $2,355,029,724 | $32,312,995 | $2,322,198,779 | $517,950 |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts | $(6,287 ) | $— | $(6,287 ) | $— |
Futures Contracts***** | (455,388 ) | (455,388 ) | — | — |
Total | $(461,675 ) | $(455,388 ) | $(6,287 ) | $— |
* | See Portfolio of Investments for industry breakout. |
** | See Portfolio of Investments for country breakout. |
*** | See Portfolio of Investments for state breakout. |
**** | Investment is valued at $0. |
***** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 69.5% | |||||
Collateralized Mortgage Obligations — 6.0% | |||||
Federal Home Loan Mortgage Corporation | |||||
$11,516 | Series 3071, Class TF, 30 Day Average SOFR + CSA + 0.30% (a) | 5.74% | 04/15/35 | $11,501 | |
85,668 | Series 360, Class 250 | 2.50% | 11/15/47 | 75,598 | |
23,982 | Series 3778, Class L | 3.50% | 12/15/25 | 23,563 | |
36,210 | Series 4993, Class OP, PO | (b) | 10/25/58 | 33,147 | |
925,000 | Series 5210, Class LB | 3.00% | 08/25/50 | 707,446 | |
Federal Home Loan Mortgage Corporation STACR REMIC Trust | |||||
607,348 | Series 2021-HQA1, Class M2, 30 Day Average SOFR + 2.25% (a) (c) | 7.57% | 08/25/33 | 619,305 | |
550,000 | Series 2022-DNA1, Class M1B, 30 Day Average SOFR + 1.85% (a) (c) | 7.17% | 01/25/42 | 552,608 | |
Federal National Mortgage Association | |||||
94,809 | Series 2006-56, Class FE, 30 Day Average SOFR + CSA + 0.43% (a) | 5.87% | 07/25/36 | 94,016 | |
75,053 | Series 2011-47, Class GF, 30 Day Average SOFR + CSA + 0.57% (a) | 6.01% | 06/25/41 | 74,469 | |
101,653 | Series 2018-50, Class BA | 3.00% | 07/25/48 | 89,196 | |
71,525 | Series 2019-67, Class FE, 30 Day Average SOFR + CSA + 0.45% (a) | 5.89% | 11/25/49 | 69,426 | |
1,403,826 | Series 2019-68, Class US, IO, (30 Day Average SOFR + CSA) × -1+ 6.00% (d) | 0.56% | 11/25/49 | 170,331 | |
3,925 | Series 2018-86, Class JA | 4.00% | 05/25/47 | 3,774 | |
Government National Mortgage Association | |||||
1,131,760 | Series 2012-34, Class SA, IO, (1 Mo. CME Term SOFR + CSA) ×-1+ 6.05% (d) | 0.62% | 03/20/42 | 121,933 | |
1,699,274 | Series 2013-25, Class SA, IO, (1 Mo. CME Term SOFR + CSA) ×-1+ 6.20% (d) | 0.77% | 02/20/43 | 184,750 | |
717,941 | Series 2014-57, Class PS, IO, (1 Mo. CME Term SOFR + CSA) ×-1+ 6.20% (d) | 0.77% | 04/20/44 | 81,266 | |
390,637 | Series 2023-113, Class FD, 30 Day Average SOFR + 1.35%, 6.50% Cap (a) | 6.50% | 08/20/53 | 391,235 | |
392,828 | Series 2023-116, Class FL, 30 Day Average SOFR + 1.15% (a) | 6.47% | 08/20/53 | 394,065 | |
3,697,629 | |||||
Commercial Mortgage-Backed Securities — 0.1% | |||||
Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates | |||||
1,000,000 | Series K732, Class X3, IO (e) | 2.17% | 05/25/46 | 27,534 | |
FREMF Mortgage Trust | |||||
21,686,166 | Series 2017-K726, Class X2B, IO (c) | 0.10% | 07/25/49 | 2,002 | |
29,536 | |||||
Pass-Through Securities — 63.4% | |||||
Federal Home Loan Mortgage Corporation | |||||
46,817 | Pool G08681 | 3.50% | 12/01/45 | 42,502 | |
24,318 | Pool G08792 | 3.50% | 12/01/47 | 22,023 | |
87,082 | Pool G60659 | 3.50% | 08/01/46 | 79,440 | |
103,987 | Pool G61748 | 3.50% | 11/01/48 | 94,930 | |
119,260 | Pool G67706 | 3.50% | 12/01/47 | 108,890 | |
153,201 | Pool G67710 | 3.50% | 03/01/48 | 139,646 | |
990,622 | Pool QC8921 | 2.50% | 10/01/51 | 822,907 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal Home Loan Mortgage Corporation (Continued) | |||||
$1,460,803 | Pool QD7088 | 2.00% | 02/01/52 | $1,159,529 | |
399,902 | Pool QE4038 | 3.00% | 06/01/52 | 342,503 | |
292,813 | Pool RA5552 | 3.00% | 07/01/51 | 252,717 | |
1,013,410 | Pool RA7659 | 3.50% | 07/01/52 | 902,639 | |
700,323 | Pool RA7773 | 4.00% | 08/01/52 | 645,000 | |
104,424 | Pool SD0499 | 3.00% | 08/01/50 | 91,020 | |
995,065 | Pool SD0956 | 2.50% | 04/01/52 | 824,175 | |
479,969 | Pool SD1382 | 4.00% | 08/01/52 | 442,215 | |
421,504 | Pool SD2190 | 4.50% | 10/01/52 | 399,139 | |
52,866 | Pool SD7502 | 3.50% | 07/01/49 | 48,129 | |
109,713 | Pool SD7511 | 3.50% | 01/01/50 | 99,497 | |
67,816 | Pool SD7513 | 3.50% | 04/01/50 | 61,546 | |
202,954 | Pool SD8211 | 2.00% | 05/01/52 | 159,821 | |
311,410 | Pool SD8212 | 2.50% | 05/01/52 | 256,205 | |
69,078 | Pool ZM1779 | 3.00% | 09/01/46 | 60,418 | |
Federal National Mortgage Association | |||||
24,781 | Pool BE3619 | 4.00% | 05/01/47 | 23,311 | |
285,598 | Pool BQ1163 | 2.00% | 08/01/50 | 226,425 | |
572,316 | Pool BQ1226 | 2.00% | 09/01/50 | 452,938 | |
676,444 | Pool BU9074 | 2.00% | 01/01/52 | 536,953 | |
66,473 | Pool BV4119 | 2.50% | 03/01/52 | 54,825 | |
1,297,454 | Pool BV8477 | 3.00% | 05/01/52 | 1,115,004 | |
646,544 | Pool BV9960 | 4.00% | 06/01/52 | 597,390 | |
310,328 | Pool BW6293 | 4.50% | 08/01/52 | 293,958 | |
539,779 | Pool BW9886 | 4.50% | 10/01/52 | 511,307 | |
209,114 | Pool BW9888 | 4.00% | 10/01/52 | 192,555 | |
48,374 | Pool CA0995 | 3.50% | 01/01/48 | 43,456 | |
529,827 | Pool CA5689 | 3.00% | 05/01/50 | 462,192 | |
1,117,333 | Pool CB2411 | 2.50% | 12/01/51 | 927,912 | |
497,321 | Pool CB2430 | 3.00% | 12/01/51 | 426,392 | |
811,119 | Pool CB2610 | 2.00% | 01/01/52 | 639,811 | |
535,373 | Pool CB2802 | 2.00% | 02/01/52 | 422,309 | |
1,178,477 | Pool CB3151 | 2.00% | 03/01/52 | 929,157 | |
1,042,396 | Pool CB3486 | 3.50% | 05/01/52 | 928,638 | |
114,276 | Pool CB4365 | 3.50% | 08/01/52 | 101,802 | |
60,667 | Pool FM2870 | 3.00% | 03/01/50 | 52,923 | |
1,342,857 | Pool FS0139 | 2.50% | 01/01/52 | 1,112,404 | |
406,406 | Pool FS3160 | 3.00% | 06/01/52 | 348,318 | |
187,946 | Pool FS3275 | 3.00% | 04/01/52 | 161,081 | |
929,466 | Pool FS3781 | 2.00% | 11/01/51 | 736,168 | |
458,050 | Pool MA4511 | 2.00% | 01/01/52 | 361,252 | |
172,185 | Pool MA4562 | 2.00% | 03/01/52 | 135,596 | |
115,508 | Pool MA4732 | 4.00% | 09/01/52 | 106,372 | |
3,275,000 | Pool TBA (f) | 2.00% | 03/15/54 | 2,574,072 | |
2,575,000 | Pool TBA (f) | 2.50% | 03/15/54 | 2,115,991 | |
625,000 | Pool TBA (f) | 3.00% | 03/15/54 | 534,657 | |
800,000 | Pool TBA (f) | 3.50% | 03/15/54 | 711,774 | |
1,075,000 | Pool TBA (f) | 4.00% | 03/15/54 | 989,141 | |
1,350,000 | Pool TBA (f) | 4.50% | 03/15/54 | 1,278,023 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal National Mortgage Association (Continued) | |||||
$2,575,000 | Pool TBA (f) | 5.00% | 03/15/54 | $2,497,349 | |
2,225,000 | Pool TBA (f) | 5.50% | 03/15/54 | 2,201,257 | |
300,000 | Pool TBA (f) | 4.00% | 04/15/54 | 276,180 | |
Government National Mortgage Association | |||||
41,248 | Pool MA3873 | 3.00% | 08/20/46 | 36,662 | |
51,290 | Pool MA4382 | 3.50% | 04/20/47 | 47,005 | |
38,315 | Pool MA4778 | 3.50% | 10/20/47 | 35,092 | |
26,728 | Pool MA4779 | 4.00% | 10/20/47 | 25,144 | |
788,317 | Pool MA7534 | 2.50% | 08/20/51 | 667,872 | |
842,951 | Pool MA7589 | 2.50% | 09/20/51 | 714,156 | |
786,814 | Pool MA7705 | 2.50% | 11/20/51 | 666,529 | |
819,978 | Pool MA7767 | 2.50% | 12/20/51 | 694,689 | |
550,000 | Pool TBA (f) | 2.50% | 03/15/54 | 465,580 | |
1,375,000 | Pool TBA (f) | 4.50% | 03/15/54 | 1,313,185 | |
1,425,000 | Pool TBA (f) | 5.00% | 03/15/54 | 1,392,026 | |
1,075,000 | Pool TBA (f) | 5.50% | 03/15/54 | 1,067,987 | |
39,259,711 | |||||
Total U.S. Government Agency Mortgage-Backed Securities | 42,986,876 | ||||
(Cost $44,885,439) | |||||
MORTGAGE-BACKED SECURITIES (g) — 25.1% | |||||
Collateralized Mortgage Obligations — 15.7% | |||||
Alternative Loan Trust | |||||
197,068 | Series 2005-16, Class A4, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.92% | 06/25/35 | 170,240 | |
128,273 | Series 2007-5CB, Class 1A11 | 6.00% | 04/25/37 | 69,911 | |
110,899 | Series 2007-15CB, Class A5 | 5.75% | 07/25/37 | 64,164 | |
296,196 | Series 2007-HY8C, Class A1, 1 Mo. CME Term SOFR + CSA + 0.32% (a) | 5.76% | 09/25/47 | 263,914 | |
American Home Mortgage Assets Trust | |||||
97,309 | Series 2006-3, Class 1A1, 12 Mo. Treasury Average + 0.97% (a) | 6.05% | 10/25/46 | 78,917 | |
Banc of America Funding Trust | |||||
107,564 | Series 2007-C, Class 7A1, 1 Mo. CME Term SOFR + CSA + 0.42% (a) | 5.85% | 05/20/47 | 96,502 | |
BCAP LLC Trust | |||||
81,550 | Series 2006-AA2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.34% (a) | 5.78% | 01/25/37 | 72,873 | |
Bear Stearns ALT-A Trust | |||||
480,189 | Series 2006-1, Class 21A2 (e) | 4.48% | 02/25/36 | 328,971 | |
Bear Stearns ARM Trust | |||||
123,036 | Series 2005-1, Class 2A1 (e) | 4.83% | 03/25/35 | 108,960 | |
CHL Mortgage Pass-Through Trust | |||||
186,422 | Series 2004-25, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.68% (a) | 6.12% | 02/25/35 | 155,102 | |
101,744 | Series 2007-20, Class A1 | 6.50% | 01/25/38 | 47,908 | |
CIM Trust | |||||
450,000 | Series 2023-R3, Class A1B (c) | 4.50% | 01/25/63 | 314,459 | |
185,402 | Series 2021-R3, Class A1A (c) | 1.95% | 06/25/57 | 166,388 | |
Citigroup Mortgage Loan Trust | |||||
247,607 | Series 2009-10, Class 2A2 (c) | 7.00% | 12/25/35 | 176,645 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (g) (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
Credit Suisse Mortgage Trust | |||||
$528,706 | Series 2014-8R, Class 3A2 (c) (e) | 5.10% | 02/27/36 | $388,699 | |
252,151 | Series 2020-RPL2, Class A12 (c) | 3.53% | 02/25/60 | 252,370 | |
356,821 | Series 2021-RP11, Class PT (c) | 3.76% | 10/25/61 | 244,151 | |
429,729 | Series 2021-RPL4, Class A1 (c) | 1.80% | 12/27/60 | 417,155 | |
CSMCM Trust | |||||
24,895 | Series 2021-RP11 (c) | 3.78% | 10/27/61 | 18,480 | |
Deutsche Alt-A Securities Mortgage Loan Trust | |||||
169,190 | Series 2007-3, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.75% (a) | 6.19% | 10/25/47 | 120,005 | |
GreenPoint Mortgage Funding Trust | |||||
149,656 | Series 2005-AR4, Class G41B, 1 Mo. CME Term SOFR + CSA + 0.20% (a) | 5.64% | 10/25/45 | 137,652 | |
GSR Mortgage Loan Trust | |||||
230,538 | Series 2006-OA1, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.52% (a) | 5.96% | 08/25/46 | 57,708 | |
IndyMac INDX Mortgage Loan Trust | |||||
120,941 | Series 2005-AR29, Class A1 (e) | 3.84% | 01/25/36 | 97,188 | |
62,080 | Series 2006-AR3, Class 2A1A (e) | 3.80% | 03/25/36 | 44,254 | |
549,556 | Series 2006-AR13, Class A3 (e) | 3.82% | 07/25/36 | 386,371 | |
130,813 | Series 2006-AR19, Class 5A2 (e) | 3.90% | 08/25/36 | 98,401 | |
448,681 | Series 2006-AR31, Class A3 (e) | 3.83% | 11/25/36 | 403,369 | |
707,565 | Series 2007-AR21, Class 6A1 (e) | 3.84% | 09/25/37 | 473,231 | |
Lehman XS Trust | |||||
483,515 | Series 2006-10N, Class 1A4A, 1 Mo. CME Term SOFR + CSA + 0.60% (a) | 6.04% | 07/25/46 | 325,260 | |
161,243 | Series 2007-12N, Class 1A3A, 1 Mo. CME Term SOFR + CSA + 0.40% (a) | 5.84% | 07/25/47 | 154,614 | |
LHOME Mortgage Trust | |||||
128,938 | Series 2021-RTL3, Class A1, steps up to 3.36% on 04/25/24 (c) (h) | 2.36% | 09/25/26 | 126,994 | |
MASTR Adjustable Rate Mortgages Trust | |||||
478,451 | Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average + 0.80% (a) | 5.88% | 12/25/46 | 329,045 | |
800,000 | Series 2007-HF2, Class A2, 1 Mo. CME Term SOFR + CSA + 1.10% (a) | 6.54% | 09/25/37 | 350,600 | |
RALI Trust | |||||
398,388 | Series 2005-QO1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.30% (a) | 5.74% | 08/25/35 | 295,521 | |
3,222,305 | Series 2006-QO2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.44% (a) | 5.88% | 02/25/46 | 623,624 | |
178,370 | Series 2006-QS7, Class A2 | 6.00% | 06/25/36 | 134,984 | |
281,452 | Series 2007-QH4, Class A1, 1 Mo. CME Term SOFR + CSA + 0.38% (a) | 5.82% | 05/25/37 | 246,942 | |
86,717 | Series 2007-QS1, Class 1A4 | 6.00% | 01/25/37 | 65,916 | |
144,450 | Series 2007-QS2, Class A4 | 6.25% | 01/25/37 | 115,651 | |
RFMSI Trust | |||||
528,302 | Series 2006-S10, Class 1A1 | 6.00% | 10/25/36 | 395,426 | |
Structured Asset Mortgage Investments II Trust | |||||
128,644 | Series 2005-AR8, Class A2, 12 Mo. Treasury Average + 1.48% (a) | 6.54% | 02/25/36 | 106,764 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (g) (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
Structured Asset Mortgage Investments II Trust (Continued) | |||||
$573,615 | Series 2006-AR6, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.38% (a) | 5.82% | 07/25/46 | $396,496 | |
96,783 | Series 2006-AR7, Class A1BG, 1 Mo. CME Term SOFR + CSA + 0.12% (a) | 5.56% | 08/25/36 | 81,775 | |
363,489 | Series 2007-AR1, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.18% (a) | 5.80% | 01/25/37 | 303,655 | |
26,594 | Series 2007-AR3, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.19% (a) | 5.63% | 09/25/47 | 23,544 | |
WaMu Mortgage Pass-Through Certificates Trust | |||||
47,689 | Series 2006-AR3, Class A1A, 12 Mo. Treasury Average + 1.00% (a) | 6.08% | 02/25/46 | 41,450 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | |||||
594,072 | Series 2006-AR6, Class 2A, 12 Mo. Treasury Average + 0.96% (a) | 6.04% | 08/25/46 | 321,753 | |
9,694,002 | |||||
Commercial Mortgage-Backed Securities — 9.4% | |||||
BBCMS Mortgage Trust | |||||
545,000 | Series 2020-BID, Class D, 1 Mo. CME Term SOFR + CSA + 4.63% (a) (c) | 10.06% | 10/15/37 | 527,253 | |
Benchmark Mortgage Trust | |||||
117,000 | Series 2020-B18, Class AGNF (c) | 4.14% | 07/15/53 | 106,038 | |
BWAY Mortgage Trust | |||||
16,951,810 | Series 2013-1515, Class XA, IO (c) (e) | 0.52% | 03/10/33 | 49,150 | |
BX Commercial Mortgage Trust | |||||
195,483 | Series 2021-XL2, Class J, 1 Mo. CME Term SOFR + CSA + 3.89% (a) (c) | 9.32% | 10/15/38 | 192,406 | |
BX Trust | |||||
605,000 | Series 2021-VIEW, Class B, 1 Mo. CME Term SOFR + CSA + 1.80% (a) (c) | 7.23% | 06/15/36 | 585,089 | |
Citigroup Commercial Mortgage Trust | |||||
4,267,040 | Series 2016-P3, Class XA, IO (e) | 1.65% | 04/15/49 | 90,851 | |
COMM Mortgage Trust | |||||
15,957,354 | Series 2014-UBS3, Class XA, IO (e) (i) | 1.03% | 06/10/47 | 932 | |
938,014 | Series 2012-CR4, Class XA, IO (e) (i) | 1.14% | 10/15/45 | 57 | |
19,733,012 | Series 2014-CR16, Class XA, IO (e) (i) | 0.84% | 04/10/47 | 949 | |
11,151,000 | Series 2014-UBS3, Class XB, IO (c) (e) | 0.32% | 06/10/47 | 242 | |
7,000,000 | Series 2015-LC21, Class XE, IO (c) (e) | 1.07% | 07/10/48 | 93,038 | |
35,000 | Series 2020-CX, Class E (c) (e) | 2.68% | 11/10/46 | 22,675 | |
Credit Suisse Mortgage Trust | |||||
182,000 | Series 2019-UVIL, Class B (c) (e) | 3.28% | 12/15/41 | 157,423 | |
CSAIL Commercial Mortgage Trust | |||||
2,593,677 | Series 2016-C5, Class XA, IO (e) | 0.89% | 11/15/48 | 29,936 | |
DBUBS Mortgage Trust | |||||
120,000 | Series 2017-BRBK, Class A (c) | 3.45% | 10/10/34 | 111,917 | |
DROP Mortgage Trust | |||||
386,000 | Series 2021-FILE, Class B, 1 Mo. CME Term SOFR + CSA + 1.70% (a) (c) | 7.13% | 10/15/43 | 357,054 | |
Frost CMBS DAC | |||||
788,288 | Series 2021-1A, Class GBB, SONIA + 1.65% (GBP) (a) (c) | 6.87% | 11/20/33 | 939,900 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (g) (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
Grace Trust | |||||
$1,000,000 | Series 2020-GRCE, Class X, IO (c) (e) | 0.30% | 12/10/40 | $17,027 | |
GS Mortgage Securities Trust | |||||
1,266,274 | Series 2011-GC5, Class XA, IO (c) (e) | 0.00% | 08/10/44 | 13 | |
27,573,407 | Series 2015-GC28, Class XA, IO (e) | 0.96% | 02/10/48 | 118,378 | |
JP Morgan Chase Commercial Mortgage Securities Trust | |||||
87,476 | Series 2013-LC11, Class XA, IO (e) | 0.99% | 04/15/46 | 4 | |
5,668,026 | Series 2014-C20, Class XA, IO (e) (i) | 0.68% | 07/15/47 | 425 | |
JPMBB Commercial Mortgage Securities Trust | |||||
782,219 | Series 2015-C32, Class XA, IO (e) | 1.11% | 11/15/48 | 7,226 | |
JPMCC Commercial Mortgage Securities Trust | |||||
9,877,176 | Series 2017-JP5, Class XA, IO (e) | 0.81% | 03/15/50 | 177,575 | |
JPMDB Commercial Mortgage Securities Trust | |||||
5,349,265 | Series 2016-C2, Class XA, IO (e) | 1.48% | 06/15/49 | 124,537 | |
Last Mile Logistics Pan Euro Finance DAC | |||||
363,287 | Series 1A, Class E, 3 Mo. EURIBOR + 2.70% (EUR) (a) (c) | 6.62% | 08/17/33 | 374,817 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||||
8,968,852 | Series 2015-C20, Class XA, IO (e) | 1.23% | 02/15/48 | 37,215 | |
28,458,892 | Series 2015-C25, Class XA, IO (e) | 1.03% | 10/15/48 | 279,002 | |
SFAVE Commercial Mortgage Securities Trust | |||||
479,000 | Series 2015-5AVE, Class A2A (c) (e) | 3.66% | 01/05/43 | 375,690 | |
340,000 | Series 2015-5AVE, Class A2B (c) (e) | 4.14% | 01/05/43 | 268,368 | |
SLG Office Trust | |||||
385,000 | Series 2021-OVA, Class G (c) | 2.85% | 07/15/41 | 251,597 | |
SMRT | |||||
105,000,000 | Series 2022-MINI, Class XCP, IO (e) (j) | 0.00% | 01/15/39 | 110 | |
Wells Fargo Commercial Mortgage Trust | |||||
7,186,761 | Series 2015-C26, Class XA, IO (e) | 1.17% | 02/15/48 | 47,913 | |
12,819,902 | Series 2015-C27, Class XA, IO (e) | 0.82% | 02/15/48 | 59,404 | |
26,887,448 | Series 2015-C28, Class XA, IO (e) | 0.57% | 05/15/48 | 115,694 | |
1,769,177 | Series 2015-LC22, Class XA, IO (e) | 0.73% | 09/15/58 | 15,510 | |
3,530,145 | Series 2016-C33, Class XA, IO (e) | 1.56% | 03/15/59 | 83,905 | |
5,823,000 | Series 2016-C37, Class XEF, IO (c) (e) | 1.60% | 12/15/49 | 208,264 | |
WFRBS Commercial Mortgage Trust | |||||
886,032 | Series 2014-C22, Class XA, IO (e) | 0.76% | 09/15/57 | 1,526 | |
4,720,905 | Series 2014-C24, Class XA, IO (e) | 0.83% | 11/15/47 | 8,928 | |
5,838,038 | |||||
Total Mortgage-Backed Securities | 15,532,040 | ||||
(Cost $19,432,526) | |||||
ASSET-BACKED SECURITIES — 23.4% | |||||
AMSR Trust | |||||
572,000 | Series 2020-SFR1, Class F (c) | 3.57% | 04/17/37 | 549,335 | |
355,000 | Series 2020-SFR3, Class G (c) | 4.99% | 09/17/37 | 340,075 | |
Ares LXII CLO Ltd. | |||||
700,000 | Series 2021-62A, Class B, 3 Mo. CME Term SOFR + CSA + 1.65% (a) (c) | 7.24% | 01/25/34 | 701,034 | |
Argent Securities, Inc., Asset-Backed Pass-Through Certificates | |||||
380,000 | Series 2005-W3, Class M2, 1 Mo. CME Term SOFR + CSA + 0.69% (a) | 6.13% | 11/25/35 | 319,401 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
BCRED CLO LLC | |||||
$250,000 | Series 2023-1A, Class A, 3 Mo. CME Term SOFR + 2.30% (a) (c) | 7.68% | 01/20/36 | $252,625 | |
Boyce Park CLO Ltd. | |||||
375,000 | Series 2022-1A, Class M2, IO (c) | 0.00% | 04/21/35 | 16,513 | |
350,000 | Series 2022-1A, Class SUB (c) | 0.00% | 04/21/35 | 257,859 | |
CIFC Funding Ltd. | |||||
300,000 | Series 2022-2A, Class INCB (c) | 0.00% | 04/19/35 | 222,898 | |
CoreVest American Finance Trust | |||||
2,413,533 | Series 2021-2, Class XA, IO (c) (e) | 2.99% | 07/15/54 | 158,839 | |
Credit-Based Asset Servicing and Securitization LLC | |||||
124,980 | Series 2007-CB6, Class A1, 1 Mo. CME Term SOFR + CSA + 0.12% (a) (c) | 5.56% | 07/25/37 | 81,127 | |
Dryden CLO Ltd. | |||||
315,000 | Series 2019-72A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (a) (c) | 7.22% | 05/15/32 | 315,449 | |
Elmwood CLO VI Ltd. | |||||
600,000 | Series 2020-3A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (a) (c) | 7.23% | 10/20/34 | 601,950 | |
First Franklin Mortgage Loan Trust | |||||
565,000 | Series 2006-FF7, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.92% | 05/25/36 | 472,543 | |
Flexential Issuer | |||||
300,000 | Series 2021-1A, Class A2 (c) | 3.25% | 11/27/51 | 271,675 | |
Golub Capital Partners CLO 42M-R | |||||
175,000 | Series 2019-42RA, Class A2R, 3 Mo. CME Term SOFR + 2.75% (a) (c) | 8.07% | 01/20/36 | 176,575 | |
Golub Capital Partners CLO, L.P. | |||||
350,000 | Series 2021-54A, Class A, 3 Mo. CME Term SOFR + CSA + 1.53% (a) (c) | 7.06% | 08/05/33 | 349,998 | |
HSI Asset Securitization Corp. Trust | |||||
199,090 | Series 2006-WMC1, Class A4, 1 Mo. CME Term SOFR + CSA + 0.50% (a) | 5.94% | 07/25/36 | 87,776 | |
JP Morgan Mortgage Acquisition Trust | |||||
1,354,317 | Series 2006-WMC2, Class A4, 1 Mo. CME Term SOFR + CSA + 0.30% (a) | 5.74% | 07/25/36 | 579,016 | |
Madison Park Funding XLV Ltd. | |||||
325,000 | Series 2020-45A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.70% (a) (c) | 7.28% | 07/15/34 | 325,938 | |
Mastr Asset Backed Securities Trust | |||||
435,500 | Series 2007-HE1, Class A4, 1 Mo. CME Term SOFR + CSA + 0.28% (a) | 5.72% | 05/25/37 | 343,130 | |
Merrill Lynch First Franklin Mortgage Loan Trust | |||||
318,138 | Series 2007-1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.28% (a) | 5.72% | 04/25/37 | 135,794 | |
600,457 | Series 2007-3, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.26% (a) | 5.70% | 06/25/37 | 463,651 | |
Merrill Lynch Mortgage Investors Trust | |||||
1,087,140 | Series 2006-HE6, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.30% (a) | 4.10% | 11/25/37 | 377,271 | |
400,000 | Series 2006-OPT1, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.92% | 08/25/37 | 307,331 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Morgan Stanley Capital I, Inc., Trust | |||||
$13,121 | Series 2006-NC2, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.58% (a) | 6.02% | 02/25/36 | $12,913 | |
Navient Student Loan Trust | |||||
320,000 | Series 2015-3, Class B, 30 Day Average SOFR + CSA + 1.50% (a) | 6.94% | 10/25/58 | 301,211 | |
975,000 | Series 2019-3A, Class B, 30 Day Average SOFR + CSA + 1.55% (a) (c) | 6.99% | 07/25/68 | 937,408 | |
Nelnet Student Loan Trust | |||||
353,604 | Series 2005-4, Class B, 90 Day Average SOFR + CSA + 0.28% (a) | 5.89% | 09/22/35 | 301,235 | |
Oakwood Mortgage Investors, Inc. | |||||
584,475 | Series 1999-C, Class A2 | 7.48% | 08/15/27 | 462,602 | |
582,662 | Series 2001-C, Class A2 | 5.92% | 06/15/31 | 52,711 | |
Ownit Mortgage Loan Trust | |||||
609,961 | Series 2006-6, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.32% (a) | 5.76% | 09/25/37 | 270,192 | |
Park Avenue Institutional Advisers CLO Ltd. | |||||
150,000 | Series 2018-1A, Class A2R, 3 Mo. CME Term SOFR + CSA + 1.60% (a) (c) | 7.18% | 10/20/31 | 150,488 | |
PRET LLC | |||||
340,685 | Series 2022-RN1, Class A1, steps up to 6.72% on 02/25/25 (c) (h) | 3.72% | 07/25/51 | 331,897 | |
Progress Residential | |||||
360,000 | Series 2021-SFR1, Class H (c) | 5.00% | 04/17/38 | 326,256 | |
PRPM LLC | |||||
318,456 | Series 2021-11, Class A1, steps up to 5.49% on 11/25/24 (c) (h) | 2.49% | 11/25/26 | 312,479 | |
284,655 | Series 2021-3, Class A1, steps up to 4.87% on 04/25/24 (c) (h) | 1.87% | 04/25/26 | 279,738 | |
Sabey Data Center Issuer LLC | |||||
650,000 | Series 2020-1, Class A2 (c) | 3.81% | 04/20/45 | 628,520 | |
Saxon Asset Securities Trust | |||||
57,087 | Series 2005-1, Class M2, 1 Mo. CME Term SOFR + CSA + 0.72% (a) | 6.15% | 05/25/35 | 53,412 | |
Securitized Asset Backed Receivables LLC Trust | |||||
40,760 | Series 2006-NC2, Class A3, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.92% | 03/25/36 | 39,985 | |
323,154 | Series 2007-NC2, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.28% (a) | 5.72% | 01/25/37 | 278,136 | |
SLM Student Loan Trust | |||||
65,000 | Series 2008-4, Class B, 90 Day Average SOFR + CSA + 1.85% (a) | 7.47% | 04/25/73 | 65,466 | |
65,000 | Series 2008-5, Class B, 90 Day Average SOFR + CSA + 1.85% (a) | 7.47% | 07/25/73 | 64,648 | |
Soundview Home Loan Trust | |||||
175,717 | Series 2007-OPT3, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.17% (a) | 5.61% | 08/25/37 | 146,923 | |
Specialty Underwriting & Residential Finance Trust | |||||
1,127,524 | Series 2006-AB3, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.92% | 09/25/37 | 791,217 | |
Stratus CLO Ltd. | |||||
385,000 | Series 2021-3A, Class SUB (c) | 0.00% | 12/29/29 | 239,709 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Structured Asset Securities Corp. Mortgage Loan Trust | |||||
$18,954 | Series 2006-OPT1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.18% (a) | 5.62% | 04/25/36 | $18,696 | |
Textainer Marine Containers VII Ltd. | |||||
68,908 | Series 2020-3A, Class A (c) | 2.11% | 09/20/45 | 62,096 | |
VOYA CLO | |||||
175,000 | Series 2017-2A, Class A2AR, 3 Mo. CME Term SOFR + CSA + 1.65% (a) (c) | 7.23% | 06/07/30 | 175,263 | |
Wachovia Student Loan Trust | |||||
499,477 | Series 2006-1, Class B, 90 Day Average SOFR + CSA + 0.24% (a) (c) | 5.86% | 04/25/40 | 467,366 | |
Total Asset-Backed Securities | 14,478,370 | ||||
(Cost $16,434,897) | |||||
U.S. GOVERNMENT BONDS AND NOTES — 1.8% | |||||
40,000 | U.S. Treasury Bond | 4.25% | 02/15/54 | 39,259 | |
260,000 | U.S. Treasury Note | 4.63% | 02/28/26 | 259,990 | |
385,000 | U.S. Treasury Note | 4.00% | 01/31/29 | 380,609 | |
360,000 | U.S. Treasury Note | 4.25% | 02/28/29 | 360,070 | |
95,000 | U.S. Treasury Note | 4.00% | 02/15/34 | 93,152 | |
Total U.S. Government Bonds and Notes | 1,133,080 | ||||
(Cost $1,131,451) | |||||
U.S. TREASURY BILLS — 4.0% | |||||
2,515,000 | U.S. Treasury Bill | (b) | 05/16/24 | 2,487,221 | |
(Cost $2,486,890) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 4.1% | |||||
2,537,000 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (k) | 2,537,000 | |||
(Cost $2,537,000) | |||||
Total Investments — 127.9% | 79,154,587 | ||||
(Cost $86,908,203) | |||||
Net Other Assets and Liabilities — (27.9)% | (17,243,053 ) | ||||
Net Assets — 100.0% | $61,911,534 |
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 2/29/2024 | Sale Value as of 2/29/2024 | Unrealized Appreciation (Depreciation) | ||
04/12/2024 | GSIL | EUR | 553,000 | USD | 598,958 | $598,777 | $598,958 | $(181 ) |
04/12/2024 | GSIL | USD | 970,871 | EUR | 884,000 | 970,871 | 957,177 | 13,694 |
04/12/2024 | Citi | USD | 954,781 | GBP | 748,000 | 954,781 | 944,451 | 10,330 |
Net Unrealized Appreciation (Depreciation) | $23,843 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
U.S. 2-Year Treasury Notes | Long | 49 | Jun-2024 | $10,032,750 | $5,321 |
U.S. 5-Year Treasury Notes | Long | 52 | Jun-2024 | 5,559,125 | (442 ) |
Ultra 10-Year U.S. Treasury Notes | Long | 53 | Jun-2024 | 6,051,109 | 11,916 |
Ultra U.S. Treasury Bond Futures | Long | 4 | Jun-2024 | 511,500 | 4,812 |
$22,154,484 | $21,607 |
(a) | Floating or variable rate security. |
(b) | Zero coupon security. |
(c) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At February 29, 2024, securities noted as such amounted to $16,450,327 or 26.6% of net assets. |
(d) | Inverse floating rate security. |
(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) | All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2J - Mortgage Dollar Rolls in the Notes to Financial Statements). |
(g) | Principal Value is in U.S. dollars unless otherwise indicated in the security description. |
(h) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(i) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(j) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2K - Restricted Securities in the Notes to Financial Statements). |
(k) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
Citi | – Citibank N.A. |
CME | – Chicago Mercantile Exchange |
CSA | – Credit Spread Adjustment |
EUR | – Euro |
EURIBOR | – Euro Interbank Offered Rate |
GBP | – British Pound Sterling |
GSIL | – Goldman Sachs International, London |
IO | – Interest-Only Security - Principal amount shown represents par value on which interest payments are based |
PO | – Principal-Only Security |
REMIC | – Real Estate Mortgage Investment Conduit |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Index Average |
TBA | – To-Be-Announced Security |
USD | – United States Dollar |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Government Agency Mortgage-Backed Securities | $42,986,876 | $— | $42,986,876 | $— |
Mortgage-Backed Securities | 15,532,040 | — | 15,532,040 | — |
Asset-Backed Securities | 14,478,370 | — | 14,478,370 | — |
U.S. Government Bonds and Notes | 1,133,080 | — | 1,133,080 | — |
U.S. Treasury Bills | 2,487,221 | — | 2,487,221 | — |
Money Market Funds | 2,537,000 | 2,537,000 | — | — |
Total Investments | 79,154,587 | 2,537,000 | 76,617,587 | — |
Forward Foreign Currency Contracts | 24,024 | — | 24,024 | — |
Futures Contracts* | 22,049 | 22,049 | — | — |
Total | $79,200,660 | $2,559,049 | $76,641,611 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts | $(181 ) | $— | $(181 ) | $— |
Futures Contracts* | (442 ) | (442 ) | — | — |
Total | $(623 ) | $(442 ) | $(181 ) | $— |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (a) — 68.0% | |||||
Angola — 1.9% | |||||
$200,000 | Angolan Government International Bond (b) | 8.25% | 05/09/28 | $184,375 | |
200,000 | Angolan Government International Bond (c) | 8.00% | 11/26/29 | 178,130 | |
400,000 | Angolan Government International Bond (c) | 9.13% | 11/26/49 | 321,910 | |
684,415 | |||||
Argentina — 1.9% | |||||
549,220 | Argentine Republic Government International Bond, steps up to 1.75% on 07/09/27 (d) | 0.75% | 07/09/30 | 253,053 | |
406,038 | Argentine Republic Government International Bond, steps up to 4.13% on 07/10/24 (d) | 3.63% | 07/09/35 | 151,304 | |
157,072 | Argentine Republic Government International Bond, steps up to 5.00% on 07/10/24 (d) | 4.25% | 01/09/38 | 65,721 | |
544,157 | Argentine Republic Government International Bond, steps up to 4.88% on 07/10/29 (d) | 3.50% | 07/09/41 | 196,580 | |
666,658 | |||||
Azerbaijan — 0.5% | |||||
200,000 | Republic of Azerbaijan International Bond (c) | 3.50% | 09/01/32 | 168,990 | |
Bahamas — 0.9% | |||||
140,000 | Bahamas Government International Bond (c) | 6.95% | 11/20/29 | 123,060 | |
200,000 | Bahamas Government International Bond (c) | 8.95% | 10/15/32 | 188,500 | |
311,560 | |||||
Bahrain — 2.3% | |||||
400,000 | Bahrain Government International Bond (c) | 6.75% | 09/20/29 | 400,426 | |
200,000 | Bahrain Government International Bond (c) | 5.63% | 05/18/34 | 178,068 | |
225,000 | Bahrain Government International Bond (b) | 7.50% | 02/12/36 | 228,701 | |
807,195 | |||||
Benin — 0.5% | |||||
200,000 | Benin Government International Bond (b) | 7.96% | 02/13/38 | 194,202 | |
Brazil — 1.0% | |||||
200,000 | Brazilian Government International Bond | 6.13% | 03/15/34 | 197,930 | |
200,000 | Brazilian Government International Bond | 5.00% | 01/27/45 | 158,930 | |
356,860 | |||||
Chile — 1.1% | |||||
200,000 | Chile Government International Bond | 4.95% | 01/05/36 | 193,370 | |
240,000 | Chile Government International Bond | 3.86% | 06/21/47 | 188,673 | |
382,043 | |||||
Colombia — 2.3% | |||||
200,000 | Colombia Government International Bond | 7.50% | 02/02/34 | 202,283 | |
200,000 | Colombia Government International Bond | 8.00% | 11/14/35 | 207,927 | |
415,000 | Colombia Government International Bond | 7.38% | 09/18/37 | 408,572 | |
818,782 | |||||
Costa Rica — 1.0% | |||||
350,000 | Costa Rica Government International Bond (b) | 7.30% | 11/13/54 | 369,687 | |
Dominican Republic — 2.8% | |||||
150,000 | Dominican Republic International Bond (b) | 5.50% | 02/22/29 | 145,436 | |
675,000 | Dominican Republic International Bond (b) | 4.50% | 01/30/30 | 614,292 | |
250,000 | Dominican Republic International Bond (b) | 4.88% | 09/23/32 | 222,809 | |
982,537 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued) | |||||
Ecuador — 1.1% | |||||
$108,118 | Ecuador Government International Bond, steps up to 6.90% on 08/01/24 (c) (d) | 6.00% | 07/31/30 | $66,227 | |
407,746 | Ecuador Government International Bond, steps up to 5.50% on 08/01/24 (b) (d) | 3.50% | 07/31/35 | 196,000 | |
328,482 | Ecuador Government International Bond, steps up to 5.00% on 07/31/24 (c) (d) | 2.50% | 07/31/40 | 144,204 | |
406,431 | |||||
Egypt — 3.9% | |||||
300,000 | Egypt Government International Bond (c) | 7.60% | 03/01/29 | 272,377 | |
400,000 | Egypt Government International Bond (b) | 7.05% | 01/15/32 | 331,733 | |
616,000 | Egypt Government International Bond (c) | 7.30% | 09/30/33 | 504,436 | |
400,000 | Egypt Government International Bond (c) | 7.50% | 02/16/61 | 283,911 | |
1,392,457 | |||||
El Salvador — 1.2% | |||||
232,000 | El Salvador Government International Bond (c) | 6.38% | 01/18/27 | 200,825 | |
115,000 | El Salvador Government International Bond (c) | 8.25% | 04/10/32 | 95,887 | |
25,000 | El Salvador Government International Bond (c) | 7.65% | 06/15/35 | 19,063 | |
150,000 | El Salvador Government International Bond (c) | 9.50% | 07/15/52 | 125,437 | |
441,212 | |||||
Gabon — 0.9% | |||||
400,000 | Gabon Government International Bond (c) | 6.63% | 02/06/31 | 327,086 | |
Ghana — 1.0% | |||||
200,000 | Ghana Government International Bond (c) | 7.75% | 04/07/29 | 86,610 | |
250,000 | Ghana Government International Bond (c) | 7.63% | 05/16/29 | 108,018 | |
200,000 | Ghana Government International Bond (c) | 8.63% | 04/07/34 | 86,068 | |
200,000 | Ghana Government International Bond (c) | 8.88% | 05/07/42 | 85,610 | |
366,306 | |||||
Guatemala — 2.1% | |||||
200,000 | Guatemala Government Bond (c) | 5.25% | 08/10/29 | 192,750 | |
200,000 | Guatemala Government Bond (c) | 4.90% | 06/01/30 | 190,300 | |
200,000 | Guatemala Government Bond (c) | 5.38% | 04/24/32 | 191,414 | |
200,000 | Guatemala Government Bond (b) | 3.70% | 10/07/33 | 164,375 | |
738,839 | |||||
Hungary — 2.5% | |||||
299,000 | Hungary Government International Bond (b) | 5.25% | 06/16/29 | 294,108 | |
200,000 | Hungary Government International Bond (c) | 5.50% | 06/16/34 | 194,789 | |
200,000 | Hungary Government International Bond (b) | 6.75% | 09/25/52 | 212,593 | |
200,000 | Magyar Export-Import Bank Zrt (b) | 6.13% | 12/04/27 | 201,183 | |
902,673 | |||||
Indonesia — 2.2% | |||||
225,000 | Indonesia Government International Bond | 4.40% | 03/10/29 | 219,850 | |
200,000 | Indonesia Government International Bond | 2.85% | 02/14/30 | 177,729 | |
200,000 | Indonesia Government International Bond | 4.70% | 02/10/34 | 194,691 | |
240,000 | Perusahaan Penerbit SBSN Indonesia III (c) | 2.55% | 06/09/31 | 204,400 | |
796,670 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued) | |||||
Ivory Coast (Cote d’Ivoire) — 1.0% | |||||
$200,000 | Ivory Coast Government International Bond (c) | 6.13% | 06/15/33 | $175,823 | |
200,000 | Ivory Coast Government International Bond (b) | 8.25% | 01/30/37 | 195,679 | |
371,502 | |||||
Jamaica — 0.3% | |||||
100,000 | Jamaica Government International Bond | 8.00% | 03/15/39 | 117,778 | |
Jordan — 1.7% | |||||
200,000 | Jordan Government International Bond (b) | 7.75% | 01/15/28 | 202,488 | |
200,000 | Jordan Government International Bond (b) | 7.50% | 01/13/29 | 198,017 | |
200,000 | Jordan Government International Bond (c) | 7.50% | 01/13/29 | 198,017 | |
598,522 | |||||
Kenya — 1.0% | |||||
200,000 | Republic of Kenya Government International Bond (c) | 7.00% | 05/22/27 | 191,992 | |
200,000 | Republic of Kenya Government International Bond (c) | 6.30% | 01/23/34 | 157,738 | |
349,730 | |||||
Mexico — 1.5% | |||||
200,000 | Mexico Government International Bond | 6.35% | 02/09/35 | 205,072 | |
350,000 | Mexico Government International Bond | 6.34% | 05/04/53 | 341,923 | |
546,995 | |||||
Morocco — 0.6% | |||||
200,000 | Morocco Government International Bond (b) | 5.95% | 03/08/28 | 202,223 | |
Mozambique — 0.5% | |||||
200,000 | Mozambique International Bond, steps up to 9.00% on 09/16/31 (c) (d) | 9.00% | 09/15/31 | 168,787 | |
Nigeria — 1.9% | |||||
200,000 | Nigeria Government International Bond (b) | 6.13% | 09/28/28 | 176,108 | |
370,000 | Nigeria Government International Bond (c) | 8.38% | 03/24/29 | 351,500 | |
200,000 | Nigeria Government International Bond (b) | 7.70% | 02/23/38 | 161,473 | |
689,081 | |||||
Oman — 2.8% | |||||
400,000 | Oman Government International Bond (c) | 6.00% | 08/01/29 | 406,060 | |
593,000 | Oman Government International Bond (c) | 6.25% | 01/25/31 | 608,225 | |
1,014,285 | |||||
Pakistan — 0.9% | |||||
200,000 | Pakistan Government International Bond (b) | 6.00% | 04/08/26 | 161,084 | |
200,000 | Pakistan Government International Bond (c) | 6.88% | 12/05/27 | 153,897 | |
314,981 | |||||
Panama — 2.9% | |||||
200,000 | Panama Government International Bond | 3.16% | 01/23/30 | 165,008 | |
200,000 | Panama Government International Bond | 7.50% | 03/01/31 | 205,534 | |
550,000 | Panama Government International Bond | 2.25% | 09/29/32 | 386,937 | |
450,000 | Panama Government International Bond | 4.50% | 04/16/50 | 293,064 | |
1,050,543 | |||||
Paraguay — 1.2% | |||||
255,000 | Paraguay Government International Bond (c) | 3.85% | 06/28/33 | 220,189 | |
200,000 | Paraguay Government International Bond (b) | 6.00% | 02/09/36 | 200,800 | |
420,989 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued) | |||||
Peru — 2.3% | |||||
$624,000 | Peruvian Government International Bond | 2.78% | 01/23/31 | $531,906 | |
374,000 | Peruvian Government International Bond | 3.00% | 01/15/34 | 304,862 | |
836,768 | |||||
Philippines — 2.0% | |||||
250,000 | Philippine Government International Bond | 3.56% | 09/29/32 | 223,633 | |
200,000 | Philippine Government International Bond | 5.00% | 07/17/33 | 198,929 | |
400,000 | Philippine Government International Bond | 3.20% | 07/06/46 | 285,827 | |
708,389 | |||||
Poland — 1.8% | |||||
519,000 | Republic of Poland Government International Bond | 4.88% | 10/04/33 | 509,010 | |
147,000 | Republic of Poland Government International Bond | 5.50% | 04/04/53 | 146,880 | |
655,890 | |||||
Romania — 2.7% | |||||
268,000 | Romanian Government International Bond (b) | 6.63% | 02/17/28 | 275,774 | |
140,000 | Romanian Government International Bond (b) | 5.88% | 01/30/29 | 139,133 | |
80,000 | Romanian Government International Bond (b) | 7.13% | 01/17/33 | 84,374 | |
130,000 | Romanian Government International Bond (b) | 6.38% | 01/30/34 | 129,460 | |
296,000 | Romanian Government International Bond (b) | 7.63% | 01/17/53 | 323,010 | |
951,751 | |||||
Saudi Arabia — 1.9% | |||||
700,000 | Saudi Government International Bond (b) | 5.75% | 01/16/54 | 678,689 | |
Senegal — 0.5% | |||||
200,000 | Senegal Government International Bond (c) | 6.25% | 05/23/33 | 166,681 | |
South Africa — 1.0% | |||||
200,000 | Republic of South Africa Government International Bond | 4.85% | 09/30/29 | 179,938 | |
200,000 | Republic of South Africa Government International Bond | 5.88% | 06/22/30 | 185,836 | |
365,774 | |||||
Turkey — 3.4% | |||||
350,000 | Hazine Mustesarligi Varlik Kiralama AS (b) | 8.51% | 01/14/29 | 366,009 | |
200,000 | Istanbul Metropolitan Municipality (b) | 10.50% | 12/06/28 | 215,300 | |
200,000 | Turkiye Government International Bond | 9.38% | 01/19/33 | 221,896 | |
200,000 | Turkiye Government International Bond | 7.63% | 05/15/34 | 199,424 | |
300,000 | Turkiye Government International Bond | 5.75% | 05/11/47 | 225,270 | |
1,227,899 | |||||
Ukraine — 0.8% | |||||
200,000 | Ukraine Government International Bond (c) | 7.75% | 09/01/27 | 58,454 | |
600,000 | Ukraine Government International Bond (c) | 7.25% | 03/15/35 | 156,919 | |
114,000 | Ukraine Government International Bond (c) (e) | 7.75% | 08/01/41 | 52,725 | |
268,098 | |||||
United Arab Emirates — 2.1% | |||||
400,000 | Finance Department Government of Sharjah (b) | 6.50% | 11/23/32 | 411,838 | |
200,000 | Finance Department Government of Sharjah (b) (f) | 6.13% | 03/06/36 | 198,444 | |
200,000 | Finance Department Government of Sharjah (c) | 4.00% | 07/28/50 | 127,238 | |
737,520 | |||||
Uruguay — 1.2% | |||||
215,000 | Uruguay Government International Bond | 5.75% | 10/28/34 | 226,400 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued) | |||||
Uruguay (Continued) | |||||
$113,000 | Uruguay Government International Bond | 5.10% | 06/18/50 | $108,319 | |
115,000 | Uruguay Government International Bond | 4.98% | 04/20/55 | 107,094 | |
441,813 | |||||
Uzbekistan — 0.5% | |||||
200,000 | Republic of Uzbekistan International Bond (c) | 3.90% | 10/19/31 | 164,869 | |
Zambia — 0.4% | |||||
250,000 | Zambia Government International Bond (c) | 5.38% | 09/20/22 | 152,573 | |
Total Foreign Sovereign Bonds and Notes | 24,316,733 | ||||
(Cost $23,489,890) | |||||
FOREIGN CORPORATE BONDS AND NOTES (a) — 27.2% | |||||
Banks — 1.1% | |||||
200,000 | BBVA Bancomer S.A. (c) (g) | 5.13% | 01/18/33 | 182,847 | |
200,000 | Yapi ve Kredi Bankasi AS (b) (g) | 9.25% | 01/17/34 | 206,825 | |
389,672 | |||||
Building Materials — 0.5% | |||||
200,000 | Cemex SAB de C.V. (b) (g) | 5.13% | (h) | 190,668 | |
Electric — 3.5% | |||||
200,000 | AES Andes S.A. (c) (g) | 7.13% | 03/26/79 | 196,565 | |
200,000 | Buffalo Energy Mexico Holdings / Buffalo Energy Infrastructure / Buffalo Energy (b) | 7.88% | 02/15/39 | 212,521 | |
260,000 | Eskom Holdings SOC Ltd. (c) | 6.35% | 08/10/28 | 248,975 | |
200,000 | Eskom Holdings SOC Ltd. (c) | 8.45% | 08/10/28 | 199,095 | |
200,000 | Mazoon Assets Co. SAOC (b) | 5.50% | 02/14/29 | 198,535 | |
200,000 | MVM Energetika Zrt (c) | 7.50% | 06/09/28 | 207,500 | |
1,263,191 | |||||
Food — 0.6% | |||||
200,000 | Minerva Luxembourg S.A. (b) | 8.88% | 09/13/33 | 210,465 | |
Internet — 0.3% | |||||
200,000 | Prosus N.V. (c) | 3.83% | 02/08/51 | 123,441 | |
Investment Companies — 1.0% | |||||
400,000 | Gaci First Investment Co. (c) | 5.13% | 02/14/53 | 343,580 | |
Iron/Steel — 2.0% | |||||
200,000 | CSN Resources S.A. (b) | 8.88% | 12/05/30 | 205,325 | |
200,000 | CSN Resources S.A. (c) | 4.63% | 06/10/31 | 161,189 | |
367,742 | Samarco Mineracao S.A. (b) (i) | 9.50% | 06/30/31 | 338,087 | |
704,601 | |||||
Lodging — 1.0% | |||||
200,000 | Fortune Star BVI Ltd. (c) | 5.00% | 05/18/26 | 172,969 | |
220,000 | Melco Resorts Finance Ltd. (c) | 5.38% | 12/04/29 | 199,191 | |
372,160 | |||||
Mining — 3.0% | |||||
200,000 | Corp. Nacional del Cobre de Chile (c) | 3.00% | 09/30/29 | 175,315 | |
200,000 | Corp. Nacional del Cobre de Chile (c) | 6.30% | 09/08/53 | 193,920 | |
200,000 | First Quantum Minerals Ltd. (b) | 9.38% | 03/01/29 | 207,513 | |
200,000 | First Quantum Minerals Ltd. (b) | 8.63% | 06/01/31 | 191,253 | |
300,000 | Freeport Indonesia PT (b) | 5.32% | 04/14/32 | 290,978 | |
1,058,979 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (a) (Continued) | |||||
Oil & Gas — 9.4% | |||||
$79,000 | Ecopetrol S.A. | 8.88% | 01/13/33 | $83,118 | |
255,000 | Ecopetrol S.A. | 8.38% | 01/19/36 | 256,179 | |
200,000 | Empresa Nacional del Petroleo (b) | 6.15% | 05/10/33 | 199,750 | |
29,109 | Energean Israel Finance Ltd. (b) (c) | 4.88% | 03/30/26 | 27,371 | |
241,491 | Energean Israel Finance Ltd. (b) (c) | 5.38% | 03/30/28 | 216,852 | |
200,000 | KazMunayGas National Co. JSC (c) | 4.75% | 04/19/27 | 193,535 | |
200,000 | KazMunayGas National Co. JSC (c) | 5.38% | 04/24/30 | 194,235 | |
200,000 | KazMunayGas National Co. JSC (c) | 5.75% | 04/19/47 | 170,404 | |
117,000 | Leviathan Bond Ltd. (b) (c) | 6.75% | 06/30/30 | 107,281 | |
335,000 | Petroleos Mexicanos | 5.95% | 01/28/31 | 260,257 | |
575,000 | Petroleos Mexicanos | 6.70% | 02/16/32 | 464,026 | |
420,000 | Petroleos Mexicanos | 6.63% | 06/15/35 | 307,510 | |
600,000 | Qatar Energy (c) | 2.25% | 07/12/31 | 499,637 | |
250,000 | Qatar Energy (c) | 3.30% | 07/12/51 | 173,482 | |
200,000 | Raizen Fuels Finance S.A. (b) (f) | 6.45% | 03/05/34 | 203,177 | |
3,356,814 | |||||
Pipelines — 4.2% | |||||
242,425 | Acu Petroleo Luxembourg Sarl (b) | 7.50% | 01/13/32 | 234,369 | |
250,000 | AI Candelaria Spain S.A. (c) | 5.75% | 06/15/33 | 198,450 | |
290,000 | Galaxy Pipeline Assets Bidco Ltd. (b) | 2.63% | 03/31/36 | 235,791 | |
186,624 | Galaxy Pipeline Assets Bidco Ltd. (b) | 2.94% | 09/30/40 | 149,243 | |
490,000 | Greensaif Pipelines Bidco Sarl (b) | 6.13% | 02/23/38 | 497,971 | |
200,000 | TMS Issuer Sarl (c) | 5.78% | 08/23/32 | 205,239 | |
1,521,063 | |||||
Water — 0.6% | |||||
200,000 | Aegea Finance Sarl (b) | 9.00% | 01/20/31 | 211,742 | |
Total Foreign Corporate Bonds and Notes | 9,746,376 | ||||
(Cost $9,552,545) | |||||
CORPORATE BONDS AND NOTES — 2.1% | |||||
Auto Manufacturers — 1.0% | |||||
338,000 | Hyundai Capital America (b) | 5.70% | 06/26/30 | 343,746 | |
Chemicals — 0.6% | |||||
200,000 | Sasol Financing USA LLC (b) | 8.75% | 05/03/29 | 200,319 | |
Oil & Gas — 0.5% | |||||
204,000 | Gran Tierra Energy, Inc. (b) | 9.50% | 10/15/29 | 189,975 | |
Total Corporate Bonds and Notes | 734,040 | ||||
(Cost $722,961) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.7% | |||||
613,754 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (j) | 613,754 | |||
(Cost $613,754) | |||||
Total Investments — 99.0% | 35,410,903 | ||||
(Cost $34,379,150) | |||||
Net Other Assets and Liabilities — 1.0% | 368,764 | ||||
Net Assets — 100.0% | $35,779,667 |
(a) | Principal Value is in U.S. dollars unless otherwise indicated in the security description. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At February 29, 2024, securities noted as such amounted to $12,749,154 or 35.6% of net assets. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(d) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(e) | Floating or variable rate security. |
(f) | When-issued security. The interest rate shown reflects the rate in effect at February 29, 2024. Interest will begin accruing on the security’s first settlement date. |
(g) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at February 29, 2024. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(h) | Perpetual maturity. |
(i) | These notes are Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may pay interest on the note (1) entirely in cash, (2) entirely in PIK interest or (3) a combination of both. Interest paid will accrue on the notes at a rate of 9.05% per annum. The first interest payment is scheduled for March 30, 2024. |
(j) | Rate shown reflects yield as of February 29, 2024. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Foreign Sovereign Bonds and Notes* | $24,316,733 | $— | $24,316,733 | $— |
Foreign Corporate Bonds and Notes** | 9,746,376 | — | 9,746,376 | — |
Corporate Bonds and Notes** | 734,040 | — | 734,040 | — |
Money Market Funds | 613,754 | 613,754 | — | — |
Total Investments | $35,410,903 | $613,754 | $34,797,149 | $— |
* | See Portfolio of Investments for country breakout. |
** | See Portfolio of Investments for industry breakout. |
First Trust TCW Opportunistic Fixed Income ETF (FIXD) | First Trust TCW Unconstrained Plus Bond ETF (UCON) | First Trust TCW Securitized Plus ETF (DEED) | First Trust TCW Emerging Markets Debt ETF (EFIX) | |
ASSETS: | ||||
Investments, at value | $6,096,335,418 | $2,354,187,246 | $79,154,587 | $35,410,903 |
Swap contracts, at value | 547,377 | 64,888 | — | — |
Cash | 7,409,047 | 3,252,171 | — | 200,985 |
Cash segregated as collateral for open swap contracts | 2,266,526 | 268,679 | — | — |
Cash segregated as collateral for open futures contracts | 10,893,387 | 5,182,969 | 425,395 | — |
Foreign cash segregated as collateral for open futures contracts | 266,885 | — | — | — |
Unrealized appreciation on forward foreign currency contracts | 978,525 | 428,509 | 24,024 | — |
Receivables: | ||||
Investment securities sold | 232,924,681 | 59,895,712 | 390,347 | 312,814 |
Interest | 25,409,636 | 10,456,195 | 342,338 | 497,559 |
Capital shares sold | 19,528,670 | — | — | — |
Dividends | 431,977 | 235,591 | 4,138 | 2,409 |
Reclaims | 11,430 | 1,303 | 1,692 | — |
Variation margin | — | — | 16,616 | — |
Total Assets | 6,397,003,559 | 2,433,973,263 | 80,359,137 | 36,424,670 |
LIABILITIES: | ||||
Unrealized depreciation on forward foreign currency contracts | 19,084 | 6,287 | 181 | — |
Payables: | ||||
Investment securities purchased | 1,291,564,410 | 326,555,574 | 18,410,363 | 618,232 |
Investment advisory fees | 2,571,258 | 1,393,780 | 37,059 | 26,771 |
Variation margin | 178,492 | 649,195 | — | — |
Total Liabilities | 1,294,333,244 | 328,604,836 | 18,447,603 | 645,003 |
NET ASSETS | $5,102,670,315 | $2,105,368,427 | $61,911,534 | $35,779,667 |
NET ASSETS consist of: | ||||
Paid-in capital | $6,078,425,713 | $2,194,162,714 | $106,264,931 | $37,811,547 |
Par value | 1,176,000 | 863,500 | 30,000 | 22,500 |
Accumulated distributable earnings (loss) | (976,931,398 ) | (89,657,787 ) | (44,383,397 ) | (2,054,380 ) |
NET ASSETS | $5,102,670,315 | $2,105,368,427 | $61,911,534 | $35,779,667 |
NET ASSET VALUE, per share | $43.39 | $24.38 | $20.64 | $15.90 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 117,600,002 | 86,350,002 | 3,000,002 | 2,250,002 |
Investments, at cost | $6,336,718,861 | $2,414,972,377 | $86,908,203 | $34,379,150 |
Foreign currency, at cost (proceeds) | $267,405 | $— | $— | $— |
First Trust TCW Opportunistic Fixed Income ETF (FIXD) | First Trust TCW Unconstrained Plus Bond ETF (UCON) | First Trust TCW Securitized Plus ETF (DEED) | First Trust TCW Emerging Markets Debt ETF (EFIX) | |
INVESTMENT INCOME: | ||||
Interest | $111,320,558 | $48,493,218 | $2,261,515 | $1,248,485 |
Dividends | 3,897,984 | 1,920,657 | 68,153 | 11,945 |
Foreign withholding tax | — | — | (6 ) | — |
Total investment income | 115,218,542 | 50,413,875 | 2,329,662 | 1,260,430 |
EXPENSES: | ||||
Investment advisory fees | 14,930,677 | 7,289,207 | 254,635 | 156,704 |
Total expenses | 14,930,677 | 7,289,207 | 254,635 | 156,704 |
NET INVESTMENT INCOME (LOSS) | 100,287,865 | 43,124,668 | 2,075,027 | 1,103,726 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (33,008,434 ) | (3,529,883 ) | (3,283,904 ) | 42,456 |
Futures contracts | (4,504,821 ) | 4,056,164 | (241,001 ) | — |
Forward foreign currency contracts | (230,617 ) | (73,437 ) | 6,658 | — |
Swap contracts | 150,208 | 16,838 | — | (383 ) |
Foreign currency transactions | 29,692 | 3,557 | 2,782 | (483 ) |
Net realized gain (loss) | (37,563,972 ) | 473,239 | (3,515,465 ) | 41,590 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 39,503,922 | 12,170,948 | 2,517,130 | 1,282,071 |
Futures contracts | (2,293,416 ) | 772,737 | (148,267 ) | — |
Forward foreign currency contracts | 735,177 | 316,386 | 5,594 | — |
Swap contracts | 692,092 | 82,043 | — | 7,792 |
Foreign currency translation | 2,366 | (1,042 ) | (110 ) | 36 |
Net change in unrealized appreciation (depreciation) | 38,640,141 | 13,341,072 | 2,374,347 | 1,289,899 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,076,169 | 13,814,311 | (1,141,118 ) | 1,331,489 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $101,364,034 | $56,938,979 | $933,909 | $2,435,215 |
First Trust TCW Opportunistic Fixed Income ETF (FIXD) | First Trust TCW Unconstrained Plus Bond ETF (UCON) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $100,287,865 | $136,595,408 | $43,124,668 | $65,211,374 |
Net realized gain (loss) | (37,563,972 ) | (310,080,166 ) | 473,239 | (23,697,925 ) |
Net change in unrealized appreciation (depreciation) | 38,640,141 | 59,131,546 | 13,341,072 | 3,784,895 |
Net increase (decrease) in net assets resulting from operations | 101,364,034 | (114,353,212 ) | 56,938,979 | 45,298,344 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (107,064,253 ) | (145,560,753 ) | (47,001,501 ) | (66,620,002 ) |
Return of capital | — | — | — | — |
Total distributions to shareholders | (107,064,253 ) | (145,560,753 ) | (47,001,501 ) | (66,620,002 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 568,877,205 | 1,725,247,082 | 606,533,766 | 328,149,848 |
Cost of shares redeemed | — | (474,282,766 ) | — | (86,745,545 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 568,877,205 | 1,250,964,316 | 606,533,766 | 241,404,303 |
Total increase (decrease) in net assets | 563,176,986 | 991,050,351 | 616,471,244 | 220,082,645 |
NET ASSETS: | ||||
Beginning of period | 4,539,493,329 | 3,548,442,978 | 1,488,897,183 | 1,268,814,538 |
End of period | $5,102,670,315 | $4,539,493,329 | $2,105,368,427 | $1,488,897,183 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 104,550,002 | 76,850,002 | 61,550,002 | 51,650,002 |
Shares sold | 13,050,000 | 38,500,000 | 24,800,000 | 13,500,000 |
Shares redeemed | — | (10,800,000 ) | — | (3,600,000 ) |
Shares outstanding, end of period | 117,600,002 | 104,550,002 | 86,350,002 | 61,550,002 |
First Trust TCW Securitized Plus ETF (DEED) | First Trust TCW Emerging Markets Debt ETF (EFIX) | ||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$2,075,027 | $5,878,951 | $1,103,726 | $1,487,648 |
(3,515,465 ) | (16,013,549 ) | 41,590 | (1,129,642 ) |
2,374,347 | 2,552,215 | 1,289,899 | 777,144 |
933,909 | (7,582,383 ) | 2,435,215 | 1,135,150 |
(2,016,751 ) | (4,231,827 ) | (1,084,001 ) | (1,483,502 ) |
— | (816,175 ) | — | — |
(2,016,751 ) | (5,048,002 ) | (1,084,001 ) | (1,483,502 ) |
1,099,577 | 9,991,372 | 3,063,813 | 23,931,095 |
(16,402,931 ) | (104,570,582 ) | — | — |
(15,303,354 ) | (94,579,210 ) | 3,063,813 | 23,931,095 |
(16,386,196 ) | (107,209,595 ) | 4,415,027 | 23,582,743 |
78,297,730 | 185,507,325 | 31,364,640 | 7,781,897 |
$61,911,534 | $78,297,730 | $35,779,667 | $31,364,640 |
3,750,002 | 8,150,002 | 2,050,002 | 500,002 |
50,000 | 450,000 | 200,000 | 1,550,000 |
(800,000 ) | (4,850,000 ) | — | — |
3,000,002 | 3,750,002 | 2,250,002 | 2,050,002 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value, beginning of period | $43.42 | $46.17 | $53.98 | $55.16 | $52.97 | $49.40 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.92 (a) | 1.64 (a) | 0.88 | 0.76 | 1.06 | 1.39 |
Net realized and unrealized gain (loss) | 0.03 | (2.64 ) | (7.76 ) | (0.34 ) | 2.85 | 3.63 |
Total from investment operations | 0.95 | (1.00 ) | (6.88 ) | 0.42 | 3.91 | 5.02 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.98 ) | (1.75 ) | (0.93 ) | (0.81 ) | (1.12 ) | (1.45 ) |
Net realized gain | — | — | — | (0.75 ) | (0.60 ) | — |
Return of capital | — | — | — | (0.04 ) | — | — |
Total distributions | (0.98 ) | (1.75 ) | (0.93 ) | (1.60 ) | (1.72 ) | (1.45 ) |
Net asset value, end of period | $43.39 | $43.42 | $46.17 | $53.98 | $55.16 | $52.97 |
Total return (b) | 2.23 % | (2.15 )% | (12.84 )% | 0.77 % | 7.57 % | 10.33 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $5,102,670 | $4,539,493 | $3,548,443 | $5,297,667 | $3,640,505 | $900,459 |
Ratio of total expenses to average net assets | 0.64 % (c) | 0.65 % | 0.65 % | 0.65 % | 0.65 % | 0.65 % |
Ratio of net expenses to average net assets | 0.64 % (c) | 0.62 % | 0.55 % | 0.55 % | 0.55 % | 0.55 % |
Ratio of net investment income (loss) to average net assets | 4.31 % (c) | 3.72 % | 1.74 % | 1.34 % | 1.61 % | 2.69 % |
Portfolio turnover rate (d) (e) | 238 % | 456 % | 445 % | 497 % | 431 % | 246 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
(e) | The portfolio turnover rate not including mortgage dollar rolls was 149% for the six months ending February 29, 2024 and 290%, 271%, 282%, 270% and 223% for the years ending August 31, 2023, August 31, 2022, August 31, 2021, August 31, 2020 and August 31, 2019, respectively. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value, beginning of period | $24.19 | $24.57 | $26.56 | $26.19 | $25.79 | $25.12 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.60 (a) | 1.11 (a) | 0.55 | 0.53 | 0.75 | 0.77 |
Net realized and unrealized gain (loss) | 0.24 | (0.35 ) | (2.01 ) | 0.52 | 0.50 | 0.75 |
Total from investment operations | 0.84 | 0.76 | (1.46 ) | 1.05 | 1.25 | 1.52 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.65 ) | (1.14 ) | (0.52 ) | (0.51 ) | (0.85 ) | (0.81 ) |
Net realized gain | — | — | (0.01 ) | (0.17 ) | — | (0.04 ) |
Total distributions | (0.65 ) | (1.14 ) | (0.53 ) | (0.68 ) | (0.85 ) | (0.85 ) |
Net asset value, end of period | $24.38 | $24.19 | $24.57 | $26.56 | $26.19 | $25.79 |
Total return (b) | 3.53 % | 3.18 % | (5.55 )% | 4.04 % | 4.97 % | 6.15 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $2,105,368 | $1,488,897 | $1,268,815 | $608,317 | $204,295 | $207,606 |
Ratio of total expenses to average net assets | 0.85 % (c) | 0.85 % | 0.85 % | 0.85 % | 0.85 % | 0.85 % |
Ratio of net expenses to average net assets | 0.85 % (c) | 0.82 % | 0.75 % | 0.75 % | 0.75 % | 0.75 % |
Ratio of net investment income (loss) to average net assets | 5.03 % (c) | 4.60 % | 2.35 % | 1.90 % | 2.88 % | 3.16 % |
Portfolio turnover rate (d) (e) | 182 % | 257 % | 208 % | 190 % | 111 % | 40 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
(e) | The portfolio turnover rate not including mortgage dollar rolls was 78% for the six months ending February 29, 2024 and 33%, 43%, 40%, 67% and 39% for the years ending August 31, 2023, August 31, 2022, August 31, 2021, August 31, 2020, and August 31, 2019, respectively. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $20.88 | $22.76 | $26.01 | $25.88 | $25.00 |
Income from investment operations: | |||||
Net investment income (loss) | 0.62 (b) | 1.16 (b) | 0.49 | 0.28 | 0.08 |
Net realized and unrealized gain (loss) | (0.24 ) | (1.98 ) | (3.28 ) | 0.47 | 0.87 |
Total from investment operations | 0.38 | (0.82 ) | (2.79 ) | 0.75 | 0.95 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.62 ) | (0.89 ) | (0.39 ) | (0.29 ) | (0.07 ) |
Net realized gain | — | — | (0.07 ) | (0.33 ) | — |
Return of capital | — | (0.17 ) | — | — | — |
Total distributions | (0.62 ) | (1.06 ) | (0.46 ) | (0.62 ) | (0.07 ) |
Net asset value, end of period | $20.64 | $20.88 | $22.76 | $26.01 | $25.88 |
Total return (c) | 1.86 % | (3.62 )% | (10.87 )% | 2.93 % | 3.80 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $61,912 | $78,298 | $185,507 | $227,544 | $25,877 |
Ratio of total expenses to average net assets | 0.75 % (d) | 0.75 % | 0.75 % | 0.75 % | 0.75 % (d) |
Ratio of net expenses to average net assets | 0.75 % (d) | 0.71 % | 0.65 % | 0.65 % | 0.65 % (d) |
Ratio of net investment income (loss) to average net assets | 6.11 % (d) | 5.35 % | 1.90 % | 0.98 % | 0.94 % (d) |
Portfolio turnover rate (e) (f) | 172 % | 405 % | 678 % | 678 % | 186 % |
(a) | Inception date is April 29, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
(f) | The portfolio turnover rate not including mortgage dollar rolls was 20%, 93%, 272%, 299% and 21% for the periods ending February 29, 2024, August 31, 2023, August 31, 2022, August 31, 2021 and August 31, 2020, respectively. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $15.30 | $15.56 | $19.95 | $20.00 |
Income from investment operations: | ||||
Net investment income (loss) | 0.51 (b) | 0.99 (b) | 0.70 | 0.40 |
Net realized and unrealized gain (loss) | 0.59 | (0.29 ) | (4.33 ) | (0.02 ) |
Total from investment operations | 1.10 | 0.70 | (3.63 ) | 0.38 |
Distributions paid to shareholders from: | ||||
Net investment income | (0.50 ) | (0.96 ) | (0.76 ) | (0.43 ) |
Net asset value, end of period | $15.90 | $15.30 | $15.56 | $19.95 |
Total return (c) | 7.34 % | 4.67 % | (18.52 )% | 1.93 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $35,780 | $31,365 | $7,782 | $19,950 |
Ratio of total expenses to average net assets | 0.95 % (d) | 0.95 % | 0.95 % | 0.95 % (d) |
Ratio of net expenses to average net assets | 0.95 % (d) | 0.92 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | 6.69 % (d) | 6.53 % | 4.00 % | 3.75 % (d) |
Portfolio turnover rate (e) | 60 % | 151 % | 125 % | 100 % |
(a) | Inception date is February 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
First Trust TCW Opportunistic Fixed Income ETF – (Nasdaq, Inc. (“Nasdaq”) ticker “FIXD”) |
First Trust TCW Unconstrained Plus Bond ETF – (NYSE Arca, Inc. (“NYSE Arca”) ticker “UCON”) |
First Trust TCW Securitized Plus ETF – (NYSE Arca ticker “DEED”) |
First Trust TCW Emerging Markets Debt ETF – (NYSE Arca ticker “EFIX”) |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets |
UCON | ||||||
Cano Health LLC, 6.25%, 10/01/28 | 07/06/22 | $429,000 | $1.50 | $362,608 | $6,435 | 0.00 %* |
DEED | ||||||
SMRT, Series 2022-MINI, Class XCP, IO, 0.00%, 01/15/39 | 01/24/22 | 105,000,000 | 0.00 ** | 0 | 110 | 0.00 * |
* | Amount is less than 0.01%. |
** | Amount is less than $0.01. |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust TCW Opportunistic Fixed Income ETF | $145,560,753 | $— | $— |
First Trust TCW Unconstrained Plus Bond ETF | 66,620,002 | — | — |
First Trust TCW Securitized Plus ETF | 4,231,827 | — | 816,175 |
First Trust TCW Emerging Markets Debt ETF | 1,483,502 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust TCW Opportunistic Fixed Income ETF | $3,532,151 | $(679,160,951 ) | $(295,602,379 ) |
First Trust TCW Unconstrained Plus Bond ETF | 2,786,750 | (28,758,103 ) | (73,623,912 ) |
First Trust TCW Securitized Plus ETF | — | (35,512,224 ) | (7,788,331 ) |
First Trust TCW Emerging Markets Debt ETF | (49,295 ) | (2,989,368 ) | (366,931 ) |
Non-Expiring Capital Loss Carryforwards | |
First Trust TCW Opportunistic Fixed Income ETF | $679,160,951 |
First Trust TCW Unconstrained Plus Bond ETF | 28,758,103 |
First Trust TCW Securitized Plus ETF | 35,512,224 |
First Trust TCW Emerging Markets Debt ETF | 2,989,368 |
Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | |
First Trust TCW Opportunistic Fixed Income ETF | $— | $— |
First Trust TCW Unconstrained Plus Bond ETF | — | — |
First Trust TCW Securitized Plus ETF | — | — |
First Trust TCW Emerging Markets Debt ETF | 38,096 | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust TCW Opportunistic Fixed Income ETF | $6,336,718,861 | $30,594,984 | $(268,235,242 ) | $(237,640,258 ) |
First Trust TCW Unconstrained Plus Bond ETF | 2,414,972,377 | 19,041,051 | (79,445,379 ) | (60,404,328 ) |
First Trust TCW Securitized Plus ETF | 86,908,203 | 296,424 | (8,004,590 ) | (7,708,166 ) |
First Trust TCW Emerging Markets Debt ETF | 34,379,150 | 1,385,705 | (353,952 ) | 1,031,753 |
Breakpoints | FIXD | UCON | DEED | EFIX |
Fund net assets up to and including $2.5 billion | 0.65000 % | 0.85000 % | 0.75000 % | 0.95000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.63375 % | 0.82875 % | 0.73125 % | 0.92625 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.61750 % | 0.80750 % | 0.71250 % | 0.90250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.60125 % | 0.78625 % | 0.69375 % | 0.87875 % |
Fund net assets greater than $10 billion | 0.58500 % | 0.76500 % | 0.67500 % | 0.85500 % |
Purchases | Sales | |
First Trust TCW Opportunistic Fixed Income ETF | ||
U.S. Government securities | $12,689,871,480 | $11,937,329,017 |
Non-U.S. Government securities | 269,371,198 | 505,528,842 |
First Trust TCW Unconstrained Plus Bond ETF | ||
U.S. Government securities | 2,999,537,379 | 2,907,194,832 |
Non-U.S. Government securities | 680,277,302 | 271,769,814 |
First Trust TCW Securitized Plus ETF | ||
U.S. Government securities | 146,933,857 | 158,541,716 |
Non-U.S. Government securities | 514,013 | 15,176,212 |
First Trust TCW Emerging Markets Debt ETF | ||
U.S. Government securities | — | — |
Non-U.S. Government securities | 22,018,930 | 19,427,026 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
FIXD | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $978,525 | Unrealized depreciation on forward foreign currency contracts | $19,084 |
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | 1,408,765 | Unrealized depreciation on futures contracts* | 172,398 |
Swap contracts | Interest Rate Risk | Swap contracts, at value | 547,377 | Swap contracts, at value | — |
UCON | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | 428,509 | Unrealized depreciation on forward foreign currency contracts | 6,287 |
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | 349,081 | Unrealized depreciation on futures contracts* | 455,388 |
Swap contracts | Interest Rate Risk | Swap contracts, at value | 64,888 | Swap contracts, at value | — |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
DEED | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $24,024 | Unrealized depreciation on forward foreign currency contracts | $181 |
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | 22,049 | Unrealized depreciation on futures contracts* | 442 |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in each Fund’s Portfolio of Investments. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Statements of Operations Location | FIXD | UCON | DEED | EFIX |
Currency Risk Exposure | ||||
Net realized gain (loss) on forward foreign currency contracts | $(230,617 ) | $(73,437 ) | $6,658 | $— |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | 735,177 | 316,386 | 5,594 | — |
Interest Rate Risk Exposure | ||||
Net realized gain (loss) on: | ||||
Futures contracts | (4,504,821 ) | 4,056,164 | (241,001 ) | — |
Swap contracts | 150,208 | 16,838 | — | (383 ) |
Net change in unrealized appreciation (depreciation) on: | ||||
Futures contracts | (2,293,416 ) | 772,737 | (148,267 ) | — |
Swap contracts | 692,092 | 82,043 | — | 7,792 |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
515 South Flower Street
Los Angeles, CA 90071
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended February 29, 2024 |
FT Vest U.S. Equity Buffer ETF - January (FJAN) |
FT Vest U.S. Equity Deep Buffer ETF - January (DJAN) |
FT Vest U.S. Equity Buffer ETF - February (FFEB) |
FT Vest U.S. Equity Deep Buffer ETF - February (DFEB) |
FT Vest U.S. Equity Buffer ETF - March (FMAR) |
FT Vest U.S. Equity Deep Buffer ETF - March (DMAR) |
FT Vest U.S. Equity Buffer ETF - April (FAPR) |
FT Vest U.S. Equity Deep Buffer ETF - April (DAPR) |
FT Vest U.S. Equity Buffer ETF - May (FMAY) |
FT Vest U.S. Equity Deep Buffer ETF - May (DMAY) |
FT Vest U.S. Equity Buffer ETF - June (FJUN) |
FT Vest U.S. Equity Deep Buffer ETF - June (DJUN) |
FT Vest U.S. Equity Buffer ETF - July (FJUL) |
FT Vest U.S. Equity Deep Buffer ETF - July (DJUL) |
FT Vest U.S. Equity Buffer ETF - August (FAUG) |
FT Vest U.S. Equity Deep Buffer ETF - August (DAUG) |
FT Vest U.S. Equity Buffer ETF - September (FSEP) |
FT Vest U.S. Equity Deep Buffer ETF - September (DSEP) |
FT Vest U.S. Equity Buffer ETF - October (FOCT) |
FT Vest U.S. Equity Deep Buffer ETF - October (DOCT) |
FT Vest U.S. Equity Buffer ETF - November (FNOV) |
FT Vest U.S. Equity Deep Buffer ETF - November (DNOV) |
FT Vest U.S. Equity Buffer ETF - December (FDEC) |
FT Vest U.S. Equity Deep Buffer ETF - December (DDEC) |
FT Vest Buffered Allocation Defensive ETF (BUFT) |
FT Vest Buffered Allocation Growth ETF (BUFG) |
Semi-Annual Report
February 29, 2024
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Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (1/15/21) to 2/29/24 | Inception (1/15/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 9.74% | 21.59% | 10.75% | 37.52% |
Market Price | 9.74% | 21.52% | 10.75% | 37.52% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 11.88% | 42.01% |
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. |
* | Prior to January 22, 2024, the Fund’s investment objective included an upside cap of 19.04% and an Outcome Period of January 23, 2023 through January 19, 2024. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (1/15/21) to 2/29/24 | Inception (1/15/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.11% | 16.67% | 5.52% | 18.26% |
Market Price | 7.34% | 16.75% | 5.52% | 18.26% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 11.88% | 42.01% |
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. |
* | Prior to January 22, 2024, the Fund’s investment objective included an upside cap of 14.70% and an Outcome Period of January 23, 2023 through January 19, 2024. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (2/21/20) to 2/29/24 | Inception (2/21/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 10.24% | 22.24% | 9.68% | 44.95% |
Market Price | 10.09% | 22.11% | 9.64% | 44.75% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 12.90% | 62.95% |
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. |
* | Prior to February 20, 2024, the Fund’s investment objective included an upside cap of 19.25% and an Outcome Period of February 21, 2023 through February 16, 2024. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (2/21/20) to 2/29/24 | Inception (2/21/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.16% | 16.94% | 5.78% | 25.36% |
Market Price | 7.43% | 16.90% | 5.78% | 25.33% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 12.90% | 62.95% |
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. |
* | Prior to February 20, 2024, the Fund’s investment objective included an upside cap of 14.97% and an Outcome Period of February 21, 2023 through February 16, 2024. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (3/19/21) to 2/29/24 | Inception (3/19/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 6.74% | 18.39% | 9.32% | 30.03% |
Market Price | 6.74% | 18.13% | 9.33% | 30.07% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 11.08% | 36.36% |
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. |
* | Prior to March 20, 2023, the Fund’s investment objective included an upside cap of 14.78% and an Outcome Period of March 21, 2022 through March 17, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (3/19/21) to 2/29/24 | Inception (3/19/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 4.89% | 13.50% | 5.14% | 15.91% |
Market Price | 5.15% | 13.53% | 5.14% | 15.91% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 11.08% | 36.36% |
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. |
* | Prior to March 20, 2023, the Fund’s investment objective included an upside cap of 10.02% and an Outcome Period of March 21, 2022 through March 17, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (4/16/21) to 2/29/24 | Inception (4/16/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.69% | 19.63% | 6.65% | 20.31% |
Market Price | 8.72% | 19.39% | 6.65% | 20.31% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 8.78% | 27.38% |
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. |
* | Prior to April 24, 2023, the Fund’s investment objective included an upside cap of 16.35% and an Outcome Period of April 18, 2022 through April 21, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (4/16/21) to 2/29/24 | Inception (4/16/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 6.43% | 12.16% | 3.46% | 10.25% |
Market Price | 6.70% | 12.04% | 3.46% | 10.25% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 8.78% | 27.38% |
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. |
* | Prior to April 24, 2023, the Fund’s investment objective included an upside cap of 10.96% and an Outcome Period of April 18, 2022 through April 21, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (5/15/20) to 2/29/24 | Inception (5/15/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.73% | 19.19% | 9.53% | 41.23% |
Market Price | 8.65% | 19.08% | 9.51% | 41.13% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 18.27% | 89.00% |
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. |
* | Prior to May 22, 2023, the Fund’s investment objective included an upside cap of 20.45% and an Outcome Period of May 23, 2022 through May 19, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (5/15/20) to 2/29/24 | Inception (5/15/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 6.62% | 16.55% | 5.39% | 22.04% |
Market Price | 6.93% | 16.49% | 5.38% | 21.98% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 18.27% | 89.00% |
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. |
* | Prior to May 22, 2023, the Fund’s investment objective included an upside cap of 13.93% and an Outcome Period of May 23, 2022 through May 19, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (6/19/20) to 2/29/24 | Inception (6/19/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 9.76% | 24.51% | 12.16% | 52.83% |
Market Price | 9.98% | 24.17% | 12.13% | 52.66% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 16.22% | 74.35% |
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. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 22.20% and an Outcome Period of June 21, 2022 through June 16, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (6/19/20) to 2/29/24 | Inception (6/19/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.63% | 19.04% | 7.50% | 30.64% |
Market Price | 8.55% | 19.01% | 7.49% | 30.58% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 16.22% | 74.35% |
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. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 15.59% and an Outcome Period of June 21, 2022 through June 16, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (7/17/20) to 2/29/24 | Inception (7/17/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 9.94% | 23.36% | 10.61% | 44.05% |
Market Price | 10.02% | 23.65% | 10.64% | 44.18% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 15.27% | 67.31% |
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. |
* | Prior to July 24, 2023, the Fund’s investment objective included an upside cap of 21.30% and an Outcome Period of July 18, 2022 through July 21, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (7/17/20) to 2/29/24 | Inception (7/17/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 9.01% | 20.79% | 6.60% | 26.03% |
Market Price | 8.77% | 20.74% | 6.57% | 25.89% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 15.27% | 67.31% |
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. |
* | Prior to July 24, 2023, the Fund’s investment objective included an upside cap of 15.02% and an Outcome Period of July 18, 2022 through July 21, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (11/6/19) to 2/29/24 | Inception (11/6/19) to 2/29/24 | |
Fund Performance | ||||
NAV | 9.35% | 18.52% | 8.17% | 40.30% |
Market Price | 9.32% | 18.59% | 8.17% | 40.33% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 14.27% | 77.87% |
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. |
* | Prior to August 21, 2023, the Fund’s investment objective included an upside cap of 20.46% and an Outcome Period of August 22, 2022 through August 18, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (11/6/19) to 2/29/24 | Inception (11/6/19) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.52% | 16.23% | 4.64% | 21.59% |
Market Price | 7.78% | 16.09% | 4.63% | 21.53% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 14.27% | 77.87% |
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. |
* | Prior to August 21, 2023, the Fund’s investment objective included an upside cap of 14.47% and an Outcome Period of August 22, 2022 through August 18, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (9/18/20) to 2/29/24 | Inception (9/18/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.68% | 21.67% | 10.38% | 40.56% |
Market Price | 8.70% | 21.66% | 10.39% | 40.59% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 15.02% | 62.04% |
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. |
* | Prior to September 18, 2023, the Fund’s investment objective included an upside cap of 23.41% and an Outcome Period of September 19, 2022 through September 15, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (9/18/20) to 2/29/24 | Inception (9/18/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.04% | 20.61% | 7.14% | 26.81% |
Market Price | 7.93% | 20.42% | 7.09% | 26.61% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 15.02% | 62.04% |
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. |
* | Prior to September 18, 2023, the Fund’s investment objective included an upside cap of 16.98% and an Outcome Period of September 19, 2022 through September 15, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (10/16/20) to 2/29/24 | Inception (10/16/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 4.78% | 17.62% | 9.14% | 34.28% |
Market Price | 4.86% | 17.85% | 9.17% | 34.38% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 13.71% | 54.23% |
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. |
* | Prior to October 23, 2023, the Fund’s investment objective included an upside cap of 27.12% and an Outcome Period of October 24, 2022 through October 20, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (10/16/20) to 2/29/24 | Inception (10/16/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 5.07% | 16.16% | 6.82% | 24.91% |
Market Price | 5.13% | 16.16% | 6.81% | 24.87% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 13.71% | 54.23% |
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. |
* | Prior to October 23, 2023, the Fund’s investment objective included an upside cap of 19.20% and an Outcome Period of October 24, 2022 through October 20, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (11/15/19) to 2/29/24 | Inception (11/15/19) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.88% | 20.54% | 8.91% | 44.21% |
Market Price | 8.17% | 20.66% | 8.92% | 44.27% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 13.95% | 75.18% |
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. |
* | Prior to November 20, 2023, the Fund’s investment objective included an upside cap of 23.77% and an Outcome Period of November 21, 2022 through November 17, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (11/15/19) to 2/29/24 | Inception (11/15/19) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.18% | 19.43% | 6.46% | 30.80% |
Market Price | 8.13% | 19.22% | 6.41% | 30.54% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 13.95% | 75.18% |
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. |
* | Prior to November 20, 2023, the Fund’s investment objective included an upside cap of 17.19% and an Outcome Period of November 21, 2022 through November 17, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (12/18/20) to 2/29/24 | Inception (12/18/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 11.29% | 24.20% | 9.70% | 34.46% |
Market Price | 11.00% | 23.88% | 9.59% | 34.03% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 12.17% | 44.42% |
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. |
* | Prior to December 18, 2023, the Fund’s investment objective included an upside cap of 23.10% and an Outcome Period of December 19, 2022 through December 15, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (12/18/20) to 2/29/24 | Inception (12/18/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.24% | 18.22% | 6.53% | 22.40% |
Market Price | 7.89% | 17.83% | 6.43% | 22.04% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 12.17% | 44.42% |
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. |
* | Prior to December 18, 2023, the Fund’s investment objective included an upside cap of 16.68% and an Outcome Period of December 19, 2022 through December 15, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (10/26/21) to 2/29/24 | Inception (10/26/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 5.72% | 13.64% | 2.58% | 6.15% |
Market Price | 5.72% | 13.76% | 2.60% | 6.20% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 6.42% | 15.72% |
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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (10/26/21) to 2/29/24 | Inception (10/26/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.48% | 19.50% | 4.37% | 10.54% |
Market Price | 8.38% | 19.58% | 4.35% | 10.49% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 6.42% | 15.72% |
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. |
Howard Rubin, Managing Director of Vest
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Vest U.S. Equity Buffer ETF - January (FJAN) | ||||
Actual | $1,000.00 | $1,097.40 | 0.85% | $4.43 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - January (DJAN) | ||||
Actual | $1,000.00 | $1,071.10 | 0.85% | $4.38 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - February (FFEB) | ||||
Actual | $1,000.00 | $1,102.40 | 0.85% | $4.44 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - February (DFEB) | ||||
Actual | $1,000.00 | $1,071.60 | 0.85% | $4.38 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Vest U.S. Equity Buffer ETF - March (FMAR) | ||||
Actual | $1,000.00 | $1,067.40 | 0.85% | $4.37 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - March (DMAR) | ||||
Actual | $1,000.00 | $1,048.90 | 0.85% | $4.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - April (FAPR) | ||||
Actual | $1,000.00 | $1,086.90 | 0.85% | $4.41 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - April (DAPR) | ||||
Actual | $1,000.00 | $1,064.30 | 0.85% | $4.36 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - May (FMAY) | ||||
Actual | $1,000.00 | $1,087.30 | 0.85% | $4.41 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - May (DMAY) | ||||
Actual | $1,000.00 | $1,066.20 | 0.85% | $4.37 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - June (FJUN) | ||||
Actual | $1,000.00 | $1,097.60 | 0.85% | $4.43 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - June (DJUN) | ||||
Actual | $1,000.00 | $1,086.30 | 0.85% | $4.41 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - July (FJUL) | ||||
Actual | $1,000.00 | $1,099.40 | 0.85% | $4.44 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - July (DJUL) | ||||
Actual | $1,000.00 | $1,090.10 | 0.85% | $4.42 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - August (FAUG) | ||||
Actual | $1,000.00 | $1,093.50 | 0.85% | $4.42 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - August (DAUG) | ||||
Actual | $1,000.00 | $1,075.20 | 0.85% | $4.39 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - September (FSEP) | ||||
Actual | $1,000.00 | $1,086.80 | 0.85% | $4.41 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - September (DSEP) | ||||
Actual | $1,000.00 | $1,080.40 | 0.85% | $4.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - October (FOCT) | ||||
Actual | $1,000.00 | $1,047.80 | 0.85% | $4.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Vest U.S. Equity Deep Buffer ETF - October (DOCT) | ||||
Actual | $1,000.00 | $1,050.70 | 0.85% | $4.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - November (FNOV) | ||||
Actual | $1,000.00 | $1,078.80 | 0.85% | $4.39 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - November (DNOV) | ||||
Actual | $1,000.00 | $1,081.80 | 0.85% | $4.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Buffer ETF - December (FDEC) | ||||
Actual | $1,000.00 | $1,112.90 | 0.85% | $4.47 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Deep Buffer ETF - December (DDEC) | ||||
Actual | $1,000.00 | $1,082.40 | 0.85% | $4.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest Buffered Allocation Defensive ETF (BUFT) (b) | ||||
Actual | $1,000.00 | $1,057.20 | 0.20% | $1.02 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.87 | 0.20% | $1.01 |
FT Vest Buffered Allocation Growth ETF (BUFG) (b) | ||||
Actual | $1,000.00 | $1,084.80 | 0.20% | $1.04 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.87 | 0.20% | $1.01 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
(b) | 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. |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
7,512,116 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $7,512,116 | |||
(Cost $7,512,116) | |||||
Total Investments — 1.1% | 7,512,116 | ||||
(Cost $7,512,116) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.9% | |||||
Call Options Purchased — 100.0% | |||||
14,468 | SPDR® S&P 500® ETF Trust | $735,090,144 | $4.82 | 01/17/25 | 719,652,788 |
(Cost $686,271,943) | |||||
Put Options Purchased — 2.9% | |||||
14,468 | SPDR® S&P 500® ETF Trust | 735,090,144 | 482.43 | 01/17/25 | 20,544,560 |
(Cost $32,041,314) | |||||
Total Purchased Options | 740,197,348 | ||||
(Cost $718,313,257) | |||||
WRITTEN OPTIONS — (3.9)% | |||||
Call Options Written — (2.5)% | |||||
(14,468) | SPDR® S&P 500® ETF Trust | (735,090,144 ) | 558.17 | 01/17/25 | (17,810,108 ) |
(Premiums received $8,253,399) | |||||
Put Options Written — (1.4)% | |||||
(14,468) | SPDR® S&P 500® ETF Trust | (735,090,144 ) | 434.19 | 01/17/25 | (10,214,408 ) |
(Premiums received $16,703,961) | |||||
Total Written Options | (28,024,516 ) | ||||
(Premiums received $24,957,360) | |||||
Net Other Assets and Liabilities — (0.1)% | (432,329 ) | ||||
Net Assets — 100.0% | $719,252,619 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 102.9 |
Written Options | (3.9) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $7,512,116 | $7,512,116 | $— | $— |
Purchased Options | 740,197,348 | — | 740,197,348 | — |
Total | $747,709,464 | $7,512,116 | $740,197,348 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(28,024,516 ) | $— | $(28,024,516 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
3,293,913 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,293,913 | |||
(Cost $3,293,913) | |||||
Total Investments — 1.0% | 3,293,913 | ||||
(Cost $3,293,913) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.7% | |||||
Call Options Purchased — 100.7% | |||||
6,394 | SPDR® S&P 500® ETF Trust | $324,866,352 | $4.81 | 01/17/25 | 318,510,716 |
(Cost $303,167,223) | |||||
Put Options Purchased — 2.0% | |||||
6,394 | SPDR® S&P 500® ETF Trust | 324,866,352 | 458.31 | 01/17/25 | 6,349,242 |
(Cost $9,532,175) | |||||
Total Purchased Options | 324,859,958 | ||||
(Cost $312,699,398) | |||||
WRITTEN OPTIONS — (3.6)% | |||||
Call Options Written — (3.2)% | |||||
(6,394) | SPDR® S&P 500® ETF Trust | (324,866,352 ) | 549.68 | 01/17/25 | (10,153,672 ) |
(Premiums received $4,261,379) | |||||
Put Options Written — (0.4)% | |||||
(6,394) | SPDR® S&P 500® ETF Trust | (324,866,352 ) | 337.70 | 01/17/25 | (1,368,316 ) |
(Premiums received $2,101,945) | |||||
Total Written Options | (11,521,988 ) | ||||
(Premiums received $6,363,324) | |||||
Net Other Assets and Liabilities — (0.1)% | (212,802 ) | ||||
Net Assets — 100.0% | $316,419,081 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 102.7 |
Written Options | (3.6) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,293,913 | $3,293,913 | $— | $— |
Purchased Options | 324,859,958 | — | 324,859,958 | — |
Total | $328,153,871 | $3,293,913 | $324,859,958 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(11,521,988 ) | $— | $(11,521,988 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
8,529,898 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $8,529,898 | |||
(Cost $8,529,898) | |||||
Total Investments — 1.1% | 8,529,898 | ||||
(Cost $8,529,898) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.2% | |||||
Call Options Purchased — 98.5% | |||||
15,003 | SPDR® S&P 500® ETF Trust | $762,272,424 | $5.00 | 02/21/25 | 748,422,631 |
(Cost $734,849,329) | |||||
Put Options Purchased — 3.7% | |||||
15,003 | SPDR® S&P 500® ETF Trust | 762,272,424 | 499.51 | 02/21/25 | 28,046,476 |
(Cost $32,445,956) | |||||
Total Purchased Options | 776,469,107 | ||||
(Cost $767,295,285) | |||||
WRITTEN OPTIONS — (3.3)% | |||||
Call Options Written — (1.4)% | |||||
(15,003) | SPDR® S&P 500® ETF Trust | (762,272,424 ) | 583.53 | 02/21/25 | (10,870,597 ) |
(Premiums received $8,626,806) | |||||
Put Options Written — (1.9)% | |||||
(15,003) | SPDR® S&P 500® ETF Trust | (762,272,424 ) | 449.56 | 02/21/25 | (14,380,110 ) |
(Premiums received $16,679,229) | |||||
Total Written Options | (25,250,707 ) | ||||
(Premiums received $25,306,035) | |||||
Net Other Assets and Liabilities — (0.0)% | (376,911 ) | ||||
Net Assets — 100.0% | $759,371,387 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 102.2 |
Written Options | (3.3) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $8,529,898 | $8,529,898 | $— | $— |
Purchased Options | 776,469,107 | — | 776,469,107 | — |
Total | $784,999,005 | $8,529,898 | $776,469,107 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(25,250,707 ) | $— | $(25,250,707 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
3,397,693 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,397,693 | |||
(Cost $3,397,693) | |||||
Total Investments — 1.1% | 3,397,693 | ||||
(Cost $3,397,693) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.3% | |||||
Call Options Purchased — 98.6% | |||||
6,159 | SPDR® S&P 500® ETF Trust | $312,926,472 | $4.99 | 02/21/25 | 306,373,296 |
(Cost $301,847,563) | |||||
Put Options Purchased — 2.7% | |||||
6,159 | SPDR® S&P 500® ETF Trust | 312,926,472 | 474.53 | 02/21/25 | 8,400,876 |
(Cost $9,536,757) | |||||
Total Purchased Options | 314,774,172 | ||||
(Cost $311,384,320) | |||||
WRITTEN OPTIONS — (2.4)% | |||||
Call Options Written — (1.9)% | |||||
(6,159) | SPDR® S&P 500® ETF Trust | (312,926,472 ) | 574.69 | 02/21/25 | (5,838,732 ) |
(Premiums received $4,707,520) | |||||
Put Options Written — (0.5)% | |||||
(6,159) | SPDR® S&P 500® ETF Trust | (312,926,472 ) | 349.66 | 02/21/25 | (1,687,566 ) |
(Premiums received $1,932,120) | |||||
Total Written Options | (7,526,298 ) | ||||
(Premiums received $6,639,640) | |||||
Net Other Assets and Liabilities — (0.0)% | (108,049 ) | ||||
Net Assets — 100.0% | $310,537,518 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 101.3 |
Written Options | (2.4) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,397,693 | $3,397,693 | $— | $— |
Purchased Options | 314,774,172 | — | 314,774,172 | — |
Total | $318,171,865 | $3,397,693 | $314,774,172 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(7,526,298 ) | $— | $(7,526,298 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.3% | |||||
1,299,138 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,299,138 | |||
(Cost $1,299,138) | |||||
Total Investments — 0.3% | 1,299,138 | ||||
(Cost $1,299,138) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 109.1% | |||||
Call Options Purchased — 109.1% | |||||
9,495 | SPDR® S&P 500® ETF Trust | $482,421,960 | $3.90 | 03/15/24 | 477,435,467 |
(Cost $391,498,271) | |||||
Put Options Purchased — 0.0% | |||||
9,495 | SPDR® S&P 500® ETF Trust | 482,421,960 | 389.99 | 03/15/24 | 52,326 |
(Cost $14,536,629) | |||||
Total Purchased Options | 477,487,793 | ||||
(Cost $406,034,900) | |||||
WRITTEN OPTIONS — (9.3)% | |||||
Call Options Written — (9.3)% | |||||
(9,495) | SPDR® S&P 500® ETF Trust | (482,421,960 ) | 465.45 | 03/15/24 | (40,620,204 ) |
(Premiums received $10,552,686) | |||||
Put Options Written — (0.0)% | |||||
(9,495) | SPDR® S&P 500® ETF Trust | (482,421,960 ) | 350.99 | 03/15/24 | (31,491 ) |
(Premiums received $6,570,594) | |||||
Total Written Options | (40,651,695 ) | ||||
(Premiums received $17,123,280) | |||||
Net Other Assets and Liabilities — (0.1)% | (292,169 ) | ||||
Net Assets — 100.0% | $437,843,067 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.3% |
Purchased Options | 109.1 |
Written Options | (9.3) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,299,138 | $1,299,138 | $— | $— |
Purchased Options | 477,487,793 | — | 477,487,793 | — |
Total | $478,786,931 | $1,299,138 | $477,487,793 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(40,651,695 ) | $— | $(40,651,695 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.3% | |||||
506,168 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $506,168 | |||
(Cost $506,168) | |||||
Total Investments — 0.3% | 506,168 | ||||
(Cost $506,168) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 113.8% | |||||
Call Options Purchased — 113.8% | |||||
3,708 | SPDR® S&P 500® ETF Trust | $188,396,064 | $3.89 | 03/15/24 | 186,452,430 |
(Cost $145,746,835) | |||||
Put Options Purchased — 0.0% | |||||
3,708 | SPDR® S&P 500® ETF Trust | 188,396,064 | 370.49 | 03/15/24 | 15,774 |
(Cost $8,154,971) | |||||
Total Purchased Options | 186,468,204 | ||||
(Cost $153,901,806) | |||||
WRITTEN OPTIONS — (14.0)% | |||||
Call Options Written — (14.0)% | |||||
(3,708) | SPDR® S&P 500® ETF Trust | (188,396,064 ) | 445.99 | 03/15/24 | (23,032,601 ) |
(Premiums received $4,133,308) | |||||
Put Options Written — (0.0)% | |||||
(3,708) | SPDR® S&P 500® ETF Trust | (188,396,064 ) | 272.99 | 03/15/24 | (4,728 ) |
(Premiums received $1,715,111) | |||||
Total Written Options | (23,037,329 ) | ||||
(Premiums received $5,848,419) | |||||
Net Other Assets and Liabilities — (0.1)% | (127,824 ) | ||||
Net Assets — 100.0% | $163,809,219 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.3% |
Purchased Options | 113.8 |
Written Options | (14.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $506,168 | $506,168 | $— | $— |
Purchased Options | 186,468,204 | — | 186,468,204 | — |
Total | $186,974,372 | $506,168 | $186,468,204 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(23,037,329 ) | $— | $(23,037,329 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
2,724,441 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,724,441 | |||
(Cost $2,724,441) | |||||
Total Investments — 0.6% | 2,724,441 | ||||
(Cost $2,724,441) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 104.9% | |||||
Call Options Purchased — 104.8% | |||||
9,685 | SPDR® S&P 500® ETF Trust | $492,075,480 | $4.12 | 04/19/24 | 486,642,195 |
(Cost $414,344,575) | |||||
Put Options Purchased — 0.1% | |||||
9,685 | SPDR® S&P 500® ETF Trust | 492,075,480 | 412.20 | 04/19/24 | 319,605 |
(Cost $23,968,980) | |||||
Total Purchased Options | 486,961,800 | ||||
(Cost $438,313,555) | |||||
WRITTEN OPTIONS — (5.2)% | |||||
Call Options Written — (5.2)% | |||||
(9,685) | SPDR® S&P 500® ETF Trust | (492,075,480 ) | 488.37 | 04/19/24 | (23,863,840 ) |
(Premiums received $5,474,929) | |||||
Put Options Written — (0.0)% | |||||
(9,685) | SPDR® S&P 500® ETF Trust | (492,075,480 ) | 370.98 | 04/19/24 | (174,330 ) |
(Premiums received $8,196,258) | |||||
Total Written Options | (24,038,170 ) | ||||
(Premiums received $13,671,187) | |||||
Net Other Assets and Liabilities — (0.3)% | (1,209,293 ) | ||||
Net Assets — 100.0% | $464,438,778 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 104.9 |
Written Options | (5.2) |
Net Other Assets and Liabilities | (0.3) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,724,441 | $2,724,441 | $— | $— |
Purchased Options | 486,961,800 | — | 486,961,800 | — |
Total | $489,686,241 | $2,724,441 | $486,961,800 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(24,038,170 ) | $— | $(24,038,170 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.4% | |||||
844,724 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $844,724 | |||
(Cost $844,724) | |||||
Total Investments — 0.4% | 844,724 | ||||
(Cost $844,724) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 108.8% | |||||
Call Options Purchased — 108.7% | |||||
4,580 | SPDR® S&P 500® ETF Trust | $232,700,640 | $4.11 | 04/19/24 | 230,399,200 |
(Cost $188,836,740) | |||||
Put Options Purchased — 0.1% | |||||
4,580 | SPDR® S&P 500® ETF Trust | 232,700,640 | 391.59 | 04/19/24 | 102,336 |
(Cost $9,104,782) | |||||
Total Purchased Options | 230,501,536 | ||||
(Cost $197,941,522) | |||||
WRITTEN OPTIONS — (9.1)% | |||||
Call Options Written — (9.1)% | |||||
(4,580) | SPDR® S&P 500® ETF Trust | (232,700,640 ) | 470.11 | 04/19/24 | (19,204,813 ) |
(Premiums received $5,508,593) | |||||
Put Options Written — (0.0)% | |||||
(4,580) | SPDR® S&P 500® ETF Trust | (232,700,640 ) | 288.54 | 04/19/24 | (18,047 ) |
(Premiums received $1,610,523) | |||||
Total Written Options | (19,222,860 ) | ||||
(Premiums received $7,119,116) | |||||
Net Other Assets and Liabilities — (0.1)% | (134,442 ) | ||||
Net Assets — 100.0% | $211,988,958 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.4% |
Purchased Options | 108.8 |
Written Options | (9.1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $844,724 | $844,724 | $— | $— |
Purchased Options | 230,501,536 | — | 230,501,536 | — |
Total | $231,346,260 | $844,724 | $230,501,536 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(19,222,860 ) | $— | $(19,222,860 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
2,482,382 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,482,382 | |||
(Cost $2,482,382) | |||||
Total Investments — 0.5% | 2,482,382 | ||||
(Cost $2,482,382) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 105.0% | |||||
Call Options Purchased — 104.8% | |||||
11,178 | SPDR® S&P 500® ETF Trust | $567,931,824 | $4.19 | 05/17/24 | 562,604,935 |
(Cost $483,352,719) | |||||
Put Options Purchased — 0.2% | |||||
11,178 | SPDR® S&P 500® ETF Trust | 567,931,824 | 418.62 | 05/17/24 | 764,769 |
(Cost $28,911,619) | |||||
Total Purchased Options | 563,369,704 | ||||
(Cost $512,264,338) | |||||
WRITTEN OPTIONS — (5.4)% | |||||
Call Options Written — (5.3)% | |||||
(11,178) | SPDR® S&P 500® ETF Trust | (567,931,824 ) | 492.51 | 05/17/24 | (28,417,219 ) |
(Premiums received $6,238,985) | |||||
Put Options Written — (0.1)% | |||||
(11,178) | SPDR® S&P 500® ETF Trust | (567,931,824 ) | 376.76 | 05/17/24 | (368,782 ) |
(Premiums received $9,044,452) | |||||
Total Written Options | (28,786,001 ) | ||||
(Premiums received $15,283,437) | |||||
Net Other Assets and Liabilities — (0.1)% | (375,010 ) | ||||
Net Assets — 100.0% | $536,691,075 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 105.0 |
Written Options | (5.4) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,482,382 | $2,482,382 | $— | $— |
Purchased Options | 563,369,704 | — | 563,369,704 | — |
Total | $565,852,086 | $2,482,382 | $563,369,704 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(28,786,001 ) | $— | $(28,786,001 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
837,921 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $837,921 | |||
(Cost $837,921) | |||||
Total Investments — 0.5% | 837,921 | ||||
(Cost $837,921) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 108.2% | |||||
Call Options Purchased — 108.1% | |||||
3,917 | SPDR® S&P 500® ETF Trust | $199,014,936 | $4.18 | 05/17/24 | 197,152,155 |
(Cost $165,432,710) | |||||
Put Options Purchased — 0.1% | |||||
3,917 | SPDR® S&P 500® ETF Trust | 199,014,936 | 397.69 | 05/17/24 | 186,945 |
(Cost $7,948,558) | |||||
Total Purchased Options | 197,339,100 | ||||
(Cost $173,381,268) | |||||
WRITTEN OPTIONS — (8.6)% | |||||
Call Options Written — (8.6)% | |||||
(3,917) | SPDR® S&P 500® ETF Trust | (199,014,936 ) | 475.85 | 05/17/24 | (15,619,527 ) |
(Premiums received $4,411,060) | |||||
Put Options Written — (0.0)% | |||||
(3,917) | SPDR® S&P 500® ETF Trust | (199,014,936 ) | 293.03 | 05/17/24 | (26,727 ) |
(Premiums received $1,180,837) | |||||
Total Written Options | (15,646,254 ) | ||||
(Premiums received $5,591,897) | |||||
Net Other Assets and Liabilities — (0.1)% | (113,957 ) | ||||
Net Assets — 100.0% | $182,416,810 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 108.2 |
Written Options | (8.6) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $837,921 | $837,921 | $— | $— |
Purchased Options | 197,339,100 | — | 197,339,100 | — |
Total | $198,177,021 | $837,921 | $197,339,100 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(15,646,254 ) | $— | $(15,646,254 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 2.8% | |||||
18,645,570 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $18,645,570 | |||
(Cost $18,645,570) | |||||
Total Investments — 2.8% | 18,645,570 | ||||
(Cost $18,645,570) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.9% | |||||
Call Options Purchased — 101.5% | |||||
13,335 | SPDR® S&P 500® ETF Trust | $677,524,680 | $4.39 | 06/21/24 | 668,734,859 |
(Cost $592,055,092) | |||||
Put Options Purchased — 0.4% | |||||
13,335 | SPDR® S&P 500® ETF Trust | 677,524,680 | 439.46 | 06/21/24 | 2,469,883 |
(Cost $25,228,477) | |||||
Total Purchased Options | 671,204,742 | ||||
(Cost $617,283,569) | |||||
WRITTEN OPTIONS — (2.4)% | |||||
Call Options Written — (2.2)% | |||||
(13,335) | SPDR® S&P 500® ETF Trust | (677,524,680 ) | 519.66 | 06/21/24 | (14,448,405 ) |
(Premiums received $7,140,921) | |||||
Put Options Written — (0.2)% | |||||
(13,335) | SPDR® S&P 500® ETF Trust | (677,524,680 ) | 395.51 | 06/21/24 | (1,192,663 ) |
(Premiums received $10,995,574) | |||||
Total Written Options | (15,641,068 ) | ||||
(Premiums received $18,136,495) | |||||
Net Other Assets and Liabilities — (2.3)% | (15,439,490 ) | ||||
Net Assets — 100.0% | $658,769,754 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 2.8% |
Purchased Options | 101.9 |
Written Options | (2.4) |
Net Other Assets and Liabilities | (2.3) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $18,645,570 | $18,645,570 | $— | $— |
Purchased Options | 671,204,742 | — | 671,204,742 | — |
Total | $689,850,312 | $18,645,570 | $671,204,742 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(15,641,068 ) | $— | $(15,641,068 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
957,683 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $957,683 | |||
(Cost $957,683) | |||||
Total Investments — 0.6% | 957,683 | ||||
(Cost $957,683) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.7% | |||||
Call Options Purchased — 103.4% | |||||
3,525 | SPDR® S&P 500® ETF Trust | $179,098,200 | $4.38 | 06/21/24 | 176,778,147 |
(Cost $153,156,222) | |||||
Put Options Purchased — 0.3% | |||||
3,525 | SPDR® S&P 500® ETF Trust | 179,098,200 | 417.49 | 06/21/24 | 439,701 |
(Cost $7,048,803) | |||||
Total Purchased Options | 177,217,848 | ||||
(Cost $160,205,025) | |||||
WRITTEN OPTIONS — (4.2)% | |||||
Call Options Written — (4.1)% | |||||
(3,525) | SPDR® S&P 500® ETF Trust | (179,098,200 ) | 504.06 | 06/21/24 | (7,054,571 ) |
(Premiums received $2,351,481) | |||||
Put Options Written — (0.1)% | |||||
(3,525) | SPDR® S&P 500® ETF Trust | (179,098,200 ) | 307.62 | 06/21/24 | (84,206 ) |
(Premiums received $2,076,705) | |||||
Total Written Options | (7,138,777 ) | ||||
(Premiums received $4,428,186) | |||||
Net Other Assets and Liabilities — (0.1)% | (110,689 ) | ||||
Net Assets — 100.0% | $170,926,065 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 103.7 |
Written Options | (4.2) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $957,683 | $957,683 | $— | $— |
Purchased Options | 177,217,848 | — | 177,217,848 | — |
Total | $178,175,531 | $957,683 | $177,217,848 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(7,138,777 ) | $— | $(7,138,777 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
3,691,149 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,691,149 | |||
(Cost $3,691,149) | |||||
Total Investments — 0.6% | 3,691,149 | ||||
(Cost $3,691,149) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.5% | |||||
Call Options Purchased — 100.8% | |||||
11,698 | SPDR® S&P 500® ETF Trust | $594,351,984 | $4.52 | 07/19/24 | 585,016,980 |
(Cost $521,718,815) | |||||
Put Options Purchased — 0.7% | |||||
11,698 | SPDR® S&P 500® ETF Trust | 594,351,984 | 452.18 | 07/19/24 | 3,755,058 |
(Cost $25,253,816) | |||||
Total Purchased Options | 588,772,038 | ||||
(Cost $546,972,631) | |||||
WRITTEN OPTIONS — (2.0)% | |||||
Call Options Written — (1.7)% | |||||
(11,698) | SPDR® S&P 500® ETF Trust | (594,351,984 ) | 531.13 | 07/19/24 | (10,013,488 ) |
(Premiums received $3,873,313) | |||||
Put Options Written — (0.3)% | |||||
(11,698) | SPDR® S&P 500® ETF Trust | (594,351,984 ) | 406.96 | 07/19/24 | (1,661,116 ) |
(Premiums received $11,018,392) | |||||
Total Written Options | (11,674,604 ) | ||||
(Premiums received $14,891,705) | |||||
Net Other Assets and Liabilities — (0.1)% | (411,894 ) | ||||
Net Assets — 100.0% | $580,376,689 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 101.5 |
Written Options | (2.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,691,149 | $3,691,149 | $— | $— |
Purchased Options | 588,772,038 | — | 588,772,038 | — |
Total | $592,463,187 | $3,691,149 | $588,772,038 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(11,674,604 ) | $— | $(11,674,604 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
2,632,352 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,632,352 | |||
(Cost $2,632,352) | |||||
Total Investments — 0.7% | 2,632,352 | ||||
(Cost $2,632,352) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.2% | |||||
Call Options Purchased — 101.8% | |||||
8,426 | SPDR® S&P 500® ETF Trust | $428,108,208 | $4.51 | 07/19/24 | 421,899,335 |
(Cost $369,656,173) | |||||
Put Options Purchased — 0.4% | |||||
8,426 | SPDR® S&P 500® ETF Trust | 428,108,208 | 429.57 | 07/19/24 | 1,831,438 |
(Cost $15,673,302) | |||||
Total Purchased Options | 423,730,773 | ||||
(Cost $385,329,475) | |||||
WRITTEN OPTIONS — (2.8)% | |||||
Call Options Written — (2.7)% | |||||
(8,426) | SPDR® S&P 500® ETF Trust | (428,108,208 ) | 519.06 | 07/19/24 | (11,344,370 ) |
(Premiums received $3,234,254) | |||||
Put Options Written — (0.1)% | |||||
(8,426) | SPDR® S&P 500® ETF Trust | (428,108,208 ) | 316.53 | 07/19/24 | (273,016 ) |
(Premiums received $2,705,825) | |||||
Total Written Options | (11,617,386 ) | ||||
(Premiums received $5,940,079) | |||||
Net Other Assets and Liabilities — (0.1)% | (277,986 ) | ||||
Net Assets — 100.0% | $414,467,753 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 102.2 |
Written Options | (2.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,632,352 | $2,632,352 | $— | $— |
Purchased Options | 423,730,773 | — | 423,730,773 | — |
Total | $426,363,125 | $2,632,352 | $423,730,773 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(11,617,386 ) | $— | $(11,617,386 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
3,997,965 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,997,965 | |||
(Cost $3,997,965) | |||||
Total Investments — 0.7% | 3,997,965 | ||||
(Cost $3,997,965) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.3% | |||||
Call Options Purchased — 102.6% | |||||
12,139 | SPDR® S&P 500® ETF Trust | $616,758,312 | $4.37 | 08/16/24 | 607,945,398 |
(Cost $520,485,582) | |||||
Put Options Purchased — 0.7% | |||||
12,139 | SPDR® S&P 500® ETF Trust | 616,758,312 | 436.50 | 08/16/24 | 3,860,202 |
(Cost $25,765,586) | |||||
Total Purchased Options | 611,805,600 | ||||
(Cost $546,251,168) | |||||
WRITTEN OPTIONS — (3.9)% | |||||
Call Options Written — (3.6)% | |||||
(12,139) | SPDR® S&P 500® ETF Trust | (616,758,312 ) | 518.13 | 08/16/24 | (21,218,972 ) |
(Premiums received $5,281,528) | |||||
Put Options Written — (0.3)% | |||||
(12,139) | SPDR® S&P 500® ETF Trust | (616,758,312 ) | 392.85 | 08/16/24 | (1,954,379 ) |
(Premiums received $12,685,859) | |||||
Total Written Options | (23,173,351 ) | ||||
(Premiums received $17,967,387) | |||||
Net Other Assets and Liabilities — (0.1)% | (382,549 ) | ||||
Net Assets — 100.0% | $592,247,665 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 103.3 |
Written Options | (3.9) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,997,965 | $3,997,965 | $— | $— |
Purchased Options | 611,805,600 | — | 611,805,600 | — |
Total | $615,803,565 | $3,997,965 | $611,805,600 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(23,173,351 ) | $— | $(23,173,351 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
2,245,872 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,245,872 | |||
(Cost $2,245,872) | |||||
Total Investments — 0.7% | 2,245,872 | ||||
(Cost $2,245,872) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 105.0% | |||||
Call Options Purchased — 104.5% | |||||
7,070 | SPDR® S&P 500® ETF Trust | $359,212,560 | $4.36 | 08/16/24 | 353,934,923 |
(Cost $304,260,377) | |||||
Put Options Purchased — 0.5% | |||||
7,070 | SPDR® S&P 500® ETF Trust | 359,212,560 | 414.68 | 08/16/24 | 1,593,198 |
(Cost $10,612,028) | |||||
Total Purchased Options | 355,528,121 | ||||
(Cost $314,872,405) | |||||
WRITTEN OPTIONS — (5.6)% | |||||
Call Options Written — (5.5)% | |||||
(7,070) | SPDR® S&P 500® ETF Trust | (359,212,560 ) | 503.02 | 08/16/24 | (18,806,127 ) |
(Premiums received $5,202,939) | |||||
Put Options Written — (0.1)% | |||||
(7,070) | SPDR® S&P 500® ETF Trust | (359,212,560 ) | 305.55 | 08/16/24 | (245,025 ) |
(Premiums received $2,366,203) | |||||
Total Written Options | (19,051,152 ) | ||||
(Premiums received $7,569,142) | |||||
Net Other Assets and Liabilities — (0.1)% | (209,522 ) | ||||
Net Assets — 100.0% | $338,513,319 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 105.0 |
Written Options | (5.6) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,245,872 | $2,245,872 | $— | $— |
Purchased Options | 355,528,121 | — | 355,528,121 | — |
Total | $357,773,993 | $2,245,872 | $355,528,121 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(19,051,152 ) | $— | $(19,051,152 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
3,586,424 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,586,424 | |||
(Cost $3,586,424) | |||||
Total Investments — 0.8% | 3,586,424 | ||||
(Cost $3,586,424) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.3% | |||||
Call Options Purchased — 102.4% | |||||
9,775 | SPDR® S&P 500® ETF Trust | $496,648,200 | $4.43 | 09/20/24 | 488,046,200 |
(Cost $429,744,944) | |||||
Put Options Purchased — 0.9% | |||||
9,775 | SPDR® S&P 500® ETF Trust | 496,648,200 | 443.37 | 09/20/24 | 4,467,175 |
(Cost $20,259,704) | |||||
Total Purchased Options | 492,513,375 | ||||
(Cost $450,004,648) | |||||
WRITTEN OPTIONS — (4.0)% | |||||
Call Options Written — (3.5)% | |||||
(9,775) | SPDR® S&P 500® ETF Trust | (496,648,200 ) | 524.06 | 09/20/24 | (16,666,375 ) |
(Premiums received $7,637,096) | |||||
Put Options Written — (0.5)% | |||||
(9,775) | SPDR® S&P 500® ETF Trust | (496,648,200 ) | 399.03 | 09/20/24 | (2,238,475 ) |
(Premiums received $9,521,526) | |||||
Total Written Options | (18,904,850 ) | ||||
(Premiums received $17,158,622) | |||||
Net Other Assets and Liabilities — (0.1)% | (318,240 ) | ||||
Net Assets — 100.0% | $476,876,709 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 103.3 |
Written Options | (4.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,586,424 | $3,586,424 | $— | $— |
Purchased Options | 492,513,375 | — | 492,513,375 | — |
Total | $496,099,799 | $3,586,424 | $492,513,375 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(18,904,850 ) | $— | $(18,904,850 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
1,376,634 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,376,634 | |||
(Cost $1,376,634) | |||||
Total Investments — 0.8% | 1,376,634 | ||||
(Cost $1,376,634) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 104.6% | |||||
Call Options Purchased — 103.9% | |||||
3,841 | SPDR® S&P 500® ETF Trust | $195,153,528 | $4.42 | 09/20/24 | 192,174,537 |
(Cost $165,803,192) | |||||
Put Options Purchased — 0.7% | |||||
3,841 | SPDR® S&P 500® ETF Trust | 195,153,528 | 421.20 | 09/20/24 | 1,218,564 |
(Cost $7,051,067) | |||||
Total Purchased Options | 193,393,101 | ||||
(Cost $172,854,259) | |||||
WRITTEN OPTIONS — (5.3)% | |||||
Call Options Written — (5.1)% | |||||
(3,841) | SPDR® S&P 500® ETF Trust | (195,153,528 ) | 511.21 | 09/20/24 | (9,427,631 ) |
(Premiums received $2,035,319) | |||||
Put Options Written — (0.2)% | |||||
(3,841) | SPDR® S&P 500® ETF Trust | (195,153,528 ) | 310.36 | 09/20/24 | (293,535 ) |
(Premiums received $1,299,875) | |||||
Total Written Options | (9,721,166 ) | ||||
(Premiums received $3,335,194) | |||||
Net Other Assets and Liabilities — (0.1)% | (112,522 ) | ||||
Net Assets — 100.0% | $184,936,047 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 104.6 |
Written Options | (5.3) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,376,634 | $1,376,634 | $— | $— |
Purchased Options | 193,393,101 | — | 193,393,101 | — |
Total | $194,769,735 | $1,376,634 | $193,393,101 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(9,721,166 ) | $— | $(9,721,166 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
4,045,307 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $4,045,307 | |||
(Cost $4,045,307) | |||||
Total Investments — 0.8% | 4,045,307 | ||||
(Cost $4,045,307) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 107.1% | |||||
Call Options Purchased — 106.3% | |||||
10,853 | SPDR® S&P 500® ETF Trust | $551,419,224 | $4.21 | 10/18/24 | 542,595,735 |
(Cost $458,773,013) | |||||
Put Options Purchased — 0.8% | |||||
10,853 | SPDR® S&P 500® ETF Trust | 551,419,224 | 421.19 | 10/18/24 | 4,048,169 |
(Cost $25,236,610) | |||||
Total Purchased Options | 546,643,904 | ||||
(Cost $484,009,623) | |||||
WRITTEN OPTIONS — (7.8)% | |||||
Call Options Written — (7.4)% | |||||
(10,853) | SPDR® S&P 500® ETF Trust | (551,419,224 ) | 500.58 | 10/18/24 | (37,605,645 ) |
(Premiums received $6,774,938) | |||||
Put Options Written — (0.4)% | |||||
(10,853) | SPDR® S&P 500® ETF Trust | (551,419,224 ) | 379.07 | 10/18/24 | (2,376,807 ) |
(Premiums received $13,554,102) | |||||
Total Written Options | (39,982,452 ) | ||||
(Premiums received $20,329,040) | |||||
Net Other Assets and Liabilities — (0.1)% | (361,532 ) | ||||
Net Assets — 100.0% | $510,345,227 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 107.1 |
Written Options | (7.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $4,045,307 | $4,045,307 | $— | $— |
Purchased Options | 546,643,904 | — | 546,643,904 | — |
Total | $550,689,211 | $4,045,307 | $546,643,904 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(39,982,452 ) | $— | $(39,982,452 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
1,449,183 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,449,183 | |||
(Cost $1,449,183) | |||||
Total Investments — 0.8% | 1,449,183 | ||||
(Cost $1,449,183) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 109.3% | |||||
Call Options Purchased — 108.7% | |||||
4,034 | SPDR® S&P 500® ETF Trust | $204,959,472 | $4.20 | 10/18/24 | 201,774,220 |
(Cost $166,840,657) | |||||
Put Options Purchased — 0.6% | |||||
4,034 | SPDR® S&P 500® ETF Trust | 204,959,472 | 400.13 | 10/18/24 | 1,111,563 |
(Cost $7,364,418) | |||||
Total Purchased Options | 202,885,783 | ||||
(Cost $174,205,075) | |||||
WRITTEN OPTIONS — (10.0)% | |||||
Call Options Written — (9.9)% | |||||
(4,034) | SPDR® S&P 500® ETF Trust | (204,959,472 ) | 485.97 | 10/18/24 | (18,318,562 ) |
(Premiums received $3,361,029) | |||||
Put Options Written — (0.1)% | |||||
(4,034) | SPDR® S&P 500® ETF Trust | (204,959,472 ) | 294.83 | 10/18/24 | (291,877 ) |
(Premiums received $1,355,983) | |||||
Total Written Options | (18,610,439 ) | ||||
(Premiums received $4,717,012) | |||||
Net Other Assets and Liabilities — (0.1)% | (119,095 ) | ||||
Net Assets — 100.0% | $185,605,432 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 109.3 |
Written Options | (10.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,449,183 | $1,449,183 | $— | $— |
Purchased Options | 202,885,783 | — | 202,885,783 | — |
Total | $204,334,966 | $1,449,183 | $202,885,783 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(18,610,439 ) | $— | $(18,610,439 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
5,002,361 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $5,002,361 | |||
(Cost $5,002,361) | |||||
Total Investments — 0.9% | 5,002,361 | ||||
(Cost $5,002,361) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 104.2% | |||||
Call Options Purchased — 102.7% | |||||
11,872 | SPDR® S&P 500® ETF Trust | $603,192,576 | $4.51 | 11/15/24 | 592,875,808 |
(Cost $525,488,346) | |||||
Put Options Purchased — 1.5% | |||||
11,872 | SPDR® S&P 500® ETF Trust | 603,192,576 | 450.79 | 11/15/24 | 8,619,072 |
(Cost $30,275,185) | |||||
Total Purchased Options | 601,494,880 | ||||
(Cost $555,763,531) | |||||
WRITTEN OPTIONS — (5.0)% | |||||
Call Options Written — (4.2)% | |||||
(11,872) | SPDR® S&P 500® ETF Trust | (603,192,576 ) | 529.45 | 11/15/24 | (24,468,192 ) |
(Premiums received $5,575,638) | |||||
Put Options Written — (0.8)% | |||||
(11,872) | SPDR® S&P 500® ETF Trust | (603,192,576 ) | 405.71 | 11/15/24 | (4,428,256 ) |
(Premiums received $16,977,288) | |||||
Total Written Options | (28,896,448 ) | ||||
(Premiums received $22,552,926) | |||||
Net Other Assets and Liabilities — (0.1)% | (341,848 ) | ||||
Net Assets — 100.0% | $577,258,945 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 104.2 |
Written Options | (5.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $5,002,361 | $5,002,361 | $— | $— |
Purchased Options | 601,494,880 | — | 601,494,880 | — |
Total | $606,497,241 | $5,002,361 | $601,494,880 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(28,896,448 ) | $— | $(28,896,448 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
2,360,195 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,360,195 | |||
(Cost $2,360,195) | |||||
Total Investments — 0.9% | 2,360,195 | ||||
(Cost $2,360,195) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 104.8% | |||||
Call Options Purchased — 103.8% | |||||
5,681 | SPDR® S&P 500® ETF Trust | $288,640,248 | $4.50 | 11/15/24 | 284,101,041 |
(Cost $250,530,230) | |||||
Put Options Purchased — 1.0% | |||||
5,681 | SPDR® S&P 500® ETF Trust | 288,640,248 | 428.25 | 11/15/24 | 2,780,195 |
(Cost $10,840,930) | |||||
Total Purchased Options | 286,881,236 | ||||
(Cost $261,371,160) | |||||
WRITTEN OPTIONS — (5.6)% | |||||
Call Options Written — (5.4)% | |||||
(5,681) | SPDR® S&P 500® ETF Trust | (288,640,248 ) | 518.68 | 11/15/24 | (14,674,768 ) |
(Premiums received $5,184,361) | |||||
Put Options Written — (0.2)% | |||||
(5,681) | SPDR® S&P 500® ETF Trust | (288,640,248 ) | 315.55 | 11/15/24 | (645,531 ) |
(Premiums received $1,994,188) | |||||
Total Written Options | (15,320,299 ) | ||||
(Premiums received $7,178,549) | |||||
Net Other Assets and Liabilities — (0.1)% | (170,649 ) | ||||
Net Assets — 100.0% | $273,750,483 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 104.8 |
Written Options | (5.6) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,360,195 | $2,360,195 | $— | $— |
Purchased Options | 286,881,236 | — | 286,881,236 | — |
Total | $289,241,431 | $2,360,195 | $286,881,236 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(15,320,299 ) | $— | $(15,320,299 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
6,936,933 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $6,936,933 | |||
(Cost $6,936,933) | |||||
Total Investments — 1.0% | 6,936,933 | ||||
(Cost $6,936,933) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.1% | |||||
Call Options Purchased — 101.0% | |||||
14,712 | SPDR® S&P 500® ETF Trust | $747,487,296 | $4.69 | 12/20/24 | 734,936,214 |
(Cost $678,359,561) | |||||
Put Options Purchased — 2.1% | |||||
14,712 | SPDR® S&P 500® ETF Trust | 747,487,296 | 469.33 | 12/20/24 | 15,551,247 |
(Cost $31,195,390) | |||||
Total Purchased Options | 750,487,461 | ||||
(Cost $709,554,951) | |||||
WRITTEN OPTIONS — (4.0)% | |||||
Call Options Written — (2.9)% | |||||
(14,712) | SPDR® S&P 500® ETF Trust | (747,487,296 ) | 547.47 | 12/20/24 | (21,384,328 ) |
(Premiums received $7,352,378) | |||||
Put Options Written — (1.1)% | |||||
(14,712) | SPDR® S&P 500® ETF Trust | (747,487,296 ) | 422.40 | 12/20/24 | (8,004,262 ) |
(Premiums received $16,132,190) | |||||
Total Written Options | (29,388,590 ) | ||||
(Premiums received $23,484,568) | |||||
Net Other Assets and Liabilities — (0.1)% | (460,878 ) | ||||
Net Assets — 100.0% | $727,574,926 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 103.1 |
Written Options | (4.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $6,936,933 | $6,936,933 | $— | $— |
Purchased Options | 750,487,461 | — | 750,487,461 | — |
Total | $757,424,394 | $6,936,933 | $750,487,461 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(29,388,590 ) | $— | $(29,388,590 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
3,230,592 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,230,592 | |||
(Cost $3,230,592) | |||||
Total Investments — 1.0% | 3,230,592 | ||||
(Cost $3,230,592) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.4% | |||||
Call Options Purchased — 101.9% | |||||
6,950 | SPDR® S&P 500® ETF Trust | $353,115,600 | $4.68 | 12/20/24 | 347,193,090 |
(Cost $319,952,836) | |||||
Put Options Purchased — 1.5% | |||||
6,950 | SPDR® S&P 500® ETF Trust | 353,115,600 | 445.86 | 12/20/24 | 5,267,595 |
(Cost $11,005,123) | |||||
Total Purchased Options | 352,460,685 | ||||
(Cost $330,957,959) | |||||
WRITTEN OPTIONS — (4.3)% | |||||
Call Options Written — (3.9)% | |||||
(6,950) | SPDR® S&P 500® ETF Trust | (353,115,600 ) | 536.68 | 12/20/24 | (13,391,394 ) |
(Premiums received $5,046,709) | |||||
Put Options Written — (0.4)% | |||||
(6,950) | SPDR® S&P 500® ETF Trust | (353,115,600 ) | 328.53 | 12/20/24 | (1,188,302 ) |
(Premiums received $2,119,718) | |||||
Total Written Options | (14,579,696 ) | ||||
(Premiums received $7,166,427) | |||||
Net Other Assets and Liabilities — (0.1)% | (212,991 ) | ||||
Net Assets — 100.0% | $340,898,590 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 103.4 |
Written Options | (4.3) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,230,592 | $3,230,592 | $— | $— |
Purchased Options | 352,460,685 | — | 352,460,685 | — |
Total | $355,691,277 | $3,230,592 | $352,460,685 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(14,579,696 ) | $— | $(14,579,696 ) | $— |
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 99.8% | |||||
Capital Markets (a) — 99.8% | |||||
792,878 | FT Vest U.S. Equity Deep Buffer ETF - April (b) | $26,264,084 | |||
602,243 | FT Vest U.S. Equity Deep Buffer ETF - May (b) | 22,289,014 | |||
453,107 | FT Vest U.S. Equity Deep Buffer ETF - August (b) | 16,579,185 | |||
433,092 | FT Vest U.S. Equity Buffer ETF - October (b) | 17,387,301 | |||
459,694 | FT Vest U.S. Equity Deep Buffer ETF - October (b) | 17,154,539 | |||
Total Exchange-Traded Funds | 99,674,123 | ||||
(Cost $96,791,334) | |||||
MONEY MARKET FUNDS — 0.2% | |||||
172,434 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (c) | 172,434 | |||
(Cost $172,434) | |||||
Total Investments — 100.0% | 99,846,557 | ||||
(Cost $96,963,768) | |||||
Net Other Assets and Liabilities — (0.0)% | (15,663 ) | ||||
Net Assets — 100.0% | $99,830,894 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 99.8% |
Money Market Funds | 0.2 |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 99,674,123 | $ 99,674,123 | $ — | $ — |
Money Market Funds | 172,434 | 172,434 | — | — |
Total Investments | $99,846,557 | $99,846,557 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 99.9% | |||||
Capital Markets (a) — 99.9% | |||||
963,858 | FT Vest U.S. Equity Buffer ETF - January (b) | $39,874,805 | |||
901,811 | FT Vest U.S. Equity Deep Buffer ETF - January (b) | 32,023,309 | |||
1,233,285 | FT Vest U.S. Equity Buffer ETF - February (b) | 54,782,520 | |||
1,146,170 | FT Vest U.S. Equity Deep Buffer ETF - February (b) | 44,093,160 | |||
801,208 | FT Vest U.S. Equity Buffer ETF - December (b) | 32,561,093 | |||
Total Exchange-Traded Funds | 203,334,887 | ||||
(Cost $200,260,142) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
245,076 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (c) | 245,076 | |||
(Cost $245,076) | |||||
Total Investments — 100.0% | 203,579,963 | ||||
(Cost $200,505,218) | |||||
Net Other Assets and Liabilities — (0.0)% | (31,973 ) | ||||
Net Assets — 100.0% | $203,547,990 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 99.9% |
Money Market Funds | 0.1 |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 203,334,887 | $ 203,334,887 | $ — | $ — |
Money Market Funds | 245,076 | 245,076 | — | — |
Total Investments | $203,579,963 | $203,579,963 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
FT Vest U.S. Equity Buffer ETF - January (FJAN) | FT Vest U.S. Equity Deep Buffer ETF - January (DJAN) | FT Vest U.S. Equity Buffer ETF - February (FFEB) | FT Vest U.S. Equity Deep Buffer ETF - February (DFEB) | |
ASSETS: | ||||
Investments, at value - Unaffiliated | $7,512,116 | $3,293,913 | $8,529,898 | $3,397,693 |
Investments, at value - Affiliated | — | — | — | — |
Total investments, at value | 7,512,116 | 3,293,913 | 8,529,898 | 3,397,693 |
Options contracts purchased, at value | 740,197,348 | 324,859,958 | 776,469,107 | 314,774,172 |
Cash | — | — | — | — |
Due from broker | 743 | 1,350 | 162 | 7,447 |
Receivables: | ||||
Capital shares sold | 2,067,036 | 202 | — | 1,923,030 |
Investment securities sold | 81,244 | 1,828,944 | — | 46,337 |
Dividends | 30,767 | 14,204 | 14,688 | 5,560 |
Total Assets | 749,889,254 | 329,998,571 | 785,013,855 | 320,154,239 |
LIABILITIES: | ||||
Options contracts written, at value | 28,024,516 | 11,521,988 | 25,250,707 | 7,526,298 |
Due to broker | — | — | — | — |
Payables: | ||||
Investment securities purchased | 2,148,871 | 64,966 | — | 1,942,202 |
Investment advisory fees | 463,248 | 214,901 | 391,761 | 148,221 |
Capital shares redeemed | — | 1,777,635 | — | — |
Total Liabilities | 30,636,635 | 13,579,490 | 25,642,468 | 9,616,721 |
NET ASSETS | $719,252,619 | $316,419,081 | $759,371,387 | $310,537,518 |
NET ASSETS consist of: | ||||
Paid-in capital | $673,890,891 | $305,246,302 | $704,241,994 | $323,192,470 |
Par value | 174,000 | 89,000 | 170,750 | 80,750 |
Accumulated distributable earnings (loss) | 45,187,728 | 11,083,779 | 54,958,643 | (12,735,702 ) |
NET ASSETS | $719,252,619 | $316,419,081 | $759,371,387 | $310,537,518 |
NET ASSET VALUE, per share | $41.34 | $35.55 | $44.47 | $38.46 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 17,400,002 | 8,900,002 | 17,075,002 | 8,075,002 |
Investments, at cost - Unaffiliated | $7,512,116 | $3,293,913 | $8,529,898 | $3,397,693 |
Investments, at cost - Affiliated | $— | $— | $— | $— |
Total investments, at cost | $7,512,116 | $3,293,913 | $8,529,898 | $3,397,693 |
Premiums paid on options contracts purchased | $718,313,257 | $312,699,398 | $767,295,285 | $311,384,320 |
Premiums received on options contracts written | $24,957,360 | $6,363,324 | $25,306,035 | $6,639,640 |
FT Vest U.S. Equity Buffer ETF - March (FMAR) | FT Vest U.S. Equity Deep Buffer ETF - March (DMAR) | FT Vest U.S. Equity Buffer ETF - April (FAPR) | FT Vest U.S. Equity Deep Buffer ETF - April (DAPR) | FT Vest U.S. Equity Buffer ETF - May (FMAY) | FT Vest U.S. Equity Deep Buffer ETF - May (DMAY) |
$1,299,138 | $506,168 | $2,724,441 | $844,724 | $2,482,382 | $837,921 |
— | — | — | — | — | — |
1,299,138 | 506,168 | 2,724,441 | 844,724 | 2,482,382 | 837,921 |
477,487,793 | 186,468,204 | 486,961,800 | 230,501,536 | 563,369,704 | 197,339,100 |
— | — | — | — | — | — |
358 | 1,797 | — | 132 | 1,345 | 791 |
— | — | 903,707 | — | — | — |
— | — | 47,109 | — | — | — |
5,714 | 2,688 | 7,805 | 3,475 | 13,747 | 3,458 |
478,793,003 | 186,978,857 | 490,644,862 | 231,349,867 | 565,867,178 | 198,181,270 |
40,651,695 | 23,037,329 | 24,038,170 | 19,222,860 | 28,786,001 | 15,646,254 |
— | — | 170 | — | — | — |
— | — | 955,369 | — | — | — |
298,241 | 132,309 | 309,456 | 138,049 | 390,102 | 118,206 |
— | — | 902,919 | — | — | — |
40,949,936 | 23,169,638 | 26,206,084 | 19,360,909 | 29,176,103 | 15,764,460 |
$437,843,067 | $163,809,219 | $464,438,778 | $211,988,958 | $536,691,075 | $182,416,810 |
$407,232,097 | $165,610,921 | $437,703,200 | $220,973,323 | $508,788,593 | $180,555,013 |
113,750 | 47,750 | 128,500 | 64,000 | 125,250 | 49,250 |
30,497,220 | (1,849,452 ) | 26,607,078 | (9,048,365 ) | 27,777,232 | 1,812,547 |
$437,843,067 | $163,809,219 | $464,438,778 | $211,988,958 | $536,691,075 | $182,416,810 |
$38.49 | $34.31 | $36.14 | $33.12 | $42.85 | $37.04 |
11,375,002 | 4,775,002 | 12,850,002 | 6,400,002 | 12,525,002 | 4,925,002 |
$1,299,138 | $506,168 | $2,724,441 | $844,724 | $2,482,382 | $837,921 |
$— | $— | $— | $— | $— | $— |
$1,299,138 | $506,168 | $2,724,441 | $844,724 | $2,482,382 | $837,921 |
$406,034,900 | $153,901,806 | $438,313,555 | $197,941,522 | $512,264,338 | $173,381,268 |
$17,123,280 | $5,848,419 | $13,671,187 | $7,119,116 | $15,283,437 | $5,591,897 |
FT Vest U.S. Equity Buffer ETF - June (FJUN) | FT Vest U.S. Equity Deep Buffer ETF - June (DJUN) | FT Vest U.S. Equity Buffer ETF - July (FJUL) | FT Vest U.S. Equity Deep Buffer ETF - July (DJUL) | |
ASSETS: | ||||
Investments, at value - Unaffiliated | $18,645,570 | $957,683 | $3,691,149 | $2,632,352 |
Investments, at value - Affiliated | — | — | — | — |
Total investments, at value | 18,645,570 | 957,683 | 3,691,149 | 2,632,352 |
Options contracts purchased, at value | 671,204,742 | 177,217,848 | 588,772,038 | 423,730,773 |
Cash | — | 984,936 | — | — |
Due from broker | 930 | 1,384 | 374 | 114 |
Receivables: | ||||
Capital shares sold | 1,704 | 117 | 1,089,001 | — |
Investment securities sold | 2,315,367 | — | 21,899 | — |
Dividends | 17,543 | 4,032 | 19,775 | 14,160 |
Total Assets | 692,185,856 | 179,166,000 | 593,594,236 | 426,377,399 |
LIABILITIES: | ||||
Options contracts written, at value | 15,641,068 | 7,138,777 | 11,674,604 | 11,617,386 |
Due to broker | — | — | — | — |
Payables: | ||||
Investment securities purchased | 53,955 | — | 1,107,339 | — |
Investment advisory fees | 430,100 | 116,104 | 435,604 | 292,260 |
Capital shares redeemed | 17,290,979 | 985,054 | — | — |
Total Liabilities | 33,416,102 | 8,239,935 | 13,217,547 | 11,909,646 |
NET ASSETS | $658,769,754 | $170,926,065 | $580,376,689 | $414,467,753 |
NET ASSETS consist of: | ||||
Paid-in capital | $620,824,500 | $163,176,976 | $552,932,034 | $382,573,351 |
Par value | 142,500 | 43,250 | 133,250 | 108,750 |
Accumulated distributable earnings (loss) | 37,802,754 | 7,705,839 | 27,311,405 | 31,785,652 |
NET ASSETS | $658,769,754 | $170,926,065 | $580,376,689 | $414,467,753 |
NET ASSET VALUE, per share | $46.23 | $39.52 | $43.56 | $38.11 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 14,250,002 | 4,325,002 | 13,325,002 | 10,875,002 |
Investments, at cost - Unaffiliated | $18,645,570 | $957,683 | $3,691,149 | $2,632,352 |
Investments, at cost - Affiliated | $— | $— | $— | $— |
Total investments, at cost | $18,645,570 | $957,683 | $3,691,149 | $2,632,352 |
Premiums paid on options contracts purchased | $617,283,569 | $160,205,025 | $546,972,631 | $385,329,475 |
Premiums received on options contracts written | $18,136,495 | $4,428,186 | $14,891,705 | $5,940,079 |
FT Vest U.S. Equity Buffer ETF - August (FAUG) | FT Vest U.S. Equity Deep Buffer ETF - August (DAUG) | FT Vest U.S. Equity Buffer ETF - September (FSEP) | FT Vest U.S. Equity Deep Buffer ETF - September (DSEP) | FT Vest U.S. Equity Buffer ETF - October (FOCT) | FT Vest U.S. Equity Deep Buffer ETF - October (DOCT) |
$3,997,965 | $2,245,872 | $3,586,424 | $1,376,634 | $4,045,307 | $1,449,183 |
— | — | — | — | — | — |
3,997,965 | 2,245,872 | 3,586,424 | 1,376,634 | 4,045,307 | 1,449,183 |
611,805,600 | 355,528,121 | 492,513,375 | 193,393,101 | 546,643,904 | 202,885,783 |
— | — | 1,044,361 | — | — | — |
7,967 | — | 1,474 | 4,393 | — | 270 |
1,055,814 | — | 1,045,896 | — | 1,002,877 | — |
41,941 | — | 42,491 | — | 2,115,330 | — |
17,299 | 9,349 | 15,173 | 7,478 | 16,852 | 6,389 |
616,926,586 | 357,783,342 | 498,249,194 | 194,781,606 | 553,824,270 | 204,341,625 |
23,173,351 | 19,051,152 | 18,904,850 | 9,721,166 | 39,982,452 | 18,610,439 |
— | 186 | — | — | 645 | — |
1,108,857 | — | 1,108,527 | — | 154,837 | — |
396,713 | 218,685 | 314,747 | 124,393 | 333,181 | 125,754 |
— | — | 1,044,361 | — | 3,007,928 | — |
24,678,921 | 19,270,023 | 21,372,485 | 9,845,559 | 43,479,043 | 18,736,193 |
$592,247,665 | $338,513,319 | $476,876,709 | $184,936,047 | $510,345,227 | $185,605,432 |
$612,215,088 | $365,563,103 | $413,263,520 | $147,717,013 | $460,651,308 | $166,583,820 |
140,250 | 92,500 | 114,000 | 49,000 | 127,250 | 49,750 |
(20,107,673 ) | (27,142,284 ) | 63,499,189 | 37,170,034 | 49,566,669 | 18,971,862 |
$592,247,665 | $338,513,319 | $476,876,709 | $184,936,047 | $510,345,227 | $185,605,432 |
$42.23 | $36.60 | $41.83 | $37.74 | $40.11 | $37.31 |
14,025,002 | 9,250,002 | 11,400,002 | 4,900,002 | 12,725,002 | 4,975,002 |
$3,997,965 | $2,245,872 | $3,586,424 | $1,376,634 | $4,045,307 | $1,449,183 |
$— | $— | $— | $— | $— | $— |
$3,997,965 | $2,245,872 | $3,586,424 | $1,376,634 | $4,045,307 | $1,449,183 |
$546,251,168 | $314,872,405 | $450,004,648 | $172,854,259 | $484,009,623 | $174,205,075 |
$17,967,387 | $7,569,142 | $17,158,622 | $3,335,194 | $20,329,040 | $4,717,012 |
FT Vest U.S. Equity Buffer ETF - November (FNOV) | FT Vest U.S. Equity Deep Buffer ETF - November (DNOV) | FT Vest U.S. Equity Buffer ETF - December (FDEC) | FT Vest U.S. Equity Deep Buffer ETF - December (DDEC) | |
ASSETS: | ||||
Investments, at value - Unaffiliated | $5,002,361 | $2,360,195 | $6,936,933 | $3,230,592 |
Investments, at value - Affiliated | — | — | — | — |
Total investments, at value | 5,002,361 | 2,360,195 | 6,936,933 | 3,230,592 |
Options contracts purchased, at value | 601,494,880 | 286,881,236 | 750,487,461 | 352,460,685 |
Cash | — | — | — | — |
Due from broker | 204 | 3,131 | 3,384 | 1,105 |
Receivables: | ||||
Capital shares sold | 1,101,754 | — | — | — |
Investment securities sold | 53,491 | — | — | — |
Dividends | 23,383 | 10,116 | 31,028 | 13,802 |
Total Assets | 607,676,073 | 289,254,678 | 757,458,806 | 355,706,184 |
LIABILITIES: | ||||
Options contracts written, at value | 28,896,448 | 15,320,299 | 29,388,590 | 14,579,696 |
Due to broker | — | — | — | — |
Payables: | ||||
Investment securities purchased | 1,114,687 | — | — | — |
Investment advisory fees | 405,993 | 183,896 | 495,290 | 227,898 |
Capital shares redeemed | — | — | — | — |
Total Liabilities | 30,417,128 | 15,504,195 | 29,883,880 | 14,807,594 |
NET ASSETS | $577,258,945 | $273,750,483 | $727,574,926 | $340,898,590 |
NET ASSETS consist of: | ||||
Paid-in capital | $537,991,350 | $265,275,930 | $667,175,665 | $311,640,639 |
Par value | 131,000 | 68,500 | 178,750 | 92,000 |
Accumulated distributable earnings (loss) | 39,136,595 | 8,406,053 | 60,220,511 | 29,165,951 |
NET ASSETS | $577,258,945 | $273,750,483 | $727,574,926 | $340,898,590 |
NET ASSET VALUE, per share | $44.07 | $39.96 | $40.70 | $37.05 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 13,100,002 | 6,850,002 | 17,875,002 | 9,200,002 |
Investments, at cost - Unaffiliated | $5,002,361 | $2,360,195 | $6,936,933 | $3,230,592 |
Investments, at cost - Affiliated | $— | $— | $— | $— |
Total investments, at cost | $5,002,361 | $2,360,195 | $6,936,933 | $3,230,592 |
Premiums paid on options contracts purchased | $555,763,531 | $261,371,160 | $709,554,951 | $330,957,959 |
Premiums received on options contracts written | $22,552,926 | $7,178,549 | $23,484,568 | $7,166,427 |
FT Vest Buffered Allocation Defensive ETF (BUFT) | FT Vest Buffered Allocation Growth ETF (BUFG) |
$172,434 | $245,076 |
99,674,123 | 203,334,887 |
99,846,557 | 203,579,963 |
— | — |
— | — |
— | — |
— | — |
— | — |
360 | 162 |
99,846,917 | 203,580,125 |
— | — |
— | — |
— | — |
16,023 | 32,135 |
— | — |
16,023 | 32,135 |
$99,830,894 | $203,547,990 |
$96,251,536 | $198,939,517 |
47,000 | 92,000 |
3,532,358 | 4,516,473 |
$99,830,894 | $203,547,990 |
$21.24 | $22.12 |
4,700,002 | 9,200,002 |
$172,434 | $245,076 |
$96,791,334 | $200,260,142 |
$96,963,768 | $200,505,218 |
$— | $— |
$— | $— |
FT Vest U.S. Equity Buffer ETF - January (FJAN) | FT Vest U.S. Equity Deep Buffer ETF - January (DJAN) | FT Vest U.S. Equity Buffer ETF - February (FFEB) | FT Vest U.S. Equity Deep Buffer ETF - February (DFEB) | |
INVESTMENT INCOME: | ||||
Dividends - Unaffiliated | $72,950 | $34,853 | $68,500 | $27,500 |
Total investment income | 72,950 | 34,853 | 68,500 | 27,500 |
EXPENSES: | ||||
Investment advisory fees | 1,839,502 | 858,822 | 2,164,125 | 875,022 |
Total expenses | 1,839,502 | 858,822 | 2,164,125 | 875,022 |
NET INVESTMENT INCOME (LOSS) | (1,766,552 ) | (823,969 ) | (2,095,625 ) | (847,522 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments - Affiliated | — | — | — | — |
In-kind redemptions - Affiliated | — | — | — | — |
Purchased options contracts | (9,021,254 ) | 6,446,216 | (17,454,130 ) | 29,571,025 |
Written options contracts | (6,443,074 ) | (6,148,952 ) | (11,088,262 ) | (8,019,464 ) |
In-kind redemptions - Purchased options contracts | 59,270,412 | 20,448,503 | 99,769,113 | 5,960,317 |
In-kind redemptions - Written options contracts | 12,309,111 | 348,343 | 8,789,145 | 70,153 |
Net realized gain (loss) | 56,115,195 | 21,094,110 | 80,015,866 | 27,582,031 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments - Affiliated | — | — | — | — |
Purchased options contracts | (33,702 ) | (2,702,425 ) | (10,540,976 ) | (10,995,410 ) |
Written options contracts | (9,804,488 ) | (3,744,314 ) | (9,093,350 ) | (1,015,566 ) |
Net change in unrealized appreciation (depreciation) | (9,838,190 ) | (6,446,739 ) | (19,634,326 ) | (12,010,976 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 46,277,005 | 14,647,371 | 60,381,540 | 15,571,055 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $44,510,453 | $13,823,402 | $58,285,915 | $14,723,533 |
FT Vest U.S. Equity Buffer ETF - March (FMAR) | FT Vest U.S. Equity Deep Buffer ETF - March (DMAR) | FT Vest U.S. Equity Buffer ETF - April (FAPR) | FT Vest U.S. Equity Deep Buffer ETF - April (DAPR) | FT Vest U.S. Equity Buffer ETF - May (FMAY) | FT Vest U.S. Equity Deep Buffer ETF - May (DMAY) |
$49,098 | $27,907 | $69,178 | $36,348 | $100,955 | $32,563 |
49,098 | 27,907 | 69,178 | 36,348 | 100,955 | 32,563 |
1,573,697 | 829,610 | 1,847,433 | 901,356 | 2,356,183 | 770,518 |
1,573,697 | 829,610 | 1,847,433 | 901,356 | 2,356,183 | 770,518 |
(1,524,599 ) | (801,703 ) | (1,778,255 ) | (865,008 ) | (2,255,228 ) | (737,955 ) |
— | — | — | — | — | — |
— | — | — | — | — | — |
(57,503 ) | 469,291 | 166,467 | 268,380 | 998,317 | 150,903 |
62,160 | (149,740 ) | (41,543 ) | (59,112 ) | (385,525 ) | (11,313 ) |
5,320,244 | 11,249,958 | 18,338,752 | 3,443,817 | 31,379,377 | 4,359,196 |
101,909 | (3,275,225 ) | 4,738,084 | 651,306 | 4,948,368 | 143,904 |
5,426,810 | 8,294,284 | 23,201,760 | 4,304,391 | 36,940,537 | 4,642,690 |
— | — | — | — | — | — |
46,664,358 | 13,124,689 | 32,120,787 | 18,443,342 | 37,089,228 | 16,260,665 |
(24,876,807 ) | (11,521,652 ) | (17,284,079 ) | (10,453,069 ) | (20,300,510 ) | (8,842,886 ) |
21,787,551 | 1,603,037 | 14,836,708 | 7,990,273 | 16,788,718 | 7,417,779 |
27,214,361 | 9,897,321 | 38,038,468 | 12,294,664 | 53,729,255 | 12,060,469 |
$25,689,762 | $9,095,618 | $36,260,213 | $11,429,656 | $51,474,027 | $11,322,514 |
FT Vest U.S. Equity Buffer ETF - June (FJUN) | FT Vest U.S. Equity Deep Buffer ETF - June (DJUN) | FT Vest U.S. Equity Buffer ETF - July (FJUL) | FT Vest U.S. Equity Deep Buffer ETF - July (DJUL) | |
INVESTMENT INCOME: | ||||
Dividends - Unaffiliated | $126,122 | $37,507 | $134,510 | $100,163 |
Total investment income | 126,122 | 37,507 | 134,510 | 100,163 |
EXPENSES: | ||||
Investment advisory fees | 2,522,975 | 772,029 | 2,417,372 | 1,733,956 |
Total expenses | 2,522,975 | 772,029 | 2,417,372 | 1,733,956 |
NET INVESTMENT INCOME (LOSS) | (2,396,853 ) | (734,522 ) | (2,282,862 ) | (1,633,793 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments - Affiliated | — | — | — | — |
In-kind redemptions - Affiliated | — | — | — | — |
Purchased options contracts | 380,195 | 234,561 | 429,891 | 969,454 |
Written options contracts | 37,089 | 75,823 | 56,800 | 92,713 |
In-kind redemptions - Purchased options contracts | 14,162,258 | 4,282,008 | 11,178,211 | 10,774,142 |
In-kind redemptions - Written options contracts | 5,327,500 | 1,363,773 | 2,167,472 | 771,413 |
Net realized gain (loss) | 19,907,042 | 5,956,165 | 13,832,374 | 12,607,722 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments - Affiliated | — | — | — | — |
Purchased options contracts | 48,698,635 | 17,152,901 | 44,725,358 | 40,352,601 |
Written options contracts | (4,663,115 ) | (5,506,083 ) | 674,024 | (7,087,046 ) |
Net change in unrealized appreciation (depreciation) | 44,035,520 | 11,646,818 | 45,399,382 | 33,265,555 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 63,942,562 | 17,602,983 | 59,231,756 | 45,873,277 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $61,545,709 | $16,868,461 | $56,948,894 | $44,239,484 |
FT Vest U.S. Equity Buffer ETF - August (FAUG) | FT Vest U.S. Equity Deep Buffer ETF - August (DAUG) | FT Vest U.S. Equity Buffer ETF - September (FSEP) | FT Vest U.S. Equity Deep Buffer ETF - September (DSEP) | FT Vest U.S. Equity Buffer ETF - October (FOCT) | FT Vest U.S. Equity Deep Buffer ETF - October (DOCT) |
$141,415 | $87,055 | $101,196 | $45,614 | $90,048 | $37,689 |
141,415 | 87,055 | 101,196 | 45,614 | 90,048 | 37,689 |
2,459,509 | 1,449,471 | 1,774,587 | 781,563 | 1,730,845 | 737,981 |
2,459,509 | 1,449,471 | 1,774,587 | 781,563 | 1,730,845 | 737,981 |
(2,318,094 ) | (1,362,416 ) | (1,673,391 ) | (735,949 ) | (1,640,797 ) | (700,292 ) |
— | — | — | — | — | — |
— | — | — | — | — | — |
192,882 | 523,647 | (17,949,195 ) | (9,481,664 ) | (26,358,576 ) | (10,681,714 ) |
781 | 14,477 | 77,339 | 20,339 | 1,191,991 | 1,053,009 |
6,024,908 | 3,031,529 | 38,527,648 | 23,143,816 | 38,468,857 | 16,749,948 |
907,848 | (118,619 ) | 11,296,904 | 4,213,466 | 14,187,730 | 4,809,476 |
7,126,419 | 3,451,034 | 31,952,696 | 17,895,957 | 27,490,002 | 11,930,719 |
— | — | — | — | — | — |
53,528,568 | 29,751,640 | 20,998,706 | 9,974,556 | 37,799,043 | 15,211,099 |
(5,031,722 ) | (8,143,421 ) | (11,911,172 ) | (9,381,980 ) | (33,362,862 ) | (16,013,123 ) |
48,496,846 | 21,608,219 | 9,087,534 | 592,576 | 4,436,181 | (802,024 ) |
55,623,265 | 25,059,253 | 41,040,230 | 18,488,533 | 31,926,183 | 11,128,695 |
$53,305,171 | $23,696,837 | $39,366,839 | $17,752,584 | $30,285,386 | $10,428,403 |
FT Vest U.S. Equity Buffer ETF - November (FNOV) | FT Vest U.S. Equity Deep Buffer ETF - November (DNOV) | FT Vest U.S. Equity Buffer ETF - December (FDEC) | FT Vest U.S. Equity Deep Buffer ETF - December (DDEC) | |
INVESTMENT INCOME: | ||||
Dividends - Unaffiliated | $105,264 | $51,293 | $95,482 | $56,556 |
Total investment income | 105,264 | 51,293 | 95,482 | 56,556 |
EXPENSES: | ||||
Investment advisory fees | 2,146,010 | 1,093,341 | 1,961,436 | 1,247,053 |
Total expenses | 2,146,010 | 1,093,341 | 1,961,436 | 1,247,053 |
NET INVESTMENT INCOME (LOSS) | (2,040,746 ) | (1,042,048 ) | (1,865,954 ) | (1,190,497 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments - Affiliated | — | — | — | — |
In-kind redemptions - Affiliated | — | — | — | — |
Purchased options contracts | (20,704,758 ) | 7,108,472 | (7,190,737 ) | 3,406,958 |
Written options contracts | 506,120 | 4,240,764 | 25,672 | (6,212,068 ) |
In-kind redemptions - Purchased options contracts | 48,501,946 | 17,650,517 | 56,387,182 | 35,786,542 |
In-kind redemptions - Written options contracts | 17,642,267 | 4,722,954 | 10,811,020 | 4,432,720 |
Net realized gain (loss) | 45,945,575 | 33,722,707 | 60,033,137 | 37,414,152 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments - Affiliated | — | — | — | — |
Purchased options contracts | 23,822,611 | 5,544,177 | 16,215,487 | (5,716,248 ) |
Written options contracts | (23,288,712 ) | (13,968,387 ) | (13,414,165 ) | (7,687,715 ) |
Net change in unrealized appreciation (depreciation) | 533,899 | (8,424,210 ) | 2,801,322 | (13,403,963 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 46,479,474 | 25,298,497 | 62,834,459 | 24,010,189 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $44,438,728 | $24,256,449 | $60,968,505 | $22,819,692 |
FT Vest Buffered Allocation Defensive ETF (BUFT) | FT Vest Buffered Allocation Growth ETF (BUFG) |
$1,114 | $1,555 |
1,114 | 1,555 |
103,159 | 176,154 |
103,159 | 176,154 |
(102,045 ) | (174,599 ) |
1,349,888 | (2,433,708 ) |
6,171,664 | 18,519,685 |
— | — |
— | — |
— | — |
— | — |
7,521,552 | 16,085,977 |
(1,207,192 ) | (900,752 ) |
— | — |
— | — |
(1,207,192 ) | (900,752 ) |
6,314,360 | 15,185,225 |
$6,212,315 | $15,010,626 |
FT Vest U.S. Equity Buffer ETF - January (FJAN) | FT Vest U.S. Equity Deep Buffer ETF - January (DJAN) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(1,766,552 ) | $(1,992,302 ) | $(823,969 ) | $(1,472,394 ) |
Net realized gain (loss) | 56,115,195 | 272,339 | 21,094,110 | (2,932,419 ) |
Net change in unrealized appreciation (depreciation) | (9,838,190 ) | 39,662,230 | (6,446,739 ) | 19,857,278 |
Net increase (decrease) in net assets resulting from operations | 44,510,453 | 37,942,267 | 13,823,402 | 15,452,465 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 735,578,861 | 406,801,786 | 269,230,944 | 258,344,193 |
Cost of shares redeemed | (397,956,006 ) | (296,858,003 ) | (151,663,655 ) | (221,699,055 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 337,622,855 | 109,943,783 | 117,567,289 | 36,645,138 |
Total increase (decrease) in net assets | 382,133,308 | 147,886,050 | 131,390,691 | 52,097,603 |
NET ASSETS: | ||||
Beginning of period | 337,119,311 | 189,233,261 | 185,028,390 | 132,930,787 |
End of period | $719,252,619 | $337,119,311 | $316,419,081 | $185,028,390 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 8,950,002 | 5,850,002 | 5,575,002 | 4,325,002 |
Shares sold | 18,400,000 | 11,950,000 | 7,775,000 | 8,425,000 |
Shares redeemed | (9,950,000 ) | (8,850,000 ) | (4,450,000 ) | (7,175,000 ) |
Shares outstanding, end of period | 17,400,002 | 8,950,002 | 8,900,002 | 5,575,002 |
FT Vest U.S. Equity Buffer ETF - February (FFEB) | FT Vest U.S. Equity Deep Buffer ETF - February (DFEB) | FT Vest U.S. Equity Buffer ETF - March (FMAR) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$(2,095,625 ) | $(2,659,240 ) | $(847,522 ) | $(2,231,079 ) | $(1,524,599 ) | $(1,870,741 ) |
80,015,866 | 4,021,661 | 27,582,031 | (11,489,878 ) | 5,426,810 | 1,945,093 |
(19,634,326 ) | 44,100,136 | (12,010,976 ) | 26,799,203 | 21,787,551 | 37,525,066 |
58,285,915 | 45,462,557 | 14,723,533 | 13,078,246 | 25,689,762 | 37,599,418 |
940,259,123 | 243,479,786 | 137,629,161 | 130,634,777 | 129,878,314 | 404,646,429 |
(625,407,804 ) | (205,787,010 ) | (48,157,946 ) | (240,475,793 ) | (38,626,248 ) | (318,408,317 ) |
314,851,319 | 37,692,776 | 89,471,215 | (109,841,016 ) | 91,252,066 | 86,238,112 |
373,137,234 | 83,155,333 | 104,194,748 | (96,762,770 ) | 116,941,828 | 123,837,530 |
386,234,153 | 303,078,820 | 206,342,770 | 303,105,540 | 320,901,239 | 197,063,709 |
$759,371,387 | $386,234,153 | $310,537,518 | $206,342,770 | $437,843,067 | $320,901,239 |
9,575,002 | 8,550,002 | 5,750,002 | 8,925,002 | 8,900,002 | 6,300,002 |
21,875,000 | 6,550,000 | 3,625,000 | 3,925,000 | 3,500,000 | 12,450,000 |
(14,375,000 ) | (5,525,000 ) | (1,300,000 ) | (7,100,000 ) | (1,025,000 ) | (9,850,000 ) |
17,075,002 | 9,575,002 | 8,075,002 | 5,750,002 | 11,375,002 | 8,900,002 |
FT Vest U.S. Equity Deep Buffer ETF - March (DMAR) | FT Vest U.S. Equity Buffer ETF - April (FAPR) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(801,703 ) | $(1,849,081 ) | $(1,778,255 ) | $(2,509,611 ) |
Net realized gain (loss) | 8,294,284 | (6,721,689 ) | 23,201,760 | 7,477,814 |
Net change in unrealized appreciation (depreciation) | 1,603,037 | 24,278,131 | 14,836,708 | 35,605,596 |
Net increase (decrease) in net assets resulting from operations | 9,095,618 | 15,707,361 | 36,260,213 | 40,573,799 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 27,415,851 | 225,304,811 | 189,342,818 | 472,382,047 |
Cost of shares redeemed | (73,861,044 ) | (232,646,017 ) | (166,857,385 ) | (388,773,781 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (46,445,193 ) | (7,341,206 ) | 22,485,433 | 83,608,266 |
Total increase (decrease) in net assets | (37,349,575 ) | 8,366,155 | 58,745,646 | 124,182,065 |
NET ASSETS: | ||||
Beginning of period | 201,158,794 | 192,792,639 | 405,693,132 | 281,511,067 |
End of period | $163,809,219 | $201,158,794 | $464,438,778 | $405,693,132 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 6,150,002 | 6,350,002 | 12,200,002 | 9,575,002 |
Shares sold | 825,000 | 7,425,000 | 5,525,000 | 15,175,000 |
Shares redeemed | (2,200,000 ) | (7,625,000 ) | (4,875,000 ) | (12,550,000 ) |
Shares outstanding, end of period | 4,775,002 | 6,150,002 | 12,850,002 | 12,200,002 |
FT Vest U.S. Equity Deep Buffer ETF - April (DAPR) | FT Vest U.S. Equity Buffer ETF - May (FMAY) | FT Vest U.S. Equity Deep Buffer ETF - May (DMAY) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$(865,008 ) | $(2,388,611 ) | $(2,255,228 ) | $(3,153,230 ) | $(737,955 ) | $(1,447,811 ) |
4,304,391 | (4,330,617 ) | 36,940,537 | 26,950,416 | 4,642,690 | 10,138,028 |
7,990,273 | 19,578,401 | 16,788,718 | 18,571,692 | 7,417,779 | 7,587,488 |
11,429,656 | 12,859,173 | 51,474,027 | 42,368,878 | 11,322,514 | 16,277,705 |
41,369,360 | 396,673,654 | 237,833,590 | 625,530,976 | 57,657,565 | 170,656,279 |
(75,731,049 ) | (440,445,298 ) | (276,757,265 ) | (507,606,893 ) | (59,372,693 ) | (240,142,974 ) |
(34,361,689 ) | (43,771,644 ) | (38,923,675 ) | 117,924,083 | (1,715,128 ) | (69,486,695 ) |
(22,932,033 ) | (30,912,471 ) | 12,550,352 | 160,292,961 | 9,607,386 | (53,208,990 ) |
234,920,991 | 265,833,462 | 524,140,723 | 363,847,762 | 172,809,424 | 226,018,414 |
$211,988,958 | $234,920,991 | $536,691,075 | $524,140,723 | $182,416,810 | $172,809,424 |
7,550,002 | 8,900,002 | 13,300,002 | 10,200,002 | 4,975,002 | 7,150,002 |
1,300,000 | 13,400,000 | 5,925,000 | 16,850,000 | 1,650,000 | 5,250,000 |
(2,450,000 ) | (14,750,000 ) | (6,700,000 ) | (13,750,000 ) | (1,700,000 ) | (7,425,000 ) |
6,400,002 | 7,550,002 | 12,525,002 | 13,300,002 | 4,925,002 | 4,975,002 |
FT Vest U.S. Equity Buffer ETF - June (FJUN) | FT Vest U.S. Equity Deep Buffer ETF - June (DJUN) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(2,396,853 ) | $(2,674,644 ) | $(734,522 ) | $(1,307,997 ) |
Net realized gain (loss) | 19,907,042 | 51,651,309 | 5,956,165 | 19,896,691 |
Net change in unrealized appreciation (depreciation) | 44,035,520 | (444,750 ) | 11,646,818 | (2,592,810 ) |
Net increase (decrease) in net assets resulting from operations | 61,545,709 | 48,531,915 | 16,868,461 | 15,995,884 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 254,367,267 | 538,441,639 | 36,687,133 | 111,081,853 |
Cost of shares redeemed | (191,035,866 ) | (351,578,773 ) | (58,142,003 ) | (131,629,473 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 63,331,401 | 186,862,866 | (21,454,870 ) | (20,547,620 ) |
Total increase (decrease) in net assets | 124,877,110 | 235,394,781 | (4,586,409 ) | (4,551,736 ) |
NET ASSETS: | ||||
Beginning of period | 533,892,644 | 298,497,863 | 175,512,474 | 180,064,210 |
End of period | $658,769,754 | $533,892,644 | $170,926,065 | $175,512,474 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 12,675,002 | 8,200,002 | 4,825,002 | 5,550,002 |
Shares sold | 5,900,000 | 13,375,000 | 1,050,000 | 3,150,000 |
Shares redeemed | (4,325,000 ) | (8,900,000 ) | (1,550,000 ) | (3,875,000 ) |
Shares outstanding, end of period | 14,250,002 | 12,675,002 | 4,325,002 | 4,825,002 |
FT Vest U.S. Equity Buffer ETF - July (FJUL) | FT Vest U.S. Equity Deep Buffer ETF - July (DJUL) | FT Vest U.S. Equity Buffer ETF - August (FAUG) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$(2,282,862 ) | $(2,088,888 ) | $(1,633,793 ) | $(1,294,026 ) | $(2,318,094 ) | $(3,003,919 ) |
13,832,374 | 38,604,244 | 12,607,722 | 16,365,178 | 7,126,419 | 5,806,643 |
45,399,382 | (3,036,837 ) | 33,265,555 | (1,028,162 ) | 48,496,846 | 23,865,275 |
56,948,894 | 33,478,519 | 44,239,484 | 14,042,990 | 53,305,171 | 26,667,999 |
230,212,763 | 538,570,165 | 221,919,496 | 329,544,964 | 103,913,399 | 864,196,916 |
(209,996,881 ) | (289,430,146 ) | (138,328,750 ) | (214,085,902 ) | (126,902,651 ) | (651,916,272 ) |
20,215,882 | 249,140,019 | 83,590,746 | 115,459,062 | (22,989,252 ) | 212,280,644 |
77,164,776 | 282,618,538 | 127,830,230 | 129,502,052 | 30,315,919 | 238,948,643 |
503,211,913 | 220,593,375 | 286,637,523 | 157,135,471 | 561,931,746 | 322,983,103 |
$580,376,689 | $503,211,913 | $414,467,753 | $286,637,523 | $592,247,665 | $561,931,746 |
12,700,002 | 6,350,002 | 8,200,002 | 5,050,002 | 14,550,002 | 9,150,002 |
5,725,000 | 13,800,000 | 6,500,000 | 9,550,000 | 2,675,000 | 22,750,000 |
(5,100,000 ) | (7,450,000 ) | (3,825,000 ) | (6,400,000 ) | (3,200,000 ) | (17,350,000 ) |
13,325,002 | 12,700,002 | 10,875,002 | 8,200,002 | 14,025,002 | 14,550,002 |
FT Vest U.S. Equity Deep Buffer ETF - August (DAUG) | FT Vest U.S. Equity Buffer ETF - September (FSEP) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(1,362,416 ) | $(3,258,712 ) | $(1,673,391 ) | $(2,165,154 ) |
Net realized gain (loss) | 3,451,034 | 31,897,478 | 31,952,696 | 4,556,289 |
Net change in unrealized appreciation (depreciation) | 21,608,219 | 11,810,301 | 9,087,534 | 40,185,060 |
Net increase (decrease) in net assets resulting from operations | 23,696,837 | 40,449,067 | 39,366,839 | 42,576,195 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 35,231,488 | 804,513,065 | 431,036,181 | 395,959,039 |
Cost of shares redeemed | (98,266,192 ) | (624,260,248 ) | (317,833,038 ) | (239,350,219 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (63,034,704 ) | 180,252,817 | 113,203,143 | 156,608,820 |
Total increase (decrease) in net assets | (39,337,867 ) | 220,701,884 | 152,569,982 | 199,185,015 |
NET ASSETS: | ||||
Beginning of period | 377,851,186 | 157,149,302 | 324,306,727 | 125,121,712 |
End of period | $338,513,319 | $377,851,186 | $476,876,709 | $324,306,727 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 11,100,002 | 4,975,002 | 8,425,002 | 3,750,002 |
Shares sold | 1,000,000 | 24,750,000 | 11,250,000 | 11,600,000 |
Shares redeemed | (2,850,000 ) | (18,625,000 ) | (8,275,000 ) | (6,925,000 ) |
Shares outstanding, end of period | 9,250,002 | 11,100,002 | 11,400,002 | 8,425,002 |
FT Vest U.S. Equity Deep Buffer ETF - September (DSEP) | FT Vest U.S. Equity Buffer ETF - October (FOCT) | FT Vest U.S. Equity Deep Buffer ETF - October (DOCT) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$(735,949 ) | $(1,586,586 ) | $(1,640,797 ) | $(2,147,532 ) | $(700,292 ) | $(1,423,515 ) |
17,895,957 | 10,193,950 | 27,490,002 | (3,414,285 ) | 11,930,719 | 1,554,335 |
592,576 | 21,152,396 | 4,436,181 | 48,545,456 | (802,024 ) | 24,938,133 |
17,752,584 | 29,759,760 | 30,285,386 | 42,983,639 | 10,428,403 | 25,068,953 |
225,175,783 | 301,664,319 | 512,165,794 | 296,029,591 | 166,607,022 | 204,061,583 |
(196,827,581 ) | (291,488,077 ) | (310,566,439 ) | (206,921,003 ) | (151,219,021 ) | (193,274,484 ) |
28,348,202 | 10,176,242 | 201,599,355 | 89,108,588 | 15,388,001 | 10,787,099 |
46,100,786 | 39,936,002 | 231,884,741 | 132,092,227 | 25,816,404 | 35,856,052 |
138,835,261 | 98,899,259 | 278,460,486 | 146,368,259 | 159,789,028 | 123,932,976 |
$184,936,047 | $138,835,261 | $510,345,227 | $278,460,486 | $185,605,432 | $159,789,028 |
3,975,002 | 3,250,002 | 7,275,002 | 4,450,002 | 4,500,002 | 4,050,002 |
6,525,000 | 9,950,000 | 13,800,000 | 8,950,000 | 4,775,000 | 6,475,000 |
(5,600,000 ) | (9,225,000 ) | (8,350,000 ) | (6,125,000 ) | (4,300,000 ) | (6,025,000 ) |
4,900,002 | 3,975,002 | 12,725,002 | 7,275,002 | 4,975,002 | 4,500,002 |
FT Vest U.S. Equity Buffer ETF - November (FNOV) | FT Vest U.S. Equity Deep Buffer ETF - November (DNOV) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(2,040,746 ) | $(2,952,732 ) | $(1,042,048 ) | $(2,488,779 ) |
Net realized gain (loss) | 45,945,575 | (3,527,750 ) | 33,722,707 | (6,644,479 ) |
Net change in unrealized appreciation (depreciation) | 533,899 | 60,994,440 | (8,424,210 ) | 42,222,317 |
Net increase (decrease) in net assets resulting from operations | 44,438,728 | 54,513,958 | 24,256,449 | 33,089,059 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 546,956,845 | 319,979,614 | 193,888,500 | 337,167,210 |
Cost of shares redeemed | (407,315,647 ) | (242,372,424 ) | (185,438,875 ) | (529,405,035 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 139,641,198 | 77,607,190 | 8,449,625 | (192,237,825 ) |
Total increase (decrease) in net assets | 184,079,926 | 132,121,148 | 32,706,074 | (159,148,766 ) |
NET ASSETS: | ||||
Beginning of period | 393,179,019 | 261,057,871 | 241,044,409 | 400,193,175 |
End of period | $577,258,945 | $393,179,019 | $273,750,483 | $241,044,409 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 9,625,002 | 7,350,002 | 6,525,002 | 12,200,002 |
Shares sold | 13,425,000 | 8,775,000 | 5,275,000 | 10,200,000 |
Shares redeemed | (9,950,000 ) | (6,500,000 ) | (4,950,000 ) | (15,875,000 ) |
Shares outstanding, end of period | 13,100,002 | 9,625,002 | 6,850,002 | 6,525,002 |
FT Vest U.S. Equity Buffer ETF - December (FDEC) | FT Vest U.S. Equity Deep Buffer ETF - December (DDEC) | FT Vest Buffered Allocation Defensive ETF (BUFT) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$(1,865,954 ) | $(1,933,139 ) | $(1,190,497 ) | $(2,394,409 ) | $(102,045 ) | $(246,661 ) |
60,033,137 | (9,145,882 ) | 37,414,152 | 2,394,268 | 7,521,552 | 3,446,596 |
2,801,322 | 49,599,041 | (13,403,963 ) | 35,948,038 | (1,207,192 ) | 4,773,322 |
60,968,505 | 38,520,020 | 22,819,692 | 35,947,897 | 6,212,315 | 7,973,257 |
763,738,868 | 391,728,791 | 336,071,388 | 397,801,826 | 136,140,269 | 63,344,481 |
(394,263,938 ) | (323,259,505 ) | (296,975,542 ) | (406,358,710 ) | (137,952,134 ) | (130,727,007 ) |
369,474,930 | 68,469,286 | 39,095,846 | (8,556,884 ) | (1,811,865 ) | (67,382,526 ) |
430,443,435 | 106,989,306 | 61,915,538 | 27,391,013 | 4,400,450 | (59,409,269 ) |
297,131,491 | 190,142,185 | 278,983,052 | 251,592,039 | 95,430,444 | 154,839,713 |
$727,574,926 | $297,131,491 | $340,898,590 | $278,983,052 | $99,830,894 | $95,430,444 |
8,125,002 | 6,000,002 | 8,150,002 | 8,275,002 | 4,750,002 | 8,300,002 |
19,950,000 | 11,975,000 | 9,475,000 | 12,950,000 | 6,600,000 | 3,250,000 |
(10,200,000 ) | (9,850,000 ) | (8,425,000 ) | (13,075,000 ) | (6,650,000 ) | (6,800,000 ) |
17,875,002 | 8,125,002 | 9,200,002 | 8,150,002 | 4,700,002 | 4,750,002 |
FT Vest Buffered Allocation Growth ETF (BUFG) | ||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||
Net investment income (loss) | $(174,599 ) | $(299,352 ) |
Net realized gain (loss) | 16,085,977 | 11,554,925 |
Net change in unrealized appreciation (depreciation) | (900,752 ) | 5,644,353 |
Net increase (decrease) in net assets resulting from operations | 15,010,626 | 16,899,926 |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | 376,428,986 | 288,555,492 |
Cost of shares redeemed | (352,039,433 ) | (304,725,396 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 24,389,553 | (16,169,904 ) |
Total increase (decrease) in net assets | 39,400,179 | 730,022 |
NET ASSETS: | ||
Beginning of period | 164,147,811 | 163,417,789 |
End of period | $203,547,990 | $164,147,811 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 8,050,002 | 9,000,002 |
Shares sold | 17,650,000 | 14,900,000 |
Shares redeemed | (16,500,000 ) | (15,850,000 ) |
Shares outstanding, end of period | 9,200,002 | 8,050,002 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $37.67 | $32.35 | $33.37 | $30.06 |
Income from investment operations: | ||||
Net investment income (loss) | (0.16 ) (b) | (0.29 ) (b) | (0.19 ) | (0.14 ) |
Net realized and unrealized gain (loss) | 3.83 | 5.61 | (0.83 ) | 3.45 |
Total from investment operations | 3.67 | 5.32 | (1.02 ) | 3.31 |
Net asset value, end of period | $41.34 | $37.67 | $32.35 | $33.37 |
Total return (c) | 9.74 % | 16.45 % | (3.06 )% | 11.01 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $719,253 | $337,119 | $189,233 | $126,811 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is January 15, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $33.19 | $30.74 | $31.94 | $30.06 |
Income from investment operations: | ||||
Net investment income (loss) | (0.14 ) (b) | (0.26 ) (b) | (0.04 ) | (0.22 ) |
Net realized and unrealized gain (loss) | 2.50 | 2.71 | (1.16 ) | 2.10 |
Total from investment operations | 2.36 | 2.45 | (1.20 ) | 1.88 |
Net asset value, end of period | $35.55 | $33.19 | $30.74 | $31.94 |
Total return (c) | 7.11 % | 7.97 % | (3.76 )% | 6.25 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $316,419 | $185,028 | $132,931 | $49,511 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is January 15, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $40.34 | $35.45 | $37.46 | $31.48 | $30.68 |
Income from investment operations: | |||||
Net investment income (loss) | (0.17 ) (b) | (0.31 ) (b) | (0.22 ) | (0.30 ) | (0.08 ) |
Net realized and unrealized gain (loss) | 4.30 | 5.20 | (1.79 ) | 6.28 | 0.88 |
Total from investment operations | 4.13 | 4.89 | (2.01 ) | 5.98 | 0.80 |
Net asset value, end of period | $44.47 | $40.34 | $35.45 | $37.46 | $31.48 |
Total return (c) | 10.24 % | 13.79 % | (5.37 )% | 19.00 % | 2.61 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $759,371 | $386,234 | $303,079 | $258,453 | $210,925 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is February 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $35.89 | $33.96 | $34.68 | $31.24 | $30.68 |
Income from investment operations: | |||||
Net investment income (loss) | (0.15 ) (b) | (0.28 ) (b) | (0.25 ) | (0.52 ) | (0.11 ) |
Net realized and unrealized gain (loss) | 2.72 | 2.21 | (0.47 ) | 3.96 | 0.67 |
Total from investment operations | 2.57 | 1.93 | (0.72 ) | 3.44 | 0.56 |
Net asset value, end of period | $38.46 | $35.89 | $33.96 | $34.68 | $31.24 |
Total return (c) | 7.16 % | 5.68 % | (2.08 )% | 11.01 % | 1.83 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $310,538 | $206,343 | $303,106 | $282,634 | $534,276 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% | (0.85 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is February 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $36.06 | $31.28 | $32.40 | $29.60 |
Income from investment operations: | ||||
Net investment income (loss) | (0.15 ) (b) | (0.27 ) (b) | (0.13 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 2.58 | 5.05 | (0.99 ) | 2.90 |
Total from investment operations | 2.43 | 4.78 | (1.12 ) | 2.80 |
Net asset value, end of period | $38.49 | $36.06 | $31.28 | $32.40 |
Total return (c) | 6.74 % | 15.28 % | (3.46 )% | 9.46 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $437,843 | $320,901 | $197,064 | $82,609 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is March 19, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $32.71 | $30.36 | $31.45 | $29.60 |
Income from investment operations: | ||||
Net investment income (loss) | (0.14 ) (b) | (0.25 ) (b) | (0.09 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 1.74 | 2.60 | (1.00 ) | 1.95 |
Total from investment operations | 1.60 | 2.35 | (1.09 ) | 1.85 |
Net asset value, end of period | $34.31 | $32.71 | $30.36 | $31.45 |
Total return (c) | 4.89 % | 7.74 % | (3.47 )% | 6.25 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $163,809 | $201,159 | $192,793 | $66,053 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is March 19, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $33.25 | $29.40 | $31.71 | $30.04 |
Income from investment operations: | ||||
Net investment income (loss) | (0.14 ) (b) | (0.25 ) (b) | (0.12 ) | (0.08 ) |
Net realized and unrealized gain (loss) | 3.03 | 4.10 | (2.19 ) | 1.75 |
Total from investment operations | 2.89 | 3.85 | (2.31 ) | 1.67 |
Net asset value, end of period | $36.14 | $33.25 | $29.40 | $31.71 |
Total return (c) | 8.69 % | 13.10 % | (7.28 )% | 5.56 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $464,439 | $405,693 | $281,511 | $134,751 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is April 16, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $31.12 | $29.87 | $31.08 | $30.04 |
Income from investment operations: | ||||
Net investment income (loss) | (0.13 ) (b) | (0.24 ) (b) | (0.07 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 2.13 | 1.49 | (1.14 ) | 1.14 |
Total from investment operations | 2.00 | 1.25 | (1.21 ) | 1.04 |
Net asset value, end of period | $33.12 | $31.12 | $29.87 | $31.08 |
Total return (c) | 6.43 % | 4.18 % | (3.89 )% | 3.46 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $211,989 | $234,921 | $265,833 | $93,226 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is April 16, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $39.41 | $35.67 | $37.29 | $33.47 | $30.34 |
Income from investment operations: | |||||
Net investment income (loss) | (0.16 ) (b) | (0.30 ) (b) | (0.05 ) | (0.16 ) | (0.07 ) |
Net realized and unrealized gain (loss) | 3.60 | 4.04 | (1.57 ) | 3.98 | 3.20 |
Total from investment operations | 3.44 | 3.74 | (1.62 ) | 3.82 | 3.13 |
Net asset value, end of period | $42.85 | $39.41 | $35.67 | $37.29 | $33.47 |
Total return (c) | 8.73 % | 10.49 % | (4.34 )% | 11.41 % | 10.32 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $536,691 | $524,141 | $363,848 | $111,876 | $38,487 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is May 15, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $34.74 | $31.61 | $34.25 | $32.16 | $30.35 |
Income from investment operations: | |||||
Net investment income (loss) | (0.14 ) (b) | (0.27 ) (b) | (0.05 ) | (0.08 ) | (0.07 ) |
Net realized and unrealized gain (loss) | 2.44 | 3.40 | (2.59 ) | 2.17 | 1.88 |
Total from investment operations | 2.30 | 3.13 | (2.64 ) | 2.09 | 1.81 |
Net asset value, end of period | $37.04 | $34.74 | $31.61 | $34.25 | $32.16 |
Total return (c) | 6.62 % | 9.90 % | (7.71 )% | 6.50 % | 5.96 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $182,417 | $172,809 | $226,018 | $63,371 | $11,255 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is May 15, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $42.12 | $36.40 | $37.07 | $32.56 | $30.25 |
Income from investment operations: | |||||
Net investment income (loss) | (0.17 ) (b) | (0.31 ) (b) | (0.08 ) | (0.15 ) | (0.05 ) |
Net realized and unrealized gain (loss) | 4.28 | 6.03 | (0.59 ) (c) | 4.66 | 2.36 |
Total from investment operations | 4.11 | 5.72 | (0.67 ) | 4.51 | 2.31 |
Net asset value, end of period | $46.23 | $42.12 | $36.40 | $37.07 | $32.56 |
Total return (d) | 9.76 % | 15.71 % | (1.81 )% | 13.85 % | 7.64 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $658,770 | $533,893 | $298,498 | $113,075 | $48,845 |
Ratio of total expenses to average net assets | 0.85 % (e) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (e) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (e) | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (e) |
Portfolio turnover rate (f) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is June 19, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(d) | 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. |
(e) | Annualized. |
(f) | 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, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $36.38 | $32.44 | $34.04 | $31.62 | $30.25 |
Income from investment operations: | |||||
Net investment income (loss) | (0.15 ) (b) | (0.28 ) (b) | (0.07 ) | (0.13 ) | (0.04 ) |
Net realized and unrealized gain (loss) | 3.29 | 4.22 | (1.53 ) | 2.55 | 1.41 |
Total from investment operations | 3.14 | 3.94 | (1.60 ) | 2.42 | 1.37 |
Net asset value, end of period | $39.52 | $36.38 | $32.44 | $34.04 | $31.62 |
Total return (c) | 8.63 % | 12.15 % | (4.70 )% | 7.65 % | 4.53 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $170,926 | $175,512 | $180,064 | $45,951 | $20,551 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is June 19, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $39.62 | $34.74 | $35.63 | $31.61 | $30.24 |
Income from investment operations: | |||||
Net investment income (loss) | (0.16 ) (b) | (0.30 ) (b) | (0.17 ) | (0.09 ) | (0.02 ) |
Net realized and unrealized gain (loss) | 4.10 | 5.18 | (0.72 ) | 4.11 | 1.39 |
Total from investment operations | 3.94 | 4.88 | (0.89 ) | 4.02 | 1.37 |
Net asset value, end of period | $43.56 | $39.62 | $34.74 | $35.63 | $31.61 |
Total return (c) | 9.94 % | 14.05 % | (2.50 )% | 12.72 % | 4.53 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $580,377 | $503,212 | $220,593 | $124,722 | $33,194 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.80 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is July 17, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $34.96 | $31.12 | $33.17 | $30.96 | $30.24 |
Income from investment operations: | |||||
Net investment income (loss) | (0.14 ) (b) | (0.26 ) (b) | (0.08 ) | (0.09 ) | (0.02 ) |
Net realized and unrealized gain (loss) | 3.29 | 4.10 | (1.97 ) | 2.30 | 0.74 |
Total from investment operations | 3.15 | 3.84 | (2.05 ) | 2.21 | 0.72 |
Net asset value, end of period | $38.11 | $34.96 | $31.12 | $33.17 | $30.96 |
Total return (c) | 9.01 % | 12.34 % | (6.18 )% | 7.14 % | 2.38 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $414,468 | $286,638 | $157,135 | $54,735 | $12,384 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.80 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is July 17, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $38.62 | $35.30 | $37.50 | $32.95 | $30.10 |
Income from investment operations: | |||||
Net investment income (loss) | (0.16 ) (b) | (0.30 ) (b) | (0.12 ) | (0.13 ) | (0.08 ) |
Net realized and unrealized gain (loss) | 3.77 | 3.62 | (2.08 ) | 4.68 | 2.93 |
Total from investment operations | 3.61 | 3.32 | (2.20 ) | 4.55 | 2.85 |
Net asset value, end of period | $42.23 | $38.62 | $35.30 | $37.50 | $32.95 |
Total return (c) | 9.35 % | 9.41 % | (5.87 )% | 13.81 % | 9.47 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $592,248 | $561,932 | $322,983 | $155,642 | $36,246 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.80 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is November 6, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $34.04 | $31.59 | $34.76 | $32.15 | $30.10 |
Income from investment operations: | |||||
Net investment income (loss) | (0.14 ) (b) | (0.26 ) (b) | (0.14 ) | (0.49 ) | (0.19 ) |
Net realized and unrealized gain (loss) | 2.70 | 2.71 | (3.03 ) | 3.10 | 2.24 |
Total from investment operations | 2.56 | 2.45 | (3.17 ) | 2.61 | 2.05 |
Net asset value, end of period | $36.60 | $34.04 | $31.59 | $34.76 | $32.15 |
Total return (c) | 7.52 % | 7.76 % | (9.12 )% | 8.12 % | 6.81 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $338,513 | $377,851 | $157,149 | $90,370 | $133,431 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.80 )% (d) | (0.82 )% | (0.85 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is November 6, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $38.49 | $33.37 | $34.45 | $29.76 |
Income from investment operations: | ||||
Net investment income (loss) | (0.16 ) (b) | (0.29 ) (b) | (0.17 ) | (0.16 ) |
Net realized and unrealized gain (loss) | 3.50 | 5.41 | (0.91 ) | 4.85 |
Total from investment operations | 3.34 | 5.12 | (1.08 ) | 4.69 |
Net asset value, end of period | $41.83 | $38.49 | $33.37 | $34.45 |
Total return (c) | 8.68 % | 15.34 % | (3.13 )% | 15.76 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $476,877 | $324,307 | $125,122 | $41,344 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.80 )% (d) | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is September 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $34.93 | $30.43 | $32.30 | $29.76 |
Income from investment operations: | ||||
Net investment income (loss) | (0.14 ) (b) | (0.26 ) (b) | (0.27 ) (b) | (0.25 ) |
Net realized and unrealized gain (loss) | 2.95 | 4.76 | (1.60 ) | 2.79 |
Total from investment operations | 2.81 | 4.50 | (1.87 ) | 2.54 |
Net asset value, end of period | $37.74 | $34.93 | $30.43 | $32.30 |
Total return (c) | 8.04 % | 14.79 % | (5.79 )% | 8.53 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $184,936 | $138,835 | $98,899 | $25,841 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.80 )% (d) | (0.81 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is September 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $38.28 | $32.89 | $34.40 | $29.87 |
Income from investment operations: | ||||
Net investment income (loss) | (0.15 ) (b) | (0.28 ) (b) | (0.17 ) | (0.21 ) |
Net realized and unrealized gain (loss) | 1.98 | 5.67 | (1.34 ) | 4.74 |
Total from investment operations | 1.83 | 5.39 | (1.51 ) | 4.53 |
Net asset value, end of period | $40.11 | $38.28 | $32.89 | $34.40 |
Total return (c) | 4.78 % | 16.39 % | (4.39 )% | 15.17 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $510,345 | $278,460 | $146,368 | $70,529 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is October 16, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $35.51 | $30.60 | $32.41 | $29.87 |
Income from investment operations: | ||||
Net investment income (loss) | (0.14 ) (b) | (0.27 ) (b) | (0.08 ) | (0.21 ) |
Net realized and unrealized gain (loss) | 1.94 | 5.18 | (1.73 ) | 2.75 |
Total from investment operations | 1.80 | 4.91 | (1.81 ) | 2.54 |
Net asset value, end of period | $37.31 | $35.51 | $30.60 | $32.41 |
Total return (c) | 5.07 % | 16.05 % | (5.58 )% | 8.50 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $185,605 | $159,789 | $123,933 | $40,511 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is October 16, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $40.85 | $35.52 | $38.30 | $32.89 | $30.56 |
Income from investment operations: | |||||
Net investment income (loss) | (0.17 ) (b) | (0.31 ) (b) | (0.05 ) | (0.40 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 3.39 | 5.64 | (2.73 ) | 5.81 | 2.43 |
Total from investment operations | 3.22 | 5.33 | (2.78 ) | 5.41 | 2.33 |
Net asset value, end of period | $44.07 | $40.85 | $35.52 | $38.30 | $32.89 |
Total return (c) | 7.88 % | 15.01 % | (7.26 )% | 16.45 % | 7.62 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $577,259 | $393,179 | $261,058 | $143,616 | $138,133 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.85 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is November 15, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $36.94 | $32.80 | $34.99 | $32.09 | $30.55 |
Income from investment operations: | |||||
Net investment income (loss) | (0.15 ) (b) | (0.28 ) (b) | (0.28 ) (b) | (0.43 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 3.17 | 4.42 | (1.91 ) | 3.33 | 1.64 |
Total from investment operations | 3.02 | 4.14 | (2.19 ) | 2.90 | 1.54 |
Net asset value, end of period | $39.96 | $36.94 | $32.80 | $34.99 | $32.09 |
Total return (c) | 8.18 % | 12.62 % | (6.26 )% | 9.04 % | 5.04 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $273,750 | $241,044 | $400,193 | $90,968 | $146,012 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is November 15, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $36.57 | $31.69 | $33.78 | $30.27 |
Income from investment operations: | ||||
Net investment income (loss) | (0.15 ) (b) | (0.27 ) (b) | (0.28 ) (b) | (0.17 ) |
Net realized and unrealized gain (loss) | 4.28 | 5.15 | (1.81 ) | 3.68 |
Total from investment operations | 4.13 | 4.88 | (2.09 ) | 3.51 |
Net asset value, end of period | $40.70 | $36.57 | $31.69 | $33.78 |
Total return (c) | 11.29 % | 15.40 % | (6.19 )% | 11.60 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $727,575 | $297,131 | $190,142 | $70,943 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $34.23 | $30.40 | $32.19 | $30.27 |
Income from investment operations: | ||||
Net investment income (loss) | (0.14 ) (b) | (0.26 ) (b) | (0.26 ) (b) | (0.18 ) |
Net realized and unrealized gain (loss) | 2.96 | 4.09 | (1.53 ) | 2.10 |
Total from investment operations | 2.82 | 3.83 | (1.79 ) | 1.92 |
Net asset value, end of period | $37.05 | $34.23 | $30.40 | $32.19 |
Total return (c) | 8.24 % | 12.60 % | (5.56 )% | 6.34 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $340,899 | $278,983 | $251,592 | $59,546 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $20.09 | $18.66 | $20.01 |
Income from investment operations: | |||
Net investment income (loss) | (0.02 ) (b) | (0.04 ) (b) | (0.02 ) |
Net realized and unrealized gain (loss) | 1.17 | 1.47 | (1.33 ) |
Total from investment operations | 1.15 | 1.43 | (1.35 ) |
Net asset value, end of period | $21.24 | $20.09 | $18.66 |
Total return (c) | 5.72 % | 7.66 % | (6.75 )% |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $99,831 | $95,430 | $154,840 |
Ratio of total expenses to average net assets (d) | 0.20 % (e) | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | (0.20 )% (e) | (0.20 )% | (0.20 )% (e) |
Portfolio turnover rate (f) | 251 % | 372 % | 445 % |
(a) | Inception date is October 26, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $20.39 | $18.16 | $20.01 |
Income from investment operations: | |||
Net investment income (loss) | (0.02 ) (b) | (0.04 ) (b) | (0.02 ) |
Net realized and unrealized gain (loss) | 1.75 | 2.27 | (1.83 ) |
Total from investment operations | 1.73 | 2.23 | (1.85 ) |
Net asset value, end of period | $22.12 | $20.39 | $18.16 |
Total return (c) | 8.48 % | 12.28 % | (9.25 )% |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $203,548 | $164,148 | $163,418 |
Ratio of total expenses to average net assets (d) | 0.20 % (e) | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | (0.20 )% (e) | (0.20 )% | (0.20 )% (e) |
Portfolio turnover rate (f) | 252 % | 475 % | 411 % |
(a) | Inception date is October 26, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
FT Vest U.S. Equity Buffer ETF - January – (ticker “FJAN”) |
FT Vest U.S. Equity Deep Buffer ETF - January – (ticker “DJAN”) |
FT Vest U.S. Equity Buffer ETF - February – (ticker “FFEB”) |
FT Vest U.S. Equity Deep Buffer ETF - February – (ticker “DFEB”) |
FT Vest U.S. Equity Buffer ETF - March – (ticker “FMAR”) |
FT Vest U.S. Equity Deep Buffer ETF - March – (ticker “DMAR”) |
FT Vest U.S. Equity Buffer ETF - April – (ticker “FAPR”) |
FT Vest U.S. Equity Deep Buffer ETF - April – (ticker “DAPR”) |
FT Vest U.S. Equity Buffer ETF - May – (ticker “FMAY”) |
FT Vest U.S. Equity Deep Buffer ETF - May – (ticker “DMAY”) |
FT Vest U.S. Equity Buffer ETF - June – (ticker “FJUN”) |
FT Vest U.S. Equity Deep Buffer ETF - June – (ticker “DJUN”) |
FT Vest U.S. Equity Buffer ETF - July – (ticker “FJUL”) |
FT Vest U.S. Equity Deep Buffer ETF - July – (ticker “DJUL”) |
FT Vest U.S. Equity Buffer ETF - August – (ticker “FAUG”) |
FT Vest U.S. Equity Deep Buffer ETF - August – (ticker “DAUG”) |
FT Vest U.S. Equity Buffer ETF - September – (ticker “FSEP”) |
FT Vest U.S. Equity Deep Buffer ETF - September – (ticker “DSEP”) |
FT Vest U.S. Equity Buffer ETF - October – (ticker “FOCT”) |
FT Vest U.S. Equity Deep Buffer ETF - October – (ticker “DOCT”) |
FT Vest U.S. Equity Buffer ETF - November – (ticker “FNOV”) |
FT Vest U.S. Equity Deep Buffer ETF - November – (ticker “DNOV”) |
FT Vest U.S. Equity Buffer ETF - December – (ticker “FDEC”) |
FT Vest U.S. Equity Deep Buffer ETF - December – (ticker “DDEC”) |
FT Vest Buffered Allocation Defensive ETF – (ticker “BUFT”) |
FT Vest Buffered Allocation Growth ETF – (ticker “BUFG”) |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
FT Vest U.S. Equity Deep Buffer ETF - January | — | $18,127,786 | $27,064,037 | $(44,863,430 ) | $(137,378 ) | $(191,015 ) | $— | $— |
FT Vest U.S. Equity Deep Buffer ETF - February | — | — | 17,387,315 | (17,605,561 ) | — | 218,246 | — | — |
FT Vest U.S. Equity Buffer ETF - March | — | — | 33,368,569 | (33,523,174 ) | — | 154,605 | — | — |
FT Vest U.S. Equity Deep Buffer ETF - March | — | 22,342,345 | 41,502,549 | (65,009,093 ) | (1,175,199 ) | 2,339,398 | — | — |
FT Vest U.S. Equity Deep Buffer ETF - April | 792,878 | 17,375,605 | 32,853,460 | (24,248,442 ) | (208,698 ) | 492,159 | 26,264,084 | — |
FT Vest U.S. Equity Deep Buffer ETF - May | 602,243 | — | 47,589,533 | (25,733,414 ) | 730,859 | (297,964 ) | 22,289,014 | — |
FT Vest U.S. Equity Deep Buffer ETF - June | — | — | 33,558,025 | (34,637,612 ) | — | 1,079,587 | — | — |
FT Vest U.S. Equity Deep Buffer ETF - July | — | — | 36,542,336 | (37,625,950 ) | — | 1,083,614 | — | — |
FT Vest U.S. Equity Deep Buffer ETF - August | 453,107 | — | 16,556,530 | — | 22,655 | — | 16,579,185 | — |
FT Vest U.S. Equity Deep Buffer ETF - September | — | — | 33,904,017 | (34,919,840 ) | — | 1,015,823 | — | — |
FT Vest U.S. Equity Buffer ETF - October | 433,092 | — | 17,349,666 | — | 37,635 | — | 17,387,301 | — |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
FT Vest U.S. Equity Deep Buffer ETF - October | 459,694 | $18,495,286 | $47,481,416 | $(50,687,779 ) | $1,233,748 | $631,868 | $17,154,539 | $— |
FT Vest U.S. Equity Deep Buffer ETF - December | — | 19,083,672 | 3,962,570 | (22,330,659 ) | (1,710,814 ) | 995,231 | — | — |
$95,424,694 | $389,120,023 | $(391,184,954 ) | $(1,207,192 ) | $7,521,552 | $99,674,123 | $— |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
FT Vest U.S. Equity Buffer ETF - January | 963,858 | $— | $74,868,006 | $(36,370,969 ) | $938,937 | $438,831 | $39,874,805 | $— |
FT Vest U.S. Equity Deep Buffer ETF - January | 901,811 | — | 57,811,655 | (26,611,926 ) | 570,507 | 253,073 | 32,023,309 | — |
FT Vest U.S. Equity Buffer ETF - February | 1,233,285 | — | 54,745,521 | — | 36,999 | — | 54,782,520 | — |
FT Vest U.S. Equity Deep Buffer ETF - February | 1,146,170 | — | 44,093,160 | — | — | — | 44,093,160 | — |
FT Vest U.S. Equity Buffer ETF - May | — | 27,665,209 | 170,934 | (27,611,584 ) | (345,719 ) | 121,160 | — | — |
FT Vest U.S. Equity Buffer ETF - June | — | 35,562,736 | 47,735,230 | (84,982,717 ) | (701,947 ) | 2,386,698 | — | — |
FT Vest U.S. Equity Buffer ETF - July | — | 35,601,683 | 94,976,706 | (132,054,669 ) | (823,117 ) | 2,299,397 | — | — |
FT Vest U.S. Equity Buffer ETF - August | — | 35,066,758 | 31,050,741 | (66,983,396 ) | (1,592,137 ) | 2,458,034 | — | — |
FT Vest U.S. Equity Buffer ETF - September | — | 30,243,934 | 36,401,033 | (67,353,498 ) | (512,577 ) | 1,221,108 | — | — |
FT Vest U.S. Equity Buffer ETF - October | — | — | 64,634,769 | (66,986,223 ) | — | 2,351,454 | — | — |
FT Vest U.S. Equity Buffer ETF - November | — | — | 127,029,074 | (127,847,888 ) | — | 818,814 | — | — |
FT Vest U.S. Equity Deep Buffer ETF - November | — | — | 43,902,486 | (46,088,030 ) | — | 2,185,544 | — | — |
FT Vest U.S. Equity Buffer ETF - December | 801,208 | — | 90,589,029 | (60,435,170 ) | 1,528,302 | 878,932 | 32,561,093 | — |
FT Vest U.S. Equity Deep Buffer ETF - December | — | — | 49,772,446 | (50,445,378 ) | — | 672,932 | — | — |
$164,140,320 | $817,780,790 | $(793,771,448 ) | $(900,752 ) | $16,085,977 | $203,334,887 | $— |
Taxable Year-End | Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
FT Vest U.S. Equity Buffer ETF - January | 31-Jan-23 | $(137,306 ) | $(29,982,842 ) | $3,635,636 |
FT Vest U.S. Equity Deep Buffer ETF - January | 31-Jan-23 | (111,263 ) | (19,422,414 ) | 2,022,145 |
FT Vest U.S. Equity Buffer ETF - February | 28-Feb-23 | (359,202 ) | (38,466,409 ) | (4,874,419 ) |
FT Vest U.S. Equity Deep Buffer ETF - February | 28-Feb-23 | (385,824 ) | (44,870,121 ) | (3,539,050 ) |
FT Vest U.S. Equity Buffer ETF - March | 31-Mar-23 | (420,703 ) | (21,718,387 ) | 7,287,362 |
FT Vest U.S. Equity Deep Buffer ETF - March | 31-Mar-23 | (531,328 ) | (25,784,617 ) | 3,881,233 |
FT Vest U.S. Equity Buffer ETF - April | 30-Apr-23 | (728,333 ) | (35,503,195 ) | 3,283,226 |
FT Vest U.S. Equity Deep Buffer ETF - April | 30-Apr-23 | (845,872 ) | (36,358,995 ) | 2,284,725 |
FT Vest U.S. Equity Buffer ETF - May | 31-May-23 | (1,243,191 ) | (45,808,011 ) | (485,840 ) |
FT Vest U.S. Equity Deep Buffer ETF - May | 31-May-23 | (517,523 ) | (16,485,725 ) | (519,741 ) |
FT Vest U.S. Equity Buffer ETF - June | 30-Jun-23 | (1,184,523 ) | (34,693,385 ) | 4,319,551 |
FT Vest U.S. Equity Deep Buffer ETF - June | 30-Jun-23 | (597,215 ) | (10,997,219 ) | 956,237 |
FT Vest U.S. Equity Buffer ETF - July | 31-Jul-23 | (1,179,058 ) | (27,762,019 ) | 3,048,348 |
FT Vest U.S. Equity Deep Buffer ETF - July | 31-Jul-23 | (653,040 ) | (10,936,953 ) | 1,730,127 |
FT Vest U.S. Equity Buffer ETF - August | 31-Aug-23 | (2,196,559 ) | (83,067,907 ) | 11,851,622 |
FT Vest U.S. Equity Deep Buffer ETF - August | 31-Aug-23 | (2,544,081 ) | (55,860,527 ) | 7,565,487 |
FT Vest U.S. Equity Buffer ETF - September | 30-Sep-22 | (855,077 ) | (17,454,328 ) | (8,870,272 ) |
FT Vest U.S. Equity Deep Buffer ETF - September | 30-Sep-22 | (550,054 ) | (9,825,475 ) | (4,979,997 ) |
FT Vest U.S. Equity Buffer ETF - October | 31-Oct-22 | (1,170,635 ) | (25,935,068 ) | 4,939,509 |
FT Vest U.S. Equity Deep Buffer ETF - October | 31-Oct-22 | (866,505 ) | (15,859,109 ) | 2,287,446 |
FT Vest U.S. Equity Buffer ETF - November | 30-Nov-22 | (2,295,294 ) | (50,685,759 ) | 6,018,153 |
FT Vest U.S. Equity Deep Buffer ETF - November | 30-Nov-22 | (2,456,082 ) | (43,706,762 ) | 4,082,331 |
FT Vest U.S. Equity Buffer ETF - December | 31-Dec-22 | — | (35,037,567 ) | (1,156,060 ) |
FT Vest U.S. Equity Deep Buffer ETF - December | 31-Dec-22 | — | (28,144,288 ) | 64,468 |
FT Vest Buffered Allocation Defensive ETF | 31-Aug-23 | (144,145 ) | (6,580,754 ) | 4,044,942 |
FT Vest Buffered Allocation Growth ETF | 31-Aug-23 | (194,496 ) | (14,114,916 ) | 3,815,259 |
Taxable Year End | Non-Expiring Capital Loss Carryforwards | |
FT Vest U.S. Equity Buffer ETF - January | 31-Jan-23 | $29,982,842 |
FT Vest U.S. Equity Deep Buffer ETF - January | 31-Jan-23 | 19,422,414 |
FT Vest U.S. Equity Buffer ETF - February | 28-Feb-23 | 38,466,409 |
FT Vest U.S. Equity Deep Buffer ETF - February | 28-Feb-23 | 44,870,121 |
FT Vest U.S. Equity Buffer ETF - March | 31-Mar-23 | 21,718,387 |
FT Vest U.S. Equity Deep Buffer ETF - March | 31-Mar-23 | 25,784,617 |
FT Vest U.S. Equity Buffer ETF - April | 30-Apr-23 | 35,503,195 |
FT Vest U.S. Equity Deep Buffer ETF - April | 30-Apr-23 | 36,358,995 |
FT Vest U.S. Equity Buffer ETF - May | 31-May-23 | 45,808,011 |
FT Vest U.S. Equity Deep Buffer ETF - May | 31-May-23 | 16,485,725 |
FT Vest U.S. Equity Buffer ETF - June | 30-Jun-23 | 34,693,385 |
FT Vest U.S. Equity Deep Buffer ETF - June | 30-Jun-23 | 10,997,219 |
FT Vest U.S. Equity Buffer ETF - July | 31-Jul-23 | 27,762,019 |
FT Vest U.S. Equity Deep Buffer ETF - July | 31-Jul-23 | 10,936,953 |
FT Vest U.S. Equity Buffer ETF - August | 31-Aug-23 | 83,067,907 |
FT Vest U.S. Equity Deep Buffer ETF - August | 31-Aug-23 | 55,860,527 |
FT Vest U.S. Equity Buffer ETF - September | 30-Sep-22 | 17,454,328 |
FT Vest U.S. Equity Deep Buffer ETF - September | 30-Sep-22 | 9,825,475 |
FT Vest U.S. Equity Buffer ETF - October | 31-Oct-22 | 25,935,068 |
FT Vest U.S. Equity Deep Buffer ETF - October | 31-Oct-22 | 15,859,109 |
FT Vest U.S. Equity Buffer ETF - November | 30-Nov-22 | 50,685,759 |
FT Vest U.S. Equity Deep Buffer ETF - November | 30-Nov-22 | 43,706,762 |
FT Vest U.S. Equity Buffer ETF - December | 31-Dec-22 | 35,037,567 |
FT Vest U.S. Equity Deep Buffer ETF - December | 31-Dec-22 | 28,144,288 |
FT Vest Buffered Allocation Defensive ETF | 31-Aug-23 | 6,580,754 |
FT Vest Buffered Allocation Growth ETF | 31-Aug-23 | 14,114,916 |
Capital Loss Utilized | |
FT Vest U.S. Equity Deep Buffer ETF - June | $5,879,702 |
Taxable Year End | Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | ||
FT Vest U.S. Equity Buffer ETF - January | 31-Jan-23 | $137,306 | $— |
FT Vest U.S. Equity Deep Buffer ETF - January | 31-Jan-23 | 111,263 | — |
FT Vest U.S. Equity Buffer ETF - February | 28-Feb-23 | 359,202 | — |
FT Vest U.S. Equity Deep Buffer ETF - February | 28-Feb-23 | 385,824 | — |
FT Vest U.S. Equity Buffer ETF - March | 31-Mar-23 | 420,703 | — |
FT Vest U.S. Equity Deep Buffer ETF - March | 31-Mar-23 | 531,328 | — |
FT Vest U.S. Equity Buffer ETF - April | 30-Apr-23 | 728,333 | — |
FT Vest U.S. Equity Deep Buffer ETF - April | 30-Apr-23 | 845,872 | — |
FT Vest U.S. Equity Buffer ETF - May | 31-May-23 | 1,243,191 | — |
FT Vest U.S. Equity Deep Buffer ETF - May | 31-May-23 | 517,523 | — |
FT Vest U.S. Equity Buffer ETF - June | 30-Jun-23 | 1,184,523 | — |
FT Vest U.S. Equity Deep Buffer ETF - June | 30-Jun-23 | 597,215 | — |
FT Vest U.S. Equity Buffer ETF - July | 31-Jul-23 | 1,179,058 | — |
FT Vest U.S. Equity Deep Buffer ETF - July | 31-Jul-23 | 653,040 | — |
FT Vest U.S. Equity Buffer ETF - August | 31-Aug-23 | 2,196,559 | — |
FT Vest U.S. Equity Deep Buffer ETF - August | 31-Aug-23 | 2,544,081 | — |
FT Vest U.S. Equity Buffer ETF - September | 30-Sep-22 | 855,077 | — |
FT Vest U.S. Equity Deep Buffer ETF - September | 30-Sep-22 | 550,054 | — |
FT Vest U.S. Equity Buffer ETF - October | 31-Oct-22 | 1,170,635 | — |
FT Vest U.S. Equity Deep Buffer ETF - October | 31-Oct-22 | 866,505 | — |
FT Vest U.S. Equity Buffer ETF - November | 30-Nov-22 | 2,295,294 | — |
FT Vest U.S. Equity Deep Buffer ETF - November | 30-Nov-22 | 2,456,082 | — |
FT Vest U.S. Equity Buffer ETF - December | 31-Dec-22 | — | — |
FT Vest U.S. Equity Deep Buffer ETF - December | 31-Dec-22 | — | — |
FT Vest Buffered Allocation Defensive ETF | 31-Aug-23 | 144,145 | — |
FT Vest Buffered Allocation Growth ETF | 31-Aug-23 | 194,496 | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Vest U.S. Equity Buffer ETF - January | $700,868,013 | $39,870,398 | $(21,053,463 ) | $18,816,935 |
FT Vest U.S. Equity Deep Buffer ETF - January | 309,629,987 | 16,077,122 | (9,075,226 ) | 7,001,896 |
FT Vest U.S. Equity Buffer ETF - February | 750,519,148 | 15,872,421 | (6,643,271 ) | 9,229,150 |
FT Vest U.S. Equity Deep Buffer ETF - February | 308,142,373 | 4,770,287 | (2,267,093 ) | 2,503,194 |
FT Vest U.S. Equity Buffer ETF - March | 390,210,758 | 92,476,299 | (44,551,821 ) | 47,924,478 |
FT Vest U.S. Equity Deep Buffer ETF - March | 148,559,555 | 42,415,978 | (27,038,490 ) | 15,377,488 |
FT Vest U.S. Equity Buffer ETF - April | 427,366,809 | 80,319,548 | (42,038,286 ) | 38,281,262 |
FT Vest U.S. Equity Deep Buffer ETF - April | 191,667,130 | 43,154,936 | (22,698,666 ) | 20,456,270 |
FT Vest U.S. Equity Buffer ETF - May | 499,463,283 | 87,927,886 | (50,325,084 ) | 37,602,802 |
FT Vest U.S. Equity Deep Buffer ETF - May | 168,627,292 | 32,873,555 | (18,970,080 ) | 13,903,475 |
FT Vest U.S. Equity Buffer ETF - June | 617,792,644 | 86,482,678 | (30,066,078 ) | 56,416,600 |
FT Vest U.S. Equity Deep Buffer ETF - June | 156,734,522 | 25,614,424 | (11,312,192 ) | 14,302,232 |
FT Vest U.S. Equity Buffer ETF - July | 535,772,075 | 72,655,441 | (27,638,933 ) | 45,016,508 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Vest U.S. Equity Deep Buffer ETF - July | $382,021,748 | $54,675,971 | $(21,951,980 ) | $32,723,991 |
FT Vest U.S. Equity Buffer ETF - August | 532,281,746 | 98,191,296 | (37,842,828 ) | 60,348,468 |
FT Vest U.S. Equity Deep Buffer ETF - August | 309,549,135 | 51,795,724 | (22,622,018 ) | 29,173,706 |
FT Vest U.S. Equity Buffer ETF - September | 436,432,450 | 65,584,307 | (24,821,808 ) | 40,762,499 |
FT Vest U.S. Equity Deep Buffer ETF - September | 170,895,699 | 27,377,685 | (13,224,815 ) | 14,152,870 |
FT Vest U.S. Equity Buffer ETF - October | 467,725,890 | 95,000,017 | (52,019,148 ) | 42,980,869 |
FT Vest U.S. Equity Deep Buffer ETF - October | 170,937,246 | 35,997,669 | (21,210,388 ) | 14,787,281 |
FT Vest U.S. Equity Buffer ETF - November | 538,212,966 | 79,936,494 | (40,548,667 ) | 39,387,827 |
FT Vest U.S. Equity Deep Buffer ETF - November | 256,552,806 | 34,919,468 | (17,551,142 ) | 17,368,326 |
FT Vest U.S. Equity Buffer ETF - December | 693,007,316 | 64,704,581 | (29,676,093 ) | 35,028,488 |
FT Vest U.S. Equity Deep Buffer ETF - December | 327,022,124 | 28,171,670 | (14,082,213 ) | 14,089,457 |
FT Vest Buffered Allocation Defensive ETF | 96,963,768 | 2,882,789 | — | 2,882,789 |
FT Vest Buffered Allocation Growth ETF | 200,505,218 | 3,074,745 | — | 3,074,745 |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion | 0.76500 % |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.200 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.195 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.190 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.185 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.180 % |
Fund net assets greater than $15 billion | 0.170 % |
Purchases | Sales | |
FT Vest Buffered Allocation Defensive ETF | $253,026,184 | $253,223,071 |
FT Vest Buffered Allocation Growth ETF | 441,345,624 | 441,567,034 |
Purchases | Sales | |
FT Vest U.S. Equity Buffer ETF - January | $— | $380,667,510 |
FT Vest U.S. Equity Deep Buffer ETF - January | — | 142,101,041 |
FT Vest U.S. Equity Buffer ETF - February | — | 625,618,718 |
FT Vest U.S. Equity Deep Buffer ETF - February | — | 44,233,800 |
FT Vest U.S. Equity Buffer ETF - March | — | 21,223,482 |
FT Vest U.S. Equity Deep Buffer ETF - March | — | 59,150,742 |
Purchases | Sales | |
FT Vest U.S. Equity Buffer ETF - April | $— | $154,297,788 |
FT Vest U.S. Equity Deep Buffer ETF - April | — | 64,767,713 |
FT Vest U.S. Equity Buffer ETF - May | — | 240,830,090 |
FT Vest U.S. Equity Deep Buffer ETF - May | — | 54,986,287 |
FT Vest U.S. Equity Buffer ETF - June | — | 155,400,009 |
FT Vest U.S. Equity Deep Buffer ETF - June | — | 49,415,140 |
FT Vest U.S. Equity Buffer ETF - July | — | 175,054,660 |
FT Vest U.S. Equity Deep Buffer ETF - July | — | 93,284,932 |
FT Vest U.S. Equity Buffer ETF - August | — | 105,714,705 |
FT Vest U.S. Equity Deep Buffer ETF - August | — | 61,715,097 |
FT Vest U.S. Equity Buffer ETF - September | — | 308,906,715 |
FT Vest U.S. Equity Deep Buffer ETF - September | 864,486 | 192,656,329 |
FT Vest U.S. Equity Buffer ETF - October | — | 289,716,076 |
FT Vest U.S. Equity Deep Buffer ETF - October | — | 140,769,406 |
FT Vest U.S. Equity Buffer ETF - November | — | 399,947,713 |
FT Vest U.S. Equity Deep Buffer ETF - November | — | 181,329,439 |
FT Vest U.S. Equity Buffer ETF - December | — | 381,957,513 |
FT Vest U.S. Equity Deep Buffer ETF - December | — | 274,463,425 |
FT Vest Buffered Allocation Defensive ETF | 136,093,839 | 137,961,883 |
FT Vest Buffered Allocation Growth ETF | 376,435,166 | 352,204,414 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
FJAN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $740,197,348 | Options contracts written, at value | $28,024,516 |
DJAN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 324,859,958 | Options contracts written, at value | 11,521,988 |
FFEB | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 776,469,107 | Options contracts written, at value | 25,250,707 |
DFEB | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 314,774,172 | Options contracts written, at value | 7,526,298 |
FMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 477,487,793 | Options contracts written, at value | 40,651,695 |
DMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 186,468,204 | Options contracts written, at value | 23,037,329 |
FAPR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 486,961,800 | Options contracts written, at value | 24,038,170 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
DAPR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $230,501,536 | Options contracts written, at value | $19,222,860 |
FMAY | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 563,369,704 | Options contracts written, at value | 28,786,001 |
DMAY | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 197,339,100 | Options contracts written, at value | 15,646,254 |
FJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 671,204,742 | Options contracts written, at value | 15,641,068 |
DJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 177,217,848 | Options contracts written, at value | 7,138,777 |
FJUL | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 588,772,038 | Options contracts written, at value | 11,674,604 |
DJUL | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 423,730,773 | Options contracts written, at value | 11,617,386 |
FAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 611,805,600 | Options contracts written, at value | 23,173,351 |
DAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 355,528,121 | Options contracts written, at value | 19,051,152 |
FSEP | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 492,513,375 | Options contracts written, at value | 18,904,850 |
DSEP | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 193,393,101 | Options contracts written, at value | 9,721,166 |
FOCT | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 546,643,904 | Options contracts written, at value | 39,982,452 |
DOCT | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 202,885,783 | Options contracts written, at value | 18,610,439 |
FNOV | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 601,494,880 | Options contracts written, at value | 28,896,448 |
DNOV | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 286,881,236 | Options contracts written, at value | 15,320,299 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
FDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $750,487,461 | Options contracts written, at value | $29,388,590 |
DDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 352,460,685 | Options contracts written, at value | 14,579,696 |
Statements of Operations Location | FJAN | DJAN | FFEB | DFEB | FMAR | DMAR |
Equity Risk Exposure | ||||||
Net realized gain (loss) on: | ||||||
Purchased options contracts | $50,249,158 | $26,894,719 | $82,314,983 | $35,531,342 | $5,262,741 | $11,719,249 |
Written options contracts | 5,866,037 | (5,800,609 ) | (2,299,117 ) | (7,949,311 ) | 164,069 | (3,424,965 ) |
Net change in unrealized appreciation (depreciation) on: | ||||||
Purchased options contracts | (33,702 ) | (2,702,425 ) | (10,540,976 ) | (10,995,410 ) | 46,664,358 | 13,124,689 |
Written options contracts | (9,804,488 ) | (3,744,314 ) | (9,093,350 ) | (1,015,566 ) | (24,876,807 ) | (11,521,652 ) |
Statements of Operations Location | FAPR | DAPR | FMAY | DMAY | FJUN | DJUN |
Equity Risk Exposure | ||||||
Net realized gain (loss) on: | ||||||
Purchased options contracts | $18,505,219 | $3,712,197 | $32,377,694 | $4,510,099 | $14,542,453 | $4,516,569 |
Written options contracts | 4,696,541 | 592,194 | 4,562,843 | 132,591 | 5,364,589 | 1,439,596 |
Net change in unrealized appreciation (depreciation) on: | ||||||
Purchased options contracts | 32,120,787 | 18,443,342 | 37,089,228 | 16,260,665 | 48,698,635 | 17,152,901 |
Written options contracts | (17,284,079 ) | (10,453,069 ) | (20,300,510 ) | (8,842,886 ) | (4,663,115 ) | (5,506,083 ) |
Statements of Operations Location | FJUL | DJUL | FAUG | DAUG | FSEP | DSEP |
Equity Risk Exposure | ||||||
Net realized gain (loss) on: | ||||||
Purchased options contracts | $11,608,102 | $11,743,596 | $6,217,790 | $3,555,176 | $20,578,453 | $13,662,152 |
Written options contracts | 2,224,272 | 864,126 | 908,629 | (104,142 ) | 11,374,243 | 4,233,805 |
Net change in unrealized appreciation (depreciation) on: | ||||||
Purchased options contracts | 44,725,358 | 40,352,601 | 53,528,568 | 29,751,640 | 20,998,706 | 9,974,556 |
Statements of Operations Location | FJUL | DJUL | FAUG | DAUG | FSEP | DSEP |
Written options contracts | $674,024 | $(7,087,046 ) | $(5,031,722 ) | $(8,143,421 ) | $(11,911,172 ) | $(9,381,980 ) |
Statements of Operations Location | FOCT | DOCT | FNOV | DNOV | FDEC | DDEC |
Equity Risk Exposure | ||||||
Net realized gain (loss) on: | ||||||
Purchased options contracts | $12,110,281 | $6,068,234 | $27,797,188 | $24,758,989 | $49,196,445 | $39,193,500 |
Written options contracts | 15,379,721 | 5,862,485 | 18,148,387 | 8,963,718 | 10,836,692 | (1,779,348 ) |
Net change in unrealized appreciation (depreciation) on: | ||||||
Purchased options contracts | 37,799,043 | 15,211,099 | 23,822,611 | 5,544,177 | 16,215,487 | (5,716,248 ) |
Written options contracts | (33,362,862 ) | (16,013,123 ) | (23,288,712 ) | (13,968,387 ) | (13,414,165 ) | (7,687,715 ) |
Premiums for purchased options contracts opened | Premiums for purchased options contracts closed, exercised and expired | Premiums for written options contracts opened | Premiums for written options contracts closed, exercised and expired | |
FJAN | $1,187,851,948 | $789,958,758 | $29,921,511 | $18,763,711 |
DJAN | 433,470,551 | 297,360,197 | 10,340,069 | 9,999,194 |
FFEB | 1,494,357,271 | 1,097,790,358 | 37,273,018 | 27,709,131 |
DFEB | 337,594,316 | 222,924,216 | 7,344,385 | 6,873,978 |
FMAR | 132,952,530 | 33,908,235 | 5,421,521 | 2,654,812 |
DMAR | 28,969,154 | 69,102,309 | 1,666,557 | 3,824,251 |
FAPR | 190,018,638 | 148,943,430 | 3,734,486 | 8,179,905 |
DAPR | 43,212,112 | 73,937,923 | 1,775,570 | 2,673,897 |
FMAY | 238,687,059 | 248,740,663 | 5,410,400 | 13,507,299 |
DMAY | 59,467,790 | 56,792,361 | 1,862,465 | 2,085,800 |
FJUN | 252,682,268 | 172,674,825 | 5,556,275 | 8,226,117 |
DJUN | 36,714,463 | 54,130,074 | 377,936 | 2,355,736 |
FJUL | 233,326,542 | 202,302,512 | 4,702,730 | 7,306,252 |
DJUL | 218,179,380 | 123,482,490 | 2,424,482 | 2,843,908 |
FAUG | 102,806,820 | 120,029,888 | 2,884,261 | 4,362,526 |
DAUG | 35,465,474 | 95,302,781 | 1,463,067 | 2,287,581 |
FSEP | 767,264,959 | 619,141,700 | 20,006,943 | 13,027,805 |
DSEP | 366,605,302 | 322,814,772 | 4,859,257 | 5,660,925 |
FOCT | 810,789,652 | 579,980,020 | 25,494,446 | 19,362,122 |
DOCT | 297,339,205 | 273,415,296 | 5,992,819 | 7,897,105 |
FNOV | 993,728,724 | 808,505,804 | 26,187,263 | 21,540,681 |
DNOV | 468,770,970 | 430,642,828 | 8,960,876 | 10,774,987 |
FDEC | 1,150,956,462 | 716,064,427 | 26,009,622 | 13,668,857 |
DDEC | 584,823,155 | 515,546,282 | 14,250,091 | 18,527,195 |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
8350 Broad Street, Suite 240
McLean, VA 22102
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Period Ended February 29, 2024 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January (XJAN) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February (XFEB) |
FT Vest International Equity Buffer ETF - March (YMAR) (now known as FT Vest International Equity Moderate Buffer ETF - March) |
FT Vest Nasdaq-100® Buffer ETF - March (QMAR) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) |
FT Vest International Equity Buffer ETF - June (YJUN) |
FT Vest Nasdaq-100® Buffer ETF - June (QJUN) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) |
FT Vest International Equity Buffer ETF - September (YSEP) |
FT Vest Nasdaq-100® Buffer ETF - September (QSPT) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October (XOCT) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November (XNOV) |
FT Vest International Equity Moderate Buffer ETF - December (YDEC) (formerly known as FT Vest International Equity Buffer ETF - December) |
FT Vest Nasdaq-100® Buffer ETF - December (QDEC) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) |
Semi-Annual Report
February 29, 2024
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Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |
Cumulative Total Returns | |
Inception (1/19/24) to 2/29/24 | |
Fund Performance | |
NAV | 2.11% |
Market Price | 1.81% |
Index Performance | |
S&P 500® Index | 5.49% |
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 | |
Cumulative Total Returns | |
Inception (2/16/24) to 2/29/24 | |
Fund Performance | |
NAV | 0.97% |
Market Price | 0.80% |
Index Performance | |
S&P 500® Index | 1.86% |
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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (3/19/21) to 2/29/24 | Inception (3/19/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.99% | 14.69% | 4.14% | 12.69% |
Market Price | 7.48% | 14.53% | 4.12% | 12.64% |
Index Performance | ||||
MSCI EAFE Index | 9.23% | 14.41% | 3.45% | 10.52% |
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. |
* | Prior to March 20, 2023, the Fund’s investment objective included an upside cap of 20.70% and an Outcome Period of March 21, 2022 through March 17, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (3/19/21) to 2/29/24 | Inception (3/19/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 6.34% | 25.43% | 9.22% | 29.69% |
Market Price | 6.56% | 25.48% | 9.23% | 29.74% |
Index Performance | ||||
Nasdaq-100 Index® | 16.89% | 51.11% | 13.05% | 43.63% |
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. |
* | Prior to March 20, 2023, the Fund’s investment objective included an upside cap of 17.25% and an Outcome Period of March 21, 2022 through March 17, 2023. |
Performance | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (3/17/23) to 2/29/24 | |
Fund Performance | ||
NAV | 4.04% | 12.04% |
Market Price | 4.30% | 12.04% |
Index Performance | ||
S&P 500® Index | 13.93% | 32.08% |
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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (6/18/21) to 2/29/24 | Inception (6/18/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 6.53% | 11.16% | 2.85% | 7.87% |
Market Price | 6.01% | 11.11% | 2.83% | 7.82% |
Index Performance | ||||
MSCI EAFE Index | 9.23% | 14.41% | 2.12% | 5.82% |
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. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 24.20% and an Outcome Period of June 21, 2022 through June 16, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (6/18/21) to 2/29/24 | Inception (6/18/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 11.54% | 32.18% | 9.24% | 26.93% |
Market Price | 11.73% | 32.29% | 9.27% | 27.03% |
Index Performance | ||||
Nasdaq-100 Index® | 16.89% | 51.11% | 10.61% | 31.31% |
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. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 25.19% and an Outcome Period of June 21, 2022 through June 16, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (7/12/21) to 2/29/24 | Inception (7/12/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 6.67% | 14.15% | 7.54% | 21.10% |
Market Price | 6.58% | 14.09% | 7.51% | 21.00% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 7.56% | 21.19% |
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. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 14.80% and an Outcome Period of June 21, 2022 through June 16, 2023. |
Performance | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (7/21/23) to 2/29/24 | |
Fund Performance | ||
NAV | 6.74% | 7.19% |
Market Price | 7.05% | 7.15% |
Index Performance | ||
S&P 500® Index | 13.93% | 13.44% |
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 | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (8/18/23) to 2/29/24 | |
Fund Performance | ||
NAV | 6.41% | 8.02% |
Market Price | 6.27% | 7.95% |
Index Performance | ||
S&P 500® Index | 13.93% | 17.60% |
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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (9/17/21) to 2/29/24 | Inception (9/17/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 6.00% | 11.46% | 2.12% | 5.26% |
Market Price | 6.16% | 11.57% | 2.14% | 5.31% |
Index Performance | ||||
MSCI EAFE Index | 9.23% | 14.41% | 1.42% | 3.52% |
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. |
* | Prior to September 18, 2023, the Fund’s investment objective included an upside cap of 25.00% and an Outcome Period of September 19, 2022 through September 15, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (9/17/21) to 2/29/24 | Inception (9/17/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 12.65% | 37.50% | 8.67% | 22.59% |
Market Price | 12.56% | 37.24% | 8.63% | 22.49% |
Index Performance | ||||
Nasdaq-100 Index® | 16.89% | 51.11% | 7.76% | 20.12% |
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. |
* | Prior to September 18, 2023, the Fund’s investment objective included an upside cap of 27.27% and an Outcome Period of September 19, 2022 through September 15, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (9/21/22) to 2/29/24 | Inception (9/21/22) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.01% | 15.67% | 14.69% | 21.80% |
Market Price | 6.90% | 15.47% | 14.61% | 21.66% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 24.86% | 37.70% |
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. |
* | Prior to September 18, 2023, the Fund’s investment objective included an upside cap of 14.90% and an Outcome Period of September 22, 2022 through September 15, 2023. |
Performance | |
Cumulative Total Returns | |
Inception (10/20/23) to 2/29/24 | |
Fund Performance | |
NAV | 7.55% |
Market Price | 7.48% |
Index Performance | |
S&P 500® Index | 21.35% |
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 | |
Cumulative Total Returns | |
Inception (11/17/23) to 2/29/24 | |
Fund Performance | |
NAV | 4.99% |
Market Price | 4.83% |
Index Performance | |
S&P 500® Index | 13.39% |
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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (12/18/20) to 2/29/24 | Inception (12/18/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 5.93% | 10.76% | 4.44% | 14.91% |
Market Price | 6.27% | 10.49% | 4.46% | 14.96% |
Index Performance | ||||
MSCI EAFE Index | 9.23% | 14.41% | 4.79% | 16.17% |
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. |
* | Prior to December 18, 2023, the Fund’s investment objective included an upside cap of 22.87% and an Outcome Period of December 19, 2022 through December 15, 2023. Also as of December 18, 2023, the Fund’s investment objective changed to seek a buffer (before fees and expenses) against the first 15% of Underlying ETF losses; prior to that date, the Fund sought to provide a 10% buffer. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (12/18/20) to 2/29/24 | Inception (12/18/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.12% | 25.28% | 7.00% | 24.14% |
Market Price | 8.22% | 25.03% | 7.00% | 24.14% |
Index Performance | ||||
Nasdaq-100 Index® | 16.89% | 51.11% | 12.40% | 45.34% |
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. |
* | Prior to December 18, 2023, the Fund’s investment objective included an upside cap of 27.03% and an Outcome Period of December 19, 2022 through December 15, 2023. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (12/17/21) to 2/29/24 | Inception (12/17/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 5.58% | 14.30% | 6.71% | 15.35% |
Market Price | 5.53% | 13.85% | 6.61% | 15.12% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 6.26% | 14.30% |
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. |
* | Prior to December 18, 2023, the Fund’s investment objective included an upside cap of 15.31% and an Outcome Period of December 19, 2022 through December 15, 2023. |
Howard Rubin, Managing Director of Vest
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Vest International Equity Buffer ETF - March (YMAR) | ||||
Actual | $1,000.00 | $1,079.90 | 0.90% | $4.65 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
FT Vest Nasdaq-100® Buffer ETF - March (QMAR) | ||||
Actual | $1,000.00 | $1,063.40 | 0.90% | $4.62 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) | ||||
Actual | $1,000.00 | $1,040.40 | 0.85% | $4.31 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest International Equity Buffer ETF - June (YJUN) | ||||
Actual | $1,000.00 | $1,065.30 | 0.90% | $4.62 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
FT Vest Nasdaq-100® Buffer ETF - June (QJUN) | ||||
Actual | $1,000.00 | $1,115.40 | 0.90% | $4.73 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) | ||||
Actual | $1,000.00 | $1,066.70 | 0.85% | $4.37 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) | ||||
Actual | $1,000.00 | $1,067.40 | 0.85% | $4.37 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) | ||||
Actual | $1,000.00 | $1,064.10 | 0.85% | $4.36 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest International Equity Buffer ETF - September (YSEP) | ||||
Actual | $1,000.00 | $1,060.00 | 0.90% | $4.61 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
FT Vest Nasdaq-100® Buffer ETF - September (QSPT) | ||||
Actual | $1,000.00 | $1,126.50 | 0.90% | $4.76 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) | ||||
Actual | $1,000.00 | $1,070.10 | 0.85% | $4.37 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest International Equity Moderate Buffer ETF - December (YDEC) | ||||
Actual | $1,000.00 | $1,059.30 | 0.90% | $4.61 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
FT Vest Nasdaq-100® Buffer ETF - December (QDEC) | ||||
Actual | $1,000.00 | $1,081.20 | 0.90% | $4.66 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) | ||||
Actual | $1,000.00 | $1,055.80 | 0.85% | $4.34 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value January 19, 2024 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period January 19, 2024 (b) to February 29, 2024 (c) | |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January (XJAN) | ||||
Actual | $1,000.00 | $1,021.10 | 0.85% | $0.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value February 16, 2024 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period February 16, 2024 (b) to February 29, 2024 (d) | |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February (XFEB) | ||||
Actual | $1,000.00 | $1,009.70 | 0.85% | $0.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value October 20, 2023 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period October 20, 2023 (b) to February 29, 2024 (e) | |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October (XOCT) | ||||
Actual | $1,000.00 | $1,075.50 | 0.85% | $3.21 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value November 17, 2023 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period November 17, 2023 (b) to February 29, 2024 (f) | |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November (XNOV) | ||||
Actual | $1,000.00 | $1,049.90 | 0.85% | $2.50 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
(b) | Inception date. |
(c) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (January 19, 2024 through February 29, 2024), multiplied by 42/366. Hypothetical expenses are assumed for the most recent six-month period. |
(d) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 16, 2024 through February 29, 2024), multiplied by 14/366. Hypothetical expenses are assumed for the most recent six-month period. |
(e) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (October 20, 2023 through February 29, 2024), multiplied by 133/366. Hypothetical expenses are assumed for the most recent six-month period. |
(f) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (November 17, 2023 through February 29, 2024), multiplied by 105/366. Hypothetical expenses are assumed for the most recent six-month period. |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
881,776 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $881,776 | |||
(Cost $881,776) | |||||
Total Investments — 1.1% | 881,776 | ||||
(Cost $881,776) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 115.5% | |||||
Call Options Purchased — 112.7% | |||||
1,712 | SPDR® S&P 500® ETF Trust | $86,983,296 | $4.83 | 01/17/25 | 85,418,474 |
1,712 | SPDR® S&P 500® ETF Trust | 86,983,296 | 482.44 | 01/17/25 | 9,627,172 |
Total Call Options Purchased | 95,045,646 | ||||
(Cost $89,424,249) | |||||
Put Options Purchased — 2.8% | |||||
1,712 | SPDR® S&P 500® ETF Trust | 86,983,296 | 482.44 | 01/17/25 | 2,343,263 |
(Cost $3,354,828) | |||||
Total Purchased Options | 97,388,909 | ||||
(Cost $92,779,077) | |||||
WRITTEN OPTIONS — (16.5)% | |||||
Call Options Written — (15.5)% | |||||
(3,424) | SPDR® S&P 500® ETF Trust | (173,966,592 ) | 507.62 | 01/17/25 | (13,034,579 ) |
(Premiums received $8,964,640) | |||||
Put Options Written — (1.0)% | |||||
(1,712) | SPDR® S&P 500® ETF Trust | (86,983,296 ) | 410.08 | 01/17/25 | (871,947 ) |
(Premiums received $1,181,498) | |||||
Total Written Options | (13,906,526 ) | ||||
(Premiums received $10,146,138) | |||||
Net Other Assets and Liabilities — (0.1)% | (56,128 ) | ||||
Net Assets — 100.0% | $84,308,031 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 115.5 |
Written Options | (16.5) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $881,776 | $881,776 | $— | $— |
Purchased Options | 97,388,909 | — | 97,388,909 | — |
Total | $98,270,685 | $881,776 | $97,388,909 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(13,906,526 ) | $— | $(13,906,526 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
242,369 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $242,369 | |||
(Cost $242,369) | |||||
Total Investments — 1.1% | 242,369 | ||||
(Cost $242,369) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 111.9% | |||||
Call Options Purchased — 108.2% | |||||
450 | SPDR® S&P 500® ETF Trust | $22,863,600 | $5.01 | 02/21/25 | 22,447,761 |
450 | SPDR® S&P 500® ETF Trust | 22,863,600 | 499.52 | 02/21/25 | 2,115,992 |
Total Call Options Purchased | 24,563,753 | ||||
(Cost $24,304,602) | |||||
Put Options Purchased — 3.7% | |||||
450 | SPDR® S&P 500® ETF Trust | 22,863,600 | 499.52 | 02/21/25 | 841,328 |
(Cost $902,339) | |||||
Total Purchased Options | 25,405,081 | ||||
(Cost $25,206,941) | |||||
WRITTEN OPTIONS — (13.0)% | |||||
Call Options Written — (11.6)% | |||||
(900) | SPDR® S&P 500® ETF Trust | (45,727,200 ) | 527.04 | 02/21/25 | (2,639,835 ) |
(Premiums received $2,542,452) | |||||
Put Options Written — (1.4)% | |||||
(450) | SPDR® S&P 500® ETF Trust | (22,863,600 ) | 424.59 | 02/21/25 | (309,381 ) |
(Premiums received $331,439) | |||||
Total Written Options | (2,949,216 ) | ||||
(Premiums received $2,873,891) | |||||
Net Other Assets and Liabilities — (0.0)% | (2,467 ) | ||||
Net Assets — 100.0% | $22,695,767 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 111.9 |
Written Options | (13.0) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $242,369 | $242,369 | $— | $— |
Purchased Options | 25,405,081 | — | 25,405,081 | — |
Total | $25,647,450 | $242,369 | $25,405,081 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(2,949,216 ) | $— | $(2,949,216 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.4% | |||||
227,733 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $227,733 | |||
(Cost $227,733) | |||||
Total Investments — 0.4% | 227,733 | ||||
(Cost $227,733) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 99.7% | |||||
Call Options Purchased — 99.7% | |||||
7,345 | iShares MSCI EAFE ETF | $56,740,125 | $0.67 | 03/15/24 | 56,221,777 |
(Cost $50,381,348) | |||||
Put Options Purchased — 0.0% | |||||
7,345 | iShares MSCI EAFE ETF | 56,740,125 | 67.18 | 03/15/24 | 846 |
(Cost $3,127,933) | |||||
Total Purchased Options | 56,222,623 | ||||
(Cost $53,509,281) | |||||
WRITTEN OPTIONS — (0.0)% | |||||
Call Options Written — (0.0)% | |||||
(7,345) | iShares MSCI EAFE ETF | (56,740,125 ) | 83.83 | 03/15/24 | (809 ) |
(Premiums received $157,930) | |||||
Put Options Written — (0.0)% | |||||
(7,345) | iShares MSCI EAFE ETF | (56,740,125 ) | 60.46 | 03/15/24 | (31 ) |
(Premiums received $703,808) | |||||
Total Written Options | (840 ) | ||||
(Premiums received $861,738) | |||||
Net Other Assets and Liabilities — (0.1)% | (37,067 ) | ||||
Net Assets — 100.0% | $56,412,449 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.4% |
Purchased Options | 99.7 |
Written Options | (0.0)(1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $227,733 | $227,733 | $— | $— |
Purchased Options | 56,222,623 | — | 56,222,623 | — |
Total | $56,450,356 | $227,733 | $56,222,623 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(840 ) | $— | $(840 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.3% | |||||
546,559 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $546,559 | |||
(Cost $546,559) | |||||
Total Investments — 0.3% | 546,559 | ||||
(Cost $546,559) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 118.0% | |||||
Call Options Purchased — 118.0% | |||||
5,768 | Invesco QQQ TrustSM, Series 1 | $253,215,200 | $3.05 | 03/15/24 | 251,537,328 |
(Cost $185,413,189) | |||||
Put Options Purchased — 0.0% | |||||
5,768 | Invesco QQQ TrustSM, Series 1 | 253,215,200 | 305.36 | 03/15/24 | 6,885 |
(Cost $11,411,191) | |||||
Total Purchased Options | 251,544,213 | ||||
(Cost $196,824,380) | |||||
WRITTEN OPTIONS — (18.2)% | |||||
Call Options Written — (18.2)% | |||||
(5,768) | Invesco QQQ TrustSM, Series 1 | (253,215,200 ) | 373.00 | 03/15/24 | (38,795,743 ) |
(Premiums received $7,885,701) | |||||
Put Options Written — (0.0)% | |||||
(5,768) | Invesco QQQ TrustSM, Series 1 | (253,215,200 ) | 274.82 | 03/15/24 | (1,804 ) |
(Premiums received $6,722,877) | |||||
Total Written Options | (38,797,547 ) | ||||
(Premiums received $14,608,578) | |||||
Net Other Assets and Liabilities — (0.1)% | (144,331 ) | ||||
Net Assets — 100.0% | $213,148,894 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.3% |
Purchased Options | 118.0 |
Written Options | (18.2) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $546,559 | $546,559 | $— | $— |
Purchased Options | 251,544,213 | — | 251,544,213 | — |
Total | $252,090,772 | $546,559 | $251,544,213 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(38,797,547 ) | $— | $(38,797,547 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.4% | |||||
666,035 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $666,035 | |||
(Cost $666,035) | |||||
Total Investments — 0.4% | 666,035 | ||||
(Cost $666,035) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 142.0% | |||||
Call Options Purchased — 142.0% | |||||
4,066 | SPDR® S&P 500® ETF Trust | $206,585,328 | $3.91 | 03/15/24 | 204,353,094 |
4,066 | SPDR® S&P 500® ETF Trust | 206,585,328 | 390.00 | 03/15/24 | 47,816,160 |
Total Call Options Purchased | 252,169,254 | ||||
(Cost $185,364,816) | |||||
Put Options Purchased — 0.0% | |||||
4,066 | SPDR® S&P 500® ETF Trust | 206,585,328 | 390.00 | 03/15/24 | 20,330 |
(Cost $9,248,972) | |||||
Total Purchased Options | 252,189,584 | ||||
(Cost $194,613,788) | |||||
WRITTEN OPTIONS — (42.3)% | |||||
Call Options Written — (42.3)% | |||||
(8,132) | SPDR® S&P 500® ETF Trust | (413,170,656 ) | 415.35 | 03/15/24 | (75,074,624 ) |
(Premiums received $23,434,375) | |||||
Put Options Written — (0.0)% | |||||
(4,066) | SPDR® S&P 500® ETF Trust | (206,585,328 ) | 331.50 | 03/15/24 | (16,264 ) |
(Premiums received $3,037,487) | |||||
Total Written Options | (75,090,888 ) | ||||
(Premiums received $26,471,862) | |||||
Net Other Assets and Liabilities — (0.1)% | (116,156 ) | ||||
Net Assets — 100.0% | $177,648,575 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.4% |
Purchased Options | 142.0 |
Written Options | (42.3) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $666,035 | $666,035 | $— | $— |
Purchased Options | 252,189,584 | — | 252,189,584 | — |
Total | $252,855,619 | $666,035 | $252,189,584 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(75,090,888 ) | $— | $(75,090,888 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
1,181,117 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,181,117 | |||
(Cost $1,181,117) | |||||
Total Investments — 0.7% | 1,181,117 | ||||
(Cost $1,181,117) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 99.7% | |||||
Call Options Purchased — 98.4% | |||||
21,590 | iShares MSCI EAFE ETF | $166,782,750 | $0.73 | 06/21/24 | 161,956,286 |
(Cost $152,198,316) | |||||
Put Options Purchased — 1.3% | |||||
21,590 | iShares MSCI EAFE ETF | 166,782,750 | 73.39 | 06/21/24 | 2,045,444 |
(Cost $8,173,505) | |||||
Total Purchased Options | 164,001,730 | ||||
(Cost $160,371,821) | |||||
WRITTEN OPTIONS — (0.3)% | |||||
Call Options Written — (0.1)% | |||||
(21,590) | iShares MSCI EAFE ETF | (166,782,750 ) | 87.29 | 06/21/24 | (104,154 ) |
(Premiums received $613,622) | |||||
Put Options Written — (0.2)% | |||||
(21,590) | iShares MSCI EAFE ETF | (166,782,750 ) | 66.05 | 06/21/24 | (358,139 ) |
(Premiums received $3,700,103) | |||||
Total Written Options | (462,293 ) | ||||
(Premiums received $4,313,725) | |||||
Net Other Assets and Liabilities — (0.1)% | (111,875 ) | ||||
Net Assets — 100.0% | $164,608,679 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 99.7 |
Written Options | (0.3) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,181,117 | $1,181,117 | $— | $— |
Purchased Options | 164,001,730 | — | 164,001,730 | — |
Total | $165,182,847 | $1,181,117 | $164,001,730 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(462,293 ) | $— | $(462,293 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
1,823,488 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,823,488 | |||
(Cost $1,823,488) | |||||
Total Investments — 0.5% | 1,823,488 | ||||
(Cost $1,823,488) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 104.0% | |||||
Call Options Purchased — 103.6% | |||||
8,163 | Invesco QQQ TrustSM, Series 1 | $358,355,700 | $3.68 | 06/21/24 | 355,237,438 |
(Cost $299,316,052) | |||||
Put Options Purchased — 0.4% | |||||
8,163 | Invesco QQQ TrustSM, Series 1 | 358,355,700 | 367.93 | 06/21/24 | 1,481,345 |
(Cost $18,920,688) | |||||
Total Purchased Options | 356,718,783 | ||||
(Cost $318,236,740) | |||||
WRITTEN OPTIONS — (4.4)% | |||||
Call Options Written — (4.2)% | |||||
(8,163) | Invesco QQQ TrustSM, Series 1 | (358,355,700 ) | 443.47 | 06/21/24 | (14,641,420 ) |
(Premiums received $6,169,337) | |||||
Put Options Written — (0.2)% | |||||
(8,163) | Invesco QQQ TrustSM, Series 1 | (358,355,700 ) | 331.14 | 06/21/24 | (642,190 ) |
(Premiums received $9,700,424) | |||||
Total Written Options | (15,283,610 ) | ||||
(Premiums received $15,869,761) | |||||
Net Other Assets and Liabilities — (0.1)% | (231,322 ) | ||||
Net Assets — 100.0% | $343,027,339 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 104.0 |
Written Options | (4.4) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,823,488 | $1,823,488 | $— | $— |
Purchased Options | 356,718,783 | — | 356,718,783 | — |
Total | $358,542,271 | $1,823,488 | $356,718,783 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(15,283,610 ) | $— | $(15,283,610 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
1,272,662 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,272,662 | |||
(Cost $1,272,662) | |||||
Total Investments — 0.6% | 1,272,662 | ||||
(Cost $1,272,662) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 121.5% | |||||
Call Options Purchased — 121.1% | |||||
4,775 | SPDR® S&P 500® ETF Trust | $242,608,200 | $4.40 | 06/21/24 | 239,456,045 |
4,775 | SPDR® S&P 500® ETF Trust | 242,608,200 | 439.47 | 06/21/24 | 36,126,913 |
Total Call Options Purchased | 275,582,958 | ||||
(Cost $225,692,994) | |||||
Put Options Purchased — 0.4% | |||||
4,775 | SPDR® S&P 500® ETF Trust | 242,608,200 | 439.47 | 06/21/24 | 884,598 |
(Cost $10,337,063) | |||||
Total Purchased Options | 276,467,556 | ||||
(Cost $236,030,057) | |||||
WRITTEN OPTIONS — (22.0)% | |||||
Call Options Written — (21.8)% | |||||
(9,550) | SPDR® S&P 500® ETF Trust | (485,216,400 ) | 464.96 | 06/21/24 | (49,660,484 ) |
(Premiums received $12,776,648) | |||||
Put Options Written — (0.2)% | |||||
(4,775) | SPDR® S&P 500® ETF Trust | (242,608,200 ) | 373.55 | 06/21/24 | (309,493 ) |
(Premiums received $3,977,139) | |||||
Total Written Options | (49,969,977 ) | ||||
(Premiums received $16,753,787) | |||||
Net Other Assets and Liabilities — (0.1)% | (153,509 ) | ||||
Net Assets — 100.0% | $227,616,732 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 121.5 |
Written Options | (22.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,272,662 | $1,272,662 | $— | $— |
Purchased Options | 276,467,556 | — | 276,467,556 | — |
Total | $277,740,218 | $1,272,662 | $276,467,556 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(49,969,977 ) | $— | $(49,969,977 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
346,027 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $346,027 | |||
(Cost $346,027) | |||||
Total Investments — 0.6% | 346,027 | ||||
(Cost $346,027) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 117.6% | |||||
Call Options Purchased — 116.9% | |||||
1,156 | SPDR® S&P 500® ETF Trust | $58,734,048 | $4.53 | 07/19/24 | 57,879,962 |
1,156 | SPDR® S&P 500® ETF Trust | 58,734,048 | 452.19 | 07/19/24 | 7,596,282 |
Total Call Options Purchased | 65,476,244 | ||||
(Cost $54,620,025) | |||||
Put Options Purchased — 0.7% | |||||
1,156 | SPDR® S&P 500® ETF Trust | 58,734,048 | 452.19 | 07/19/24 | 382,728 |
(Cost $2,552,216) | |||||
Total Purchased Options | 65,858,972 | ||||
(Cost $57,172,241) | |||||
WRITTEN OPTIONS — (18.1)% | |||||
Call Options Written — (17.9)% | |||||
(2,312) | SPDR® S&P 500® ETF Trust | (117,468,096 ) | 477.55 | 07/19/24 | (10,011,839 ) |
(Premiums received $4,259,340) | |||||
Put Options Written — (0.2)% | |||||
(1,156) | SPDR® S&P 500® ETF Trust | (58,734,048 ) | 384.36 | 07/19/24 | (116,901 ) |
(Premiums received $955,132) | |||||
Total Written Options | (10,128,740 ) | ||||
(Premiums received $5,214,472) | |||||
Net Other Assets and Liabilities — (0.1)% | (38,134 ) | ||||
Net Assets — 100.0% | $56,038,125 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 117.6 |
Written Options | (18.1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $346,027 | $346,027 | $— | $— |
Purchased Options | 65,858,972 | — | 65,858,972 | — |
Total | $66,204,999 | $346,027 | $65,858,972 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(10,128,740 ) | $— | $(10,128,740 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
117,598 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $117,598 | |||
(Cost $117,598) | |||||
Total Investments — 0.7% | 117,598 | ||||
(Cost $117,598) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 124.3% | |||||
Call Options Purchased — 123.6% | |||||
374 | SPDR® S&P 500® ETF Trust | $19,002,192 | $4.38 | 08/16/24 | 18,722,278 |
374 | SPDR® S&P 500® ETF Trust | 19,002,192 | 436.51 | 08/16/24 | 3,079,301 |
Total Call Options Purchased | 21,801,579 | ||||
(Cost $18,285,441) | |||||
Put Options Purchased — 0.7% | |||||
374 | SPDR® S&P 500® ETF Trust | 19,002,192 | 436.51 | 08/16/24 | 118,315 |
(Cost $831,378) | |||||
Total Purchased Options | 21,919,894 | ||||
(Cost $19,116,819) | |||||
WRITTEN OPTIONS — (24.9)% | |||||
Call Options Written — (24.7)% | |||||
(748) | SPDR® S&P 500® ETF Trust | (38,004,384 ) | 463.40 | 08/16/24 | (4,348,020 ) |
(Premiums received $1,722,305) | |||||
Put Options Written — (0.2)% | |||||
(374) | SPDR® S&P 500® ETF Trust | (19,002,192 ) | 371.04 | 08/16/24 | (41,810 ) |
(Premiums received $243,479) | |||||
Total Written Options | (4,389,830 ) | ||||
(Premiums received $1,965,784) | |||||
Net Other Assets and Liabilities — (0.1)% | (11,881 ) | ||||
Net Assets — 100.0% | $17,635,781 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 124.3 |
Written Options | (24.9) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $117,598 | $117,598 | $— | $— |
Purchased Options | 21,919,894 | — | 21,919,894 | — |
Total | $22,037,492 | $117,598 | $21,919,894 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(4,389,830 ) | $— | $(4,389,830 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
317,494 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $317,494 | |||
(Cost $317,494) | |||||
Total Investments — 0.9% | 317,494 | ||||
(Cost $317,494) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 100.5% | |||||
Call Options Purchased — 99.1% | |||||
4,706 | iShares MSCI EAFE ETF | $36,353,850 | $0.71 | 09/20/24 | 35,382,269 |
(Cost $32,279,447) | |||||
Put Options Purchased — 1.4% | |||||
4,706 | iShares MSCI EAFE ETF | 36,353,850 | 71.38 | 09/20/24 | 496,396 |
(Cost $1,732,200) | |||||
Total Purchased Options | 35,878,665 | ||||
(Cost $34,011,647) | |||||
WRITTEN OPTIONS — (1.3)% | |||||
Call Options Written — (0.9)% | |||||
(4,706) | iShares MSCI EAFE ETF | (36,353,850 ) | 86.09 | 09/20/24 | (301,049 ) |
(Premiums received $116,697) | |||||
Put Options Written — (0.4)% | |||||
(4,706) | iShares MSCI EAFE ETF | (36,353,850 ) | 64.24 | 09/20/24 | (154,613 ) |
(Premiums received $863,928) | |||||
Total Written Options | (455,662 ) | ||||
(Premiums received $980,625) | |||||
Net Other Assets and Liabilities — (0.1)% | (23,636 ) | ||||
Net Assets — 100.0% | $35,716,861 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 100.5 |
Written Options | (1.3) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $317,494 | $317,494 | $— | $— |
Purchased Options | 35,878,665 | — | 35,878,665 | — |
Total | $36,196,159 | $317,494 | $35,878,665 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(455,662 ) | $— | $(455,662 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
1,838,145 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,838,145 | |||
(Cost $1,838,145) | |||||
Total Investments — 0.7% | 1,838,145 | ||||
(Cost $1,838,145) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 105.9% | |||||
Call Options Purchased — 104.8% | |||||
6,113 | Invesco QQQ TrustSM, Series 1 | $268,360,700 | $3.71 | 09/20/24 | 265,765,616 |
(Cost $225,963,255) | |||||
Put Options Purchased — 1.1% | |||||
6,113 | Invesco QQQ TrustSM, Series 1 | 268,360,700 | 370.81 | 09/20/24 | 2,741,515 |
(Cost $13,849,869) | |||||
Total Purchased Options | 268,507,131 | ||||
(Cost $239,813,124) | |||||
WRITTEN OPTIONS — (6.5)% | |||||
Call Options Written — (6.0)% | |||||
(6,113) | Invesco QQQ TrustSM, Series 1 | (268,360,700 ) | 448.68 | 09/20/24 | (15,127,257 ) |
(Premiums received $5,104,736) | |||||
Put Options Written — (0.5)% | |||||
(6,113) | Invesco QQQ TrustSM, Series 1 | (268,360,700 ) | 333.73 | 09/20/24 | (1,343,285 ) |
(Premiums received $7,422,548) | |||||
Total Written Options | (16,470,542 ) | ||||
(Premiums received $12,527,284) | |||||
Net Other Assets and Liabilities — (0.1)% | (167,653 ) | ||||
Net Assets — 100.0% | $253,707,081 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 105.9 |
Written Options | (6.5) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,838,145 | $1,838,145 | $— | $— |
Purchased Options | 268,507,131 | — | 268,507,131 | — |
Total | $270,345,276 | $1,838,145 | $268,507,131 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(16,470,542 ) | $— | $(16,470,542 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
1,009,563 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,009,563 | |||
(Cost $1,009,563) | |||||
Total Investments — 0.8% | 1,009,563 | ||||
(Cost $1,009,563) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 123.3% | |||||
Call Options Purchased — 122.4% | |||||
2,875 | SPDR® S&P 500® ETF Trust | $146,073,000 | $4.44 | 09/20/24 | 143,837,636 |
2,875 | SPDR® S&P 500® ETF Trust | 146,073,000 | 443.38 | 09/20/24 | 22,647,535 |
Total Call Options Purchased | 166,485,171 | ||||
(Cost $135,669,900) | |||||
Put Options Purchased — 0.9% | |||||
2,875 | SPDR® S&P 500® ETF Trust | 146,073,000 | 443.38 | 09/20/24 | 1,285,735 |
(Cost $6,392,072) | |||||
Total Purchased Options | 167,770,906 | ||||
(Cost $142,061,972) | |||||
WRITTEN OPTIONS — (24.0)% | |||||
Call Options Written — (23.6)% | |||||
(5,750) | SPDR® S&P 500® ETF Trust | (292,146,000 ) | 469.54 | 09/20/24 | (32,160,596 ) |
(Premiums received $12,234,701) | |||||
Put Options Written — (0.4)% | |||||
(2,875) | SPDR® S&P 500® ETF Trust | (146,073,000 ) | 376.87 | 09/20/24 | (499,338 ) |
(Premiums received $2,300,810) | |||||
Total Written Options | (32,659,934 ) | ||||
(Premiums received $14,535,511) | |||||
Net Other Assets and Liabilities — (0.1)% | (87,539 ) | ||||
Net Assets — 100.0% | $136,032,996 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 123.3 |
Written Options | (24.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,009,563 | $1,009,563 | $— | $— |
Purchased Options | 167,770,906 | — | 167,770,906 | — |
Total | $168,780,469 | $1,009,563 | $167,770,906 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(32,659,934 ) | $— | $(32,659,934 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
370,861 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $370,861 | |||
(Cost $370,861) | |||||
Total Investments — 0.8% | 370,861 | ||||
(Cost $370,861) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 133.5% | |||||
Call Options Purchased — 132.7% | |||||
1,062 | SPDR® S&P 500® ETF Trust | $53,958,096 | $4.22 | 10/18/24 | 53,117,486 |
1,062 | SPDR® S&P 500® ETF Trust | 53,958,096 | 421.20 | 10/18/24 | 10,697,459 |
Total Call Options Purchased | 63,814,945 | ||||
(Cost $53,085,751) | |||||
Put Options Purchased — 0.8% | |||||
1,062 | SPDR® S&P 500® ETF Trust | 53,958,096 | 421.20 | 10/18/24 | 395,744 |
(Cost $1,638,706) | |||||
Total Purchased Options | 64,210,689 | ||||
(Cost $54,724,457) | |||||
WRITTEN OPTIONS — (34.2)% | |||||
Call Options Written — (33.8)% | |||||
(2,124) | SPDR® S&P 500® ETF Trust | (107,916,192 ) | 448.16 | 10/18/24 | (16,278,975 ) |
(Premiums received $8,386,702) | |||||
Put Options Written — (0.4)% | |||||
(1,062) | SPDR® S&P 500® ETF Trust | (53,958,096 ) | 358.02 | 10/18/24 | (168,610 ) |
(Premiums received $631,989) | |||||
Total Written Options | (16,447,585 ) | ||||
(Premiums received $9,018,691) | |||||
Net Other Assets and Liabilities — (0.1)% | (24,271 ) | ||||
Net Assets — 100.0% | $48,109,694 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 133.5 |
Written Options | (34.2) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $370,861 | $370,861 | $— | $— |
Purchased Options | 64,210,689 | — | 64,210,689 | — |
Total | $64,581,550 | $370,861 | $64,210,689 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(16,447,585 ) | $— | $(16,447,585 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
218,447 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $218,447 | |||
(Cost $218,447) | |||||
Total Investments — 0.9% | 218,447 | ||||
(Cost $218,447) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 123.4% | |||||
Call Options Purchased — 122.0% | |||||
527 | SPDR® S&P 500® ETF Trust | $26,775,816 | $4.52 | 11/15/24 | 26,353,719 |
527 | SPDR® S&P 500® ETF Trust | 26,775,816 | 450.80 | 11/15/24 | 4,061,134 |
Total Call Options Purchased | 30,414,853 | ||||
(Cost $25,834,287) | |||||
Put Options Purchased — 1.4% | |||||
527 | SPDR® S&P 500® ETF Trust | 26,775,816 | 450.80 | 11/15/24 | 363,086 |
(Cost $978,605) | |||||
Total Purchased Options | 30,777,939 | ||||
(Cost $26,812,892) | |||||
WRITTEN OPTIONS — (24.2)% | |||||
Call Options Written — (23.7)% | |||||
(1,054) | SPDR® S&P 500® ETF Trust | (53,551,632 ) | 476.27 | 11/15/24 | (5,903,691 ) |
(Premiums received $2,780,294) | |||||
Put Options Written — (0.5)% | |||||
(527) | SPDR® S&P 500® ETF Trust | (26,775,816 ) | 383.18 | 11/15/24 | (137,571 ) |
(Premiums received $381,240) | |||||
Total Written Options | (6,041,262 ) | ||||
(Premiums received $3,161,534) | |||||
Net Other Assets and Liabilities — (0.1)% | (17,021 ) | ||||
Net Assets — 100.0% | $24,938,103 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 123.4 |
Written Options | (24.2) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $218,447 | $218,447 | $— | $— |
Purchased Options | 30,777,939 | — | 30,777,939 | — |
Total | $30,996,386 | $218,447 | $30,777,939 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(6,041,262 ) | $— | $(6,041,262 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
967,613 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $967,613 | |||
(Cost $967,613) | |||||
Total Investments — 1.1% | 967,613 | ||||
(Cost $967,613) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.1% | |||||
Call Options Purchased — 98.1% | |||||
11,921 | iShares MSCI EAFE ETF | $92,089,725 | $0.74 | 12/20/24 | 89,340,861 |
(Cost $85,720,307) | |||||
Put Options Purchased — 3.0% | |||||
11,921 | iShares MSCI EAFE ETF | 92,089,725 | 74.34 | 12/20/24 | 2,735,548 |
(Cost $4,314,693) | |||||
Total Purchased Options | 92,076,409 | ||||
(Cost $90,035,000) | |||||
WRITTEN OPTIONS — (2.1)% | |||||
Call Options Written — (1.3)% | |||||
(11,921) | iShares MSCI EAFE ETF | (92,089,725 ) | 88.02 | 12/20/24 | (1,224,820 ) |
(Premiums received $597,651) | |||||
Put Options Written — (0.8)% | |||||
(11,921) | iShares MSCI EAFE ETF | (92,089,725 ) | 63.19 | 12/20/24 | (731,654 ) |
(Premiums received $1,364,449) | |||||
Total Written Options | (1,956,474 ) | ||||
(Premiums received $1,962,100) | |||||
Net Other Assets and Liabilities — (0.1)% | (54,615 ) | ||||
Net Assets — 100.0% | $91,032,933 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 101.1 |
Written Options | (2.1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $967,613 | $967,613 | $— | $— |
Purchased Options | 92,076,409 | — | 92,076,409 | — |
Total | $93,044,022 | $967,613 | $92,076,409 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(1,956,474 ) | $— | $(1,956,474 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
4,342,035 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $4,342,035 | |||
(Cost $4,342,035) | |||||
Total Investments — 1.0% | 4,342,035 | ||||
(Cost $4,342,035) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 104.9% | |||||
Call Options Purchased — 101.7% | |||||
10,495 | Invesco QQQ TrustSM, Series 1 | $460,730,500 | $3.83 | 12/20/24 | 454,695,875 |
(Cost $423,651,261) | |||||
Put Options Purchased — 3.2% | |||||
10,495 | Invesco QQQ TrustSM, Series 1 | 460,730,500 | 405.11 | 12/20/24 | 14,262,705 |
(Cost $24,200,474) | |||||
Total Purchased Options | 468,958,580 | ||||
(Cost $447,851,735) | |||||
WRITTEN OPTIONS — (5.8)% | |||||
Call Options Written — (4.2)% | |||||
(10,495) | Invesco QQQ TrustSM, Series 1 | (460,730,500 ) | 482.05 | 12/20/24 | (18,754,565 ) |
(Premiums received $9,891,145) | |||||
Put Options Written — (1.6)% | |||||
(10,495) | Invesco QQQ TrustSM, Series 1 | (460,730,500 ) | 364.59 | 12/20/24 | (7,252,045 ) |
(Premiums received $12,945,427) | |||||
Total Written Options | (26,006,610 ) | ||||
(Premiums received $22,836,572) | |||||
Net Other Assets and Liabilities — (0.1)% | (275,951 ) | ||||
Net Assets — 100.0% | $447,018,054 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 104.9 |
Written Options | (5.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $4,342,035 | $4,342,035 | $— | $— |
Purchased Options | 468,958,580 | — | 468,958,580 | — |
Total | $473,300,615 | $4,342,035 | $468,958,580 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(26,006,610 ) | $— | $(26,006,610 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
3,683,991 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,683,991 | |||
(Cost $3,683,991) | |||||
Total Investments — 1.0% | 3,683,991 | ||||
(Cost $3,683,991) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 118.6% | |||||
Call Options Purchased — 116.4% | |||||
7,969 | SPDR® S&P 500® ETF Trust | $404,888,952 | $4.70 | 12/20/24 | 398,082,808 |
7,969 | SPDR® S&P 500® ETF Trust | 404,888,952 | 469.34 | 12/20/24 | 51,434,388 |
Total Call Options Purchased | 449,517,196 | ||||
(Cost $390,206,267) | |||||
Put Options Purchased — 2.2% | |||||
7,969 | SPDR® S&P 500® ETF Trust | 404,888,952 | 469.34 | 12/20/24 | 8,424,880 |
(Cost $29,016,253) | |||||
Total Purchased Options | 457,942,076 | ||||
(Cost $419,222,520) | |||||
WRITTEN OPTIONS — (19.5)% | |||||
Call Options Written — (18.7)% | |||||
(15,938) | SPDR® S&P 500® ETF Trust | (809,777,904 ) | 494.59 | 12/20/24 | (72,176,049 ) |
(Premiums received $33,586,295) | |||||
Put Options Written — (0.8)% | |||||
(7,969) | SPDR® S&P 500® ETF Trust | (404,888,952 ) | 398.94 | 12/20/24 | (3,185,633 ) |
(Premiums received $13,688,589) | |||||
Total Written Options | (75,361,682 ) | ||||
(Premiums received $47,274,884) | |||||
Net Other Assets and Liabilities — (0.1)% | (239,595 ) | ||||
Net Assets — 100.0% | $386,024,790 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 118.6 |
Written Options | (19.5) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,683,991 | $3,683,991 | $— | $— |
Purchased Options | 457,942,076 | — | 457,942,076 | — |
Total | $461,626,067 | $3,683,991 | $457,942,076 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(75,361,682 ) | $— | $(75,361,682 ) | $— |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January (XJAN) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February (XFEB) | FT Vest International Equity Buffer ETF - March (YMAR) | FT Vest Nasdaq-100® Buffer ETF - March (QMAR) | |
ASSETS: | ||||
Investments, at value | $881,776 | $242,369 | $227,733 | $546,559 |
Options contracts purchased, at value | 97,388,909 | 25,405,081 | 56,222,623 | 251,544,213 |
Cash | — | — | — | — |
Due from broker | — | — | 2,138 | 36 |
Receivables: | ||||
Dividends | 1,011 | 69 | 988 | 2,348 |
Investment securities sold | — | — | — | — |
Capital shares sold | — | — | — | — |
Total Assets | 98,271,696 | 25,647,519 | 56,453,482 | 252,093,156 |
LIABILITIES: | ||||
Options contracts written, at value | 13,906,526 | 2,949,216 | 840 | 38,797,547 |
Payables: | ||||
Investment advisory fees | 57,139 | 2,536 | 40,193 | 146,715 |
Investment securities purchased | — | — | — | — |
Capital shares redeemed | — | — | — | — |
Total Liabilities | 13,963,665 | 2,951,752 | 41,033 | 38,944,262 |
NET ASSETS | $84,308,031 | $22,695,767 | $56,412,449 | $213,148,894 |
NET ASSETS consist of: | ||||
Paid-in capital | $82,835,641 | $22,567,919 | $51,836,140 | $183,582,940 |
Par value | 26,750 | 7,500 | 25,000 | 82,000 |
Accumulated distributable earnings (loss) | 1,445,640 | 120,348 | 4,551,309 | 29,483,954 |
NET ASSETS | $84,308,031 | $22,695,767 | $56,412,449 | $213,148,894 |
NET ASSET VALUE, per share | $31.52 | $30.26 | $22.56 | $25.99 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,675,002 | 750,002 | 2,500,002 | 8,200,002 |
Investments, at cost | $881,776 | $242,369 | $227,733 | $546,559 |
Premiums paid on options contracts purchased | $92,779,077 | $25,206,941 | $53,509,281 | $196,824,380 |
Premiums received on options contracts written | $10,146,138 | $2,873,891 | $861,738 | $14,608,578 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) | FT Vest International Equity Buffer ETF - June (YJUN) | FT Vest Nasdaq- 100® Buffer ETF - June (QJUN) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) |
$666,035 | $1,181,117 | $1,823,488 | $1,272,662 | $346,027 | $117,598 |
252,189,584 | 164,001,730 | 356,718,783 | 276,467,556 | 65,858,972 | 21,919,894 |
— | — | — | — | — | — |
— | 448 | 307 | 155 | — | — |
2,989 | 5,154 | 7,657 | 5,912 | 515 | 117 |
701,630 | — | — | — | — | — |
1,660,568 | — | — | — | — | — |
255,220,806 | 165,188,449 | 358,550,235 | 277,746,285 | 66,205,514 | 22,037,609 |
75,090,888 | 462,293 | 15,283,610 | 49,969,977 | 10,128,740 | 4,389,830 |
124,283 | 117,477 | 239,286 | 159,576 | 38,649 | 11,998 |
2,357,060 | — | — | — | — | — |
— | — | — | — | — | — |
77,572,231 | 579,770 | 15,522,896 | 50,129,553 | 10,167,389 | 4,401,828 |
$177,648,575 | $164,608,679 | $343,027,339 | $227,616,732 | $56,038,125 | $17,635,781 |
$153,130,496 | $161,713,918 | $308,007,027 | $219,888,269 | $51,886,954 | $15,228,253 |
53,500 | 76,500 | 136,000 | 63,250 | 17,000 | 5,500 |
24,464,579 | 2,818,261 | 34,884,312 | 7,665,213 | 4,134,171 | 2,402,028 |
$177,648,575 | $164,608,679 | $343,027,339 | $227,616,732 | $56,038,125 | $17,635,781 |
$33.21 | $21.52 | $25.22 | $35.99 | $32.96 | $32.06 |
5,350,002 | 7,650,002 | 13,600,002 | 6,325,002 | 1,700,002 | 550,002 |
$666,035 | $1,181,117 | $1,823,488 | $1,272,662 | $346,027 | $117,598 |
$194,613,788 | $160,371,821 | $318,236,740 | $236,030,057 | $57,172,241 | $19,116,819 |
$26,471,862 | $4,313,725 | $15,869,761 | $16,753,787 | $5,214,472 | $1,965,784 |
FT Vest International Equity Buffer ETF - September (YSEP) | FT Vest Nasdaq-100® Buffer ETF - September (QSPT) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October (XOCT) | |
ASSETS: | ||||
Investments, at value | $317,494 | $1,838,145 | $1,009,563 | $370,861 |
Options contracts purchased, at value | 35,878,665 | 268,507,131 | 167,770,906 | 64,210,689 |
Cash | — | — | — | — |
Due from broker | 279 | 238 | — | — |
Receivables: | ||||
Dividends | 1,331 | 7,842 | 4,312 | 347 |
Investment securities sold | — | — | — | — |
Capital shares sold | — | — | — | — |
Total Assets | 36,197,769 | 270,353,356 | 168,784,781 | 64,581,897 |
LIABILITIES: | ||||
Options contracts written, at value | 455,662 | 16,470,542 | 32,659,934 | 16,447,585 |
Payables: | ||||
Investment advisory fees | 25,246 | 175,733 | 91,851 | 24,618 |
Investment securities purchased | — | — | — | — |
Capital shares redeemed | — | — | — | — |
Total Liabilities | 480,908 | 16,646,275 | 32,751,785 | 16,472,203 |
NET ASSETS | $35,716,861 | $253,707,081 | $136,032,996 | $48,109,694 |
NET ASSETS consist of: | ||||
Paid-in capital | $30,798,167 | $213,119,272 | $104,643,520 | $45,980,741 |
Par value | 17,000 | 102,500 | 37,000 | 14,750 |
Accumulated distributable earnings (loss) | 4,901,694 | 40,485,309 | 31,352,476 | 2,114,203 |
NET ASSETS | $35,716,861 | $253,707,081 | $136,032,996 | $48,109,694 |
NET ASSET VALUE, per share | $21.01 | $24.75 | $36.77 | $32.62 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,700,002 | 10,250,002 | 3,700,002 | 1,475,002 |
Investments, at cost | $317,494 | $1,838,145 | $1,009,563 | $370,861 |
Premiums paid on options contracts purchased | $34,011,647 | $239,813,124 | $142,061,972 | $54,724,457 |
Premiums received on options contracts written | $980,625 | $12,527,284 | $14,535,511 | $9,018,691 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November (XNOV) | FT Vest International Equity Moderate Buffer ETF - December (YDEC) | FT Vest Nasdaq-100® Buffer ETF - December (QDEC) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) |
$218,447 | $967,613 | $4,342,035 | $3,683,991 |
30,777,939 | 92,076,409 | 468,958,580 | 457,942,076 |
— | — | 1,210,653 | — |
— | 1,799 | 560 | 3,290 |
256 | 3,767 | 18,083 | 15,577 |
— | — | 143,572 | — |
— | — | 2,463,261 | — |
30,996,642 | 93,049,588 | 477,136,744 | 461,644,934 |
6,041,262 | 1,956,474 | 26,006,610 | 75,361,682 |
17,277 | 60,181 | 309,555 | 258,462 |
— | — | 2,591,822 | — |
— | — | 1,210,703 | — |
6,058,539 | 2,016,655 | 30,118,690 | 75,620,144 |
$24,938,103 | $91,032,933 | $447,018,054 | $386,024,790 |
$23,934,415 | $86,910,291 | $419,652,703 | $334,565,226 |
7,750 | 39,500 | 181,500 | 110,250 |
995,938 | 4,083,142 | 27,183,851 | 51,349,314 |
$24,938,103 | $91,032,933 | $447,018,054 | $386,024,790 |
$32.18 | $23.05 | $24.63 | $35.01 |
775,002 | 3,950,002 | 18,150,002 | 11,025,002 |
$218,447 | $967,613 | $4,342,035 | $3,683,991 |
$26,812,892 | $90,035,000 | $447,851,735 | $419,222,520 |
$3,161,534 | $1,962,100 | $22,836,572 | $47,274,884 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January (XJAN) (a) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February (XFEB) (b) | FT Vest International Equity Buffer ETF - March (YMAR) | FT Vest Nasdaq-100® Buffer ETF - March (QMAR) | |
INVESTMENT INCOME: | ||||
Dividends | $1,011 | $69 | $10,917 | $30,811 |
Total investment income | 1,011 | 69 | 10,917 | 30,811 |
EXPENSES: | ||||
Investment advisory fees | 65,371 | 2,536 | 291,764 | 900,951 |
Total expenses | 65,371 | 2,536 | 291,764 | 900,951 |
NET INVESTMENT INCOME (LOSS) | (64,360 ) | (2,467 ) | (280,847 ) | (870,140 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Purchased options contracts | — | — | — | 2,741,519 |
Written options contracts | — | — | — | (1,329,937 ) |
In-kind redemptions - Purchased options contracts | 1,007,485 | — | 2,620,640 | 1,462,056 |
In-kind redemptions - Written options contracts | (346,929 ) | — | 1,456,698 | 220,580 |
Net realized gain (loss) | 660,556 | — | 4,077,338 | 3,094,218 |
Net change in unrealized appreciation (depreciation) on: | ||||
Purchased options contracts | 4,609,832 | 198,140 | 2,964,191 | 29,624,651 |
Written options contracts | (3,760,388 ) | (75,325 ) | (645,103 ) | (19,049,353 ) |
Net change in unrealized appreciation (depreciation) | 849,444 | 122,815 | 2,319,088 | 10,575,298 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,510,000 | 122,815 | 6,396,426 | 13,669,516 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $1,445,640 | $120,348 | $6,115,579 | $12,799,376 |
(a) | Inception date is January 19, 2024, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Inception date is February 16, 2024, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) | FT Vest International Equity Buffer ETF - June (YJUN) | FT Vest Nasdaq- 100® Buffer ETF - June (QJUN) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) |
$36,849 | $36,319 | $84,908 | $60,031 | $515 | $117 |
36,849 | 36,319 | 84,908 | 60,031 | 515 | 117 |
972,101 | 626,804 | 1,686,767 | 1,241,403 | 227,609 | 152,782 |
972,101 | 626,804 | 1,686,767 | 1,241,403 | 227,609 | 152,782 |
(935,252 ) | (590,485 ) | (1,601,859 ) | (1,181,372 ) | (227,094 ) | (152,665 ) |
251,902 | (75,959 ) | 1,799,891 | 690,063 | 68,081 | — |
35,930 | 112,323 | 415,701 | (319,069 ) | (118,316 ) | — |
19,388,332 | 534,182 | 7,128,885 | 14,395,547 | 700,119 | 1,775,164 |
(6,569,177 ) | 211,667 | 2,692,210 | 2,893,159 | (32,773 ) | 400,500 |
13,106,987 | 782,213 | 12,036,687 | 17,659,700 | 617,111 | 2,175,664 |
21,938,369 | 6,343,407 | 34,976,245 | 30,498,400 | 8,752,691 | 2,057,681 |
(25,600,336 ) | 3,528,090 | (3,379,511 ) | (28,682,760 ) | (5,247,511 ) | (2,004,000 ) |
(3,661,967 ) | 9,871,497 | 31,596,734 | 1,815,640 | 3,505,180 | 53,681 |
9,445,020 | 10,653,710 | 43,633,421 | 19,475,340 | 4,122,291 | 2,229,345 |
$8,509,768 | $10,063,225 | $42,031,562 | $18,293,968 | $3,895,197 | $2,076,680 |
FT Vest International Equity Buffer ETF - September (YSEP) | FT Vest Nasdaq-100® Buffer ETF - September (QSPT) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October (XOCT) (c) | |
INVESTMENT INCOME: | ||||
Dividends | $8,405 | $49,000 | $30,184 | $347 |
Total investment income | 8,405 | 49,000 | 30,184 | 347 |
EXPENSES: | ||||
Investment advisory fees | 138,565 | 894,399 | 536,717 | 94,987 |
Total expenses | 138,565 | 894,399 | 536,717 | 94,987 |
NET INVESTMENT INCOME (LOSS) | (130,160 ) | (845,399 ) | (506,533 ) | (94,640 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Purchased options contracts | (1,839,955 ) | (7,053,594 ) | (8,239,207 ) | — |
Written options contracts | (996 ) | 885,403 | (7,329,638 ) | — |
In-kind redemptions - Purchased options contracts | 3,634,535 | 23,889,491 | 20,274,280 | 181,414 |
In-kind redemptions - Written options contracts | 960,680 | 4,811,212 | 1,504,609 | (29,909 ) |
Net realized gain (loss) | 2,754,264 | 22,532,512 | 6,210,044 | 151,505 |
Net change in unrealized appreciation (depreciation) on: | ||||
Purchased options contracts | (63,323 ) | 12,069,158 | 13,931,230 | 9,486,232 |
Written options contracts | (461,080 ) | (6,537,560 ) | (10,069,206 ) | (7,428,894 ) |
Net change in unrealized appreciation (depreciation) | (524,403 ) | 5,531,598 | 3,862,024 | 2,057,338 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,229,861 | 28,064,110 | 10,072,068 | 2,208,843 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $2,099,701 | $27,218,711 | $9,565,535 | $2,114,203 |
(c) | Inception date is October 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(d) | Inception date is November 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November (XNOV) (d) | FT Vest International Equity Moderate Buffer ETF - December (YDEC) | FT Vest Nasdaq-100® Buffer ETF - December (QDEC) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) |
$256 | $12,395 | $49,708 | $64,180 |
256 | 12,395 | 49,708 | 64,180 |
50,450 | 251,980 | 1,079,299 | 1,520,877 |
50,450 | 251,980 | 1,079,299 | 1,520,877 |
(50,194 ) | (239,585 ) | (1,029,591 ) | (1,456,697 ) |
103,420 | (1,033,040 ) | 12,730,501 | (5,033,805 ) |
(142,607 ) | 277,540 | (19,791,694 ) | (45,865,387 ) |
— | 3,572,912 | 32,024,117 | 91,001,328 |
— | 2,204,249 | 3,648,281 | 4,778,721 |
(39,187 ) | 5,021,661 | 28,611,205 | 44,880,857 |
3,965,047 | 326,698 | (7,227,103 ) | (19,640,854 ) |
(2,879,728 ) | (2,329,695 ) | 3,562,674 | (3,934,534 ) |
1,085,319 | (2,002,997 ) | (3,664,429 ) | (23,575,388 ) |
1,046,132 | 3,018,664 | 24,946,776 | 21,305,469 |
$995,938 | $2,779,079 | $23,917,185 | $19,848,772 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January (XJAN) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February (XFEB) | FT Vest International Equity Buffer ETF - March (YMAR) | ||
Period Ended 2/29/2024 (a) (Unaudited) | Period Ended 2/29/2024 (b) (Unaudited) | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(64,360 ) | $(2,467 ) | $(280,847 ) | $(357,048 ) |
Net realized gain (loss) | 660,556 | — | 4,077,338 | (1,916,208 ) |
Net change in unrealized appreciation (depreciation) | 849,444 | 122,815 | 2,319,088 | 5,406,607 |
Net increase (decrease) in net assets resulting from operations | 1,445,640 | 120,348 | 6,115,579 | 3,133,351 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 96,193,848 | 22,575,419 | 27,114,783 | 75,264,238 |
Cost of shares redeemed | (13,331,457 ) | — | (36,357,613 ) | (56,588,373 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 82,862,391 | 22,575,419 | (9,242,830 ) | 18,675,865 |
Total increase (decrease) in net assets | 84,308,031 | 22,695,767 | (3,127,251 ) | 21,809,216 |
NET ASSETS: | ||||
Beginning of period | — | — | 59,539,700 | 37,730,484 |
End of period | $84,308,031 | $22,695,767 | $56,412,449 | $59,539,700 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | — | — | 2,850,002 | 2,100,002 |
Shares sold | 3,100,002 | 750,002 | 1,350,000 | 3,700,000 |
Shares redeemed | (425,000 ) | — | (1,700,000 ) | (2,950,000 ) |
Shares outstanding, end of period | 2,675,002 | 750,002 | 2,500,002 | 2,850,002 |
(a) | Inception date is January 19, 2024, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Inception date is February 16, 2024, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(c) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest Nasdaq-100® Buffer ETF - March (QMAR) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) | FT Vest International Equity Buffer ETF - June (YJUN) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (c) | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$(870,140 ) | $(905,537 ) | $(935,252 ) | $(922,975 ) | $(590,485 ) | $(604,718 ) |
3,094,218 | 672,095 | 13,106,987 | 4,239,257 | 782,213 | 11,944,254 |
10,575,298 | 24,984,968 | (3,661,967 ) | 12,618,737 | 9,871,497 | (2,190,247 ) |
12,799,376 | 24,751,526 | 8,509,768 | 15,935,019 | 10,063,225 | 9,149,289 |
61,727,176 | 244,611,999 | 4,916,114 | 300,971,186 | 58,218,951 | 158,749,964 |
(47,113,238 ) | (130,285,396 ) | (104,668,321 ) | (48,015,191 ) | (17,796,362 ) | (83,430,647 ) |
14,613,938 | 114,326,603 | (99,752,207 ) | 252,955,995 | 40,422,589 | 75,319,317 |
27,413,314 | 139,078,129 | (91,242,439 ) | 268,891,014 | 50,485,814 | 84,468,606 |
185,735,580 | 46,657,451 | 268,891,014 | — | 114,122,865 | 29,654,259 |
$213,148,894 | $185,735,580 | $177,648,575 | $268,891,014 | $164,608,679 | $114,122,865 |
7,600,002 | 2,300,002 | 8,425,002 | — | 5,650,002 | 1,700,002 |
2,450,000 | 11,150,000 | 150,000 | 9,950,002 | 2,850,000 | 8,100,000 |
(1,850,000 ) | (5,850,000 ) | (3,225,000 ) | (1,525,000 ) | (850,000 ) | (4,150,000 ) |
8,200,002 | 7,600,002 | 5,350,002 | 8,425,002 | 7,650,002 | 5,650,002 |
FT Vest Nasdaq-100® Buffer ETF - June (QJUN) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(1,601,859 ) | $(1,121,390 ) | $(1,181,372 ) | $(1,453,745 ) |
Net realized gain (loss) | 12,036,687 | 17,675,357 | 17,659,700 | 18,094,653 |
Net change in unrealized appreciation (depreciation) | 31,596,734 | 4,521,275 | 1,815,640 | 3,239,580 |
Net increase (decrease) in net assets resulting from operations | 42,031,562 | 21,075,242 | 18,293,968 | 19,880,488 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 71,993,264 | 392,039,009 | 11,691,709 | 410,957,170 |
Cost of shares redeemed | (133,913,913 ) | (142,246,301 ) | (150,769,284 ) | (193,084,376 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (61,920,649 ) | 249,792,708 | (139,077,575 ) | 217,872,794 |
Total increase (decrease) in net assets | (19,889,087 ) | 270,867,950 | (120,783,607 ) | 237,753,282 |
NET ASSETS: | ||||
Beginning of period | 362,916,426 | 92,048,476 | 348,400,339 | 110,647,057 |
End of period | $343,027,339 | $362,916,426 | $227,616,732 | $348,400,339 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 16,050,002 | 4,900,002 | 10,325,002 | 3,650,002 |
Shares sold | 3,150,000 | 17,950,000 | 350,000 | 12,600,000 |
Shares redeemed | (5,600,000 ) | (6,800,000 ) | (4,350,000 ) | (5,925,000 ) |
Shares outstanding, end of period | 13,600,002 | 16,050,002 | 6,325,002 | 10,325,002 |
(d) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(e) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) | FT Vest International Equity Buffer ETF - September (YSEP) | |||
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (d) | Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (e) | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$(227,094 ) | $(23,698 ) | $(152,665 ) | $(6,282 ) | $(130,160 ) | $(220,500 ) |
617,111 | (6,171 ) | 2,175,664 | — | 2,754,264 | 1,304,092 |
3,505,180 | 267,283 | 53,681 | 325,348 | (524,403 ) | 3,933,164 |
3,895,197 | 237,414 | 2,076,680 | 319,066 | 2,099,701 | 5,016,756 |
19,203,571 | 38,345,887 | 20,348,561 | 35,080,911 | 33,373,128 | 29,330,078 |
(4,887,432 ) | (756,512 ) | (40,189,437 ) | — | (23,534,858 ) | (16,579,273 ) |
14,316,139 | 37,589,375 | (19,840,876 ) | 35,080,911 | 9,838,270 | 12,750,805 |
18,211,336 | 37,826,789 | (17,764,196 ) | 35,399,977 | 11,937,971 | 17,767,561 |
37,826,789 | — | 35,399,977 | — | 23,778,890 | 6,011,329 |
$56,038,125 | $37,826,789 | $17,635,781 | $35,399,977 | $35,716,861 | $23,778,890 |
1,225,002 | — | 1,175,002 | — | 1,200,002 | 350,002 |
625,000 | 1,250,002 | 675,000 | 1,175,002 | 1,700,000 | 1,750,000 |
(150,000 ) | (25,000 ) | (1,300,000 ) | — | (1,200,000 ) | (900,000 ) |
1,700,002 | 1,225,002 | 550,002 | 1,175,002 | 1,700,002 | 1,200,002 |
FT Vest Nasdaq-100® Buffer ETF - September (QSPT) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (f) | |
OPERATIONS: | ||||
Net investment income (loss) | $(845,399 ) | $(661,812 ) | $(506,533 ) | $(1,153,329 ) |
Net realized gain (loss) | 22,532,512 | (1,178,614 ) | 6,210,044 | 19,215,156 |
Net change in unrealized appreciation (depreciation) | 5,531,598 | 22,112,292 | 3,862,024 | 3,722,487 |
Net increase (decrease) in net assets resulting from operations | 27,218,711 | 20,271,866 | 9,565,535 | 21,784,314 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 234,202,402 | 116,133,280 | 158,515,847 | 208,590,188 |
Cost of shares redeemed | (117,562,794 ) | (50,886,198 ) | (128,267,856 ) | (134,155,032 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 116,639,608 | 65,247,082 | 30,247,991 | 74,435,156 |
Total increase (decrease) in net assets | 143,858,319 | 85,518,948 | 39,813,526 | 96,219,470 |
NET ASSETS: | ||||
Beginning of period | 109,848,762 | 24,329,814 | 96,219,470 | — |
End of period | $253,707,081 | $109,848,762 | $136,032,996 | $96,219,470 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 5,000,002 | 1,350,002 | 2,800,002 | — |
Shares sold | 10,500,000 | 6,350,000 | 4,600,000 | 6,875,002 |
Shares redeemed | (5,250,000 ) | (2,700,000 ) | (3,700,000 ) | (4,075,000 ) |
Shares outstanding, end of period | 10,250,002 | 5,000,002 | 3,700,002 | 2,800,002 |
(f) | Inception date is September 21, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(g) | Inception date is October 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(h) | Inception date is November 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October (XOCT) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November (XNOV) | FT Vest International Equity Moderate Buffer ETF - December (YDEC) | |
Period Ended 2/29/2024 (g) (Unaudited) | Period Ended 2/29/2024 (h) (Unaudited) | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$(94,640 ) | $(50,194 ) | $(239,585 ) | $(348,186 ) |
151,505 | (39,187 ) | 5,021,661 | (688,335 ) |
2,057,338 | 1,085,319 | (2,002,997 ) | 5,589,666 |
2,114,203 | 995,938 | 2,779,079 | 4,553,145 |
46,795,881 | 25,542,071 | 78,426,233 | 68,547,162 |
(800,390 ) | (1,599,906 ) | (54,363,966 ) | (20,085,865 ) |
45,995,491 | 23,942,165 | 24,062,267 | 48,461,297 |
48,109,694 | 24,938,103 | 26,841,346 | 53,014,442 |
— | — | 64,191,587 | 11,177,145 |
$48,109,694 | $24,938,103 | $91,032,933 | $64,191,587 |
— | — | 2,950,002 | 600,002 |
1,500,002 | 825,002 | 3,500,000 | 3,350,000 |
(25,000 ) | (50,000 ) | (2,500,000 ) | (1,000,000 ) |
1,475,002 | 775,002 | 3,950,002 | 2,950,002 |
FT Vest Nasdaq-100® Buffer ETF - December (QDEC) | FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(1,029,591 ) | $(919,039 ) | $(1,456,697 ) | $(2,293,326 ) |
Net realized gain (loss) | 28,611,205 | (9,785,725 ) | 44,880,857 | 9,834,995 |
Net change in unrealized appreciation (depreciation) | (3,664,429 ) | 32,640,311 | (23,575,388 ) | 36,031,585 |
Net increase (decrease) in net assets resulting from operations | 23,917,185 | 21,935,547 | 19,848,772 | 43,573,254 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 384,662,207 | 116,741,471 | 403,656,513 | 461,674,530 |
Cost of shares redeemed | (105,082,522 ) | (66,784,994 ) | (393,112,520 ) | (227,470,819 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 279,579,685 | 49,956,477 | 10,543,993 | 234,203,711 |
Total increase (decrease) in net assets | 303,496,870 | 71,892,024 | 30,392,765 | 277,776,965 |
NET ASSETS: | ||||
Beginning of period | 143,521,184 | 71,629,160 | 355,632,025 | 77,855,060 |
End of period | $447,018,054 | $143,521,184 | $386,024,790 | $355,632,025 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 6,300,002 | 3,600,002 | 10,725,002 | 2,700,002 |
Shares sold | 16,300,000 | 5,950,000 | 11,900,000 | 15,425,000 |
Shares redeemed | (4,450,000 ) | (3,250,000 ) | (11,600,000 ) | (7,400,000 ) |
Shares outstanding, end of period | 18,150,002 | 6,300,002 | 11,025,002 | 10,725,002 |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $30.87 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.03 ) |
Net realized and unrealized gain (loss) | 0.68 |
Total from investment operations | 0.65 |
Net asset value, end of period | $31.52 |
Total return (c) | 2.11 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $84,308 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.84 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is January 19, 2024, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $29.97 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.00 ) (c) |
Net realized and unrealized gain (loss) | 0.29 |
Total from investment operations | 0.29 |
Net asset value, end of period | $30.26 |
Total return (d) | 0.97 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $22,696 |
Ratio of total expenses to average net assets | 0.85 % (e) |
Ratio of net investment income (loss) to average net assets | (0.83 )% (e) |
Portfolio turnover rate (f) | 0 % |
(a) | Inception date is February 16, 2024, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | 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 return presented does 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. |
(e) | Annualized. |
(f) | 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, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $20.89 | $17.97 | $21.14 | $20.02 |
Income from investment operations: | ||||
Net investment income (loss) | (0.09 ) (b) | (0.17 ) (b) | (0.08 ) | (0.04 ) |
Net realized and unrealized gain (loss) | 1.76 | 3.09 | (3.09 ) | 1.16 |
Total from investment operations | 1.67 | 2.92 | (3.17 ) | 1.12 |
Net asset value, end of period | $22.56 | $20.89 | $17.97 | $21.14 |
Total return (c) | 7.99 % | 16.25 % | (15.00 )% | 5.59 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $56,412 | $59,540 | $37,730 | $12,687 |
Ratio of total expenses to average net assets | 0.90 % (d) | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.87 )% (d) | (0.86 )% | (0.89 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is March 19, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $24.44 | $20.29 | $22.22 | $20.04 |
Income from investment operations: | ||||
Net investment income (loss) | (0.11 ) (b) | (0.19 ) (b) | (0.07 ) | (0.06 ) |
Net realized and unrealized gain (loss) | 1.66 | 4.34 | (1.86 ) | 2.24 |
Total from investment operations | 1.55 | 4.15 | (1.93 ) | 2.18 |
Net asset value, end of period | $25.99 | $24.44 | $20.29 | $22.22 |
Total return (c) | 6.34 % | 20.45 % | (8.69 )% | 10.88 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $213,149 | $185,736 | $46,657 | $18,885 |
Ratio of total expenses to average net assets | 0.90 % (d) | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.87 )% (d) | (0.86 )% | (0.89 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is March 19, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $31.92 | $29.64 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.13 ) | (0.12 ) |
Net realized and unrealized gain (loss) | 1.42 | 2.40 |
Total from investment operations | 1.29 | 2.28 |
Net asset value, end of period | $33.21 | $31.92 |
Total return (c) | 4.04 % | 7.69 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $177,649 | $268,891 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $20.20 | $17.44 | $20.44 | $19.95 |
Income from investment operations: | ||||
Net investment income (loss) | (0.09 ) (b) | (0.17 ) (b) | (0.07 ) | (0.02 ) |
Net realized and unrealized gain (loss) | 1.41 | 2.93 | (2.93 ) | 0.51 |
Total from investment operations | 1.32 | 2.76 | (3.00 ) | 0.49 |
Net asset value, end of period | $21.52 | $20.20 | $17.44 | $20.44 |
Total return (c) | 6.53 % | 15.83 % | (14.68 )% | 2.46 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $164,609 | $114,123 | $29,654 | $13,285 |
Ratio of total expenses to average net assets | 0.90 % (d) | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.86 )% | (0.89 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is June 18, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $22.61 | $18.79 | $20.96 | $19.87 |
Income from investment operations: | ||||
Net investment income (loss) | (0.10 ) (b) | (0.17 ) (b) | (0.05 ) | (0.03 ) |
Net realized and unrealized gain (loss) | 2.71 | 3.99 | (2.12 ) | 1.12 |
Total from investment operations | 2.61 | 3.82 | (2.17 ) | 1.09 |
Net asset value, end of period | $25.22 | $22.61 | $18.79 | $20.96 |
Total return (c) | 11.54 % | 20.33 % | (10.35 )% | 5.49 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $343,027 | $362,916 | $92,048 | $33,533 |
Ratio of total expenses to average net assets | 0.90 % (d) | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.86 )% | (0.89 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is June 18, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $33.74 | $30.31 | $30.11 | $29.72 |
Income from investment operations: | ||||
Net investment income (loss) | (0.14 ) (b) | (0.26 ) (b) | (0.03 ) | (0.03 ) |
Net realized and unrealized gain (loss) | 2.39 | 3.69 | 0.23 | 0.42 |
Total from investment operations | 2.25 | 3.43 | 0.20 | 0.39 |
Net asset value, end of period | $35.99 | $33.74 | $30.31 | $30.11 |
Total return (c) | 6.67 % | 11.32 % | 0.66 % | 1.31 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $227,617 | $348,400 | $110,647 | $6,023 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is July 12, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.88 | $30.75 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.13 ) | (0.03 ) |
Net realized and unrealized gain (loss) | 2.21 | 0.16 |
Total from investment operations | 2.08 | 0.13 |
Net asset value, end of period | $32.96 | $30.88 |
Total return (c) | 6.74 % | 0.42 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $56,038 | $37,827 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.13 | $29.68 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.13 ) | (0.01 ) |
Net realized and unrealized gain (loss) | 2.06 | 0.46 |
Total from investment operations | 1.93 | 0.45 |
Net asset value, end of period | $32.06 | $30.13 |
Total return (c) | 6.41 % | 1.52 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $17,636 | $35,400 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $19.82 | $17.18 | $19.96 |
Income from investment operations: | |||
Net investment income (loss) | (0.08 ) (b) | (0.16 ) (b) | (0.16 ) |
Net realized and unrealized gain (loss) | 1.27 | 2.80 | (2.62 ) |
Total from investment operations | 1.19 | 2.64 | (2.78 ) |
Net asset value, end of period | $21.01 | $19.82 | $17.18 |
Total return (c) | 6.00 % | 15.37 % | (13.93 )% |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $35,717 | $23,779 | $6,011 |
Ratio of total expenses to average net assets | 0.90 % (d) | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.87 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is September 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $21.97 | $18.02 | $20.19 |
Income from investment operations: | |||
Net investment income (loss) | (0.10 ) (b) | (0.17 ) (b) | (0.16 ) |
Net realized and unrealized gain (loss) | 2.88 | 4.12 | (2.01 ) |
Total from investment operations | 2.78 | 3.95 | (2.17 ) |
Net asset value, end of period | $24.75 | $21.97 | $18.02 |
Total return (c) | 12.65 % | 21.92 % | (10.75 )% |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $253,707 | $109,849 | $24,330 |
Ratio of total expenses to average net assets | 0.90 % (d) | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.87 )% | (0.89 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is September 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $34.36 | $30.19 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.14 ) | (0.26 ) |
Net realized and unrealized gain (loss) | 2.55 | 4.43 |
Total from investment operations | 2.41 | 4.17 |
Net asset value, end of period | $36.77 | $34.36 |
Total return (c) | 7.01 % | 13.81 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $136,033 | $96,219 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.80 )% (d) | (0.84 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is September 21, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $30.33 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.10 ) |
Net realized and unrealized gain (loss) | 2.39 |
Total from investment operations | 2.29 |
Net asset value, end of period | $32.62 |
Total return (c) | 7.55 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $48,110 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is October 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $30.65 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.07 ) |
Net realized and unrealized gain (loss) | 1.60 |
Total from investment operations | 1.53 |
Net asset value, end of period | $32.18 |
Total return (c) | 4.99 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $24,938 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is November 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $21.76 | $18.63 | $21.85 | $20.06 |
Income from investment operations: | ||||
Net investment income (loss) | (0.09 ) (b) | (0.18 ) (b) | (0.18 ) | (0.09 ) |
Net realized and unrealized gain (loss) | 1.38 | 3.31 | (3.04 ) | 1.88 |
Total from investment operations | 1.29 | 3.13 | (3.22 ) | 1.79 |
Net asset value, end of period | $23.05 | $21.76 | $18.63 | $21.85 |
Total return (c) | 5.93 % | 16.80 % | (14.74 )% | 8.92 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $91,033 | $64,192 | $11,177 | $12,016 |
Ratio of total expenses to average net assets | 0.90 % (d) | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.86 )% (d) | (0.87 )% | (0.90 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $22.78 | $19.90 | $22.56 | $19.84 |
Income from investment operations: | ||||
Net investment income (loss) | (0.10 ) (b) | (0.17 ) (b) | (0.20 ) | (0.13 ) |
Net realized and unrealized gain (loss) | 1.95 | 3.05 | (2.46 ) | 2.85 |
Total from investment operations | 1.85 | 2.88 | (2.66 ) | 2.72 |
Net asset value, end of period | $24.63 | $22.78 | $19.90 | $22.56 |
Total return (c) | 8.12 % | 14.47 % | (11.79 )% | 13.71 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $447,018 | $143,521 | $71,629 | $78,952 |
Ratio of total expenses to average net assets | 0.90 % (d) | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.86 )% (d) | (0.86 )% | (0.90 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $33.16 | $28.84 | $30.35 |
Income from investment operations: | |||
Net investment income (loss) | (0.14 ) (b) | (0.25 ) (b) | (0.10 ) |
Net realized and unrealized gain (loss) | 1.99 | 4.57 | (1.41 ) |
Total from investment operations | 1.85 | 4.32 | (1.51 ) |
Net asset value, end of period | $35.01 | $33.16 | $28.84 |
Total return (c) | 5.58 % | 14.98 % | (4.98 )% |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $386,025 | $355,632 | $77,855 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.82 )% | (0.84 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is December 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January – (ticker “XJAN”)(1) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February – (ticker “XFEB”)(2) |
FT Vest International Equity Buffer ETF - March – (ticker “YMAR”) (now known as FT Vest International Equity Moderate Buffer ETF - March) |
FT Vest Nasdaq-100® Buffer ETF - March – (ticker “QMAR”) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March – (ticker “XMAR”) |
FT Vest International Equity Buffer ETF - June – (ticker “YJUN”) |
FT Vest Nasdaq-100® Buffer ETF - June – (ticker “QJUN”) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June – (ticker “XJUN”) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July – (ticker “XJUL”) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August – (ticker “XAUG”) |
FT Vest International Equity Buffer ETF - September – (ticker “YSEP”) |
FT Vest Nasdaq-100® Buffer ETF - September – (ticker “QSPT”) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September – (ticker “XSEP”) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October – (ticker “XOCT”)(3) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November – (ticker “XNOV”)(4) |
FT Vest International Equity Moderate Buffer ETF - December – (ticker “YDEC”) |
FT Vest Nasdaq-100® Buffer ETF - December – (ticker “QDEC”) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December – (ticker “XDEC”) |
(1) | Commenced investment operations on January 19, 2024. |
(2) | Commenced investment operations on February 16, 2024. |
(3) | Commenced investment operations on October 20, 2023. |
(4) | Commenced investment operations on November 17, 2023. |
Taxable Year-End | Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
FT Vest International Equity Buffer ETF - March | 31-Mar-23 | $(50,002 ) | $(3,732,033 ) | $1,610,323 |
FT Vest Nasdaq-100® Buffer ETF - March | 31-Mar-23 | (95,225 ) | (6,157,378 ) | 2,646,897 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March | 31-Mar-23 | — | — | 1,647,629 |
FT Vest International Equity Buffer ETF - June | 30-Jun-23 | (314,914 ) | (4,725,425 ) | (1,344,714 ) |
FT Vest Nasdaq-100® Buffer ETF - June | 30-Jun-23 | (403,878 ) | (14,137,138 ) | 1,990,812 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June | 30-Jun-23 | (636,566 ) | (15,440,201 ) | 1,891,089 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July | 31-Jul-23 | — | — | 68,756 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August | 31-Aug-23 | — | — | 325,348 |
FT Vest International Equity Buffer ETF - September | 30-Sep-22 | (51,046 ) | (2,270,671 ) | (392,925 ) |
FT Vest Nasdaq-100® Buffer ETF - September | 30-Sep-22 | (172,443 ) | (7,397,785 ) | (1,627,993 ) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September | 30-Sep-22 | — | — | (228,367 ) |
FT Vest International Equity Moderate Buffer ETF - December | 31-Dec-22 | — | (2,555,618 ) | 30,120 |
FT Vest Nasdaq-100® Buffer ETF - December | 31-Dec-22 | — | (23,321,603 ) | (1,176,263 ) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December | 31-Dec-22 | — | (9,920,350 ) | 1,052,234 |
Taxable Year End | Non-Expiring Capital Loss Carryforwards | |
FT Vest International Equity Buffer ETF - March | 31-Mar-23 | $3,732,033 |
FT Vest Nasdaq-100® Buffer ETF - March | 31-Mar-23 | 6,157,378 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March | 31-Mar-23 | — |
FT Vest International Equity Buffer ETF - June | 30-Jun-23 | 4,725,425 |
FT Vest Nasdaq-100® Buffer ETF - June | 30-Jun-23 | 14,137,138 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June | 30-Jun-23 | 15,440,201 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July | 31-Jul-23 | — |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August | 31-Aug-23 | — |
FT Vest International Equity Buffer ETF - September | 30-Sep-22 | 2,270,671 |
FT Vest Nasdaq-100® Buffer ETF - September | 30-Sep-22 | 7,397,785 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September | 30-Sep-22 | — |
FT Vest International Equity Moderate Buffer ETF - December | 31-Dec-22 | 2,555,618 |
FT Vest Nasdaq-100® Buffer ETF - December | 31-Dec-22 | 23,321,603 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December | 31-Dec-22 | 9,920,350 |
Taxable Year End | Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | ||
FT Vest International Equity Buffer ETF - March | 31-Mar-23 | $50,002 | $— |
FT Vest Nasdaq-100® Buffer ETF - March | 31-Mar-23 | 95,225 | — |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March | 31-Mar-23 | — | — |
FT Vest International Equity Buffer ETF - June | 30-Jun-23 | 314,914 | — |
FT Vest Nasdaq-100® Buffer ETF - June | 30-Jun-23 | 403,878 | — |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June | 30-Jun-23 | 636,566 | — |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July | 31-Jul-23 | — | — |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August | 31-Aug-23 | — | — |
FT Vest International Equity Buffer ETF - September | 30-Sep-22 | 51,046 | — |
FT Vest Nasdaq-100® Buffer ETF - September | 30-Sep-22 | 172,443 | — |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September | 30-Sep-22 | — | — |
FT Vest International Equity Moderate Buffer ETF - December | 31-Dec-22 | — | — |
FT Vest Nasdaq-100® Buffer ETF - December | 31-Dec-22 | — | — |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December | 31-Dec-22 | — | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January | $83,514,715 | $5,930,948 | $(5,081,504 ) | $849,444 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February | 22,575,419 | 281,209 | (158,394 ) | 122,815 |
FT Vest International Equity Buffer ETF - March | 52,875,276 | 6,701,327 | (3,127,087 ) | 3,574,240 |
FT Vest Nasdaq-100® Buffer ETF - March | 182,762,361 | 72,845,212 | (42,314,348 ) | 30,530,864 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March | 168,807,961 | 69,825,661 | (60,868,891 ) | 8,956,770 |
FT Vest International Equity Buffer ETF - June | 157,239,213 | 13,609,402 | (6,128,061 ) | 7,481,341 |
FT Vest Nasdaq-100® Buffer ETF - June | 304,190,467 | 64,979,620 | (25,911,426 ) | 39,068,194 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June | 220,548,932 | 53,557,610 | (46,336,301 ) | 7,221,309 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July | 52,303,796 | 11,694,451 | (7,921,988 ) | 3,772,463 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August | 17,268,633 | 3,717,807 | (3,338,778 ) | 379,029 |
FT Vest International Equity Buffer ETF - September | 33,348,516 | 3,812,137 | (1,420,156 ) | 2,391,981 |
FT Vest Nasdaq-100® Buffer ETF - September | 229,123,985 | 45,881,624 | (21,130,875 ) | 24,750,749 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September | 128,536,024 | 32,616,743 | (25,032,232 ) | 7,584,511 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October | 46,076,627 | 11,192,573 | (9,135,235 ) | 2,057,338 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November | 23,869,805 | 4,824,235 | (3,738,916 ) | 1,085,319 |
FT Vest International Equity Moderate Buffer ETF - December | 89,040,513 | 4,253,349 | (2,206,314 ) | 2,047,035 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Vest Nasdaq-100® Buffer ETF - December | $429,357,198 | $36,737,996 | $(18,801,189 ) | $17,936,807 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December | 375,631,627 | 69,813,885 | (59,181,127 ) | 10,632,758 |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.9000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.8775 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.8550 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.8325 % |
Fund net assets greater than $10 billion | 0.8100 % |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion | 0.76500 % |
Purchases | Sales | |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January | $— | $13,198,256 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February | — | — |
FT Vest International Equity Buffer ETF - March | — | 36,188,072 |
FT Vest Nasdaq-100® Buffer ETF - March | — | 6,235,425 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - March | — | 99,351,395 |
FT Vest International Equity Buffer ETF - June | — | 6,237,795 |
FT Vest Nasdaq-100® Buffer ETF - June | — | 87,994,320 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - June | — | 145,363,575 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - July | — | 4,039,876 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - August | — | 39,858,123 |
FT Vest International Equity Buffer ETF - September | — | 23,412,048 |
FT Vest Nasdaq-100® Buffer ETF - September | 2,176,320 | 104,959,847 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - September | — | 122,795,500 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October | — | 793,418 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November | — | — |
FT Vest International Equity Moderate Buffer ETF - December | — | 51,954,206 |
FT Vest Nasdaq-100® Buffer ETF - December | — | 97,925,991 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - December | — | 370,760,070 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
XJAN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $97,388,909 | Options contracts written, at value | $13,906,526 |
XFEB | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 25,405,081 | Options contracts written, at value | 2,949,216 |
YMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 56,222,623 | Options contracts written, at value | 840 |
QMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 251,544,213 | Options contracts written, at value | 38,797,547 |
XMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 252,189,584 | Options contracts written, at value | 75,090,888 |
YJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 164,001,730 | Options contracts written, at value | 462,293 |
QJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 356,718,783 | Options contracts written, at value | 15,283,610 |
XJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 276,467,556 | Options contracts written, at value | 49,969,977 |
XJUL | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 65,858,972 | Options contracts written, at value | 10,128,740 |
XAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 21,919,894 | Options contracts written, at value | 4,389,830 |
YSEP | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 35,878,665 | Options contracts written, at value | 455,662 |
QSPT | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 268,507,131 | Options contracts written, at value | 16,470,542 |
XSEP | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 167,770,906 | Options contracts written, at value | 32,659,934 |
XOCT | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 64,210,689 | Options contracts written, at value | 16,447,585 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
XNOV | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $30,777,939 | Options contracts written, at value | $6,041,262 |
YDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 92,076,409 | Options contracts written, at value | 1,956,474 |
QDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 468,958,580 | Options contracts written, at value | 26,006,610 |
XDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 457,942,076 | Options contracts written, at value | 75,361,682 |
Statements of Operations Location | XJAN | XFEB | YMAR | QMAR | XMAR |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $1,007,485 | $— | $2,620,640 | $4,203,575 | $19,640,234 |
Written options contracts | (346,929 ) | — | 1,456,698 | (1,109,357 ) | (6,533,247 ) |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | 4,609,832 | 198,140 | 2,964,191 | 29,624,651 | 21,938,369 |
Written options contracts | (3,760,388 ) | (75,325 ) | (645,103 ) | (19,049,353 ) | (25,600,336 ) |
Statements of Operations Location | YJUN | QJUN | XJUN | XJUL | XAUG |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $458,223 | $8,928,776 | $15,085,610 | $768,200 | $1,775,164 |
Written options contracts | 323,990 | 3,107,911 | 2,574,090 | (151,089 ) | 400,500 |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | 6,343,407 | 34,976,245 | 30,498,400 | 8,752,691 | 2,057,681 |
Written options contracts | 3,528,090 | (3,379,511 ) | (28,682,760 ) | (5,247,511 ) | (2,004,000 ) |
Statements of Operations Location | YSEP | QSPT | XSEP | XOCT | XNOV |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $1,794,580 | $16,835,897 | $12,035,073 | $181,414 | $103,420 |
Written options contracts | 959,684 | 5,696,615 | (5,825,029 ) | (29,909 ) | (142,607 ) |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | (63,323 ) | 12,069,158 | 13,931,230 | 9,486,232 | 3,965,047 |
Written options contracts | (461,080 ) | (6,537,560 ) | (10,069,206 ) | (7,428,894 ) | (2,879,728 ) |
Statements of Operations Location | YDEC | QDEC | XDEC |
Equity Risk Exposure | |||
Net realized gain (loss) on: | |||
Purchased options contracts | $2,539,872 | $44,754,618 | $85,967,523 |
Written options contracts | 2,481,789 | (16,143,413 ) | (41,086,666 ) |
Net change in unrealized appreciation (depreciation) on: | |||
Purchased options contracts | 326,698 | (7,227,103 ) | (19,640,854 ) |
Written options contracts | (2,329,695 ) | 3,562,674 | (3,934,534 ) |
Premiums for purchased options contracts opened | Premiums for purchased options contracts closed, exercised and expired | Premiums for written options contracts opened | Premiums for written options contracts closed, exercised and expired | |
XJAN | $107,205,143 | $14,426,066 | $12,034,505 | $1,888,367 |
XFEB | 25,206,941 | — | 2,873,891 | — |
YMAR | 27,249,720 | 33,650,977 | 296,936 | 1,540,209 |
QMAR | 66,693,270 | 46,809,193 | 6,472,039 | 4,219,054 |
XMAR | 6,510,621 | 110,453,815 | 1,618,060 | 19,409,282 |
YJUN | 56,800,577 | 15,293,057 | 1,195,600 | 506,299 |
QJUN | 70,666,871 | 124,448,019 | 2,726,295 | 6,882,074 |
XJUN | 13,351,020 | 154,125,832 | 906,754 | 21,164,421 |
XJUL | 20,492,416 | 4,773,044 | 1,469,635 | 532,583 |
XAUG | 23,015,998 | 43,460,139 | 2,878,923 | 5,777,679 |
YSEP | 57,591,809 | 45,350,550 | 987,311 | 995,114 |
QSPT | 361,955,747 | 218,858,862 | 15,669,674 | 9,462,150 |
XSEP | 288,964,488 | 251,116,259 | 36,053,962 | 33,469,424 |
XOCT | 55,531,016 | 806,559 | 9,183,338 | 164,647 |
XNOV | 28,652,730 | 1,839,838 | 3,376,042 | 214,508 |
YDEC | 113,016,755 | 85,303,612 | 1,975,951 | 2,584,128 |
QDEC | 590,182,746 | 274,190,914 | 38,004,062 | 25,688,280 |
XDEC | 826,591,104 | 778,729,163 | 117,800,664 | 122,086,436 |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - January (XJAN) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - February (XFEB) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - October (XOCT) |
FT Vest U.S. Equity Enhance & Moderate Buffer ETF - November (XNOV) |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
8350 Broad Street, Suite 240
McLean, VA 22102
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended February 29, 2024 |
FT Vest Fund of Buffer ETFs (BUFR) |
FT Vest Fund of Deep Buffer ETFs (BUFD) |
FT Vest Fund of Nasdaq-100® Buffer ETFs (BUFQ) |
Semi-Annual Report
February 29, 2024
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Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (8/10/20) to 2/29/24 | Inception (8/10/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 8.68% | 20.58% | 9.34% | 37.36% |
Market Price | 8.76% | 20.67% | 9.37% | 37.46% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 14.23% | 60.42% |
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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (1/20/21) to 2/29/24 | Inception (1/20/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.22% | 16.83% | 4.96% | 16.24% |
Market Price | 7.07% | 16.94% | 4.96% | 16.24% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 11.16% | 38.92% |
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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (6/15/22) to 2/29/24 | Inception (6/15/22) to 2/29/24 | |
Fund Performance | ||||
NAV | 9.60% | 29.55% | 20.07% | 36.64% |
Market Price | 9.55% | 29.78% | 20.09% | 36.69% |
Index Performance | ||||
Nasdaq-100 Index® | 16.89% | 51.11% | 30.72% | 57.97% |
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. |
Howard Rubin, Managing Director of Vest
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (a) (b) | |
FT Vest Fund of Buffer ETFs (BUFR) | ||||
Actual | $1,000.00 | $1,086.80 | 0.20% | $1.04 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.87 | 0.20% | $1.01 |
FT Vest Fund of Deep Buffer ETFs (BUFD) | ||||
Actual | $1,000.00 | $1,072.20 | 0.20% | $1.03 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.87 | 0.20% | $1.01 |
FT Vest Fund of Nasdaq-100® Buffer ETFs (BUFQ) | ||||
Actual | $1,000.00 | $1,096.00 | 0.20% | $1.04 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.87 | 0.20% | $1.01 |
(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 (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets (a) — 100.0% | |||||
6,939,400 | FT Vest U.S. Equity Buffer ETF - January (b) | $287,082,978 | |||
6,464,660 | FT Vest U.S. Equity Buffer ETF - February (b) | 287,160,197 | |||
7,429,836 | FT Vest U.S. Equity Buffer ETF - March (b) | 285,751,493 | |||
7,941,799 | FT Vest U.S. Equity Buffer ETF - April (b) | 287,016,616 | |||
6,698,564 | FT Vest U.S. Equity Buffer ETF - May (b) | 286,631,554 | |||
6,223,241 | FT Vest U.S. Equity Buffer ETF - June (b) | 287,264,804 | |||
6,589,107 | FT Vest U.S. Equity Buffer ETF - July (b) | 287,350,956 | |||
6,790,981 | FT Vest U.S. Equity Buffer ETF - August (b) | 287,088,722 | |||
6,862,731 | FT Vest U.S. Equity Buffer ETF - September (b) | 287,402,253 | |||
7,149,274 | FT Vest U.S. Equity Buffer ETF - October (b) | 287,021,188 | |||
6,513,895 | FT Vest U.S. Equity Buffer ETF - November (b) | 287,391,745 | |||
7,084,254 | FT Vest U.S. Equity Buffer ETF - December (b) | 287,904,082 | |||
Total Exchange-Traded Funds | 3,445,066,588 | ||||
(Cost $3,094,078,266) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
1,029,050 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (c) | 1,029,050 | |||
(Cost $1,029,050) | |||||
Total Investments — 100.0% | 3,446,095,638 | ||||
(Cost $3,095,107,316) | |||||
Net Other Assets and Liabilities — (0.0)% | (511,936 ) | ||||
Net Assets — 100.0% | $3,445,583,702 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Money Market Funds | 0.0(1) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange- Traded Funds* | $ 3,445,066,588 | $ 3,445,066,588 | $ — | $ — |
Money Market Funds | 1,029,050 | 1,029,050 | — | — |
Total Investments | $3,446,095,638 | $3,446,095,638 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets (a) — 100.0% | |||||
1,875,139 | FT Vest U.S. Equity Deep Buffer ETF - January (b) | $66,586,186 | |||
1,734,100 | FT Vest U.S. Equity Deep Buffer ETF - February (b) | 66,710,827 | |||
1,940,847 | FT Vest U.S. Equity Deep Buffer ETF - March (b) | 66,580,756 | |||
2,010,864 | FT Vest U.S. Equity Deep Buffer ETF - April (b) | 66,609,870 | |||
1,800,401 | FT Vest U.S. Equity Deep Buffer ETF - May (b) | 66,632,841 | |||
1,704,280 | FT Vest U.S. Equity Deep Buffer ETF - June (b) | 67,367,973 | |||
1,751,481 | FT Vest U.S. Equity Deep Buffer ETF - July (b) | 66,678,882 | |||
1,821,889 | FT Vest U.S. Equity Deep Buffer ETF - August (b) | 66,662,918 | |||
1,783,954 | FT Vest U.S. Equity Deep Buffer ETF - September (b) | 67,255,066 | |||
1,787,316 | FT Vest U.S. Equity Deep Buffer ETF - October (b) | 66,697,807 | |||
1,670,406 | FT Vest U.S. Equity Deep Buffer ETF - November (b) | 66,664,233 | |||
1,805,295 | FT Vest U.S. Equity Deep Buffer ETF - December (b) | 66,736,521 | |||
Total Exchange-Traded Funds | 801,183,880 | ||||
(Cost $728,034,535) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
204,459 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (c) | 204,459 | |||
(Cost $204,459) | |||||
Total Investments — 100.0% | 801,388,339 | ||||
(Cost $728,238,994) | |||||
Net Other Assets and Liabilities — (0.0)% | (124,409 ) | ||||
Net Assets — 100.0% | $801,263,930 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Money Market Funds | 0.0(1) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 801,183,880 | $ 801,183,880 | $ — | $ — |
Money Market Funds | 204,459 | 204,459 | — | — |
Total Investments | $801,388,339 | $801,388,339 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets (a) — 100.0% | |||||
4,366,289 | FT Vest Nasdaq-100® Buffer ETF - March (b) | $113,480,725 | |||
4,625,138 | FT Vest Nasdaq-100® Buffer ETF - June (b) | 116,599,729 | |||
4,709,054 | FT Vest Nasdaq-100® Buffer ETF - September (b) | 116,407,815 | |||
4,721,092 | FT Vest Nasdaq-100® Buffer ETF - December (b) | 116,374,918 | |||
Total Exchange-Traded Funds | 462,863,187 | ||||
(Cost $428,182,200) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
85,723 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (c) | 85,723 | |||
(Cost $85,723) | |||||
Total Investments — 100.0% | 462,948,910 | ||||
(Cost $428,267,923) | |||||
Net Other Assets and Liabilities — (0.0)% | (67,315 ) | ||||
Net Assets — 100.0% | $462,881,595 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Money Market Funds | 0.0(1) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds | $ 462,863,187 | $ 462,863,187 | $ — | $ — |
Money Market Funds | 85,723 | 85,723 | — | — |
Total Investments | $462,948,910 | $462,948,910 | $— | $— |
FT Vest Fund of Buffer ETFs (BUFR) | FT Vest Fund of Deep Buffer ETFs (BUFD) | FT Vest Fund of Nasdaq-100® Buffer ETFs (BUFQ) | |
ASSETS: | |||
Investments, at value - Affiliated | $3,445,066,588 | $801,183,880 | $462,863,187 |
Investments, at value - Unaffiliated | 1,029,050 | 204,459 | 85,723 |
Total investments, at value | 3,446,095,638 | 801,388,339 | 462,948,910 |
Receivables: | |||
Capital shares sold | 28,891,975 | 2,328,452 | 1,393,361 |
Investment securities sold | 1,376,897 | — | — |
Dividends | 1,007 | 216 | 104 |
Total Assets | 3,476,365,517 | 803,717,007 | 464,342,375 |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 28,886,973 | 2,328,192 | 1,393,290 |
Capital shares redeemed | 1,377,132 | — | — |
Investment advisory fees | 517,710 | 124,885 | 67,490 |
Total Liabilities | 30,781,815 | 2,453,077 | 1,460,780 |
NET ASSETS | $3,445,583,702 | $801,263,930 | $462,881,595 |
NET ASSETS consist of: | |||
Paid-in capital | $3,079,623,994 | $724,249,513 | $422,499,671 |
Par value | 1,251,000 | 343,500 | 165,500 |
Accumulated distributable earnings (loss) | 364,708,708 | 76,670,917 | 40,216,424 |
NET ASSETS | $3,445,583,702 | $801,263,930 | $462,881,595 |
NET ASSET VALUE, per share | $27.54 | $23.33 | $27.97 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 125,100,002 | 34,350,002 | 16,550,002 |
Investments, at cost - Affiliated | $3,094,078,266 | $728,034,535 | $428,182,200 |
Investments, at cost - Unaffiliated | $1,029,050 | $204,459 | $85,723 |
Total investments, at cost | $3,095,107,316 | $728,238,994 | $428,267,923 |
FT Vest Fund of Buffer ETFs (BUFR) | FT Vest Fund of Deep Buffer ETFs (BUFD) | FT Vest Fund of Nasdaq-100® Buffer ETFs (BUFQ) | |
INVESTMENT INCOME: | |||
Dividends - Unaffiliated | $6,459 | $1,935 | $2,520 |
Total investment income | 6,459 | 1,935 | 2,520 |
EXPENSES: | |||
Investment advisory fees | 2,535,085 | 708,261 | 299,321 |
Total expenses | 2,535,085 | 708,261 | 299,321 |
NET INVESTMENT INCOME (LOSS) | (2,528,626 ) | (706,326 ) | (296,801 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
Net realized gain (loss) on: | |||
Investments - Affiliated | 77,646 | 29,481 | (8,662 ) |
In-kind redemptions - Affiliated | 18,462,466 | 5,300,039 | 5,922,954 |
Net realized gain (loss) | 18,540,112 | 5,329,520 | 5,914,292 |
Net change in unrealized appreciation (depreciation) on affiliated investments | 239,150,146 | 49,008,457 | 26,487,507 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 257,690,258 | 54,337,977 | 32,401,799 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $255,161,632 | $53,631,651 | $32,104,998 |
FT Vest Fund of Buffer ETFs (BUFR) | FT Vest Fund of Deep Buffer ETFs (BUFD) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(2,528,626 ) | $(1,999,418 ) | $(706,326 ) | $(1,056,312 ) |
Net realized gain (loss) | 18,540,112 | 3,388,639 | 5,329,520 | 2,570,981 |
Net change in unrealized appreciation (depreciation) | 239,150,146 | 143,597,890 | 49,008,457 | 48,164,752 |
Net increase (decrease) in net assets resulting from operations | 255,161,632 | 144,987,111 | 53,631,651 | 49,679,421 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 1,449,039,333 | 1,112,934,160 | 193,134,121 | 224,691,913 |
Cost of shares redeemed | (118,376,215 ) | (126,726,116 ) | (58,993,203 ) | (202,012,465 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 1,330,663,118 | 986,208,044 | 134,140,918 | 22,679,448 |
Total increase (decrease) in net assets | 1,585,824,750 | 1,131,195,155 | 187,772,569 | 72,358,869 |
NET ASSETS: | ||||
Beginning of period | 1,859,758,952 | 728,563,797 | 613,491,361 | 541,132,492 |
End of period | $3,445,583,702 | $1,859,758,952 | $801,263,930 | $613,491,361 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 73,400,002 | 32,800,002 | 28,200,002 | 27,350,002 |
Shares sold | 56,150,000 | 46,200,000 | 8,800,000 | 10,900,000 |
Shares redeemed | (4,450,000 ) | (5,600,000 ) | (2,650,000 ) | (10,050,000 ) |
Shares outstanding, end of period | 125,100,002 | 73,400,002 | 34,350,002 | 28,200,002 |
FT Vest Fund of Nasdaq-100® Buffer ETFs (BUFQ) | |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$(296,801 ) | $(88,451 ) |
5,914,292 | 1,440,224 |
26,487,507 | 8,437,813 |
32,104,998 | 9,789,586 |
307,935,265 | 146,001,731 |
(34,117,134 ) | (9,562,463 ) |
273,818,131 | 136,439,268 |
305,923,129 | 146,228,854 |
156,958,466 | 10,729,612 |
$462,881,595 | $156,958,466 |
6,150,002 | 500,002 |
11,650,000 | 6,050,000 |
(1,250,000 ) | (400,000 ) |
16,550,002 | 6,150,002 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $25.34 | $22.21 | $23.30 | $20.41 | $20.05 |
Income from investment operations: | |||||
Net investment income (loss) | (0.03 ) (b) | (0.05 ) (b) | (0.03 ) | (0.02 ) | 0.00 |
Net realized and unrealized gain (loss) | 2.23 | 3.18 | (1.06 ) | 2.91 | 0.36 |
Total from investment operations | 2.20 | 3.13 | (1.09 ) | 2.89 | 0.36 |
Net asset value, end of period | $27.54 | $25.34 | $22.21 | $23.30 | $20.41 |
Total return (c) | 8.68 % | 14.09 % | (4.68 )% | 14.16 % | 1.80 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $3,445,584 | $1,859,759 | $728,564 | $301,762 | $6,124 |
Ratio of total expenses to average net assets (d) | 0.20 % (e) | 0.20 % | 0.20 % | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | (0.20 )% (e) | (0.20 )% | (0.20 )% | (0.20 )% | (0.20 )% (e) |
Portfolio turnover rate (f) | 1 % | 1 % | 2 % | 1 % | 0 % |
(a) | Inception date is August 10, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $21.76 | $19.79 | $20.92 | $20.07 |
Income from investment operations: | ||||
Net investment income (loss) | (0.02 ) (b) | (0.04 ) (b) | (0.03 ) | (0.01 ) |
Net realized and unrealized gain (loss) | 1.59 | 2.01 | (1.10 ) | 0.86 |
Total from investment operations | 1.57 | 1.97 | (1.13 ) | 0.85 |
Net asset value, end of period | $23.33 | $21.76 | $19.79 | $20.92 |
Total return (c) | 7.22 % | 9.95 % | (5.40 )% | 4.24 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $801,264 | $613,491 | $541,132 | $161,109 |
Ratio of total expenses to average net assets (d) | 0.20 % (e) | 0.20 % | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | (0.20 )% (e) | (0.20 )% | (0.20 )% | (0.20 )% (e) |
Portfolio turnover rate (f) | 1 % | 2 % | 2 % | 6 % |
(a) | Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $25.52 | $21.46 | $20.47 |
Income from investment operations: | |||
Net investment income (loss) | (0.03 ) (b) | (0.05 ) (b) | (0.00 ) (c) |
Net realized and unrealized gain (loss) | 2.48 | 4.11 | 0.99 (d) |
Total from investment operations | 2.45 | 4.06 | 0.99 |
Net asset value, end of period | $27.97 | $25.52 | $21.46 |
Total return (e) | 9.60 % | 18.92 % | 4.84 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $462,882 | $156,958 | $10,730 |
Ratio of total expenses to average net assets (f) | 0.20 % (g) | 0.20 % | 0.20 % (g) |
Ratio of net investment income (loss) to average net assets | (0.20 )% (g) | (0.20 )% | (0.20 )% (g) |
Portfolio turnover rate (h) | 1 % | 1 % | 0 % |
(a) | Inception date is June 15, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(e) | 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. |
(f) | 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. |
(g) | Annualized. |
(h) | 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. |
FT Vest Fund of Buffer ETFs – (ticker “BUFR”) |
FT Vest Fund of Deep Buffer ETFs – (ticker “BUFD”) |
FT Vest Fund of Nasdaq-100® Buffer ETFs – (ticker “BUFQ”) |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
FT Vest U.S. Equity Buffer ETF - January | 6,939,400 | $154,768,256 | $120,954,382 | $(11,897,843 ) | $21,465,442 | $1,792,741 | $287,082,978 | $— |
FT Vest U.S. Equity Buffer ETF - February | 6,464,660 | 154,749,312 | 120,981,600 | (12,817,302 ) | 22,624,449 | 1,622,138 | 287,160,197 | — |
FT Vest U.S. Equity Buffer ETF - March | 7,429,836 | 154,487,544 | 127,175,546 | (11,133,347 ) | 13,585,020 | 1,636,730 | 285,751,493 | — |
FT Vest U.S. Equity Buffer ETF - April | 7,941,799 | 154,813,794 | 122,151,729 | (10,585,662 ) | 19,275,275 | 1,361,480 | 287,016,616 | — |
FT Vest U.S. Equity Buffer ETF - May | 6,698,564 | 154,948,568 | 121,868,223 | (10,386,547 ) | 18,803,010 | 1,398,300 | 286,631,554 | — |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
FT Vest U.S. Equity Buffer ETF - June | 6,223,241 | $154,792,118 | $121,067,662 | $(12,896,461 ) | $22,403,750 | $1,897,735 | $287,264,804 | $— |
FT Vest U.S. Equity Buffer ETF - July | 6,589,107 | 154,811,223 | 121,332,884 | (13,017,924 ) | 22,495,539 | 1,729,234 | 287,350,956 | — |
FT Vest U.S. Equity Buffer ETF - August | 6,790,981 | 154,748,455 | 120,876,450 | (11,170,098 ) | 21,419,727 | 1,214,188 | 287,088,722 | — |
FT Vest U.S. Equity Buffer ETF - September | 6,862,731 | 155,727,967 | 120,899,110 | (10,886,241 ) | 20,116,879 | 1,544,538 | 287,402,253 | — |
FT Vest U.S. Equity Buffer ETF - October | 7,149,274 | 155,503,341 | 127,594,999 | (9,912,096 ) | 12,495,844 | 1,339,100 | 287,021,188 | — |
FT Vest U.S. Equity Buffer ETF - November | 6,513,895 | 155,012,867 | 121,554,696 | (9,968,739 ) | 19,395,676 | 1,397,245 | 287,391,745 | — |
FT Vest U.S. Equity Buffer ETF - December | 7,084,254 | 154,963,692 | 121,219,615 | (14,955,443 ) | 25,069,535 | 1,606,683 | 287,904,082 | — |
$1,859,327,137 | $1,467,676,896 | $(139,627,703 ) | $239,150,146 | $18,540,112 | $3,445,066,588 | $— |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
FT Vest U.S. Equity Deep Buffer ETF - January | 1,875,139 | $51,100,934 | $16,489,901 | $(5,399,015 ) | $4,025,375 | $368,991 | $66,586,186 | $— |
FT Vest U.S. Equity Deep Buffer ETF - February | 1,734,100 | 51,168,188 | 16,202,704 | (5,255,391 ) | 4,218,948 | 376,378 | 66,710,827 | — |
FT Vest U.S. Equity Deep Buffer ETF - March | 1,940,847 | 50,917,842 | 17,553,948 | (5,039,398 ) | 2,766,734 | 381,630 | 66,580,756 | — |
FT Vest U.S. Equity Deep Buffer ETF - April | 2,010,864 | 51,067,233 | 16,432,877 | (5,055,634 ) | 3,891,789 | 273,605 | 66,609,870 | — |
FT Vest U.S. Equity Deep Buffer ETF - May | 1,800,401 | 50,985,116 | 16,366,743 | (4,945,223 ) | 3,817,331 | 408,874 | 66,632,841 | — |
FT Vest U.S. Equity Deep Buffer ETF - June | 1,704,280 | 51,109,687 | 16,492,540 | (5,562,999 ) | 4,784,915 | 543,830 | 67,367,973 | — |
FT Vest U.S. Equity Deep Buffer ETF - July | 1,751,481 | 51,086,841 | 16,683,543 | (6,541,101 ) | 4,926,360 | 523,239 | 66,678,882 | — |
FT Vest U.S. Equity Deep Buffer ETF - August | 1,821,889 | 51,019,257 | 16,207,319 | (5,454,172 ) | 4,562,239 | 328,275 | 66,662,918 | — |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
FT Vest U.S. Equity Deep Buffer ETF - September | 1,783,954 | $51,354,377 | $16,152,204 | $(5,150,121 ) | $4,327,964 | $570,642 | $67,255,066 | $— |
FT Vest U.S. Equity Deep Buffer ETF - October | 1,787,316 | 51,150,795 | 17,218,585 | (4,937,933 ) | 2,739,483 | 526,877 | 66,697,807 | — |
FT Vest U.S. Equity Deep Buffer ETF - November | 1,670,406 | 51,317,246 | 16,067,158 | (5,817,949 ) | 4,580,095 | 517,683 | 66,664,233 | — |
FT Vest U.S. Equity Deep Buffer ETF - December | 1,805,295 | 51,067,285 | 16,336,110 | (5,543,594 ) | 4,367,224 | 509,496 | 66,736,521 | — |
$613,344,801 | $198,203,632 | $(64,702,530 ) | $49,008,457 | $5,329,520 | $801,183,880 | $— |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
FT Vest Nasdaq-100® Buffer ETF - March | 4,366,289 | $39,040,669 | $77,747,609 | $(8,497,619 ) | $3,848,416 | $1,341,650 | $113,480,725 | $— |
FT Vest Nasdaq-100® Buffer ETF - June | 4,625,138 | 39,186,602 | 77,319,580 | (9,989,623 ) | 8,509,237 | 1,573,933 | 116,599,729 | — |
FT Vest Nasdaq-100® Buffer ETF - September | 4,709,054 | 39,645,727 | 77,282,311 | (10,581,353 ) | 8,271,061 | 1,790,069 | 116,407,815 | — |
FT Vest Nasdaq-100® Buffer ETF - December | 4,721,092 | 39,100,627 | 78,826,139 | (8,619,281 ) | 5,858,793 | 1,208,640 | 116,374,918 | — |
$156,973,625 | $311,175,639 | $(37,687,876 ) | $26,487,507 | $5,914,292 | $462,863,187 | $— |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
FT Vest Fund of Buffer ETFs | $(1,513,127 ) | $— | $111,060,203 |
FT Vest Fund of Deep Buffer ETFs | (699,992 ) | — | 23,739,258 |
FT Vest Fund of Nasdaq-100® Buffer ETFs | (79,575 ) | — | 8,191,001 |
Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | |
FT Vest Fund of Buffer ETFs | $1,513,127 | $— |
FT Vest Fund of Deep Buffer ETFs | 699,992 | — |
FT Vest Fund of Nasdaq-100® Buffer ETFs | 79,575 | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Vest Fund of Buffer ETFs | $3,095,107,316 | $350,988,322 | $— | $350,988,322 |
FT Vest Fund of Deep Buffer ETFs | 728,238,994 | 73,149,345 | — | 73,149,345 |
FT Vest Fund of Nasdaq-100® Buffer ETFs | 428,267,923 | 34,680,987 | — | 34,680,987 |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.200 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.195 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.190 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.185 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.180 % |
Fund net assets greater than $15 billion | 0.170 % |
Purchases | Sales | |
FT Vest Fund of Buffer ETFs | $18,618,415 | $21,246,291 |
FT Vest Fund of Deep Buffer ETFs | 5,066,222 | 5,707,460 |
FT Vest Fund of Nasdaq-100® Buffer ETFs | 3,320,936 | 3,573,699 |
Purchases | Sales | |
FT Vest Fund of Buffer ETFs | $1,449,058,481 | $118,381,412 |
FT Vest Fund of Deep Buffer ETFs | 193,137,410 | 58,995,070 |
FT Vest Fund of Nasdaq-100® Buffer ETFs | 307,854,703 | 34,114,177 |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
8350 Broad Street, Suite 240
McLean, VA 22102
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Period Ended February 29, 2024 |
FT Vest U.S. Equity Moderate Buffer ETF - January (GJAN) |
FT Vest U.S. Equity Moderate Buffer ETF - February (GFEB) |
FT Vest U.S. Small Cap Moderate Buffer ETF - February (SFEB) |
FT Vest U.S. Equity Moderate Buffer ETF - March (GMAR) |
FT Vest U.S. Equity Moderate Buffer ETF - April (GAPR) |
FT Vest U.S. Equity Moderate Buffer ETF - May (GMAY) |
FT Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) |
FT Vest U.S. Equity Moderate Buffer ETF - June (GJUN) |
FT Vest U.S. Equity Moderate Buffer ETF - July (GJUL) |
FT Vest U.S. Equity Moderate Buffer ETF - August (GAUG) |
FT Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) |
FT Vest U.S. Equity Buffer & Premium Income ETF - September (XISE) |
FT Vest U.S. Equity Moderate Buffer ETF - September (GSEP) |
FT Vest U.S. Equity Moderate Buffer ETF - October (GOCT) |
FT Vest U.S. Equity Moderate Buffer ETF - November (GNOV) |
FT Vest U.S. Small Cap Moderate Buffer ETF - November (SNOV) |
FT Vest U.S. Equity Buffer & Premium Income ETF - December (XIDE) |
FT Vest U.S. Equity Moderate Buffer ETF - December (GDEC) |
FT Vest Laddered Moderate Buffer ETF (BUFZ) |
Semi-Annual Report
February 29, 2024
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Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (1/20/23) to 2/29/24 | Inception (1/20/23) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.70% | 17.62% | 16.14% | 18.01% |
Market Price | 7.40% | 16.86% | 15.85% | 17.68% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 27.23% | 30.63% |
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. |
* | Prior to January 22, 2024, the Fund’s investment objective included an upside cap of 15.75% and an Outcome Period of January 23, 2023 through January 19, 2024. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (2/17/23) to 2/29/24 | Inception (2/17/23) to 2/29/24 | |
Fund Performance | ||||
NAV | 7.05% | 17.21% | 14.97% | 15.45% |
Market Price | 7.45% | 17.19% | 15.06% | 15.55% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 26.05% | 27.02% |
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. |
* | Prior to February 20, 2024, the Fund’s investment objective included an upside cap of 15.20% and an Outcome Period of February 21, 2023 through February 16, 2024. |
Performance | |
Cumulative Total Returns | |
Inception (2/16/24) to 2/29/24 | |
Fund Performance | |
NAV | 0.56% |
Market Price | 0.76% |
Index Performance | |
Russell 2000® Index | 1.14% |
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 | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (3/17/23) to 2/29/24 | |
Fund Performance | ||
NAV | 5.06% | 14.24% |
Market Price | 5.42% | 14.27% |
Index Performance | ||
S&P 500® Index | 13.93% | 32.08% |
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 | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (4/21/23) to 2/29/24 | |
Fund Performance | ||
NAV | 6.52% | 12.87% |
Market Price | 6.89% | 12.84% |
Index Performance | ||
S&P 500® Index | 13.93% | 25.00% |
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 | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (5/19/23) to 2/29/24 | |
Fund Performance | ||
NAV | 6.80% | 12.08% |
Market Price | 7.07% | 12.04% |
Index Performance | ||
S&P 500® Index | 13.93% | 23.07% |
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 | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (5/19/23) to 2/29/24 | |
Fund Performance | ||
NAV | 6.03% | 11.21% |
Market Price | 6.33% | 11.25% |
Index Performance | ||
Russell 2000® Index | 8.97% | 17.24% |
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 | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (6/16/23) to 2/29/24 | |
Fund Performance | ||
NAV | 7.99% | 10.34% |
Market Price | 8.31% | 10.31% |
Index Performance | ||
S&P 500® Index | 13.93% | 16.83% |
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 | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (7/21/23) to 2/29/24 | |
Fund Performance | ||
NAV | 8.27% | 8.59% |
Market Price | 8.35% | 8.46% |
Index Performance | ||
S&P 500® Index | 13.93% | 13.44% |
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 | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (8/18/23) to 2/29/24 | |
Fund Performance | ||
NAV | 7.81% | 9.74% |
Market Price | 7.63% | 9.74% |
Index Performance | ||
S&P 500® Index | 13.93% | 17.60% |
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 | ||
Cumulative Total Returns | ||
6 Months Ended 2/29/24 | Inception (8/18/23) to 2/29/24 | |
Fund Performance | ||
NAV | 5.77% | 7.47% |
Market Price | 5.77% | 7.47% |
Index Performance | ||
Russell 2000® Index | 8.97% | 11.40% |
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 | |
Cumulative Total Returns | |
Inception (9/15/23) to 2/29/24 | |
Fund Performance | |
NAV | 4.36% |
Market Price | 4.27% |
Index Performance | |
S&P 500® Index | 15.32% |
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 | |
Cumulative Total Returns | |
Inception (9/15/23) to 2/29/24 | |
Fund Performance | |
NAV | 8.29% |
Market Price | 8.23% |
Index Performance | |
S&P 500® Index | 15.32% |
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 | |
Cumulative Total Returns | |
Inception (10/20/23) to 2/29/24 | |
Fund Performance | |
NAV | 9.33% |
Market Price | 9.36% |
Index Performance | |
S&P 500® Index | 21.35% |
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 | |
Cumulative Total Returns | |
Inception (11/17/23) to 2/29/24 | |
Fund Performance | |
NAV | 6.53% |
Market Price | 6.30% |
Index Performance | |
S&P 500® Index | 13.39% |
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 | |
Cumulative Total Returns | |
Inception (11/17/23) to 2/29/24 | |
Fund Performance | |
NAV | 7.06% |
Market Price | 7.11% |
Index Performance | |
Russell 2000® Index | 14.76% |
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 | |
Cumulative Total Returns | |
Inception (12/15/23) to 2/29/24 | |
Fund Performance | |
NAV | 2.06% |
Market Price | 2.06% |
Index Performance | |
S&P 500® Index | 8.31% |
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 | |
Cumulative Total Returns | |
Inception (12/15/23) to 2/29/24 | |
Fund Performance | |
NAV | 4.13% |
Market Price | 3.86% |
Index Performance | |
S&P 500® Index | 8.31% |
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 | |
Cumulative Total Returns | |
Inception (10/25/23) to 2/29/24 | |
Fund Performance | |
NAV | 10.85% |
Market Price | 11.06% |
Index Performance | |
S&P 500® Index | 22.43% |
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. |
Howard Rubin, Managing Director of Vest
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Vest U.S. Equity Moderate Buffer ETF - January (GJAN) | ||||
Actual | $1,000.00 | $1,077.00 | 0.85% | $4.39 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Moderate Buffer ETF - February (GFEB) | ||||
Actual | $1,000.00 | $1,070.50 | 0.85% | $4.38 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Moderate Buffer ETF - March (GMAR) | ||||
Actual | $1,000.00 | $1,050.60 | 0.85% | $4.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Moderate Buffer ETF - April (GAPR) | ||||
Actual | $1,000.00 | $1,065.20 | 0.85% | $4.36 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Moderate Buffer ETF - May (GMAY) | ||||
Actual | $1,000.00 | $1,068.00 | 0.85% | $4.37 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) | ||||
Actual | $1,000.00 | $1,060.30 | 0.90% | $4.61 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
FT Vest U.S. Equity Moderate Buffer ETF - June (GJUN) | ||||
Actual | $1,000.00 | $1,079.90 | 0.85% | $4.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Moderate Buffer ETF - July (GJUL) | ||||
Actual | $1,000.00 | $1,082.70 | 0.85% | $4.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Moderate Buffer ETF - August (GAUG) | ||||
Actual | $1,000.00 | $1,078.10 | 0.85% | $4.39 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) | ||||
Actual | $1,000.00 | $1,057.70 | 0.90% | $4.60 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
Beginning Account Value February 16, 2024 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period February 16, 2024 (b) to February 29, 2024 (c) | |
FT Vest U.S. Small Cap Moderate Buffer ETF - February (SFEB) | ||||
Actual | $1,000.00 | $1,005.60 | 0.90% | $0.35 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
Beginning Account Value September 15, 2023 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period September 15, 2023 (b) to February 29, 2024 (d) | |
FT Vest U.S. Equity Buffer & Premium Income ETF - September (XISE) | ||||
Actual | $1,000.00 | $1,043.60 | 0.85% | $3.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Moderate Buffer ETF - September (GSEP) | ||||
Actual | $1,000.00 | $1,082.90 | 0.85% | $4.06 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value October 20, 2023 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period October 20, 2023 (b) to February 29, 2024 (e) | |
FT Vest U.S. Equity Moderate Buffer ETF - October (GOCT) | ||||
Actual | $1,000.00 | $1,093.30 | 0.85% | $3.23 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value November 17, 2023 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period November 17, 2023 (b) to February 29, 2024 (f) | |
FT Vest U.S. Equity Moderate Buffer ETF - November (GNOV) | ||||
Actual | $1,000.00 | $1,065.30 | 0.85% | $2.52 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Small Cap Moderate Buffer ETF - November (SNOV) | ||||
Actual | $1,000.00 | $1,070.60 | 0.90% | $2.67 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | 0.90% | $4.52 |
Beginning Account Value December 15, 2023 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period December 15, 2023 (b) to February 29, 2024 (g) | |
FT Vest U.S. Equity Buffer & Premium Income ETF - December (XIDE) | ||||
Actual | $1,000.00 | $1,020.60 | 0.85% | $1.81 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
FT Vest U.S. Equity Moderate Buffer ETF - December (GDEC) | ||||
Actual | $1,000.00 | $1,041.30 | 0.85% | $1.83 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
Beginning Account Value October 25, 2023 (b) | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period October 25, 2023 (b) to February 29, 2024 (h) | |
FT Vest Laddered Moderate Buffer ETF (BUFZ) (i) | ||||
Actual | $1,000.00 | $1,108.50 | 0.20% | $0.74 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.87 | 0.20% | $1.01 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
(b) | Inception date. |
(c) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 16, 2024 through February 29, 2024), multiplied by 14/366. Hypothetical expenses are assumed for the most recent six-month period. |
(d) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 15, 2023 through February 29, 2024), multiplied by 168/366. Hypothetical expenses are assumed for the most recent six-month period. |
(e) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (October 20, 2023 through February 29, 2024), multiplied by 133/366. Hypothetical expenses are assumed for the most recent six-month period. |
(f) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (November 17, 2023 through February 29, 2024), multiplied by 105/366. Hypothetical expenses are assumed for the most recent six-month period. |
(g) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (December 15, 2023 through February 29, 2024), multiplied by 77/366. Hypothetical expenses are assumed for the most recent six-month period. |
(h) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (October 25, 2023 through February 29, 2024), multiplied by 128/366. Hypothetical expenses are assumed for the most recent six-month period. |
(i) | Annualized expense ratio and expenses paid during the period do not include fees and expenses of the underlying funds in which the Fund invests. |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
2,948,970 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,948,970 | |||
(Cost $2,948,970) | |||||
Total Investments — 1.1% | 2,948,970 | ||||
(Cost $2,948,970) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.5% | |||||
Call Options Purchased — 100.7% | |||||
5,610 | SPDR® S&P 500® ETF Trust | $285,032,880 | $4.84 | 01/17/25 | 279,899,801 |
(Cost $267,174,024) | |||||
Put Options Purchased — 2.8% | |||||
5,610 | SPDR® S&P 500® ETF Trust | 285,032,880 | 482.45 | 01/17/25 | 7,679,626 |
(Cost $11,952,230) | |||||
Total Purchased Options | 287,579,427 | ||||
(Cost $279,126,254) | |||||
WRITTEN OPTIONS — (4.5)% | |||||
Call Options Written — (3.5)% | |||||
(5,610) | SPDR® S&P 500® ETF Trust | (285,032,880 ) | 544.92 | 01/17/25 | (9,657,023 ) |
(Premiums received $4,516,920) | |||||
Put Options Written — (1.0)% | |||||
(5,610) | SPDR® S&P 500® ETF Trust | (285,032,880 ) | 410.09 | 01/17/25 | (2,857,629 ) |
(Premiums received $5,152,750) | |||||
Total Written Options | (12,514,652 ) | ||||
(Premiums received $9,669,670) | |||||
Net Other Assets and Liabilities — (0.1)% | (163,829 ) | ||||
Net Assets — 100.0% | $277,849,916 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 103.5 |
Written Options | (4.5) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,948,970 | $2,948,970 | $— | $— |
Purchased Options | 287,579,427 | — | 287,579,427 | — |
Total | $290,528,397 | $2,948,970 | $287,579,427 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(12,514,652 ) | $— | $(12,514,652 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
3,281,126 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,281,126 | |||
(Cost $3,281,126) | |||||
Total Investments — 1.0% | 3,281,126 | ||||
(Cost $3,281,126) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.5% | |||||
Call Options Purchased — 98.7% | |||||
6,248 | SPDR® S&P 500® ETF Trust | $317,448,384 | $5.02 | 02/21/25 | 310,681,800 |
(Cost $307,263,566) | |||||
Put Options Purchased — 3.8% | |||||
6,248 | SPDR® S&P 500® ETF Trust | 317,448,384 | 499.53 | 02/21/25 | 11,983,664 |
(Cost $13,111,189) | |||||
Total Purchased Options | 322,665,464 | ||||
(Cost $320,374,755) | |||||
WRITTEN OPTIONS — (3.5)% | |||||
Call Options Written — (2.1)% | |||||
(6,248) | SPDR® S&P 500® ETF Trust | (317,448,384 ) | 569.26 | 02/21/25 | (6,797,824 ) |
(Premiums received $5,867,638) | |||||
Put Options Written — (1.4)% | |||||
(6,248) | SPDR® S&P 500® ETF Trust | (317,448,384 ) | 424.60 | 02/21/25 | (4,348,608 ) |
(Premiums received $4,837,453) | |||||
Total Written Options | (11,146,432 ) | ||||
(Premiums received $10,705,091) | |||||
Net Other Assets and Liabilities — 0.0% | 33,175 | ||||
Net Assets — 100.0% | $314,833,333 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 102.5 |
Written Options | (3.5) |
Net Other Assets and Liabilities | 0.0(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,281,126 | $3,281,126 | $— | $— |
Purchased Options | 322,665,464 | — | 322,665,464 | — |
Total | $325,946,590 | $3,281,126 | $322,665,464 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(11,146,432 ) | $— | $(11,146,432 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
189,704 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $189,704 | |||
(Cost $189,704) | |||||
Total Investments — 1.1% | 189,704 | ||||
(Cost $189,704) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 104.2% | |||||
Call Options Purchased — 98.2% | |||||
833 | iShares Russell 2000 ETF | $16,970,709 | $2.02 | 02/21/25 | 16,572,731 |
(Cost $16,291,485) | |||||
Put Options Purchased — 6.0% | |||||
833 | iShares Russell 2000 ETF | 16,970,709 | 201.66 | 02/21/25 | 1,016,820 |
(Cost $1,135,982) | |||||
Total Purchased Options | 17,589,551 | ||||
(Cost $17,427,467) | |||||
WRITTEN OPTIONS — (5.3)% | |||||
Call Options Written — (3.0)% | |||||
(833) | iShares Russell 2000 ETF | (16,970,709 ) | 240.54 | 02/21/25 | (510,785 ) |
(Premiums received $443,138) | |||||
Put Options Written — (2.3)% | |||||
(833) | iShares Russell 2000 ETF | (16,970,709 ) | 171.41 | 02/21/25 | (379,893 ) |
(Premiums received $429,614) | |||||
Total Written Options | (890,678 ) | ||||
(Premiums received $872,752) | |||||
Net Other Assets and Liabilities — (0.0)% | (2,228 ) | ||||
Net Assets — 100.0% | $16,886,349 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 104.2 |
Written Options | (5.3) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $189,704 | $189,704 | $— | $— |
Purchased Options | 17,589,551 | — | 17,589,551 | — |
Total | $17,779,255 | $189,704 | $17,589,551 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(890,678 ) | $— | $(890,678 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.3% | |||||
236,150 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $236,150 | |||
(Cost $236,150) | |||||
Total Investments — 0.3% | 236,150 | ||||
(Cost $236,150) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 112.9% | |||||
Call Options Purchased — 112.9% | |||||
1,634 | SPDR® S&P 500® ETF Trust | $83,020,272 | $3.92 | 03/15/24 | 82,158,885 |
(Cost $66,950,979) | |||||
Put Options Purchased — 0.0% | |||||
1,634 | SPDR® S&P 500® ETF Trust | 83,020,272 | 390.01 | 03/15/24 | 9,007 |
(Cost $3,653,827) | |||||
Total Purchased Options | 82,167,892 | ||||
(Cost $70,604,806) | |||||
WRITTEN OPTIONS — (13.1)% | |||||
Call Options Written — (13.1)% | |||||
(1,634) | SPDR® S&P 500® ETF Trust | (83,020,272 ) | 449.68 | 03/15/24 | (9,550,504 ) |
(Premiums received $2,334,460) | |||||
Put Options Written — (0.0)% | |||||
(1,634) | SPDR® S&P 500® ETF Trust | (83,020,272 ) | 331.51 | 03/15/24 | (4,260 ) |
(Premiums received $1,150,626) | |||||
Total Written Options | (9,554,764 ) | ||||
(Premiums received $3,485,086) | |||||
Net Other Assets and Liabilities — (0.1)% | (46,900 ) | ||||
Net Assets — 100.0% | $72,802,378 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.3% |
Purchased Options | 112.9 |
Written Options | (13.1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $236,150 | $236,150 | $— | $— |
Purchased Options | 82,167,892 | — | 82,167,892 | — |
Total | $82,404,042 | $236,150 | $82,167,892 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(9,554,764 ) | $— | $(9,554,764 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.4% | |||||
394,562 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $394,562 | |||
(Cost $394,562) | |||||
Total Investments — 0.4% | 394,562 | ||||
(Cost $394,562) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 108.2% | |||||
Call Options Purchased — 108.1% | |||||
2,088 | SPDR® S&P 500® ETF Trust | $106,087,104 | $4.14 | 04/19/24 | 105,031,674 |
(Cost $85,823,866) | |||||
Put Options Purchased — 0.1% | |||||
2,088 | SPDR® S&P 500® ETF Trust | 106,087,104 | 412.22 | 04/19/24 | 67,054 |
(Cost $5,820,672) | |||||
Total Purchased Options | 105,098,728 | ||||
(Cost $91,644,538) | |||||
WRITTEN OPTIONS — (8.5)% | |||||
Call Options Written — (8.5)% | |||||
(2,088) | SPDR® S&P 500® ETF Trust | (106,087,104 ) | 472.69 | 04/19/24 | (8,243,762 ) |
(Premiums received $1,336,208) | |||||
Put Options Written — (0.0)% | |||||
(2,088) | SPDR® S&P 500® ETF Trust | (106,087,104 ) | 350.39 | 04/19/24 | (22,983 ) |
(Premiums received $1,748,748) | |||||
Total Written Options | (8,266,745 ) | ||||
(Premiums received $3,084,956) | |||||
Net Other Assets and Liabilities — (0.1)% | (82,614 ) | ||||
Net Assets — 100.0% | $97,143,931 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.4% |
Purchased Options | 108.2 |
Written Options | (8.5) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $394,562 | $394,562 | $— | $— |
Purchased Options | 105,098,728 | — | 105,098,728 | — |
Total | $105,493,290 | $394,562 | $105,098,728 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(8,266,745 ) | $— | $(8,266,745 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
489,047 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $489,047 | |||
(Cost $489,047) | |||||
Total Investments — 0.5% | 489,047 | ||||
(Cost $489,047) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 107.4% | |||||
Call Options Purchased — 107.3% | |||||
2,304 | SPDR® S&P 500® ETF Trust | $117,061,632 | $4.21 | 05/17/24 | 115,959,106 |
(Cost $96,837,377) | |||||
Put Options Purchased — 0.1% | |||||
2,304 | SPDR® S&P 500® ETF Trust | 117,061,632 | 418.64 | 05/17/24 | 157,687 |
(Cost $4,994,050) | |||||
Total Purchased Options | 116,116,793 | ||||
(Cost $101,831,427) | |||||
WRITTEN OPTIONS — (7.8)% | |||||
Call Options Written — (7.8)% | |||||
(2,304) | SPDR® S&P 500® ETF Trust | (117,061,632 ) | 479.74 | 05/17/24 | (8,381,891 ) |
(Premiums received $2,128,244) | |||||
Put Options Written — (0.0)% | |||||
(2,304) | SPDR® S&P 500® ETF Trust | (117,061,632 ) | 355.83 | 05/17/24 | (52,012 ) |
(Premiums received $1,894,228) | |||||
Total Written Options | (8,433,903 ) | ||||
(Premiums received $4,022,472) | |||||
Net Other Assets and Liabilities — (0.1)% | (69,573 ) | ||||
Net Assets — 100.0% | $108,102,364 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 107.4 |
Written Options | (7.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $489,047 | $489,047 | $— | $— |
Purchased Options | 116,116,793 | — | 116,116,793 | — |
Total | $116,605,840 | $489,047 | $116,116,793 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(8,433,903 ) | $— | $(8,433,903 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
117,229 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $117,229 | |||
(Cost $117,229) | |||||
Total Investments — 0.5% | 117,229 | ||||
(Cost $117,229) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.2% | |||||
Call Options Purchased — 102.7% | |||||
1,254 | iShares Russell 2000 ETF | $25,547,742 | $1.76 | 05/17/24 | 25,234,975 |
(Cost $22,960,716) | |||||
Put Options Purchased — 0.5% | |||||
1,254 | iShares Russell 2000 ETF | 25,547,742 | 176.11 | 05/17/24 | 127,538 |
(Cost $1,192,301) | |||||
Total Purchased Options | 25,362,513 | ||||
(Cost $24,153,017) | |||||
WRITTEN OPTIONS — (3.6)% | |||||
Call Options Written — (3.5)% | |||||
(1,254) | iShares Russell 2000 ETF | (25,547,742 ) | 207.39 | 05/17/24 | (856,908 ) |
(Premiums received $725,457) | |||||
Put Options Written — (0.1)% | |||||
(1,254) | iShares Russell 2000 ETF | (25,547,742 ) | 149.69 | 05/17/24 | (38,782 ) |
(Premiums received $386,937) | |||||
Total Written Options | (895,690 ) | ||||
(Premiums received $1,112,394) | |||||
Net Other Assets and Liabilities — (0.1)% | (17,298 ) | ||||
Net Assets — 100.0% | $24,566,754 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 103.2 |
Written Options | (3.6) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $117,229 | $117,229 | $— | $— |
Purchased Options | 25,362,513 | — | 25,362,513 | — |
Total | $25,479,742 | $117,229 | $25,362,513 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(895,690 ) | $— | $(895,690 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
1,117,914 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,117,914 | |||
(Cost $1,117,914) | |||||
Total Investments — 0.6% | 1,117,914 | ||||
(Cost $1,117,914) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.8% | |||||
Call Options Purchased — 103.4% | |||||
4,097 | SPDR® S&P 500® ETF Trust | $208,160,376 | $4.41 | 06/21/24 | 205,451,767 |
(Cost $177,207,103) | |||||
Put Options Purchased — 0.4% | |||||
4,097 | SPDR® S&P 500® ETF Trust | 208,160,376 | 439.48 | 06/21/24 | 759,149 |
(Cost $9,277,412) | |||||
Total Purchased Options | 206,210,916 | ||||
(Cost $186,484,515) | |||||
WRITTEN OPTIONS — (4.3)% | |||||
Call Options Written — (4.2)% | |||||
(4,097) | SPDR® S&P 500® ETF Trust | (208,160,376 ) | 503.84 | 06/21/24 | (8,260,729 ) |
(Premiums received $2,205,052) | |||||
Put Options Written — (0.1)% | |||||
(4,097) | SPDR® S&P 500® ETF Trust | (208,160,376 ) | 373.56 | 06/21/24 | (265,587 ) |
(Premiums received $3,058,511) | |||||
Total Written Options | (8,526,316 ) | ||||
(Premiums received $5,263,563) | |||||
Net Other Assets and Liabilities — (0.1)% | (162,736 ) | ||||
Net Assets — 100.0% | $198,639,778 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 103.8 |
Written Options | (4.3) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,117,914 | $1,117,914 | $— | $— |
Purchased Options | 206,210,916 | — | 206,210,916 | — |
Total | $207,328,830 | $1,117,914 | $206,210,916 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(8,526,316 ) | $— | $(8,526,316 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
1,806,974 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,806,974 | |||
(Cost $1,806,974) | |||||
Total Investments — 0.6% | 1,806,974 | ||||
(Cost $1,806,974) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.7% | |||||
Call Options Purchased — 102.0% | |||||
6,086 | SPDR® S&P 500® ETF Trust | $309,217,488 | $4.54 | 07/19/24 | 304,715,017 |
(Cost $272,218,369) | |||||
Put Options Purchased — 0.7% | |||||
6,086 | SPDR® S&P 500® ETF Trust | 309,217,488 | 452.20 | 07/19/24 | 2,015,350 |
(Cost $12,468,141) | |||||
Total Purchased Options | 306,730,367 | ||||
(Cost $284,686,510) | |||||
WRITTEN OPTIONS — (3.2)% | |||||
Call Options Written — (3.0)% | |||||
(6,086) | SPDR® S&P 500® ETF Trust | (309,217,488 ) | 516.84 | 07/19/24 | (8,900,382 ) |
(Premiums received $2,578,774) | |||||
Put Options Written — (0.2)% | |||||
(6,086) | SPDR® S&P 500® ETF Trust | (309,217,488 ) | 384.35 | 07/19/24 | (615,343 ) |
(Premiums received $3,687,624) | |||||
Total Written Options | (9,515,725 ) | ||||
(Premiums received $6,266,398) | |||||
Net Other Assets and Liabilities — (0.1)% | (210,759 ) | ||||
Net Assets — 100.0% | $298,810,857 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 102.7 |
Written Options | (3.2) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,806,974 | $1,806,974 | $— | $— |
Purchased Options | 306,730,367 | — | 306,730,367 | — |
Total | $308,537,341 | $1,806,974 | $306,730,367 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(9,515,725 ) | $— | $(9,515,725 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
666,980 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $666,980 | |||
(Cost $666,980) | |||||
Total Investments — 0.7% | 666,980 | ||||
(Cost $666,980) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 105.2% | |||||
Call Options Purchased — 104.5% | |||||
2,125 | SPDR® S&P 500® ETF Trust | $107,967,000 | $4.39 | 08/16/24 | 106,374,506 |
(Cost $92,325,804) | |||||
Put Options Purchased — 0.7% | |||||
2,125 | SPDR® S&P 500® ETF Trust | 107,967,000 | 436.52 | 08/16/24 | 672,364 |
(Cost $4,403,264) | |||||
Total Purchased Options | 107,046,870 | ||||
(Cost $96,729,068) | |||||
WRITTEN OPTIONS — (5.8)% | |||||
Call Options Written — (5.6)% | |||||
(2,125) | SPDR® S&P 500® ETF Trust | (107,967,000 ) | 503.13 | 08/16/24 | (5,636,872 ) |
(Premiums received $1,609,436) | |||||
Put Options Written — (0.2)% | |||||
(2,125) | SPDR® S&P 500® ETF Trust | (107,967,000 ) | 371.05 | 08/16/24 | (237,596 ) |
(Premiums received $1,623,102) | |||||
Total Written Options | (5,874,468 ) | ||||
(Premiums received $3,232,538) | |||||
Net Other Assets and Liabilities — (0.1)% | (67,250 ) | ||||
Net Assets — 100.0% | $101,772,132 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 105.2 |
Written Options | (5.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $666,980 | $666,980 | $— | $— |
Purchased Options | 107,046,870 | — | 107,046,870 | — |
Total | $107,713,850 | $666,980 | $107,046,870 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(5,874,468 ) | $— | $(5,874,468 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
278,323 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $278,323 | |||
(Cost $278,323) | |||||
Total Investments — 0.7% | 278,323 | ||||
(Cost $278,323) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.0% | |||||
Call Options Purchased — 101.1% | |||||
1,998 | iShares Russell 2000 ETF | $40,705,254 | $1.85 | 08/16/24 | 40,087,712 |
(Cost $36,247,998) | |||||
Put Options Purchased — 1.9% | |||||
1,998 | iShares Russell 2000 ETF | 40,705,254 | 184.65 | 08/16/24 | 761,714 |
(Cost $2,311,104) | |||||
Total Purchased Options | 40,849,426 | ||||
(Cost $38,559,102) | |||||
WRITTEN OPTIONS — (3.6)% | |||||
Call Options Written — (3.0)% | |||||
(1,998) | iShares Russell 2000 ETF | (40,705,254 ) | 219.86 | 08/16/24 | (1,219,756 ) |
(Premiums received $536,259) | |||||
Put Options Written — (0.6)% | |||||
(1,998) | iShares Russell 2000 ETF | (40,705,254 ) | 156.95 | 08/16/24 | (229,200 ) |
(Premiums received $741,457) | |||||
Total Written Options | (1,448,956 ) | ||||
(Premiums received $1,277,716) | |||||
Net Other Assets and Liabilities — (0.1)% | (27,397 ) | ||||
Net Assets — 100.0% | $39,651,396 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 103.0 |
Written Options | (3.6) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $278,323 | $278,323 | $— | $— |
Purchased Options | 40,849,426 | — | 40,849,426 | — |
Total | $41,127,749 | $278,323 | $40,849,426 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(1,448,956 ) | $— | $(1,448,956 ) | $— |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. TREASURY BILLS — 4.2% | |||||
$294,400 | U.S. Treasury Bill | (a) | 03/21/24 | $293,536 | |
294,400 | U.S. Treasury Bill | (a) | 04/18/24 | 292,333 | |
294,400 | U.S. Treasury Bill | (a) | 05/16/24 | 291,148 | |
294,400 | U.S. Treasury Bill | (a) | 06/13/24 | 289,965 | |
294,400 | U.S. Treasury Bill | (a) | 07/11/24 | 288,849 | |
294,400 | U.S. Treasury Bill | (a) | 08/08/24 | 287,692 | |
294,400 | U.S. Treasury Bill | (a) | 09/05/24 | 286,675 | |
Total U.S. Treasury Bills | 2,030,198 | ||||
(Cost $2,029,837) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.2% | |||||
600,106 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (b) | 600,106 | |||
(Cost $600,106) | |||||
Total Investments — 5.4% | 2,630,304 | ||||
(Cost $2,629,943) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 112.7% | |||||
Call Options Purchased — 111.7% | |||||
1,088 | SPDR® S&P 500® ETF Trust | $55,279,104 | $0.04 | 09/20/24 | 54,897,775 |
(Cost $47,869,989) | |||||
Put Options Purchased — 1.0% | |||||
1,088 | SPDR® S&P 500® ETF Trust | 55,279,104 | 443.35 | 09/20/24 | 486,330 |
(Cost $2,278,522) | |||||
Total Purchased Options | 55,384,105 | ||||
(Cost $50,148,511) | |||||
WRITTEN OPTIONS — (18.0)% | |||||
Call Options Written — (17.5)% | |||||
(1,088) | SPDR® S&P 500® ETF Trust | (55,279,104 ) | 443.35 | 09/20/24 | (8,573,546 ) |
(Premiums received $4,130,309) | |||||
Put Options Written — (0.5)% | |||||
(1,088) | SPDR® S&P 500® ETF Trust | (55,279,104 ) | 399.01 | 09/20/24 | (252,643 ) |
(Premiums received $1,193,531) | |||||
Total Written Options | (8,826,189 ) | ||||
(Premiums received $5,323,840) | |||||
Net Other Assets and Liabilities — (0.1)% | (30,607 ) | ||||
Net Assets — 100.0% | $49,157,613 |
(a) | Zero coupon security. |
(b) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
U.S. Treasury Bills | 4.2% |
Money Market Funds | 1.2 |
Purchased Options | 112.7 |
Written Options | (18.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Treasury Bills | $2,030,198 | $— | $2,030,198 | $— |
Money Market Funds | 600,106 | 600,106 | — | — |
Total Investments | 2,630,304 | 600,106 | 2,030,198 | — |
Purchased Options | 55,384,105 | — | 55,384,105 | — |
Total | $58,014,409 | $600,106 | $57,414,303 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(8,826,189 ) | $— | $(8,826,189 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
930,605 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $930,605 | |||
(Cost $930,605) | |||||
Total Investments — 0.8% | 930,605 | ||||
(Cost $930,605) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 105.1% | |||||
Call Options Purchased — 104.2% | |||||
2,618 | SPDR® S&P 500® ETF Trust | $133,015,344 | $4.45 | 09/20/24 | 130,977,261 |
(Cost $110,636,818) | |||||
Put Options Purchased — 0.9% | |||||
2,618 | SPDR® S&P 500® ETF Trust | 133,015,344 | 443.39 | 09/20/24 | 1,170,992 |
(Cost $7,023,960) | |||||
Total Purchased Options | 132,148,253 | ||||
(Cost $117,660,778) | |||||
WRITTEN OPTIONS — (5.8)% | |||||
Call Options Written — (5.4)% | |||||
(2,618) | SPDR® S&P 500® ETF Trust | (133,015,344 ) | 508.83 | 09/20/24 | (6,819,354 ) |
(Premiums received $1,185,961) | |||||
Put Options Written — (0.4)% | |||||
(2,618) | SPDR® S&P 500® ETF Trust | (133,015,344 ) | 376.88 | 09/20/24 | (454,759 ) |
(Premiums received $2,597,338) | |||||
Total Written Options | (7,274,113 ) | ||||
(Premiums received $3,783,299) | |||||
Net Other Assets and Liabilities — (0.1)% | (85,286 ) | ||||
Net Assets — 100.0% | $125,719,459 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 105.1 |
Written Options | (5.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $930,605 | $930,605 | $— | $— |
Purchased Options | 132,148,253 | — | 132,148,253 | — |
Total | $133,078,858 | $930,605 | $132,148,253 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(7,274,113 ) | $— | $(7,274,113 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.6% | |||||
1,289,461 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,289,461 | |||
(Cost $1,289,461) | |||||
Total Investments — 1.6% | 1,289,461 | ||||
(Cost $1,289,461) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 109.4% | |||||
Call Options Purchased — 108.6% | |||||
1,746 | SPDR® S&P 500® ETF Trust | $88,710,768 | $4.23 | 10/18/24 | 87,327,060 |
(Cost $74,946,558) | |||||
Put Options Purchased — 0.8% | |||||
1,746 | SPDR® S&P 500® ETF Trust | 88,710,768 | 421.21 | 10/18/24 | 650,728 |
(Cost $4,058,880) | |||||
Total Purchased Options | 87,977,788 | ||||
(Cost $79,005,438) | |||||
WRITTEN OPTIONS — (10.1)% | |||||
Call Options Written — (9.8)% | |||||
(1,746) | SPDR® S&P 500® ETF Trust | (88,710,768 ) | 486.49 | 10/18/24 | (7,859,305 ) |
(Premiums received $1,412,587) | |||||
Put Options Written — (0.3)% | |||||
(1,746) | SPDR® S&P 500® ETF Trust | (88,710,768 ) | 358.03 | 10/18/24 | (277,241 ) |
(Premiums received $1,004,821) | |||||
Total Written Options | (8,136,546 ) | ||||
(Premiums received $2,417,408) | |||||
Net Other Assets and Liabilities — (0.9)% | (714,392 ) | ||||
Net Assets — 100.0% | $80,416,311 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.6% |
Purchased Options | 109.4 |
Written Options | (10.1) |
Net Other Assets and Liabilities | (0.9) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,289,461 | $1,289,461 | $— | $— |
Purchased Options | 87,977,788 | — | 87,977,788 | — |
Total | $89,267,249 | $1,289,461 | $87,977,788 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(8,136,546 ) | $— | $(8,136,546 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
1,466,767 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,466,767 | |||
(Cost $1,466,767) | |||||
Total Investments — 0.9% | 1,466,767 | ||||
(Cost $1,466,767) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 105.6% | |||||
Call Options Purchased — 104.1% | |||||
3,553 | SPDR® S&P 500® ETF Trust | $180,520,824 | $4.53 | 11/15/24 | 177,671,655 |
(Cost $159,442,045) | |||||
Put Options Purchased — 1.5% | |||||
3,553 | SPDR® S&P 500® ETF Trust | 180,520,824 | 450.81 | 11/15/24 | 2,448,263 |
(Cost $6,774,326) | |||||
Total Purchased Options | 180,119,918 | ||||
(Cost $166,216,371) | |||||
WRITTEN OPTIONS — (6.4)% | |||||
Call Options Written — (5.8)% | |||||
(3,553) | SPDR® S&P 500® ETF Trust | (180,520,824 ) | 515.14 | 11/15/24 | (9,928,329 ) |
(Premiums received $3,122,301) | |||||
Put Options Written — (0.6)% | |||||
(3,553) | SPDR® S&P 500® ETF Trust | (180,520,824 ) | 383.19 | 11/15/24 | (927,615 ) |
(Premiums received $2,458,931) | |||||
Total Written Options | (10,855,944 ) | ||||
(Premiums received $5,581,232) | |||||
Net Other Assets and Liabilities — (0.1)% | (111,800 ) | ||||
Net Assets — 100.0% | $170,618,941 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 105.6 |
Written Options | (6.4) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,466,767 | $1,466,767 | $— | $— |
Purchased Options | 180,119,918 | — | 180,119,918 | — |
Total | $181,586,685 | $1,466,767 | $180,119,918 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(10,855,944 ) | $— | $(10,855,944 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
247,497 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $247,497 | |||
(Cost $247,497) | |||||
Total Investments — 0.9% | 247,497 | ||||
(Cost $247,497) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 107.0% | |||||
Call Options Purchased — 104.7% | |||||
1,456 | iShares Russell 2000 ETF | $29,663,088 | $1.78 | 11/15/24 | 29,116,607 |
(Cost $27,104,174) | |||||
Put Options Purchased — 2.3% | |||||
1,456 | iShares Russell 2000 ETF | 29,663,088 | 178.29 | 11/15/24 | 627,161 |
(Cost $1,172,533) | |||||
Total Purchased Options | 29,743,768 | ||||
(Cost $28,276,707) | |||||
WRITTEN OPTIONS — (7.8)% | |||||
Call Options Written — (7.0)% | |||||
(1,456) | iShares Russell 2000 ETF | (29,663,088 ) | 210.24 | 11/15/24 | (1,937,819 ) |
(Premiums received $1,181,529) | |||||
Put Options Written — (0.8)% | |||||
(1,456) | iShares Russell 2000 ETF | (29,663,088 ) | 151.55 | 11/15/24 | (238,053 ) |
(Premiums received $430,463) | |||||
Total Written Options | (2,175,872 ) | ||||
(Premiums received $1,611,992) | |||||
Net Other Assets and Liabilities — (0.1)% | (19,224 ) | ||||
Net Assets — 100.0% | $27,796,169 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 107.0 |
Written Options | (7.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $247,497 | $247,497 | $— | $— |
Purchased Options | 29,743,768 | — | 29,743,768 | — |
Total | $29,991,265 | $247,497 | $29,743,768 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(2,175,872 ) | $— | $(2,175,872 ) | $— |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. TREASURY BILLS — 5.3% | |||||
$131,200 | U.S. Treasury Bill | (a) | 04/02/24 | $130,583 | |
131,200 | U.S. Treasury Bill | (a) | 05/02/24 | 130,010 | |
131,200 | U.S. Treasury Bill | (a) | 05/30/24 | 129,485 | |
131,200 | U.S. Treasury Bill | (a) | 06/13/24 | 129,223 | |
131,200 | U.S. Treasury Bill | (a) | 07/11/24 | 128,726 | |
131,200 | U.S. Treasury Bill | (a) | 08/08/24 | 128,211 | |
131,200 | U.S. Treasury Bill | (a) | 09/05/24 | 127,757 | |
131,200 | U.S. Treasury Bill | (a) | 10/31/24 | 126,812 | |
262,400 | U.S. Treasury Bill | (a) | 11/29/24 | 252,658 | |
Total U.S. Treasury Bills | 1,283,465 | ||||
(Cost $1,284,475) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.5% | |||||
360,375 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (b) | 360,375 | |||
(Cost $360,375) | |||||
Total Investments — 6.8% | 1,643,840 | ||||
(Cost $1,644,850) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 108.0% | |||||
Call Options Purchased — 105.8% | |||||
512 | SPDR® S&P 500® ETF Trust | $26,013,696 | $0.05 | 12/20/24 | 25,804,716 |
(Cost $24,614,743) | |||||
Put Options Purchased — 2.2% | |||||
512 | SPDR® S&P 500® ETF Trust | 26,013,696 | 469.36 | 12/20/24 | 541,455 |
(Cost $838,407) | |||||
Total Purchased Options | 26,346,171 | ||||
(Cost $25,453,150) | |||||
WRITTEN OPTIONS — (14.7)% | |||||
Call Options Written — (13.6)% | |||||
(512) | SPDR® S&P 500® ETF Trust | (26,013,696 ) | 469.36 | 12/20/24 | (3,303,790 ) |
(Premiums received $2,512,229) | |||||
Put Options Written — (1.1)% | |||||
(512) | SPDR® S&P 500® ETF Trust | (26,013,696 ) | 422.43 | 12/20/24 | (278,673 ) |
(Premiums received $433,125) | |||||
Total Written Options | (3,582,463 ) | ||||
(Premiums received $2,945,354) | |||||
Net Other Assets and Liabilities — (0.1)% | (13,455 ) | ||||
Net Assets — 100.0% | $24,394,093 |
(a) | Zero coupon security. |
(b) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
U.S. Treasury Bills | 5.3% |
Money Market Funds | 1.5 |
Purchased Options | 108.0 |
Written Options | (14.7) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Treasury Bills | $1,283,465 | $— | $1,283,465 | $— |
Money Market Funds | 360,375 | 360,375 | — | — |
Total Investments | 1,643,840 | 360,375 | 1,283,465 | — |
Purchased Options | 26,346,171 | — | 26,346,171 | — |
Total | $27,990,011 | $360,375 | $27,629,636 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(3,582,463 ) | $— | $(3,582,463 ) | $— |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
1,745,408 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,745,408 | |||
(Cost $1,745,408) | |||||
Total Investments — 0.9% | 1,745,408 | ||||
(Cost $1,745,408) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 104.4% | |||||
Call Options Purchased — 102.2% | |||||
3,986 | SPDR® S&P 500® ETF Trust | $202,520,688 | $4.71 | 12/20/24 | 199,112,512 |
(Cost $185,710,766) | |||||
Put Options Purchased — 2.2% | |||||
3,986 | SPDR® S&P 500® ETF Trust | 202,520,688 | 469.35 | 12/20/24 | 4,214,671 |
(Cost $7,937,756) | |||||
Total Purchased Options | 203,327,183 | ||||
(Cost $193,648,522) | |||||
WRITTEN OPTIONS — (5.2)% | |||||
Call Options Written — (4.4)% | |||||
(3,986) | SPDR® S&P 500® ETF Trust | (202,520,688 ) | 531.82 | 12/20/24 | (8,640,841 ) |
(Premiums received $4,115,732) | |||||
Put Options Written — (0.8)% | |||||
(3,986) | SPDR® S&P 500® ETF Trust | (202,520,688 ) | 398.95 | 12/20/24 | (1,593,622 ) |
(Premiums received $2,984,040) | |||||
Total Written Options | (10,234,463 ) | ||||
(Premiums received $7,099,772) | |||||
Net Other Assets and Liabilities — (0.1)% | (125,628 ) | ||||
Net Assets — 100.0% | $194,712,500 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 104.4 |
Written Options | (5.2) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,745,408 | $1,745,408 | $— | $— |
Purchased Options | 203,327,183 | — | 203,327,183 | — |
Total | $205,072,591 | $1,745,408 | $203,327,183 | $— |
LIABILITIES TABLE | ||||
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(10,234,463 ) | $— | $(10,234,463 ) | $— |
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets (a) — 100.0% | |||||
116,250 | FT Vest U.S. Equity Moderate Buffer ETF - January (b) | $4,122,225 | |||
121,947 | FT Vest U.S. Equity Moderate Buffer ETF - February (b) | 4,131,564 | |||
120,661 | FT Vest U.S. Equity Moderate Buffer ETF - March (b) | 4,089,201 | |||
122,403 | FT Vest U.S. Equity Moderate Buffer ETF - April (b) | 4,099,264 | |||
121,498 | FT Vest U.S. Equity Moderate Buffer ETF - May (b) | 4,102,915 | |||
125,247 | FT Vest U.S. Equity Moderate Buffer ETF - June (b) | 4,126,889 | |||
123,824 | FT Vest U.S. Equity Moderate Buffer ETF - July (b) | 4,129,530 | |||
126,571 | FT Vest U.S. Equity Moderate Buffer ETF - August (b) | 4,124,354 | |||
126,358 | FT Vest U.S. Equity Moderate Buffer ETF - September (b) | 4,122,834 | |||
124,029 | FT Vest U.S. Equity Moderate Buffer ETF - October (b) | 4,113,980 | |||
126,219 | FT Vest U.S. Equity Moderate Buffer ETF - November (b) | 4,112,215 | |||
132,214 | FT Vest U.S. Equity Moderate Buffer ETF - December (b) | 4,127,391 | |||
Total Exchange-Traded Funds | 49,402,362 | ||||
(Cost $49,057,424) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
21,223 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (c) | 21,223 | |||
(Cost $21,223) | |||||
Total Investments — 100.0% | 49,423,585 | ||||
(Cost $49,078,647) | |||||
Net Other Assets and Liabilities — (0.0)% | (5,285 ) | ||||
Net Assets — 100.0% | $49,418,300 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of February 29, 2024. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Money Market Funds | 0.0(1) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 49,402,362 | $ 49,402,362 | $ — | $ — |
Money Market Funds | 21,223 | 21,223 | — | — |
Total Investments | $49,423,585 | $49,423,585 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
FT Vest U.S. Equity Moderate Buffer ETF - January (GJAN) | FT Vest U.S. Equity Moderate Buffer ETF - February (GFEB) | FT Vest U.S. Small Cap Moderate Buffer ETF - February (SFEB) | FT Vest U.S. Equity Moderate Buffer ETF - March (GMAR) | |
ASSETS: | ||||
Investments, at value - Unaffiliated | $2,948,970 | $3,281,126 | $189,704 | $236,150 |
Investments, at value - Affiliated | — | — | — | — |
Total investments, at value | 2,948,970 | 3,281,126 | 189,704 | 236,150 |
Options contracts purchased, at value | 287,579,427 | 322,665,464 | 17,589,551 | 82,167,892 |
Receivables: | ||||
Dividends | 11,474 | 4,285 | 54 | 998 |
Investment securities sold | — | 388,343 | — | — |
Capital shares sold | — | 11,003,372 | — | — |
Total Assets | 290,539,871 | 337,342,590 | 17,779,309 | 82,405,040 |
LIABILITIES: | ||||
Options contracts written, at value | 12,514,652 | 11,146,432 | 890,678 | 9,554,764 |
Payables: | ||||
Investment advisory fees | 175,303 | 104,085 | 2,282 | 47,898 |
Investment securities purchased | — | 11,258,740 | — | — |
Capital shares redeemed | — | — | — | — |
Total Liabilities | 12,689,955 | 22,509,257 | 892,960 | 9,602,662 |
NET ASSETS | $277,849,916 | $314,833,333 | $16,886,349 | $72,802,378 |
NET ASSETS consist of: | ||||
Paid-in capital | $252,108,837 | $286,085,989 | $16,735,919 | $60,902,941 |
Par value | 78,250 | 93,000 | 8,500 | 21,500 |
Accumulated distributable earnings (loss) | 25,662,829 | 28,654,344 | 141,930 | 11,877,937 |
NET ASSETS | $277,849,916 | $314,833,333 | $16,886,349 | $72,802,378 |
NET ASSET VALUE, per share | $35.51 | $33.85 | $19.87 | $33.86 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 7,825,002 | 9,300,002 | 850,002 | 2,150,002 |
Investments, at cost - Unaffiliated | $2,948,970 | $3,281,126 | $189,704 | $236,150 |
Investments, at cost - Affiliated | $— | $— | $— | $— |
Total investments, at cost | $2,948,970 | $3,281,126 | $189,704 | $236,150 |
Premiums paid on options contracts purchased | $279,126,254 | $320,374,755 | $17,427,467 | $70,604,806 |
Premiums received on options contracts written | $9,669,670 | $10,705,091 | $872,752 | $3,485,086 |
FT Vest U.S. Equity Moderate Buffer ETF - April (GAPR) | FT Vest U.S. Equity Moderate Buffer ETF - May (GMAY) | FT Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) | FT Vest U.S. Equity Moderate Buffer ETF - June (GJUN) | FT Vest U.S. Equity Moderate Buffer ETF - July (GJUL) | FT Vest U.S. Equity Moderate Buffer ETF - August (GAUG) |
$394,562 | $489,047 | $117,229 | $1,117,914 | $1,806,974 | $666,980 |
— | — | — | — | — | — |
394,562 | 489,047 | 117,229 | 1,117,914 | 1,806,974 | 666,980 |
105,098,728 | 116,116,793 | 25,362,513 | 206,210,916 | 306,730,367 | 107,046,870 |
587 | 689 | 167 | 2,090 | 2,110 | 759 |
3,624,094 | — | — | — | — | — |
— | — | — | — | — | — |
109,117,971 | 116,606,529 | 25,479,909 | 207,330,920 | 308,539,451 | 107,714,609 |
8,266,745 | 8,433,903 | 895,690 | 8,526,316 | 9,515,725 | 5,874,468 |
72,447 | 70,262 | 17,465 | 164,826 | 212,869 | 68,009 |
285,060 | — | — | — | — | — |
3,349,788 | — | — | — | — | — |
11,974,040 | 8,504,165 | 913,155 | 8,691,142 | 9,728,594 | 5,942,477 |
$97,143,931 | $108,102,364 | $24,566,754 | $198,639,778 | $298,810,857 | $101,772,132 |
$76,868,777 | $95,748,928 | $22,614,559 | $169,787,122 | $273,121,325 | $92,325,041 |
29,000 | 32,000 | 11,000 | 60,250 | 89,500 | 31,250 |
20,246,154 | 12,321,436 | 1,941,195 | 28,792,406 | 25,600,032 | 9,415,841 |
$97,143,931 | $108,102,364 | $24,566,754 | $198,639,778 | $298,810,857 | $101,772,132 |
$33.50 | $33.78 | $22.33 | $32.97 | $33.39 | $32.57 |
2,900,002 | 3,200,002 | 1,100,002 | 6,025,002 | 8,950,002 | 3,125,002 |
$394,562 | $489,047 | $117,229 | $1,117,914 | $1,806,974 | $666,980 |
$— | $— | $— | $— | $— | $— |
$394,562 | $489,047 | $117,229 | $1,117,914 | $1,806,974 | $666,980 |
$91,644,538 | $101,831,427 | $24,153,017 | $186,484,515 | $284,686,510 | $96,729,068 |
$3,084,956 | $4,022,472 | $1,112,394 | $5,263,563 | $6,266,398 | $3,232,538 |
FT Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) | FT Vest U.S. Equity Buffer & Premium Income ETF - September (XISE) | FT Vest U.S. Equity Moderate Buffer ETF - September (GSEP) | FT Vest U.S. Equity Moderate Buffer ETF - October (GOCT) | |
ASSETS: | ||||
Investments, at value - Unaffiliated | $278,323 | $2,630,304 | $930,605 | $1,289,461 |
Investments, at value - Affiliated | — | — | — | — |
Total investments, at value | 278,323 | 2,630,304 | 930,605 | 1,289,461 |
Options contracts purchased, at value | 40,849,426 | 55,384,105 | 132,148,253 | 87,977,788 |
Receivables: | ||||
Dividends | 317 | 386 | 1,793 | 1,505 |
Investment securities sold | — | — | — | 91,605,737 |
Capital shares sold | — | — | — | — |
Total Assets | 41,128,066 | 58,014,795 | 133,080,651 | 180,874,491 |
LIABILITIES: | ||||
Options contracts written, at value | 1,448,956 | 8,826,189 | 7,274,113 | 8,136,546 |
Payables: | ||||
Investment advisory fees | 27,714 | 30,993 | 87,079 | 117,183 |
Investment securities purchased | — | — | — | 8,472,073 |
Capital shares redeemed | — | — | — | 83,732,378 |
Total Liabilities | 1,476,670 | 8,857,182 | 7,361,192 | 100,458,180 |
NET ASSETS | $39,651,396 | $49,157,613 | $125,719,459 | $80,416,311 |
NET ASSETS consist of: | ||||
Paid-in capital | $36,783,740 | $48,345,994 | $113,432,763 | $66,129,928 |
Par value | 18,500 | 16,000 | 38,500 | 24,250 |
Accumulated distributable earnings (loss) | 2,849,156 | 795,619 | 12,248,196 | 14,262,133 |
NET ASSETS | $39,651,396 | $49,157,613 | $125,719,459 | $80,416,311 |
NET ASSET VALUE, per share | $21.43 | $30.72 | $32.65 | $33.16 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,850,002 | 1,600,002 | 3,850,002 | 2,425,002 |
Investments, at cost - Unaffiliated | $278,323 | $2,629,943 | $930,605 | $1,289,461 |
Investments, at cost - Affiliated | $— | $— | $— | $— |
Total investments, at cost | $278,323 | $2,629,943 | $930,605 | $1,289,461 |
Premiums paid on options contracts purchased | $38,559,102 | $50,148,511 | $117,660,778 | $79,005,438 |
Premiums received on options contracts written | $1,277,716 | $5,323,840 | $3,783,299 | $2,417,408 |
FT Vest U.S. Equity Moderate Buffer ETF - November (GNOV) | FT Vest U.S. Small Cap Moderate Buffer ETF - November (SNOV) | FT Vest U.S. Equity Buffer & Premium Income ETF - December (XIDE) | FT Vest U.S. Equity Moderate Buffer ETF - December (GDEC) | FT Vest Laddered Moderate Buffer ETF (BUFZ) |
$1,466,767 | $247,497 | $1,643,840 | $1,745,408 | $21,223 |
— | — | — | — | 49,402,362 |
1,466,767 | 247,497 | 1,643,840 | 1,745,408 | 49,423,585 |
180,119,918 | 29,743,768 | 26,346,171 | 203,327,183 | — |
1,658 | 282 | 280 | 498 | 6 |
— | — | — | — | — |
— | — | 44 | — | 3,290,359 |
181,588,343 | 29,991,547 | 27,990,335 | 205,073,089 | 52,713,950 |
10,855,944 | 2,175,872 | 3,582,463 | 10,234,463 | — |
113,458 | 19,506 | 13,779 | 126,126 | 6,400 |
— | — | — | — | 3,289,250 |
— | — | — | — | — |
10,969,402 | 2,195,378 | 3,596,242 | 10,360,589 | 3,295,650 |
$170,618,941 | $27,796,169 | $24,394,093 | $194,712,500 | $49,418,300 |
$161,177,720 | $26,764,527 | $24,224,003 | $188,239,092 | $47,868,138 |
52,250 | 13,000 | 8,000 | 62,250 | 22,500 |
9,388,971 | 1,018,642 | 162,090 | 6,411,158 | 1,527,662 |
$170,618,941 | $27,796,169 | $24,394,093 | $194,712,500 | $49,418,300 |
$32.65 | $21.38 | $30.49 | $31.28 | $21.96 |
5,225,002 | 1,300,002 | 800,002 | 6,225,002 | 2,250,002 |
$1,466,767 | $247,497 | $1,644,850 | $1,745,408 | $21,223 |
$— | $— | $— | $— | $49,057,424 |
$1,466,767 | $247,497 | $1,644,850 | $1,745,408 | $49,078,647 |
$166,216,371 | $28,276,707 | $25,453,150 | $193,648,522 | $— |
$5,581,232 | $1,611,992 | $2,945,354 | $7,099,772 | $— |
FT Vest U.S. Equity Moderate Buffer ETF - January (GJAN) | FT Vest U.S. Equity Moderate Buffer ETF - February (GFEB) | FT Vest U.S. Small Cap Moderate Buffer ETF - February (SFEB) (a) | FT Vest U.S. Equity Moderate Buffer ETF - March (GMAR) | |
INVESTMENT INCOME: | ||||
Dividends - Unaffiliated | $26,736 | $24,010 | $54 | $14,372 |
Interest | — | — | — | — |
Total investment income | 26,736 | 24,010 | 54 | 14,372 |
EXPENSES: | ||||
Investment advisory fees | 645,641 | 709,364 | 2,282 | 364,548 |
Total expenses | 645,641 | 709,364 | 2,282 | 364,548 |
NET INVESTMENT INCOME (LOSS) | (618,905 ) | (685,354 ) | (2,228 ) | (350,176 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments - Unaffiliated | — | — | — | — |
Investments - Affiliated | — | — | — | — |
In-kind redemptions - Affiliated | — | — | — | — |
Purchased options contracts | (164,656 ) | (5,961,521 ) | — | 164,121 |
Written options contracts | (3,645,227 ) | (6,290,142 ) | — | (20,727 ) |
In-kind redemptions - Purchased options contracts | 19,754,813 | 34,815,346 | — | 4,101,399 |
In-kind redemptions - Written options contracts | 1,525,033 | 3,386,585 | — | 538,093 |
Net realized gain (loss) | 17,469,963 | 25,950,268 | — | 4,782,886 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments - Unaffiliated | — | — | — | — |
Investments - Affiliated | — | — | — | — |
Purchased options contracts | (963,489 ) | (12,310,403 ) | 162,084 | 3,777,215 |
Written options contracts | (3,574,003 ) | (2,322,224 ) | (17,926 ) | (4,573,257 ) |
Net change in unrealized appreciation (depreciation) | (4,537,492 ) | (14,632,627 ) | 144,158 | (796,042 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 12,932,471 | 11,317,641 | 144,158 | 3,986,844 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $12,313,566 | $10,632,287 | $141,930 | $3,636,668 |
(a) | Inception date is February 16, 2024, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest U.S. Equity Moderate Buffer ETF - April (GAPR) | FT Vest U.S. Equity Moderate Buffer ETF - May (GMAY) | FT Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) | FT Vest U.S. Equity Moderate Buffer ETF - June (GJUN) | FT Vest U.S. Equity Moderate Buffer ETF - July (GJUL) | FT Vest U.S. Equity Moderate Buffer ETF - August (GAUG) |
$587 | $689 | $167 | $2,090 | $2,110 | $759 |
— | — | — | — | — | — |
587 | 689 | 167 | 2,090 | 2,110 | 759 |
581,458 | 463,660 | 123,131 | 1,276,999 | 1,131,986 | 428,349 |
581,458 | 463,660 | 123,131 | 1,276,999 | 1,131,986 | 428,349 |
(580,871 ) | (462,971 ) | (122,964 ) | (1,274,909 ) | (1,129,876 ) | (427,590 ) |
— | — | — | — | — | — |
— | — | — | — | — | — |
— | — | — | — | — | — |
670,546 | 107,360 | (11,175 ) | 722,586 | 17,560 | — |
57,152 | (27,886 ) | 102,166 | 211,597 | (3,711 ) | — |
7,906,911 | 1,970,933 | 245,178 | 11,731,392 | 6,833,320 | 2,045,357 |
217,547 | 80,966 | 352,479 | 1,413,846 | 1,195,407 | 122,202 |
8,852,156 | 2,131,373 | 688,648 | 14,079,421 | 8,042,576 | 2,167,559 |
— | — | — | — | — | — |
— | — | — | — | — | — |
4,911,020 | 9,650,378 | 1,125,165 | 13,844,442 | 22,208,905 | 9,619,905 |
(4,905,565 ) | (4,185,429 ) | (317,532 ) | (4,873,202 ) | (4,164,920 ) | (2,582,238 ) |
5,455 | 5,464,949 | 807,633 | 8,971,240 | 18,043,985 | 7,037,667 |
8,857,611 | 7,596,322 | 1,496,281 | 23,050,661 | 26,086,561 | 9,205,226 |
$8,276,740 | $7,133,351 | $1,373,317 | $21,775,752 | $24,956,685 | $8,777,636 |
FT Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) | FT Vest U.S. Equity Buffer & Premium Income ETF - September (XISE) (b) | FT Vest U.S. Equity Moderate Buffer ETF - September (GSEP) (b) | FT Vest U.S. Equity Moderate Buffer ETF - October (GOCT) (c) | |
INVESTMENT INCOME: | ||||
Dividends - Unaffiliated | $317 | $386 | $1,793 | $1,505 |
Interest | — | 44,299 | — | — |
Total investment income | 317 | 44,685 | 1,793 | 1,505 |
EXPENSES: | ||||
Investment advisory fees | 132,072 | 124,615 | 436,315 | 515,938 |
Total expenses | 132,072 | 124,615 | 436,315 | 515,938 |
NET INVESTMENT INCOME (LOSS) | (131,755 ) | (79,930 ) | (434,522 ) | (514,433 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments - Unaffiliated | — | (83 ) | — | — |
Investments - Affiliated | — | — | — | — |
In-kind redemptions - Affiliated | — | — | — | — |
Purchased options contracts | — | 246,006 | 420,663 | 217,200 |
Written options contracts | — | (202,378 ) | (104,120 ) | (83,811 ) |
In-kind redemptions - Purchased options contracts | 739,885 | — | 1,270,613 | 17,861,951 |
In-kind redemptions - Written options contracts | 121,942 | — | 98,901 | (6,471,986 ) |
Net realized gain (loss) | 861,827 | 43,545 | 1,686,057 | 11,523,354 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments - Unaffiliated | — | 361 | — | — |
Investments - Affiliated | — | — | — | — |
Purchased options contracts | 2,100,306 | 5,235,594 | 14,487,475 | 8,972,350 |
Written options contracts | (204,235 ) | (3,502,349 ) | (3,490,814 ) | (5,719,138 ) |
Net change in unrealized appreciation (depreciation) | 1,896,071 | 1,733,606 | 10,996,661 | 3,253,212 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,757,898 | 1,777,151 | 12,682,718 | 14,776,566 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $2,626,143 | $1,697,221 | $12,248,196 | $14,262,133 |
(b) | Inception date is September 15, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(c) | Inception date is October 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(d) | Inception date is November 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(e) | Inception date is December 15, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(f) | Inception date is October 25, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest U.S. Equity Moderate Buffer ETF - November (GNOV) (d) | FT Vest U.S. Small Cap Moderate Buffer ETF - November (SNOV) (d) | FT Vest U.S. Equity Buffer & Premium Income ETF - December (XIDE) (e) | FT Vest U.S. Equity Moderate Buffer ETF - December (GDEC) (e) | FT Vest Laddered Moderate Buffer ETF (BUFZ) (f) |
$1,658 | $282 | $280 | $498 | $6 |
— | — | 7,363 | — | — |
1,658 | 282 | 7,643 | 498 | 6 |
360,941 | 47,392 | 20,845 | 253,822 | 13,602 |
360,941 | 47,392 | 20,845 | 253,822 | 13,602 |
(359,283 ) | (47,110 ) | (13,202 ) | (253,324 ) | (13,596 ) |
— | — | — | — | — |
— | — | — | — | 438 |
— | — | — | — | 1,195,882 |
— | — | — | — | — |
— | — | — | — | — |
1,168,638 | 124,845 | — | 104,847 | — |
(49,219 ) | 37,726 | — | 15,665 | — |
1,119,419 | 162,571 | — | 120,512 | 1,196,320 |
— | — | (1,010 ) | — | — |
— | — | — | — | 344,938 |
13,903,547 | 1,467,061 | 893,021 | 9,678,661 | — |
(5,274,712 ) | (563,880 ) | (637,109 ) | (3,134,691 ) | — |
8,628,835 | 903,181 | 254,902 | 6,543,970 | 344,938 |
9,748,254 | 1,065,752 | 254,902 | 6,664,482 | 1,541,258 |
$9,388,971 | $1,018,642 | $241,700 | $6,411,158 | $1,527,662 |
FT Vest U.S. Equity Moderate Buffer ETF - January (GJAN) | FT Vest U.S. Equity Moderate Buffer ETF - February (GFEB) | |||
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (b) | |
OPERATIONS: | ||||
Net investment income (loss) | $(618,905 ) | $(773,841 ) | $(685,354 ) | $(828,818 ) |
Net realized gain (loss) | 17,469,963 | 3,965,991 | 25,950,268 | 2,359,216 |
Net change in unrealized appreciation (depreciation) | (4,537,492 ) | 10,145,683 | (14,632,627 ) | 16,481,995 |
Net increase (decrease) in net assets resulting from operations | 12,313,566 | 13,337,833 | 10,632,287 | 18,012,393 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | — | — | — | — |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 265,747,706 | 184,329,885 | 317,067,584 | 206,986,953 |
Cost of shares redeemed | (141,978,480 ) | (55,900,594 ) | (214,447,556 ) | (23,418,328 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 123,769,226 | 128,429,291 | 102,620,028 | 183,568,625 |
Total increase (decrease) in net assets | 136,082,792 | 141,767,124 | 113,252,315 | 201,581,018 |
NET ASSETS: | ||||
Beginning of period | 141,767,124 | — | 201,581,018 | — |
End of period | $277,849,916 | $141,767,124 | $314,833,333 | $201,581,018 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 4,300,002 | — | 6,375,002 | — |
Shares sold | 7,650,000 | 6,050,002 | 9,425,000 | 7,125,002 |
Shares redeemed | (4,125,000 ) | (1,750,000 ) | (6,500,000 ) | (750,000 ) |
Shares outstanding, end of period | 7,825,002 | 4,300,002 | 9,300,002 | 6,375,002 |
(a) | Inception date is January 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Inception date is February 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(c) | Inception date is February 16, 2024, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(d) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(e) | Inception date is April 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest U.S. Small Cap Moderate Buffer ETF - February (SFEB) | FT Vest U.S. Equity Moderate Buffer ETF - March (GMAR) | FT Vest U.S. Equity Moderate Buffer ETF - April (GAPR) | ||
Period Ended 2/29/2024 (c) (Unaudited) | Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (d) | Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (e) |
$(2,228 ) | $(350,176 ) | $(433,194 ) | $(580,871 ) | $(541,800 ) |
— | 4,782,886 | 2,372,129 | 8,852,156 | 4,230,665 |
144,158 | (796,042 ) | 6,289,450 | 5,455 | 8,266,946 |
141,930 | 3,636,668 | 8,228,385 | 8,276,740 | 11,955,811 |
— | — | — | — | — |
16,744,419 | 4,229,050 | 128,577,486 | 12,554,788 | 239,734,664 |
— | (50,297,210 ) | (21,572,001 ) | (89,589,241 ) | (85,788,831 ) |
16,744,419 | (46,068,160 ) | 107,005,485 | (77,034,453 ) | 153,945,833 |
16,886,349 | (42,431,492 ) | 115,233,870 | (68,757,713 ) | 165,901,644 |
— | 115,233,870 | — | 165,901,644 | — |
$16,886,349 | $72,802,378 | $115,233,870 | $97,143,931 | $165,901,644 |
— | 3,575,002 | — | 5,275,002 | — |
850,002 | 125,000 | 4,250,002 | 400,000 | 8,025,002 |
— | (1,550,000 ) | (675,000 ) | (2,775,000 ) | (2,750,000 ) |
850,002 | 2,150,002 | 3,575,002 | 2,900,002 | 5,275,002 |
FT Vest U.S. Equity Moderate Buffer ETF - May (GMAY) | FT Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) | |||
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (f) | Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (f) | |
OPERATIONS: | ||||
Net investment income (loss) | $(462,971 ) | $(273,164 ) | $(122,964 ) | $(49,614 ) |
Net realized gain (loss) | 2,131,373 | 1,042,256 | 688,648 | (1,666 ) |
Net change in unrealized appreciation (depreciation) | 5,464,949 | 4,408,986 | 807,633 | 618,567 |
Net increase (decrease) in net assets resulting from operations | 7,133,351 | 5,178,078 | 1,373,317 | 567,287 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | — | — | — | — |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 6,675,191 | 150,692,819 | 2,060,078 | 34,130,533 |
Cost of shares redeemed | (22,751,789 ) | (38,825,286 ) | (9,396,634 ) | (4,167,827 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (16,076,598 ) | 111,867,533 | (7,336,556 ) | 29,962,706 |
Total increase (decrease) in net assets | (8,943,247 ) | 117,045,611 | (5,963,239 ) | 30,529,993 |
NET ASSETS: | ||||
Beginning of period | 117,045,611 | — | 30,529,993 | — |
End of period | $108,102,364 | $117,045,611 | $24,566,754 | $30,529,993 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 3,700,002 | — | 1,450,002 | — |
Shares sold | 200,000 | 4,950,002 | 100,000 | 1,650,002 |
Shares redeemed | (700,000 ) | (1,250,000 ) | (450,000 ) | (200,000 ) |
Shares outstanding, end of period | 3,200,002 | 3,700,002 | 1,100,002 | 1,450,002 |
(f) | Inception date is May 19, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(g) | Inception date is June 16, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(h) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(i) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest U.S. Equity Moderate Buffer ETF - June (GJUN) | FT Vest U.S. Equity Moderate Buffer ETF - July (GJUL) | FT Vest U.S. Equity Moderate Buffer ETF - August (GAUG) | |||
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (g) | Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (h) | Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (i) |
$(1,274,909 ) | $(485,527 ) | $(1,129,876 ) | $(118,329 ) | $(427,590 ) | $(7,638 ) |
14,079,421 | (26,856 ) | 8,042,576 | — | 2,167,559 | — |
8,971,240 | 7,492,408 | 18,043,985 | 750,545 | 7,037,667 | 638,205 |
21,775,752 | 6,980,025 | 24,956,685 | 632,216 | 8,777,636 | 630,567 |
— | — | — | — | — | — |
33,314,362 | 341,576,577 | 175,103,846 | 185,181,901 | 50,927,543 | 61,308,081 |
(187,654,556 ) | (17,352,382 ) | (87,063,791 ) | — | (19,871,695 ) | — |
(154,340,194 ) | 324,224,195 | 88,040,055 | 185,181,901 | 31,055,848 | 61,308,081 |
(132,564,442 ) | 331,204,220 | 112,996,740 | 185,814,117 | 39,833,484 | 61,938,648 |
331,204,220 | — | 185,814,117 | — | 61,938,648 | — |
$198,639,778 | $331,204,220 | $298,810,857 | $185,814,117 | $101,772,132 | $61,938,648 |
10,850,002 | — | 6,025,002 | — | 2,050,002 | — |
1,100,000 | 11,425,002 | 5,625,000 | 6,025,002 | 1,700,000 | 2,050,002 |
(5,925,000 ) | (575,000 ) | (2,700,000 ) | — | (625,000 ) | — |
6,025,002 | 10,850,002 | 8,950,002 | 6,025,002 | 3,125,002 | 2,050,002 |
FT Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) | FT Vest U.S. Equity Buffer & Premium Income ETF - September (XISE) | FT Vest U.S. Equity Moderate Buffer ETF - September (GSEP) | ||
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (i) | Period Ended 2/29/2024 (j) (Unaudited) | Period Ended 2/29/2024 (j) (Unaudited) | |
OPERATIONS: | ||||
Net investment income (loss) | $(131,755 ) | $(1,831 ) | $(79,930 ) | $(434,522 ) |
Net realized gain (loss) | 861,827 | — | 43,545 | 1,686,057 |
Net change in unrealized appreciation (depreciation) | 1,896,071 | 223,013 | 1,733,606 | 10,996,661 |
Net increase (decrease) in net assets resulting from operations | 2,626,143 | 221,182 | 1,697,221 | 12,248,196 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | — | — | (901,602 ) | — |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 29,151,874 | 13,963,095 | 53,717,751 | 131,813,168 |
Cost of shares redeemed | (6,310,898 ) | — | (5,355,757 ) | (18,341,905 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 22,840,976 | 13,963,095 | 48,361,994 | 113,471,263 |
Total increase (decrease) in net assets | 25,467,119 | 14,184,277 | 49,157,613 | 125,719,459 |
NET ASSETS: | ||||
Beginning of period | 14,184,277 | — | — | — |
End of period | $39,651,396 | $14,184,277 | $49,157,613 | $125,719,459 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 700,002 | — | — | — |
Shares sold | 1,450,000 | 700,002 | 1,775,002 | 4,425,002 |
Shares redeemed | (300,000 ) | — | (175,000 ) | (575,000 ) |
Shares outstanding, end of period | 1,850,002 | 700,002 | 1,600,002 | 3,850,002 |
(i) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(j) | Inception date is September 15, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(k) | Inception date is October 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(l) | Inception date is November 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(m) | Inception date is December 15, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(n) | Inception date is October 25, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Vest U.S. Equity Moderate Buffer ETF - October (GOCT) | FT Vest U.S. Equity Moderate Buffer ETF - November (GNOV) | FT Vest U.S. Small Cap Moderate Buffer ETF - November (SNOV) | FT Vest U.S. Equity Buffer & Premium Income ETF - December (XIDE) | FT Vest U.S. Equity Moderate Buffer ETF - December (GDEC) | FT Vest Laddered Moderate Buffer ETF (BUFZ) |
Period Ended 2/29/2024 (k) (Unaudited) | Period Ended 2/29/2024 (l) (Unaudited) | Period Ended 2/29/2024 (l) (Unaudited) | Period Ended 2/29/2024 (m) (Unaudited) | Period Ended 2/29/2024 (m) (Unaudited) | Period Ended 2/29/2024 (n) (Unaudited) |
$(514,433 ) | $(359,283 ) | $(47,110 ) | $(13,202 ) | $(253,324 ) | $(13,596 ) |
11,523,354 | 1,119,419 | 162,571 | — | 120,512 | 1,196,320 |
3,253,212 | 8,628,835 | 903,181 | 254,902 | 6,543,970 | 344,938 |
14,262,133 | 9,388,971 | 1,018,642 | 241,700 | 6,411,158 | 1,527,662 |
— | — | — | (79,610 ) | — | — |
191,684,031 | 174,968,466 | 27,832,596 | 24,232,003 | 189,851,326 | 78,583,657 |
(125,529,853 ) | (13,738,496 ) | (1,055,069 ) | — | (1,549,984 ) | (30,693,019 ) |
66,154,178 | 161,229,970 | 26,777,527 | 24,232,003 | 188,301,342 | 47,890,638 |
80,416,311 | 170,618,941 | 27,796,169 | 24,394,093 | 194,712,500 | 49,418,300 |
— | — | — | — | — | — |
$80,416,311 | $170,618,941 | $27,796,169 | $24,394,093 | $194,712,500 | $49,418,300 |
— | — | — | — | — | — |
6,225,002 | 5,650,002 | 1,350,002 | 800,002 | 6,275,002 | 3,650,002 |
(3,800,000 ) | (425,000 ) | (50,000 ) | — | (50,000 ) | (1,400,000 ) |
2,425,002 | 5,225,002 | 1,300,002 | 800,002 | 6,225,002 | 2,250,002 |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $32.97 | $30.09 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.14 ) | (0.16 ) |
Net realized and unrealized gain (loss) | 2.68 | 3.04 |
Total from investment operations | 2.54 | 2.88 |
Net asset value, end of period | $35.51 | $32.97 |
Total return (c) | 7.70 % | 9.57 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $277,850 | $141,767 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (d) | (0.83 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is January 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $31.62 | $29.32 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.13 ) | (0.13 ) |
Net realized and unrealized gain (loss) | 2.36 | 2.43 |
Total from investment operations | 2.23 | 2.30 |
Net asset value, end of period | $33.85 | $31.62 |
Total return (c) | 7.05 % | 7.84 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $314,833 | $201,581 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.83 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is February 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $19.76 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.01 ) |
Net realized and unrealized gain (loss) | 0.12 |
Total from investment operations | 0.11 |
Net asset value, end of period | $19.87 |
Total return (c) | 0.56 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $16,886 |
Ratio of total expenses to average net assets | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.88 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is February 16, 2024, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $32.23 | $29.64 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.13 ) | (0.12 ) |
Net realized and unrealized gain (loss) | 1.76 | 2.71 |
Total from investment operations | 1.63 | 2.59 |
Net asset value, end of period | $33.86 | $32.23 |
Total return (c) | 5.06 % | 8.74 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $72,802 | $115,234 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) | (0.82 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $31.45 | $29.68 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.14 ) | (0.09 ) |
Net realized and unrealized gain (loss) | 2.19 | 1.86 |
Total from investment operations | 2.05 | 1.77 |
Net asset value, end of period | $33.50 | $31.45 |
Total return (c) | 6.52 % | 5.96 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $97,144 | $165,902 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is April 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $31.63 | $30.14 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.14 ) | (0.07 ) |
Net realized and unrealized gain (loss) | 2.29 | 1.56 |
Total from investment operations | 2.15 | 1.49 |
Net asset value, end of period | $33.78 | $31.63 |
Total return (c) | 6.80 % | 4.94 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $108,102 | $117,046 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is May 19, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $21.06 | $20.08 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.09 ) | (0.05 ) |
Net realized and unrealized gain (loss) | 1.36 | 1.03 |
Total from investment operations | 1.27 | 0.98 |
Net asset value, end of period | $22.33 | $21.06 |
Total return (c) | 6.03 % | 4.88 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $24,567 | $30,530 |
Ratio of total expenses to average net assets | 0.90 % (d) | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.90 )% (d) | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is May 19, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.53 | $29.88 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.13 ) | (0.05 ) |
Net realized and unrealized gain (loss) | 2.57 | 0.70 |
Total from investment operations | 2.44 | 0.65 |
Net asset value, end of period | $32.97 | $30.53 |
Total return (c) | 7.99 % | 2.18 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $198,640 | $331,204 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is June 16, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.84 | $30.75 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.13 ) | (0.03 ) |
Net realized and unrealized gain (loss) | 2.68 | 0.12 |
Total from investment operations | 2.55 | 0.09 |
Net asset value, end of period | $33.39 | $30.84 |
Total return (c) | 8.27 % | 0.29 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $298,811 | $185,814 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.21 | $29.68 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.13 ) | (0.01 ) |
Net realized and unrealized gain (loss) | 2.49 | 0.54 |
Total from investment operations | 2.36 | 0.53 |
Net asset value, end of period | $32.57 | $30.21 |
Total return (c) | 7.81 % | 1.79 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $101,772 | $61,939 |
Ratio of total expenses to average net assets | 0.85 % (d) | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $20.26 | $19.94 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.09 ) | (0.00 ) (c) |
Net realized and unrealized gain (loss) | 1.26 | 0.32 |
Total from investment operations | 1.17 | 0.32 |
Net asset value, end of period | $21.43 | $20.26 |
Total return (d) | 5.77 % | 1.60 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $39,651 | $14,184 |
Ratio of total expenses to average net assets | 0.90 % (e) | 0.90 % (e) |
Ratio of net investment income (loss) to average net assets | (0.90 )% (e) | (0.90 )% (e) |
Portfolio turnover rate (f) | 0 % | 0 % |
(a) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | 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. |
(e) | Annualized. |
(f) | 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, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $30.15 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.07 ) |
Net realized and unrealized gain (loss) | 1.38 |
Total from investment operations | 1.31 |
Distributions paid to shareholders from: | |
Net investment income | (0.74 ) |
Net asset value, end of period | $30.72 |
Total return (c) | 4.36 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $49,158 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.55 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is September 15, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $30.15 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.12 ) |
Net realized and unrealized gain (loss) | 2.62 |
Total from investment operations | 2.50 |
Net asset value, end of period | $32.65 |
Total return (c) | 8.29 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $125,719 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is September 15, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $30.33 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.10 ) |
Net realized and unrealized gain (loss) | 2.93 |
Total from investment operations | 2.83 |
Net asset value, end of period | $33.16 |
Total return (c) | 9.33 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $80,416 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is October 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $30.65 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.08 ) |
Net realized and unrealized gain (loss) | 2.08 |
Total from investment operations | 2.00 |
Net asset value, end of period | $32.65 |
Total return (c) | 6.53 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $170,619 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is November 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $19.97 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.05 ) |
Net realized and unrealized gain (loss) | 1.46 |
Total from investment operations | 1.41 |
Net asset value, end of period | $21.38 |
Total return (c) | 7.06 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $27,796 |
Ratio of total expenses to average net assets | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.89 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is November 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $30.04 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.03 ) |
Net realized and unrealized gain (loss) | 0.65 |
Total from investment operations | 0.62 |
Distributions paid to shareholders from: | |
Net investment income | (0.17 ) |
Net asset value, end of period | $30.49 |
Total return (c) | 2.06 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $24,394 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.54 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is December 15, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $30.04 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.05 ) |
Net realized and unrealized gain (loss) | 1.29 |
Total from investment operations | 1.24 |
Net asset value, end of period | $31.28 |
Total return (c) | 4.13 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $194,713 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is December 15, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Period Ended 2/29/2024 (a) (Unaudited) | |
Net asset value, beginning of period | $19.81 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.01 ) |
Net realized and unrealized gain (loss) | 2.16 |
Total from investment operations | 2.15 |
Net asset value, end of period | $21.96 |
Total return (c) | 10.85 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $49,418 |
Ratio of total expenses to average net assets (d) | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | (0.20 )% (e) |
Portfolio turnover rate (f) | 1 % |
(a) | Inception date is October 25, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does 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. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
FT Vest U.S. Equity Moderate Buffer ETF - January – (ticker “GJAN”) |
FT Vest U.S. Equity Moderate Buffer ETF - February – (ticker “GFEB”) |
FT Vest U.S. Small Cap Moderate Buffer ETF - February – (ticker “SFEB”)(1) |
FT Vest U.S. Equity Moderate Buffer ETF - March – (ticker “GMAR”) |
FT Vest U.S. Equity Moderate Buffer ETF - April – (ticker “GAPR”) |
FT Vest U.S. Equity Moderate Buffer ETF - May – (ticker “GMAY”) |
FT Vest U.S. Small Cap Moderate Buffer ETF - May – (ticker “SMAY”) |
FT Vest U.S. Equity Moderate Buffer ETF - June – (ticker “GJUN”) |
FT Vest U.S. Equity Moderate Buffer ETF - July – (ticker “GJUL”) |
FT Vest U.S. Equity Moderate Buffer ETF - August – (ticker “GAUG”) |
FT Vest U.S. Small Cap Moderate Buffer ETF - August – (ticker “SAUG”) |
FT Vest U.S. Equity Buffer & Premium Income ETF - September – (ticker “XISE”)(2) |
FT Vest U.S. Equity Moderate Buffer ETF - September – (ticker “GSEP”)(2) |
FT Vest U.S. Equity Moderate Buffer ETF - October – (ticker “GOCT”)(3) |
FT Vest U.S. Equity Moderate Buffer ETF - November – (ticker “GNOV”)(4) |
FT Vest U.S. Small Cap Moderate Buffer ETF - November – (ticker “SNOV”)(4) |
FT Vest U.S. Equity Buffer & Premium Income ETF - December – (ticker “XIDE”)(5) |
FT Vest U.S. Equity Moderate Buffer ETF - December – (ticker “GDEC”)(5) |
FT Vest Laddered Moderate Buffer ETF – (ticker “BUFZ”)(6) |
(1) | Commenced investment operations on February 16, 2024. |
(2) | Commenced investment operations on September 15, 2023. |
(3) | Commenced investment operations on October 20, 2023. |
(4) | Commenced investment operations on November 17, 2023. |
(5) | Commenced investment operations on December 15, 2023. |
(6) | Commenced investment operations on October 25, 2023. |
Security Name | Shares at 2/29/2024 | Value at 10/25/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
FT Vest U.S. Equity Moderate Buffer ETF - January | 116,250 | $— | $11,441,013 | $(7,650,576 ) | $40,064 | $291,724 | $4,122,225 | $— |
FT Vest U.S. Equity Moderate Buffer ETF - February | 121,947 | — | 4,099,531 | (7,546 ) | 39,510 | 69 | 4,131,564 | — |
FT Vest U.S. Equity Moderate Buffer ETF - March | 120,661 | — | 4,092,998 | (7,440 ) | 3,652 | (9 ) | 4,089,201 | — |
FT Vest U.S. Equity Moderate Buffer ETF - April | 122,403 | — | 11,458,443 | (7,640,508 ) | 21,512 | 259,817 | 4,099,264 | — |
FT Vest U.S. Equity Moderate Buffer ETF - May | 121,498 | — | 4,091,405 | (7,484 ) | 18,970 | 24 | 4,102,915 | — |
FT Vest U.S. Equity Moderate Buffer ETF - June | 125,247 | — | 4,103,025 | (7,529 ) | 31,347 | 46 | 4,126,889 | — |
FT Vest U.S. Equity Moderate Buffer ETF - July | 123,824 | — | 11,533,314 | (7,842,407 ) | 44,919 | 393,704 | 4,129,530 | — |
FT Vest U.S. Equity Moderate Buffer ETF - August | 126,571 | — | 4,100,560 | (7,507 ) | 31,259 | 42 | 4,124,354 | — |
FT Vest U.S. Equity Moderate Buffer ETF - September | 126,358 | — | 4,103,384 | (7,519 ) | 26,934 | 35 | 4,122,834 | — |
FT Vest U.S. Equity Moderate Buffer ETF - October | 124,029 | — | 11,439,153 | (7,607,249 ) | 31,289 | 250,787 | 4,113,980 | — |
FT Vest U.S. Equity Moderate Buffer ETF - November | 126,219 | — | 4,098,238 | (7,482 ) | 21,429 | 30 | 4,112,215 | — |
FT Vest U.S. Equity Moderate Buffer ETF - December | 132,214 | — | 4,100,794 | (7,507 ) | 34,053 | 51 | 4,127,391 | — |
$— | $78,661,858 | $(30,800,754 ) | $344,938 | $1,196,320 | $49,402,362 | $— |
Taxable Year-End | Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
FT Vest U.S. Equity Moderate Buffer ETF - January | 31-Jan-23 | $— | $— | $746,478 |
FT Vest U.S. Equity Moderate Buffer ETF - February | 28-Feb-23 | — | — | (171,207 ) |
FT Vest U.S. Equity Moderate Buffer ETF - March | 31-Mar-23 | — | — | 1,022,586 |
FT Vest U.S. Equity Moderate Buffer ETF - April | 30-Apr-23 | — | — | 1,471,210 |
FT Vest U.S. Equity Moderate Buffer ETF - May | 31-May-23 | — | — | (6,324 ) |
FT Vest U.S. Small Cap Moderate Buffer ETF - May | 31-May-23 | — | — | (1,825 ) |
FT Vest U.S. Equity Moderate Buffer ETF - June | 30-Jun-23 | — | — | 2,753,921 |
FT Vest U.S. Equity Moderate Buffer ETF - July | 31-Jul-23 | — | — | 523,954 |
FT Vest U.S. Equity Moderate Buffer ETF - August | 31-Aug-23 | — | — | 638,205 |
FT Vest U.S. Small Cap Moderate Buffer ETF - August | 31-Aug-23 | — | — | 223,013 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Vest U.S. Equity Moderate Buffer ETF - January | $272,405,554 | $15,020,898 | $(9,412,707 ) | $5,608,191 |
FT Vest U.S. Equity Moderate Buffer ETF - February | 312,950,790 | 3,907,079 | (2,057,711 ) | 1,849,368 |
FT Vest U.S. Small Cap Moderate Buffer ETF - February | 16,744,419 | 330,967 | (186,809 ) | 144,158 |
FT Vest U.S. Equity Moderate Buffer ETF - March | 67,355,870 | 16,354,272 | (10,860,864 ) | 5,493,408 |
FT Vest U.S. Equity Moderate Buffer ETF - April | 88,954,144 | 20,933,573 | (12,661,172 ) | 8,272,401 |
FT Vest U.S. Equity Moderate Buffer ETF - May | 98,298,002 | 20,963,945 | (11,090,010 ) | 9,873,935 |
FT Vest U.S. Small Cap Moderate Buffer ETF - May | 23,157,852 | 2,622,414 | (1,196,214 ) | 1,426,200 |
FT Vest U.S. Equity Moderate Buffer ETF - June | 182,338,866 | 31,037,588 | (14,573,940 ) | 16,463,648 |
FT Vest U.S. Equity Moderate Buffer ETF - July | 280,227,086 | 35,568,929 | (16,774,399 ) | 18,794,530 |
FT Vest U.S. Equity Moderate Buffer ETF - August | 94,163,510 | 15,434,208 | (7,758,336 ) | 7,675,872 |
FT Vest U.S. Small Cap Moderate Buffer ETF - August | 37,559,709 | 4,351,971 | (2,232,887 ) | 2,119,084 |
FT Vest U.S. Equity Buffer & Premium Income ETF - September | 47,454,614 | 7,969,035 | (6,235,429 ) | 1,733,606 |
FT Vest U.S. Equity Moderate Buffer ETF - September | 114,808,084 | 22,483,022 | (11,486,361 ) | 10,996,661 |
FT Vest U.S. Equity Moderate Buffer ETF - October | 77,877,491 | 13,108,082 | (9,854,870 ) | 3,253,212 |
FT Vest U.S. Equity Moderate Buffer ETF - November | 162,101,906 | 19,760,926 | (11,132,091 ) | 8,628,835 |
FT Vest U.S. Small Cap Moderate Buffer ETF - November | 26,912,212 | 2,204,843 | (1,301,662 ) | 903,181 |
FT Vest U.S. Equity Buffer & Premium Income ETF - December | 24,152,646 | 1,344,425 | (1,089,523 ) | 254,902 |
FT Vest U.S. Equity Moderate Buffer ETF - December | 188,294,158 | 14,792,164 | (8,248,194 ) | 6,543,970 |
FT Vest Laddered Moderate Buffer ETF | 49,078,647 | 344,938 | — | 344,938 |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion | 0.76500 % |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.9000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.8775 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.8550 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.8325 % |
Fund net assets greater than $10 billion | 0.8100 % |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.200 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.195 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.190 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.185 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.180 % |
Fund net assets greater than $15 billion | 0.170 % |
Purchases | Sales | |
FT Vest Laddered Moderate Buffer ETF | $30,594,667 | $101,377 |
Purchases | Sales | |
FT Vest U.S. Equity Moderate Buffer ETF - January | $— | $139,025,493 |
FT Vest U.S. Equity Moderate Buffer ETF - February | 5,070,828 | 212,976,505 |
FT Vest U.S. Small Cap Moderate Buffer ETF - February | — | — |
FT Vest U.S. Equity Moderate Buffer ETF - March | — | 48,386,916 |
FT Vest U.S. Equity Moderate Buffer ETF - April | — | 81,078,355 |
FT Vest U.S. Equity Moderate Buffer ETF - May | — | 21,780,848 |
FT Vest U.S. Small Cap Moderate Buffer ETF - May | — | 6,118,464 |
FT Vest U.S. Equity Moderate Buffer ETF - June | — | 165,403,262 |
FT Vest U.S. Equity Moderate Buffer ETF - July | — | 81,750,001 |
FT Vest U.S. Equity Moderate Buffer ETF - August | — | 19,731,810 |
FT Vest U.S. Small Cap Moderate Buffer ETF - August | — | 6,263,668 |
FT Vest U.S. Equity Buffer & Premium Income ETF - September | — | — |
FT Vest U.S. Equity Moderate Buffer ETF - September | — | 10,249,354 |
FT Vest U.S. Equity Moderate Buffer ETF - October | 16,959,177 | 119,734,497 |
FT Vest U.S. Equity Moderate Buffer ETF - November | — | 13,621,510 |
FT Vest U.S. Small Cap Moderate Buffer ETF - November | — | 1,046,093 |
FT Vest U.S. Equity Buffer & Premium Income ETF - December | — | — |
FT Vest U.S. Equity Moderate Buffer ETF - December | — | 1,535,846 |
FT Vest Laddered Moderate Buffer ETF | 48,067,191 | 30,699,377 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
GJAN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $287,579,427 | Options contracts written, at value | $12,514,652 |
GFEB | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 322,665,464 | Options contracts written, at value | 11,146,432 |
SFEB | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 17,589,551 | Options contracts written, at value | 890,678 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
GMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $82,167,892 | Options contracts written, at value | $9,554,764 |
GAPR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 105,098,728 | Options contracts written, at value | 8,266,745 |
GMAY | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 116,116,793 | Options contracts written, at value | 8,433,903 |
SMAY | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 25,362,513 | Options contracts written, at value | 895,690 |
GJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 206,210,916 | Options contracts written, at value | 8,526,316 |
GJUL | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 306,730,367 | Options contracts written, at value | 9,515,725 |
GAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 107,046,870 | Options contracts written, at value | 5,874,468 |
SAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 40,849,426 | Options contracts written, at value | 1,448,956 |
XISE | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 55,384,105 | Options contracts written, at value | 8,826,189 |
GSEP | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 132,148,253 | Options contracts written, at value | 7,274,113 |
GOCT | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 87,977,788 | Options contracts written, at value | 8,136,546 |
GNOV | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 180,119,918 | Options contracts written, at value | 10,855,944 |
SNOV | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 29,743,768 | Options contracts written, at value | 2,175,872 |
XIDE | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 26,346,171 | Options contracts written, at value | 3,582,463 |
GDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 203,327,183 | Options contracts written, at value | 10,234,463 |
Statements of Operations Location | GJAN | GFEB | SFEB | GMAR | GAPR |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $19,590,157 | $28,853,825 | $— | $4,265,520 | $8,577,457 |
Written options contracts | (2,120,194 ) | (2,903,557 ) | — | 517,366 | 274,699 |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | (963,489 ) | (12,310,403 ) | 162,084 | 3,777,215 | 4,911,020 |
Written options contracts | (3,574,003 ) | (2,322,224 ) | (17,926 ) | (4,573,257 ) | (4,905,565 ) |
Statements of Operations Location | GMAY | SMAY | GJUN | GJUL | GAUG |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $2,078,293 | $234,003 | $12,453,978 | $6,850,880 | $2,045,357 |
Written options contracts | 53,080 | 454,645 | 1,625,443 | 1,191,696 | 122,202 |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | 9,650,378 | 1,125,165 | 13,844,442 | 22,208,905 | 9,619,905 |
Written options contracts | (4,185,429 ) | (317,532 ) | (4,873,202 ) | (4,164,920 ) | (2,582,238 ) |
Statements of Operations Location | SAUG | XISE | GSEP | GOCT | GNOV |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $739,885 | $246,006 | $1,691,276 | $18,079,151 | $1,168,638 |
Written options contracts | 121,942 | (202,378 ) | (5,219 ) | (6,555,797 ) | (49,219 ) |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | 2,100,306 | 5,235,594 | 14,487,475 | 8,972,350 | 13,903,547 |
Written options contracts | (204,235 ) | (3,502,349 ) | (3,490,814 ) | (5,719,138 ) | (5,274,712 ) |
Statements of Operations Location | SNOV | XIDE | GDEC |
Equity Risk Exposure | |||
Net realized gain (loss) on: | |||
Purchased options contracts | $124,845 | $— | $104,847 |
Written options contracts | 37,726 | — | 15,665 |
Net change in unrealized appreciation (depreciation) on: | |||
Purchased options contracts | 1,467,061 | 893,021 | 9,678,661 |
Written options contracts | (563,880 ) | (637,109 ) | (3,134,691 ) |
Premiums for purchased options contracts opened | Premiums for purchased options contracts closed, exercised and expired | Premiums for written options contracts opened | Premiums for written options contracts closed, exercised and expired | |
GJAN | $392,702,740 | $250,069,488 | $13,480,499 | $9,474,530 |
GFEB | 449,936,547 | 321,434,853 | 17,378,999 | 14,720,615 |
SFEB | 17,427,467 | — | 872,752 | — |
GMAR | 4,769,246 | 48,183,165 | 552,202 | 2,933,157 |
GAPR | 12,840,756 | 84,206,903 | 358,533 | 3,929,290 |
GMAY | 7,100,636 | 21,489,134 | 456,049 | 1,004,037 |
SMAY | 2,090,599 | 9,350,816 | 47,527 | 704,777 |
GJUN | 33,804,786 | 178,882,734 | 769,145 | 6,495,937 |
GJUL | 173,626,996 | 78,299,590 | 3,113,955 | 3,013,461 |
GAUG | 52,144,242 | 18,414,713 | 1,724,103 | 850,463 |
SAUG | 29,844,533 | 5,736,015 | 964,403 | 334,174 |
XISE | 55,867,024 | 5,718,513 | 6,016,889 | 693,049 |
GSEP | 134,170,700 | 16,509,922 | 4,563,832 | 780,533 |
GOCT | 197,358,595 | 118,353,157 | 7,694,299 | 5,276,891 |
GNOV | 179,392,908 | 13,176,537 | 6,255,678 | 674,446 |
SNOV | 29,271,887 | 995,180 | 1,723,651 | 111,659 |
XIDE | 25,453,150 | — | 2,945,354 | — |
GDEC | 195,152,173 | 1,503,651 | 7,188,089 | 88,317 |
FT Vest U.S. Equity Moderate Buffer ETF - September
FT Vest U.S. Equity Moderate Buffer ETF - October
FT Vest U.S. Equity Moderate Buffer ETF - November
FT Vest U.S. Equity Moderate Buffer ETF - December
FT Vest U.S. Equity Moderate Buffer ETF - September (GSEP) |
FT Vest U.S. Equity Moderate Buffer ETF - October (GOCT) |
FT Vest U.S. Equity Moderate Buffer ETF - November (GNOV) |
FT Vest U.S. Equity Moderate Buffer ETF - December (GDEC) |
FT Vest U.S. Small Cap Moderate Buffer ETF - February
FT Vest U.S. Small Cap Moderate Buffer ETF - November
FT Vest U.S. Small Cap Moderate Buffer ETF - February (SFEB) |
FT Vest U.S. Small Cap Moderate Buffer ETF - November (SNOV) |
FT Vest U.S. Equity Buffer & Premium Income ETF - September
FT Vest U.S. Equity Buffer & Premium Income ETF - December
FT Vest U.S. Equity Buffer & Premium Income ETF - September (XISE) |
FT Vest U.S. Equity Buffer & Premium Income ETF - December (XIDE) |
FT Vest Laddered Moderate Buffer ETF
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
8350 Broad Street, Suite 240
McLean, VA 22102
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended February 29, 2024 |
First Trust Income Opportunities ETF (FCEF) |
First Trust Flexible Municipal High Income ETF (MFLX) |
First Trust Low Duration Strategic Focus ETF (LDSF) |
First Trust Active Factor Large Cap ETF (AFLG) |
First Trust Active Factor Mid Cap ETF (AFMC) |
First Trust Active Factor Small Cap ETF (AFSM) |
Semi-Annual Report
February 29, 2024
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Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | 5 Years Ended 2/29/24 | Inception (9/27/16) to 2/29/24 | 5 Years Ended 2/29/24 | Inception (9/27/16) to 2/29/24 | |
Fund Performance | ||||||
NAV | 8.19% | 9.32% | 5.14% | 6.06% | 28.48% | 54.75% |
Market Price | 8.45% | 9.58% | 5.20% | 6.10% | 28.85% | 55.11% |
Index Performance | ||||||
Russell 3000® Index | 13.76% | 28.60% | 13.94% | 13.70% | 92.05% | 159.30% |
Blended Benchmark(1) | 8.38% | 10.36% | 5.03% | 5.73% | 27.82% | 51.25% |
(1) | A blended benchmark (the “Blended Benchmark”) comprised 60% of the First Trust Equity Closed-End Fund Total Return Index, a cap-weighted index (based on NAV) designed to provide a broad representation of the equity based closed-end fund universe, and 40% of the First Trust Taxable Fixed Income Closed-End Fund Total Return Index, a cap-weighted index (based on NAV) designed to provide a broad representation of the taxable fixed income closed-end fund universe, has been selected as a secondary benchmark to provide a more direct correlation to the Fund’s underlying portfolio. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 60-40 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above. |
Top Ten Holdings | % of Total Long-Term Investments |
Eaton Vance Tax-Advantaged Global Dividend Income Fund | 4.1% |
abrdn Healthcare Opportunities Fund | 3.8 |
Ares Dynamic Credit Allocation Fund, Inc. | 3.6 |
Invesco Variable Rate Investment Grade ETF | 3.5 |
abrdn Healthcare Investors | 3.4 |
Source Capital, Inc. | 3.3 |
Eaton Vance Tax-Advantaged Dividend Income Fund | 3.3 |
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund | 3.3 |
John Hancock Tax-Advantaged Dividend Income Fund | 3.3 |
abrdn Global Infrastructure Income Fund | 3.2 |
Total | 34.8% |
World Regions | % of Total Long-Term Investments |
North America | 80.0% |
Europe | 14.7 |
Asia | 5.3 |
Total | 100.0% |
Credit Quality(1) | % of Total Long-Term Investments |
AAA | 7.2% |
AA | 9.3 |
A | 6.6 |
BBB | 17.5 |
BB | 23.6 |
B | 23.1 |
CCC-D | 8.0 |
NR | 4.7 |
Total | 100.0% |
Market Capitalization | % of Total Long-Term Investments |
Mega | 24.7% |
Large | 35.7 |
Mid | 28.7 |
Small | 8.0 |
Micro | 2.9 |
Total | 100.0% |
(1) | The ratings are provided by Morningstar except where otherwise indicated. 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 except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. “NR” indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
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 indices do not actually hold a portfolio of securities and therefore do 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 | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | 5 Years Ended 2/29/24 | Inception (9/27/16) to 2/29/24 | 5 Years Ended 2/29/24 | Inception (9/27/16) to 2/29/24 | |
Fund Performance | ||||||
NAV | 5.59% | 7.73% | 2.34% | 1.42% | 12.25% | 11.01% |
Market Price | 7.04% | 7.62% | 2.29% | 1.38% | 12.01% | 10.69% |
Index Performance | ||||||
Bloomberg Municipal Long Bond (22+) Index | 5.73% | 7.23% | 1.82% | 1.78% | 9.44% | 14.01% |
Blended Benchmark(1) | 5.08% | 6.86% | 2.64% | 2.67% | 13.90% | 21.63% |
Bloomberg Municipal Bond Index | 4.33% | 5.42% | 1.91% | 1.84% | 9.94% | 14.51% |
(1) | The Blended Benchmark returns are a 50/50 split between the Bloomberg Municipal High Yield Bond Index and the Bloomberg Municipal Bond Index. |
Fund Allocation | % of Net Assets |
Municipal Bonds | 93.7% |
Closed-End Funds | 4.9 |
Net Other Assets and Liabilities | 1.4 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 4.3% |
AA | 15.2 |
A | 31.4 |
BBB | 17.5 |
BB | 7.8 |
B | 1.4 |
CCC-D | 0.0(2) |
NR | 22.0 |
Cash | 0.4 |
Total | 100.0% |
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 indices do not actually hold a portfolio of securities and therefore do 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 municipal bond 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. |
(1) | This represents the municipal and closed-end fund holdings in the Fund. The ratings for the Municipal Bond portion of the Fund are by S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest ratings are used. The ratings for the CEF portion of the Fund are provided by Morningstar. 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 except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. “NR” indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
(2) | Amount is less than 0.1%. |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | 5 Years Ended 2/29/24 | Inception (1/3/19) to 2/29/24 | 5 Years Ended 2/29/24 | Inception (1/3/19) to 2/29/24 | |
Fund Performance | ||||||
NAV | 3.29% | 5.59% | 1.25% | 1.62% | 6.40% | 8.63% |
Market Price | 3.35% | 5.59% | 1.23% | 1.62% | 6.30% | 8.63% |
Index Performance | ||||||
Blended Benchmark(1) | 3.37% | 5.82% | 1.91% | 2.15% | 9.94% | 11.60% |
Bloomberg 1-5 Year Government/Credit Index | 2.67% | 4.55% | 1.33% | 1.36% | 6.83% | 7.22% |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Money Market Funds | 0.0* |
Net Other Assets and Liabilities | 0.0* |
Total | 100.0% |
* | Amount is less than 0.1%. |
(1) | The Blended Benchmark consists of the following two indexes: 80% of the Bloomberg 1-5 Year Government/Credit Index which measures the performance of U.S. dollar-denominated U.S. Treasury bonds, government related bonds and investment grade U.S. corporate bonds that have a maturity between one and five years; and 20% of the ICE BofA US High Yield Constrained Index which tracks the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market but caps issuer exposure at 2%. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 80-20 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above. |
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 indices do not actually hold a portfolio of securities and therefore do 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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (12/3/19) to 2/29/24 | Inception (12/3/19) to 2/29/24 | |
Fund Performance | ||||
NAV | 16.36% | 26.59% | 11.37% | 57.87% |
Market Price | 16.34% | 26.63% | 11.35% | 57.71% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 14.35% | 76.56% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 27.6% |
Financials | 12.0 |
Industrials | 11.9 |
Consumer Discretionary | 11.7 |
Health Care | 10.7 |
Communication Services | 7.4 |
Consumer Staples | 4.7 |
Materials | 4.3 |
Utilities | 3.9 |
Real Estate | 3.0 |
Energy | 2.8 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Apple, Inc. | 5.6% |
Microsoft Corp. | 5.2 |
Amazon.com, Inc. | 2.6 |
NVIDIA Corp. | 2.5 |
Meta Platforms, Inc., Class A | 2.4 |
Broadcom, Inc. | 2.0 |
Alphabet, Inc., Class A | 1.9 |
Berkshire Hathaway, Inc., Class B | 1.5 |
PACCAR, Inc. | 1.3 |
AbbVie, Inc. | 1.2 |
Total | 26.2% |
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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (12/3/19) to 2/29/24 | Inception (12/3/19) to 2/29/24 | |
Fund Performance | ||||
NAV | 13.98% | 20.83% | 10.05% | 50.09% |
Market Price | 13.91% | 20.65% | 10.03% | 49.93% |
Index Performance | ||||
S&P MidCap 400® Index | 10.16% | 13.05% | 11.01% | 55.68% |
Russell 3000® Index | 13.76% | 28.60% | 13.66% | 72.09% |
Sector Allocation | % of Total Long-Term Investments |
Industrials | 22.8% |
Consumer Discretionary | 16.9 |
Financials | 13.5 |
Information Technology | 11.0 |
Health Care | 8.8 |
Real Estate | 7.2 |
Materials | 6.7 |
Consumer Staples | 5.3 |
Utilities | 3.5 |
Energy | 2.9 |
Communication Services | 1.4 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Vistra Corp. | 1.9% |
Reliance, Inc. | 1.5 |
Deckers Outdoor Corp. | 1.4 |
Super Micro Computer, Inc. | 1.3 |
Williams-Sonoma, Inc. | 1.3 |
Builders FirstSource, Inc. | 1.2 |
KB Home | 1.1 |
Acuity Brands, Inc. | 1.1 |
Sprouts Farmers Market, Inc. | 1.1 |
Jabil, Inc. | 1.1 |
Total | 13.0% |
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 indices do not actually hold a portfolio of securities and therefore do 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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (12/3/19) to 2/29/24 | Inception (12/3/19) to 2/29/24 | |
Fund Performance | ||||
NAV | 14.15% | 18.17% | 9.70% | 48.07% |
Market Price | 14.12% | 18.19% | 9.68% | 47.92% |
Index Performance | ||||
Russell 2000® Index | 8.97% | 10.05% | 7.47% | 35.69% |
Russell 3000® Index | 13.76% | 28.60% | 13.66% | 72.09% |
Sector Allocation | % of Total Long-Term Investments |
Industrials | 19.4% |
Health Care | 14.7 |
Information Technology | 14.0 |
Consumer Discretionary | 13.9 |
Financials | 13.3 |
Energy | 6.6 |
Materials | 5.7 |
Consumer Staples | 5.0 |
Real Estate | 5.0 |
Utilities | 1.6 |
Communication Services | 0.8 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
elf Beauty, Inc. | 1.3% |
Boise Cascade Co. | 1.3 |
Alpha Metallurgical Resources, Inc. | 1.2 |
Warrior Met Coal, Inc. | 1.2 |
Enstar Group Ltd. | 1.0 |
Arch Resources, Inc. | 0.9 |
Caleres, Inc. | 0.9 |
Comfort Systems USA, Inc. | 0.9 |
Abercrombie & Fitch Co., Class A | 0.9 |
Super Micro Computer, Inc. | 0.9 |
Total | 10.5% |
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 indices do not actually hold a portfolio of securities and therefore do 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. |
Ken Fincher, Senior Vice President and Portfolio Manager of First Trust
Tom Byron, Senior Vice President and Senior Portfolio Manager of First Trust
David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Chris A. Peterson, Senior Vice President of First Trust
William Housey, Senior Vice President of First Trust
Steve Collins, Vice President of First Trust
David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Jon C. Erickson, Senior Vice President of First Trust
Roger F. Testin, Senior Vice President of First Trust
Stan Ueland, Senior Vice President of First Trust
Chris A. Peterson, Senior Vice President of First Trust
Chris Bush, Vice President of First Trust
Erik Russo, Vice President of First Trust
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Income Opportunities ETF (FCEF) (b) | ||||
Actual | $1,000.00 | $1,081.90 | 0.85% | $4.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
First Trust Flexible Municipal High Income ETF (MFLX) (b) | ||||
Actual | $1,000.00 | $1,055.90 | 0.75% | $3.83 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.13 | 0.75% | $3.77 |
First Trust Low Duration Strategic Focus ETF (LDSF) (b) | ||||
Actual | $1,000.00 | $1,032.90 | 0.20% | $1.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.87 | 0.20% | $1.01 |
First Trust Active Factor Large Cap ETF (AFLG) | ||||
Actual | $1,000.00 | $1,163.60 | 0.55% | $2.96 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.13 | 0.55% | $2.77 |
First Trust Active Factor Mid Cap ETF (AFMC) | ||||
Actual | $1,000.00 | $1,139.80 | 0.65% | $3.46 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.63 | 0.65% | $3.27 |
First Trust Active Factor Small Cap ETF (AFSM) | ||||
Actual | $1,000.00 | $1,141.50 | 0.75% | $3.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.13 | 0.75% | $3.77 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
(b) | 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. |
Shares | Description | Value | |||
CLOSED-END FUNDS — 93.5% | |||||
Capital Markets — 93.5% | |||||
54,007 | abrdn Global Infrastructure Income Fund | $930,001 | |||
58,670 | abrdn Healthcare Investors | 986,829 | |||
55,808 | abrdn Healthcare Opportunities Fund | 1,098,860 | |||
10,448 | abrdn Life Sciences Investors | 143,033 | |||
20,010 | Adams Natural Resources Fund, Inc. | 424,612 | |||
17,770 | Angel Oak Financial Strategies Income Term Trust | 217,505 | |||
75,671 | Ares Dynamic Credit Allocation Fund, Inc. | 1,043,503 | |||
37,423 | BlackRock Capital Allocation Term Trust | 581,928 | |||
15,074 | BlackRock Enhanced Capital and Income Fund, Inc. | 292,586 | |||
1,770 | BlackRock Health Sciences Trust | 74,375 | |||
13,374 | BlackRock Multi-Sector Income Trust | 207,431 | |||
25,358 | BlackRock Resources & Commodities Strategy Trust | 210,725 | |||
22,180 | BlackRock Science & Technology Trust | 816,002 | |||
10,254 | BlackRock Utilities Infrastructure & Power Opportunities Trust | 214,104 | |||
56,146 | Blackstone Strategic Credit 2027 Term Fund | 659,716 | |||
14,788 | Central Securities Corp. | 574,218 | |||
33,931 | Cohen & Steers Infrastructure Fund, Inc. | 740,374 | |||
35,843 | Cohen & Steers REIT and Preferred and Income Fund, Inc. | 733,348 | |||
26,036 | DoubleLine Income Solutions Fund | 328,835 | |||
40,423 | Eaton Vance Short Duration Diversified Income Fund | 431,718 | |||
42,489 | Eaton Vance Tax-Advantaged Dividend Income Fund | 961,951 | |||
66,812 | Eaton Vance Tax-Advantaged Global Dividend Income Fund | 1,189,254 | |||
39,163 | Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund | 958,319 | |||
142,922 | FS Credit Opportunities Corp. | 821,802 | |||
40,196 | Gabelli Dividend & Income Trust (The) | 891,547 | |||
12,267 | General American Investors Co., Inc. | 548,948 |
Shares | Description | Value | |||
Capital Markets (Continued) | |||||
49,441 | John Hancock Tax-Advantaged Dividend Income Fund | $954,706 | |||
15,836 | Kayne Anderson Energy Infrastructure Fund | 145,216 | |||
55,042 | MainStay CBRE Global Infrastructure Megatrends Term Fund | 677,017 | |||
148,871 | Nuveen Credit Strategies Income Fund | 821,768 | |||
59,406 | Nuveen Floating Rate Income Fund | 513,862 | |||
7,818 | Nuveen Mortgage and Income Fund | 136,815 | |||
18,198 | Nuveen Multi-Asset Income Fund | 220,014 | |||
92,129 | Nuveen Preferred & Income Opportunities Fund | 658,722 | |||
36,893 | Nuveen Real Asset Income and Growth Fund | 422,056 | |||
25,259 | Nuveen Variable Rate Preferred & Income Fund | 442,285 | |||
61,038 | PGIM Global High Yield Fund, Inc. | 710,482 | |||
9,564 | PIMCO Access Income Fund | 146,807 | |||
51,491 | PIMCO Dynamic Income Opportunities Fund | 675,047 | |||
43,372 | Principal Real Estate Income Fund | 436,756 | |||
19,346 | Reaves Utility Income Fund | 506,091 | |||
15,974 | Royce Micro-Cap Trust, Inc. | 149,037 | |||
35,080 | Royce Value Trust, Inc. | 514,974 | |||
23,525 | Source Capital, Inc. | 965,936 | |||
9,708 | Tortoise Power and Energy Infrastructure Fund, Inc. | 141,348 | |||
27,457 | Tri-Continental Corp. | 814,100 | |||
15,462 | Virtus Artificial Intelligence & Technology Opportunities Fund | 300,581 | |||
25,535 | Western Asset Diversified Income Fund | 369,747 | |||
53,458 | Western Asset High Income Opportunity Fund, Inc. | 209,021 | |||
34,693 | Western Asset Inflation-Linked Opportunities & Income Fund | 293,850 | |||
7,764 | Western Asset Investment Grade Defined Opportunity Trust, Inc. | 132,454 | |||
Total Closed-End Funds | 27,440,216 | ||||
(Cost $30,152,184) |
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 4.9% | |||||
Capital Markets — 4.9% | |||||
40,327 | Invesco Variable Rate Investment Grade ETF | $1,010,998 | |||
4,792 | SPDR Bloomberg 1-3 Month T-Bill ETF, Class B | 439,810 | |||
Total Exchange-Traded Funds | 1,450,808 | ||||
(Cost $1,447,204) | |||||
MONEY MARKET FUNDS — 1.4% | |||||
402,875 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (a) | 402,875 | |||
(Cost $402,875) | |||||
Total Investments — 99.8% | 29,293,899 | ||||
(Cost $32,002,263) | |||||
Net Other Assets and Liabilities — 0.2% | 64,860 | ||||
Net Assets — 100.0% | $29,358,759 |
(a) | Rate shown reflects yield as of February 29, 2024. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Closed-End Funds* | $ 27,440,216 | $ 27,440,216 | $ — | $ — |
Exchange-Traded Funds* | 1,450,808 | 1,450,808 | — | — |
Money Market Funds | 402,875 | 402,875 | — | — |
Total Investments | $29,293,899 | $29,293,899 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS — 93.7% | |||||
Alabama — 5.9% | |||||
$250,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Bonds Proj No. 7, Ser C-1 (Mandatory put 12/01/26) | 4.00% | 10/01/52 | $250,373 | |
450,000 | Jefferson Cnty AL Swr Rev Warrants Ref Warrants | 5.25% | 10/01/44 | 494,488 | |
250,000 | Southeast Energy Auth AL Cmdy Sply Rev Proj #2, Ser B (Mandatory put 12/01/31) | 4.00% | 12/01/51 | 251,320 | |
996,181 | |||||
Arizona — 4.1% | |||||
275,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/37 | 244,949 | |
250,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (a) | 4.00% | 12/15/51 | 191,927 | |
250,000 | Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch Ridge Proj, Ser A (a) | 6.25% | 11/15/35 | 267,073 | |
703,949 | |||||
Arkansas — 0.6% | |||||
100,000 | AR Dev Fin Auth Envrnmntl Rev Sustainable Bond United States Steel Corp Proj, AMT | 5.45% | 09/01/52 | 102,023 | |
California — 10.1% | |||||
300,000 | CA St Hlth Facs Fing Auth Rev Episcopal Cmnyts & Svcs, Ser B | 5.25% | 11/15/53 | 317,622 | |
250,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 255,826 | |
250,000 | Elk Grove CA Fin Auth Spl Tax Rev Laguna Ridge CFD #2005-1 | 4.00% | 09/01/50 | 218,602 | |
300,000 | Long Beach CA Arpt System Rev, Ser A, AGM | 5.00% | 06/01/37 | 350,075 | |
300,000 | San Francisco City & Cnty Pub Util Commn Pwr Rev, Ser B | 4.00% | 11/01/42 | 309,450 | |
245,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Asset Securitization Corp, Class 1, Ser A | 5.00% | 06/01/35 | 269,030 | |
1,720,605 | |||||
Colorado — 4.1% | |||||
250,000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/41 | 221,636 | |
250,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/41 | 270,754 | |
200,000 | Denver City & Cnty CO Spl Facs Arpt Rev Ref United Airls Inc Proj, AMT | 5.00% | 10/01/32 | 199,986 | |
692,376 | |||||
Florida — 9.9% | |||||
250,000 | Black Creek FL CDD Spl Assmnt Expansion Area Proj | 5.13% | 06/15/32 | 255,823 | |
250,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a) | 4.00% | 10/01/41 | 220,284 | |
225,000 | Cypress Mill CDD FL Spl Assmnt 2023 Proj | 5.00% | 05/01/43 | 231,403 | |
265,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser B, AMT | 5.00% | 10/01/40 | 271,088 | |
250,000 | N Sumter Cnty FL Util Dependent Dist Util Rev Sumter Wtr Conservation Auth Proj, AGM | 4.00% | 10/01/41 | 254,244 | |
250,000 | Ridge at Apopka CDD FL Spl Assmnt | 5.38% | 05/01/42 | 250,226 | |
250,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.25% | 05/01/53 | 197,846 | |
1,680,914 | |||||
Georgia — 1.5% | |||||
250,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 12/01/29) | 4.00% | 09/01/52 | 249,351 | |
Guam — 1.6% | |||||
250,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser F | 5.00% | 01/01/28 | 263,411 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Illinois — 4.9% | |||||
$300,000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/30 | $319,211 | |
250,000 | IL St Fin Auth Acad Facs Lease Rev Univ of IL at Urbana Champaign Proj, Ser A | 5.00% | 10/01/34 | 270,124 | |
250,000 | IL St, Ser B | 4.00% | 12/01/37 | 250,964 | |
840,299 | |||||
Indiana — 1.9% | |||||
300,000 | Indianapolis IN Loc Pub Impt Bond Bank Sr Convention Ctr Hotel, Ser E | 6.00% | 03/01/53 | 322,973 | |
Iowa — 1.6% | |||||
250,000 | IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Company Proj (Mandatory put 12/01/42) | 5.00% | 12/01/50 | 264,304 | |
Kansas — 3.0% | |||||
250,000 | Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref Vlg E Proj Areas 2B 3 5 (a) | 5.75% | 09/01/39 | 248,579 | |
250,000 | Wyandotte Cnty KS Kansas City Unif Govt Util Sys Rev Impt, Ser A | 5.00% | 09/01/40 | 253,470 | |
502,049 | |||||
Kentucky — 2.9% | |||||
500,000 | Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj Sustainable Bond, Ser B-1 (b) | 4.60% | 08/01/61 | 500,000 | |
Missouri — 3.0% | |||||
250,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev CoxHealth & Oblig Grp, Ser A | 5.00% | 11/15/37 | 267,037 | |
250,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs Projs, Ser A | 5.00% | 02/01/42 | 245,063 | |
512,100 | |||||
New York — 8.6% | |||||
300,000 | Dutchess Cnty NY Loc Dev Corp Mf Mtebs Sustainable Bonds Tomopkins Terrace Hsg LP Proj | 5.00% | 10/01/40 | 323,656 | |
250,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var Ref Sub-2nd Gen Resolution, Ser DD (b) | 3.80% | 06/15/33 | 250,000 | |
300,000 | New York NY City Transitional Fin Auth Rev Sub-Multi Modal, Ser F-1 | 5.25% | 02/01/53 | 331,320 | |
250,000 | NY St Dorm Auth Revs Non St Supported Debt Ref Northwell Hlth Oblig Grp, Ser A | 5.00% | 05/01/38 | 275,366 | |
250,000 | NY St Thruway Auth Ref, Ser P | 5.25% | 01/01/54 | 276,417 | |
1,456,759 | |||||
North Carolina — 1.2% | |||||
250,000 | NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs For the Aging Ref, Ser A | 4.00% | 03/01/41 | 208,937 | |
Ohio — 7.6% | |||||
250,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 238,589 | |
300,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 4.00% | 08/01/41 | 296,895 | |
250,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (a) | 5.00% | 07/01/49 | 228,234 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Ohio (Continued) | |||||
$250,000 | OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj, Ser A, AMT (Mandatory put 06/01/27) | 4.25% | 11/01/39 | $252,573 | |
250,000 | OH St Hgr Eductnl Fac Commn Ref Univ of Dayton 2020 Proj | 5.00% | 02/01/35 | 275,652 | |
1,291,943 | |||||
Oregon — 2.9% | |||||
250,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.38% | 11/15/55 | 232,602 | |
250,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/41 | 254,996 | |
487,598 | |||||
Pennsylvania — 1.5% | |||||
250,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Cntr, Ser A | 4.00% | 07/15/37 | 255,317 | |
Puerto Rico — 2.9% | |||||
250,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/35 | 242,664 | |
250,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Converted, Ser A-2 | 4.33% | 07/01/40 | 248,857 | |
491,521 | |||||
South Carolina — 3.0% | |||||
250,000 | Patriots Energy Grp Fing Agy SC Gas Sply Rev Ref Var, Ser-B-1 (Mandatory put 03/01/31) | 5.25% | 02/01/54 | 270,210 | |
250,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 4.00% | 11/15/32 | 234,545 | |
504,755 | |||||
Texas — 4.6% | |||||
250,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/41 | 268,841 | |
250,000 | N Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts Proj (a) | 5.00% | 09/15/51 | 235,043 | |
250,000 | TX St Muni Gas Acq & Sply Corp IV, Ser B (Mandatory put 01/01/34) | 5.50% | 01/01/54 | 277,805 | |
781,689 | |||||
Vermont — 1.6% | |||||
300,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 4.00% | 05/01/37 | 276,219 | |
Virginia — 1.6% | |||||
250,000 | Isle of Wight Cnty VA Econ Dev Auth Riverside Hlth Sys, AGM | 5.25% | 07/01/43 | 279,900 | |
Washington — 1.9% | |||||
300,000 | Skagit Cnty WA Pub Hosp Dist #1 | 5.50% | 12/01/54 | 318,687 | |
Wisconsin — 1.2% | |||||
250,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 5.00% | 07/01/55 | 212,066 | |
Total Municipal Bonds | 15,915,926 | ||||
(Cost $15,666,331) |
Shares | Description | Value | |||
CLOSED-END FUNDS — 4.9% | |||||
Capital Markets — 4.9% | |||||
1,416 | BlackRock MuniAssets Fund, Inc. | 15,689 | |||
2,995 | BlackRock Municipal Income Fund, Inc. | 35,371 | |||
3,183 | BlackRock Municipal Income Quality Trust | 36,223 |
Shares | Description | Value | |||
CLOSED-END FUNDS (Continued) | |||||
Capital Markets (Continued) | |||||
5,349 | BlackRock Municipal Income Trust | $54,988 | |||
6,710 | BlackRock Municipal Income Trust II | 72,535 | |||
2,770 | BlackRock MuniHoldings Fund, Inc. | 33,240 | |||
4,621 | BlackRock MuniYield Quality Fund II, Inc. | 48,197 | |||
6,499 | BlackRock MuniYield Quality Fund III, Inc. | 74,284 | |||
3,063 | BlackRock MuniYield Quality Fund, Inc. | 37,644 | |||
7,192 | Eaton Vance Municipal Bond Fund | 74,653 | |||
5,360 | Eaton Vance Municipal Income Trust | 54,404 | |||
6,268 | Invesco Quality Municipal Income Trust | 60,047 | |||
3,576 | Invesco Trust for Investment Grade Municipals | 35,224 | |||
6,181 | Nuveen AMT-Free Municipal Credit Income Fund | 73,059 | |||
2,921 | Nuveen AMT-Free Quality Municipal Income Fund | 31,985 | |||
2,745 | Nuveen Municipal Credit Income Fund | 32,803 | |||
3,548 | Nuveen Municipal Value Fund, Inc. | 30,832 | |||
2,860 | Nuveen Quality Municipal Income Fund | 32,261 | |||
Total Closed-End Funds | 833,439 | ||||
(Cost $952,594) | |||||
Total Investments — 98.6% | 16,749,365 | ||||
(Cost $16,618,925) | |||||
Net Other Assets and Liabilities — 1.4% | 240,463 | ||||
Net Assets — 100.0% | $16,989,828 |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At February 29, 2024, securities noted as such amounted to $1,848,155 or 10.9% of net assets. |
(b) | Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
Abbreviations throughout the Portfolio of Investments: | |
AGM | – Assured Guaranty Municipal Corp. |
AMT | – Alternative Minimum Tax |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $15,915,926 | $— | $15,915,926 | $— |
Closed-End Funds** | 833,439 | 833,439 | — | — |
Total Investments | $16,749,365 | $833,439 | $15,915,926 | $— |
* | See Portfolio of Investments for state and territory breakout. |
** | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets — 100.0% | |||||
90,099 | First Trust Enhanced Short Maturity ETF (a) | $5,371,702 | |||
1,984,931 | First Trust Limited Duration Investment Grade Corporate ETF (a) | 37,237,306 | |||
889,826 | First Trust Low Duration Opportunities ETF (a) | 42,791,732 | |||
258,599 | First Trust Tactical High Yield ETF (a) | 10,649,107 | |||
68,798 | iShares 3-7 Year Treasury Bond ETF | 7,952,361 | |||
28,542 | iShares MBS ETF | 2,623,295 | |||
Total Exchange-Traded Funds | 106,625,503 | ||||
(Cost $110,189,489) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
29,703 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (b) | 29,703 | |||
(Cost $29,703) | |||||
Total Investments — 100.0% | 106,655,206 | ||||
(Cost $110,219,192) | |||||
Net Other Assets and Liabilities — 0.0% | 4,943 | ||||
Net Assets — 100.0% | $106,660,149 |
(a) | Investment in an affiliated fund. |
(b) | Rate shown reflects yield as of February 29, 2024. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 106,625,503 | $ 106,625,503 | $ — | $ — |
Money Market Funds | 29,703 | 29,703 | — | — |
Total Investments | $106,655,206 | $106,655,206 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
COMMON STOCKS — 99.6% | |||||
Aerospace & Defense — 0.5% | |||||
109 | Howmet Aerospace, Inc. | $7,254 | |||
161 | Textron, Inc. | 14,340 | |||
21,594 | |||||
Air Freight & Logistics — 0.2% | |||||
75 | Expeditors International of Washington, Inc. | 8,970 | |||
Banks — 1.6% | |||||
307 | Citizens Financial Group, Inc. | 9,636 | |||
80 | JPMorgan Chase & Co. | 14,885 | |||
139 | M&T Bank Corp. | 19,424 | |||
989 | Regions Financial Corp. | 18,425 | |||
267 | Zions Bancorp N.A. | 10,528 | |||
72,898 | |||||
Beverages — 0.1% | |||||
35 | Celsius Holdings, Inc. (a) | 2,857 | |||
Biotechnology — 1.9% | |||||
298 | AbbVie, Inc. | 52,463 | |||
297 | Gilead Sciences, Inc. | 21,414 | |||
19 | Neurocrine Biosciences, Inc. (a) | 2,478 | |||
18 | Vertex Pharmaceuticals, Inc. (a) | 7,573 | |||
83,928 | |||||
Broadline Retail — 2.7% | |||||
648 | Amazon.com, Inc. (a) | 114,541 | |||
86 | eBay, Inc. | 4,066 | |||
118,607 | |||||
Building Products — 3.0% | |||||
159 | A.O. Smith Corp. | 13,181 | |||
14 | Advanced Drainage Systems, Inc. | 2,286 | |||
135 | Builders FirstSource, Inc. (a) | 26,349 | |||
54 | Carlisle Cos., Inc. | 18,900 | |||
27 | Fortune Brands Innovations, Inc. | 2,196 | |||
30 | Lennox International, Inc. | 14,136 | |||
365 | Masco Corp. | 28,018 | |||
54 | Owens Corning | 8,088 | |||
66 | Trane Technologies PLC | 18,610 | |||
131,764 | |||||
Capital Markets — 2.1% | |||||
19 | Ameriprise Financial, Inc. | 7,740 | |||
188 | Bank of New York Mellon (The) Corp. | 10,545 | |||
133 | Cboe Global Markets, Inc. | 25,536 | |||
80 | CME Group, Inc. | 17,628 | |||
97 | Intercontinental Exchange, Inc. | 13,427 | |||
113 | State Street Corp. | 8,331 | |||
108 | Tradeweb Markets, Inc., Class A | 11,429 | |||
94,636 |
Shares | Description | Value | |||
Chemicals — 1.8% | |||||
239 | CF Industries Holdings, Inc. | $19,292 | |||
70 | Ecolab, Inc. | 15,739 | |||
38 | Linde PLC | 17,055 | |||
42 | LyondellBasell Industries N.V., Class A | 4,212 | |||
247 | Mosaic (The) Co. | 7,696 | |||
15 | PPG Industries, Inc. | 2,124 | |||
41 | RPM International, Inc. | 4,729 | |||
28 | Sherwin-Williams (The) Co. | 9,297 | |||
80,144 | |||||
Commercial Services & Supplies — 0.4% | |||||
24 | Cintas Corp. | 15,086 | |||
54 | Rollins, Inc. | 2,380 | |||
17,466 | |||||
Communications Equipment — 2.0% | |||||
20 | Arista Networks, Inc. (a) | 5,551 | |||
574 | Cisco Systems, Inc. | 27,764 | |||
120 | F5, Inc. (a) | 22,467 | |||
732 | Juniper Networks, Inc. | 27,106 | |||
21 | Motorola Solutions, Inc. | 6,938 | |||
89,826 | |||||
Consumer Staples Distribution & Retail — 2.0% | |||||
415 | Albertsons Cos., Inc., Class A | 8,416 | |||
56 | Costco Wholesale Corp. | 41,658 | |||
421 | Kroger (The) Co. | 20,886 | |||
98 | Walgreens Boots Alliance, Inc. | 2,084 | |||
258 | Walmart, Inc. | 15,121 | |||
88,165 | |||||
Containers & Packaging — 0.3% | |||||
294 | International Paper Co. | 10,396 | |||
14 | Packaging Corp. of America | 2,536 | |||
12,932 | |||||
Distributors — 0.2% | |||||
157 | LKQ Corp. | 8,210 | |||
Diversified REITs — 0.2% | |||||
165 | WP Carey, Inc. | 9,294 | |||
Diversified Telecommunication Services — 0.8% | |||||
672 | AT&T, Inc. | 11,377 | |||
605 | Verizon Communications, Inc. | 24,212 | |||
35,589 | |||||
Electric Utilities — 2.2% | |||||
192 | Constellation Energy Corp. | 32,342 | |||
342 | Evergy, Inc. | 16,943 | |||
563 | FirstEnergy Corp. | 20,612 | |||
223 | NRG Energy, Inc. | 12,336 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Electric Utilities (Continued) | |||||
75 | PPL Corp. | $1,978 | |||
67 | Southern (The) Co. | 4,506 | |||
138 | Xcel Energy, Inc. | 7,271 | |||
95,988 | |||||
Electrical Equipment — 1.0% | |||||
13 | AMETEK, Inc. | 2,342 | |||
107 | Eaton Corp. PLC | 30,923 | |||
18 | Hubbell, Inc. | 6,852 | |||
85 | Vertiv Holdings Co., Class A | 5,748 | |||
45,865 | |||||
Electronic Equipment, Instruments & Components — 1.7% | |||||
120 | Amphenol Corp., Class A | 13,109 | |||
13 | CDW Corp. | 3,200 | |||
235 | Jabil, Inc. | 33,861 | |||
133 | Keysight Technologies, Inc. (a) | 20,522 | |||
30 | TE Connectivity Ltd. | 4,307 | |||
74,999 | |||||
Entertainment — 0.5% | |||||
36 | Electronic Arts, Inc. | 5,021 | |||
27 | Netflix, Inc. (a) | 16,279 | |||
20 | Roku, Inc. (a) | 1,264 | |||
22,564 | |||||
Financial Services — 3.3% | |||||
166 | Berkshire Hathaway, Inc., Class B (a) | 67,960 | |||
94 | Corebridge Financial, Inc. | 2,334 | |||
48 | Fiserv, Inc. (a) | 7,165 | |||
47 | Mastercard, Inc., Class A | 22,314 | |||
97 | Visa, Inc., Class A | 27,416 | |||
1,495 | Western Union (The) Co. | 20,048 | |||
147,237 | |||||
Food Products — 0.7% | |||||
60 | Archer-Daniels-Midland Co. | 3,187 | |||
115 | Bunge Global S.A. | 10,853 | |||
119 | Kraft Heinz (The) Co. | 4,198 | |||
165 | Mondelez International, Inc., Class A | 12,056 | |||
30,294 | |||||
Ground Transportation — 0.5% | |||||
303 | Uber Technologies, Inc. (a) | 24,088 | |||
Health Care Equipment & Supplies — 0.9% | |||||
434 | Boston Scientific Corp. (a) | 28,735 | |||
35 | Stryker Corp. | 12,218 | |||
40,953 |
Shares | Description | Value | |||
Health Care Providers & Services — 5.1% | |||||
197 | Cardinal Health, Inc. | $22,060 | |||
125 | Cencora, Inc. | 29,450 | |||
286 | Centene Corp. (a) | 22,431 | |||
25 | Cigna Group (The) | 8,404 | |||
165 | CVS Health Corp. | 12,271 | |||
61 | Elevance Health, Inc. | 30,576 | |||
226 | Henry Schein, Inc. (a) | 17,282 | |||
24 | Humana, Inc. | 8,408 | |||
19 | Laboratory Corp. of America Holdings | 4,101 | |||
51 | McKesson Corp. | 26,592 | |||
6 | Molina Healthcare, Inc. (a) | 2,363 | |||
15 | Quest Diagnostics, Inc. | 1,873 | |||
68 | UnitedHealth Group, Inc. | 33,565 | |||
47 | Universal Health Services, Inc., Class B | 7,852 | |||
227,228 | |||||
Health Care REITs — 0.3% | |||||
130 | Welltower, Inc. | 11,981 | |||
Hotel & Resort REITs — 0.4% | |||||
829 | Host Hotels & Resorts, Inc. | 17,193 | |||
Hotels, Restaurants & Leisure — 0.7% | |||||
5 | Booking Holdings, Inc. (a) | 17,344 | |||
6 | Domino’s Pizza, Inc. | 2,690 | |||
43 | DoorDash, Inc., Class A (a) | 5,357 | |||
117 | DraftKings, Inc., Class A (a) | 5,068 | |||
30,459 | |||||
Household Durables — 2.9% | |||||
187 | D.R. Horton, Inc. | 27,945 | |||
89 | Garmin Ltd. | 12,224 | |||
116 | Lennar Corp., Class A | 18,387 | |||
6 | NVR, Inc. (a) | 45,754 | |||
237 | PulteGroup, Inc. | 25,686 | |||
129,996 | |||||
Household Products — 1.4% | |||||
184 | Colgate-Palmolive Co. | 15,920 | |||
36 | Kimberly-Clark Corp. | 4,362 | |||
266 | Procter & Gamble (The) Co. | 42,278 | |||
62,560 | |||||
Independent Power and Renewable Electricity Producers — 1.0% | |||||
809 | Vistra Corp. | 44,123 | |||
Industrial Conglomerates — 0.9% | |||||
212 | 3M Co. | 19,530 | |||
116 | General Electric Co. | 18,199 | |||
37,729 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Insurance — 4.8% | |||||
357 | Aflac, Inc. | $28,824 | |||
69 | American Financial Group, Inc. | 8,809 | |||
340 | American International Group, Inc. | 24,783 | |||
157 | Arch Capital Group Ltd. (a) | 13,752 | |||
63 | Assurant, Inc. | 11,431 | |||
143 | Brown & Brown, Inc. | 12,042 | |||
233 | CNA Financial Corp. | 10,240 | |||
10 | Erie Indemnity Co., Class A | 4,069 | |||
37 | Globe Life, Inc. | 4,696 | |||
278 | Hartford Financial Services Group (The), Inc. | 26,644 | |||
409 | Loews Corp. | 30,728 | |||
105 | Prudential Financial, Inc. | 11,444 | |||
58 | Travelers (The) Cos., Inc. | 12,816 | |||
142 | W.R. Berkley Corp. | 11,871 | |||
9 | Willis Towers Watson PLC | 2,454 | |||
214,603 | |||||
Interactive Media & Services — 4.6% | |||||
611 | Alphabet, Inc., Class A (a) | 84,599 | |||
325 | Match Group, Inc. (a) | 11,713 | |||
216 | Meta Platforms, Inc., Class A | 105,868 | |||
65 | Pinterest, Inc., Class A (a) | 2,386 | |||
204,566 | |||||
IT Services — 2.0% | |||||
42 | Accenture PLC, Class A | 15,741 | |||
295 | Cognizant Technology Solutions Corp., Class A | 23,311 | |||
155 | DXC Technology Co. (a) | 3,388 | |||
16 | Gartner, Inc. (a) | 7,449 | |||
151 | GoDaddy, Inc., Class A (a) | 17,237 | |||
113 | International Business Machines Corp. | 20,908 | |||
88,034 | |||||
Machinery — 4.0% | |||||
97 | Caterpillar, Inc. | 32,394 | |||
47 | Cummins, Inc. | 12,625 | |||
63 | Dover Corp. | 10,419 | |||
58 | Graco, Inc. | 5,293 | |||
11 | Illinois Tool Works, Inc. | 2,884 | |||
165 | Ingersoll Rand, Inc. | 15,069 | |||
509 | PACCAR, Inc. | 56,443 | |||
28 | Parker-Hannifin Corp. | 14,992 | |||
86 | Snap-on, Inc. | 23,707 | |||
17 | Westinghouse Air Brake Technologies Corp. | 2,402 | |||
176,228 |
Shares | Description | Value | |||
Media — 1.4% | |||||
750 | Comcast Corp., Class A | $32,137 | |||
607 | Fox Corp., Class A | 18,083 | |||
65 | Interpublic Group of (The) Cos., Inc. | 2,041 | |||
439 | News Corp., Class A | 11,800 | |||
64,061 | |||||
Metals & Mining — 2.2% | |||||
136 | Nucor Corp. | 26,153 | |||
124 | Reliance, Inc. | 39,831 | |||
84 | Southern Copper Corp. | 6,792 | |||
187 | Steel Dynamics, Inc. | 25,025 | |||
97,801 | |||||
Multi-Utilities — 0.7% | |||||
146 | Consolidated Edison, Inc. | 12,733 | |||
310 | Public Service Enterprise Group, Inc. | 19,344 | |||
32,077 | |||||
Oil, Gas & Consumable Fuels — 2.8% | |||||
175 | APA Corp. | 5,213 | |||
46 | Chevron Corp. | 6,993 | |||
33 | ConocoPhillips | 3,714 | |||
190 | Devon Energy Corp. | 8,371 | |||
218 | Exxon Mobil Corp. | 22,785 | |||
199 | HF Sinclair Corp. | 11,045 | |||
157 | Marathon Petroleum Corp. | 26,569 | |||
125 | Phillips 66 | 17,814 | |||
157 | Valero Energy Corp. | 22,209 | |||
124,713 | |||||
Pharmaceuticals — 2.8% | |||||
430 | Bristol-Myers Squibb Co. | 21,823 | |||
36 | Eli Lilly & Co. | 27,133 | |||
126 | Johnson & Johnson | 20,334 | |||
156 | Merck & Co., Inc. | 19,835 | |||
1,098 | Organon & Co. | 19,116 | |||
361 | Pfizer, Inc. | 9,588 | |||
393 | Viatris, Inc. | 4,861 | |||
122,690 | |||||
Professional Services — 1.0% | |||||
77 | Booz Allen Hamilton Holding Corp. | 11,374 | |||
17 | Jacobs Solutions, Inc. | 2,493 | |||
18 | Paychex, Inc. | 2,207 | |||
245 | Robert Half, Inc. | 19,698 | |||
66 | SS&C Technologies Holdings, Inc. | 4,208 | |||
19 | Verisk Analytics, Inc. | 4,596 | |||
44,576 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Real Estate Management & Development — 0.2% | |||||
115 | CBRE Group, Inc., Class A (a) | $10,567 | |||
Residential REITs — 0.4% | |||||
30 | Equity LifeStyle Properties, Inc. | 2,019 | |||
65 | Equity Residential | 3,914 | |||
110 | Mid-America Apartment Communities, Inc. | 13,825 | |||
19,758 | |||||
Retail REITs — 0.3% | |||||
84 | Simon Property Group, Inc. | 12,444 | |||
Semiconductors & Semiconductor Equipment — 6.9% | |||||
119 | Applied Materials, Inc. | 23,993 | |||
67 | Broadcom, Inc. | 87,133 | |||
24 | KLA Corp. | 16,375 | |||
120 | Microchip Technology, Inc. | 10,097 | |||
140 | NVIDIA Corp. | 110,757 | |||
56 | NXP Semiconductors N.V. | 13,985 | |||
39 | Qorvo, Inc. (a) | 4,467 | |||
195 | QUALCOMM, Inc. | 30,769 | |||
105 | Skyworks Solutions, Inc. | 11,016 | |||
308,592 | |||||
Software — 8.1% | |||||
26 | Adobe, Inc. (a) | 14,567 | |||
142 | AppLovin Corp., Class A (a) | 8,480 | |||
22 | Cadence Design Systems, Inc. (a) | 6,696 | |||
27 | Fair Isaac Corp. (a) | 34,288 | |||
92 | Gen Digital, Inc. | 1,977 | |||
56 | Manhattan Associates, Inc. (a) | 14,186 | |||
559 | Microsoft Corp. | 231,225 | |||
154 | Nutanix, Inc., Class A (a) | 9,727 | |||
12 | Palo Alto Networks, Inc. (a) | 3,727 | |||
97 | Salesforce, Inc. (a) | 29,956 | |||
11 | Synopsys, Inc. (a) | 6,311 | |||
361,140 | |||||
Specialized REITs — 1.1% | |||||
389 | Gaming and Leisure Properties, Inc. | 17,692 | |||
42 | Public Storage | 11,923 | |||
364 | VICI Properties, Inc. | 10,894 | |||
301 | Weyerhaeuser Co. | 10,348 | |||
50,857 | |||||
Specialty Retail — 3.3% | |||||
5 | AutoZone, Inc. (a) | 15,030 | |||
268 | Bath & Body Works, Inc. | 12,248 | |||
268 | Best Buy Co., Inc. | 21,676 | |||
27 | Home Depot (The), Inc. | 10,276 |
Shares | Description | Value | |||
Specialty Retail (Continued) | |||||
118 | Lowe’s Cos., Inc. | $28,399 | |||
8 | O’Reilly Automotive, Inc. (a) | 8,699 | |||
19 | Ross Stores, Inc. | 2,830 | |||
64 | TJX (The) Cos., Inc. | 6,345 | |||
400 | Victoria’s Secret & Co. (a) | 11,424 | |||
122 | Williams-Sonoma, Inc. | 28,735 | |||
145,662 | |||||
Technology Hardware, Storage & Peripherals — 6.8% | |||||
1,366 | Apple, Inc. | 246,904 | |||
111 | Dell Technologies, Inc., Class C | 10,507 | |||
382 | HP, Inc. | 10,822 | |||
289 | NetApp, Inc. | 25,756 | |||
8 | Super Micro Computer, Inc. (a) | 6,929 | |||
300,918 | |||||
Textiles, Apparel & Luxury Goods — 1.9% | |||||
20 | Deckers Outdoor Corp. (a) | 17,912 | |||
235 | Ralph Lauren Corp. | 43,691 | |||
460 | Tapestry, Inc. | 21,864 | |||
83,467 | |||||
Tobacco — 0.5% | |||||
567 | Altria Group, Inc. | 23,196 | |||
Trading Companies & Distributors — 0.4% | |||||
69 | Fastenal Co. | 5,038 | |||
10 | W.W. Grainger, Inc. | 9,734 | |||
8 | Watsco, Inc. | 3,153 | |||
17,925 | |||||
Wireless Telecommunication Services — 0.1% | |||||
20 | T-Mobile US, Inc. | 3,266 | |||
Total Common Stocks | 4,427,278 | ||||
(Cost $3,608,005) | |||||
MONEY MARKET FUNDS — 0.3% | |||||
11,292 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (b) | 11,292 | |||
(Cost $11,292) | |||||
Total Investments — 99.9% | 4,438,570 | ||||
(Cost $3,619,297) | |||||
Net Other Assets and Liabilities — 0.1% | 4,631 | ||||
Net Assets — 100.0% | $4,443,201 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
REITs | – Real Estate Investment Trusts |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 4,427,278 | $ 4,427,278 | $ — | $ — |
Money Market Funds | 11,292 | 11,292 | — | — |
Total Investments | $4,438,570 | $4,438,570 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
COMMON STOCKS — 99.8% | |||||
Aerospace & Defense — 0.3% | |||||
38 | Curtiss-Wright Corp. | $8,978 | |||
97 | Moog, Inc., Class A | 14,545 | |||
23,523 | |||||
Automobiles — 0.3% | |||||
190 | Thor Industries, Inc. | 24,354 | |||
Banks — 3.8% | |||||
818 | Bank OZK | 35,828 | |||
853 | Cadence Bank | 23,611 | |||
906 | Cathay General Bancorp | 35,379 | |||
1,193 | CVB Financial Corp. | 20,305 | |||
1,348 | First Horizon Corp. | 19,007 | |||
773 | Home BancShares, Inc. | 18,135 | |||
1,039 | International Bancshares Corp. | 53,914 | |||
235 | Popular, Inc. | 19,665 | |||
266 | SouthState Corp. | 22,355 | |||
587 | Zions Bancorp N.A. | 23,145 | |||
271,344 | |||||
Beverages — 1.3% | |||||
200 | Celsius Holdings, Inc. (a) | 16,324 | |||
87 | Coca-Cola Consolidated, Inc. | 73,150 | |||
89,474 | |||||
Biotechnology — 1.5% | |||||
115 | Blueprint Medicines Corp. (a) | 10,755 | |||
1,390 | Exelixis, Inc. (a) | 30,441 | |||
175 | Halozyme Therapeutics, Inc. (a) | 6,967 | |||
168 | Neurocrine Biosciences, Inc. (a) | 21,907 | |||
154 | United Therapeutics Corp. (a) | 34,748 | |||
104,818 | |||||
Broadline Retail — 1.0% | |||||
85 | Dillard’s, Inc., Class A | 35,252 | |||
796 | Macy’s, Inc. | 13,882 | |||
901 | Nordstrom, Inc. | 18,894 | |||
68,028 | |||||
Building Products — 5.8% | |||||
119 | A.O. Smith Corp. | 9,865 | |||
156 | Advanced Drainage Systems, Inc. | 25,466 | |||
401 | AZEK (The) Co., Inc. (a) | 19,292 | |||
427 | Builders FirstSource, Inc. (a) | 83,342 | |||
130 | Carlisle Cos., Inc. | 45,500 | |||
89 | Lennox International, Inc. | 41,938 | |||
2,503 | Masterbrand, Inc. (a) | 43,327 | |||
444 | Owens Corning | 66,502 | |||
246 | Simpson Manufacturing Co., Inc. | 51,335 | |||
216 | UFP Industries, Inc. | 24,760 | |||
411,327 | |||||
Capital Markets — 1.4% | |||||
216 | Affiliated Managers Group, Inc. | 33,763 |
Shares | Description | Value | |||
Capital Markets (Continued) | |||||
123 | Evercore, Inc., Class A | $23,011 | |||
182 | Federated Hermes, Inc. | 6,412 | |||
502 | Stifel Financial Corp. | 38,081 | |||
101,267 | |||||
Chemicals — 1.7% | |||||
80 | NewMarket Corp. | 51,334 | |||
396 | Olin Corp. | 21,305 | |||
41 | Quaker Chemical Corp. | 8,220 | |||
322 | RPM International, Inc. | 37,143 | |||
118,002 | |||||
Commercial Services & Supplies — 0.7% | |||||
893 | HNI Corp. | 40,015 | |||
58 | MSA Safety, Inc. | 10,681 | |||
50,696 | |||||
Communications Equipment — 0.8% | |||||
184 | F5, Inc. (a) | 34,449 | |||
1,171 | NetScout Systems, Inc. (a) | 25,352 | |||
59,801 | |||||
Construction & Engineering — 2.1% | |||||
485 | API Group Corp. (a) | 16,999 | |||
193 | Comfort Systems USA, Inc. | 59,006 | |||
225 | EMCOR Group, Inc. | 70,542 | |||
146,547 | |||||
Construction Materials — 0.7% | |||||
192 | Eagle Materials, Inc. | 48,682 | |||
Consumer Finance — 1.0% | |||||
155 | FirstCash Holdings, Inc. | 17,748 | |||
1,844 | Navient Corp. | 29,983 | |||
1,061 | SLM Corp. | 22,101 | |||
69,832 | |||||
Consumer Staples Distribution & Retail — 1.4% | |||||
27 | Casey’s General Stores, Inc. | 8,221 | |||
1,205 | Sprouts Farmers Market, Inc. (a) | 75,240 | |||
277 | US Foods Holding Corp. (a) | 14,069 | |||
97,530 | |||||
Containers & Packaging — 0.8% | |||||
85 | AptarGroup, Inc. | 11,939 | |||
541 | Berry Global Group, Inc. | 31,492 | |||
236 | Greif, Inc., Class A | 15,212 | |||
58,643 | |||||
Diversified Consumer Services — 1.6% | |||||
37 | Duolingo, Inc. (a) | 8,843 | |||
43 | Graham Holdings Co., Class B | 30,200 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Diversified Consumer Services (Continued) | |||||
179 | Grand Canyon Education, Inc. (a) | $24,129 | |||
973 | H&R Block, Inc. | 47,629 | |||
110,801 | |||||
Electric Utilities — 0.7% | |||||
231 | ALLETE, Inc. | 13,084 | |||
666 | NRG Energy, Inc. | 36,843 | |||
49,927 | |||||
Electrical Equipment — 2.4% | |||||
303 | Acuity Brands, Inc. | 76,126 | |||
200 | Atkore, Inc. | 33,880 | |||
192 | EnerSys | 17,641 | |||
50 | Hubbell, Inc. | 19,033 | |||
201 | NEXTracker, Inc., Class A (a) | 11,304 | |||
218 | nVent Electric PLC | 14,676 | |||
172,660 | |||||
Electronic Equipment, Instruments & Components — 3.5% | |||||
227 | Arrow Electronics, Inc. (a) | 26,673 | |||
20 | Badger Meter, Inc. | 3,174 | |||
234 | Belden, Inc. | 19,932 | |||
105 | Insight Enterprises, Inc. (a) | 19,740 | |||
520 | Jabil, Inc. | 74,927 | |||
562 | Sanmina Corp. (a) | 35,518 | |||
365 | TD SYNNEX Corp. | 37,923 | |||
1,094 | Vishay Intertechnology, Inc. | 23,795 | |||
100 | Vontier Corp. | 4,300 | |||
245,982 | |||||
Energy Equipment & Services — 0.7% | |||||
225 | ChampionX Corp. | 6,989 | |||
402 | Weatherford International PLC (a) | 41,249 | |||
48,238 | |||||
Entertainment — 0.1% | |||||
71 | Roku, Inc. (a) | 4,486 | |||
Financial Services — 3.5% | |||||
1,346 | Enact Holdings, Inc. | 37,311 | |||
182 | Equitable Holdings, Inc. | 6,232 | |||
1,278 | Essent Group Ltd. | 68,462 | |||
3,694 | MGIC Investment Corp. | 73,474 | |||
1,997 | Radian Group, Inc. | 58,192 | |||
246 | Western Union (The) Co. | 3,299 | |||
246,970 | |||||
Food Products — 1.0% | |||||
317 | Ingredion, Inc. | 37,289 |
Shares | Description | Value | |||
Food Products (Continued) | |||||
134 | J.M. Smucker (The) Co. | $16,103 | |||
208 | Post Holdings, Inc. (a) | 21,665 | |||
75,057 | |||||
Gas Utilities — 0.9% | |||||
672 | National Fuel Gas Co. | 32,753 | |||
270 | New Jersey Resources Corp. | 11,235 | |||
697 | UGI Corp. | 17,063 | |||
61,051 | |||||
Ground Transportation — 0.1% | |||||
506 | Lyft, Inc., Class A (a) | 8,035 | |||
Health Care Equipment & Supplies — 1.6% | |||||
1,219 | Envista Holdings Corp. (a) | 25,172 | |||
691 | Globus Medical, Inc., Class A (a) | 37,307 | |||
112 | Haemonetics Corp. (a) | 8,174 | |||
398 | Integra LifeSciences Holdings Corp. (a) | 14,690 | |||
124 | Lantheus Holdings, Inc. (a) | 8,107 | |||
71 | Merit Medical Systems, Inc. (a) | 5,410 | |||
80 | Penumbra, Inc. (a) | 18,794 | |||
117,654 | |||||
Health Care Providers & Services — 4.2% | |||||
361 | AMN Healthcare Services, Inc. (a) | 20,314 | |||
414 | Cardinal Health, Inc. | 46,360 | |||
87 | Chemed Corp. | 54,473 | |||
43 | CorVel Corp. (a) | 10,492 | |||
447 | Enhabit, Inc. (a) | 4,023 | |||
149 | Ensign Group (The), Inc. | 18,613 | |||
219 | Henry Schein, Inc. (a) | 16,747 | |||
85 | Molina Healthcare, Inc. (a) | 33,482 | |||
398 | Option Care Health, Inc. (a) | 12,844 | |||
198 | Patterson Cos., Inc. | 5,364 | |||
813 | Premier, Inc., Class A | 16,959 | |||
526 | Tenet Healthcare Corp. (a) | 48,918 | |||
70 | Universal Health Services, Inc., Class B | 11,694 | |||
300,283 | |||||
Health Care REITs — 1.6% | |||||
2,173 | Medical Properties Trust, Inc. | 9,148 | |||
1,588 | Omega Healthcare Investors, Inc. | 49,419 | |||
4,065 | Sabra Health Care REIT, Inc. | 56,422 | |||
114,989 | |||||
Hotel & Resort REITs — 0.7% | |||||
892 | Apple Hospitality REIT, Inc. | 14,352 | |||
2,320 | Park Hotels & Resorts, Inc. | 38,512 | |||
52,864 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Hotels, Restaurants & Leisure — 0.6% | |||||
170 | Texas Roadhouse, Inc. | $25,393 | |||
471 | Travel + Leisure Co. | 21,049 | |||
46,442 | |||||
Household Durables — 5.1% | |||||
120 | Installed Building Products, Inc. | 28,672 | |||
1,165 | KB Home | 77,391 | |||
342 | Meritage Homes Corp. | 53,920 | |||
370 | PulteGroup, Inc. | 40,101 | |||
941 | Taylor Morrison Home Corp. (a) | 53,270 | |||
504 | Toll Brothers, Inc. | 57,778 | |||
88 | TopBuild Corp. (a) | 35,409 | |||
327 | Tri Pointe Homes, Inc. (a) | 11,569 | |||
118 | Worthington Enterprises, Inc. | 7,330 | |||
365,440 | |||||
Independent Power and Renewable Electricity Producers — 1.9% | |||||
2,465 | Vistra Corp. | 134,441 | |||
Industrial REITs — 0.6% | |||||
1,134 | STAG Industrial, Inc. | 42,117 | |||
Insurance — 3.8% | |||||
189 | Assurant, Inc. | 34,294 | |||
70 | Brighthouse Financial, Inc. (a) | 3,259 | |||
114 | Erie Indemnity Co., Class A | 46,384 | |||
657 | Loews Corp. | 49,360 | |||
913 | Old Republic International Corp. | 26,440 | |||
512 | Oscar Health, Inc., Class A (a) | 8,325 | |||
210 | Primerica, Inc. | 51,505 | |||
1,022 | Unum Group | 50,538 | |||
270,105 | |||||
IT Services — 0.3% | |||||
580 | DXC Technology Co. (a) | 12,679 | |||
95 | GoDaddy, Inc., Class A (a) | 10,844 | |||
23,523 | |||||
Life Sciences Tools & Services — 0.7% | |||||
75 | Bruker Corp. | 6,490 | |||
103 | Medpace Holdings, Inc. (a) | 40,945 | |||
47,435 | |||||
Machinery — 5.1% | |||||
169 | AGCO Corp. | 18,539 | |||
818 | Allison Transmission Holdings, Inc. | 61,620 | |||
124 | Crane Co. | 15,074 | |||
222 | Esab Corp. | 22,005 | |||
333 | Federal Signal Corp. | 27,276 | |||
225 | Graco, Inc. | 20,534 | |||
52 | ITT, Inc. | 6,559 |
Shares | Description | Value | |||
Machinery (Continued) | |||||
54 | Kadant, Inc. | $18,214 | |||
643 | Kennametal, Inc. | 16,229 | |||
90 | Lincoln Electric Holdings, Inc. | 23,094 | |||
840 | Mueller Industries, Inc. | 43,159 | |||
87 | Snap-on, Inc. | 23,982 | |||
608 | Terex Corp. | 34,869 | |||
225 | Timken (The) Co. | 18,898 | |||
58 | Watts Water Technologies, Inc., Class A | 11,829 | |||
361,881 | |||||
Media — 1.3% | |||||
80 | John Wiley & Sons, Inc., Class A | 2,668 | |||
675 | New York Times (The) Co., Class A | 29,889 | |||
289 | Nexstar Media Group, Inc. | 48,023 | |||
1,069 | TEGNA, Inc. | 14,977 | |||
95,557 | |||||
Metals & Mining — 3.5% | |||||
124 | Alpha Metallurgical Resources, Inc. | 46,779 | |||
791 | Commercial Metals Co. | 42,714 | |||
323 | Reliance, Inc. | 103,754 | |||
427 | Steel Dynamics, Inc. | 57,141 | |||
250,388 | |||||
Office REITs — 1.5% | |||||
1,044 | COPT Defense Properties | 25,296 | |||
1,635 | Cousins Properties, Inc. | 37,294 | |||
736 | Highwoods Properties, Inc. | 17,995 | |||
3,807 | Hudson Pacific Properties, Inc. | 24,137 | |||
104,722 | |||||
Oil, Gas & Consumable Fuels — 2.2% | |||||
335 | Chord Energy Corp. | 54,421 | |||
245 | Civitas Resources, Inc. | 16,827 | |||
602 | HF Sinclair Corp. | 33,411 | |||
30 | Ovintiv, Inc. | 1,482 | |||
609 | PBF Energy, Inc., Class A | 28,440 | |||
875 | Peabody Energy Corp. | 21,674 | |||
156,255 | |||||
Personal Care Products — 1.7% | |||||
865 | BellRing Brands, Inc. (a) | 49,262 | |||
276 | elf Beauty, Inc. (a) | 57,554 | |||
890 | Nu Skin Enterprises, Inc., Class A | 11,125 | |||
117,941 | |||||
Pharmaceuticals — 0.8% | |||||
240 | Intra-Cellular Therapies, Inc. (a) | 16,685 | |||
41 | Jazz Pharmaceuticals PLC (a) | 4,875 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Pharmaceuticals (Continued) | |||||
397 | Organon & Co. | $6,912 | |||
568 | Perrigo Co. PLC | 14,915 | |||
205 | Prestige Consumer Healthcare, Inc. (a) | 14,264 | |||
57,651 | |||||
Professional Services — 3.3% | |||||
272 | ASGN, Inc. (a) | 27,015 | |||
16 | CACI International, Inc., Class A (a) | 5,998 | |||
361 | Concentrix Corp. | 26,154 | |||
665 | Genpact Ltd. | 22,610 | |||
26 | Insperity, Inc. | 2,646 | |||
448 | ManpowerGroup, Inc. | 32,328 | |||
165 | Maximus, Inc. | 13,804 | |||
475 | Parsons Corp. (a) | 38,290 | |||
200 | Robert Half, Inc. | 16,080 | |||
261 | Science Applications International Corp. | 36,530 | |||
116 | TriNet Group, Inc. (a) | 14,849 | |||
236,304 | |||||
Real Estate Management & Development — 0.7% | |||||
250 | Jones Lang LaSalle, Inc. (a) | 47,560 | |||
Residential REITs — 0.1% | |||||
119 | Equity LifeStyle Properties, Inc. | 8,011 | |||
Retail REITs — 0.5% | |||||
220 | Brixmor Property Group, Inc. | 4,974 | |||
316 | NNN REIT, Inc. | 12,858 | |||
418 | Phillips Edison & Co., Inc. | 14,931 | |||
32,763 | |||||
Semiconductors & Semiconductor Equipment — 1.0% | |||||
49 | Axcelis Technologies, Inc. (a) | 5,521 | |||
124 | Cirrus Logic, Inc. (a) | 11,385 | |||
230 | Onto Innovation, Inc. (a) | 42,357 | |||
174 | Rambus, Inc. (a) | 10,308 | |||
69,571 | |||||
Software — 3.4% | |||||
115 | ACI Worldwide, Inc. (a) | 3,785 | |||
140 | Appfolio, Inc., Class A (a) | 33,893 | |||
215 | Box, Inc., Class A (a) | 5,545 | |||
166 | Braze, Inc., Class A (a) | 9,445 | |||
140 | CommVault Systems, Inc. (a) | 13,399 | |||
1,164 | Dropbox, Inc., Class A (a) | 27,878 | |||
40 | Fair Isaac Corp. (a) | 50,796 | |||
316 | Gen Digital, Inc. | 6,791 | |||
348 | InterDigital, Inc. | 37,243 | |||
85 | Manhattan Associates, Inc. (a) | 21,533 |
Shares | Description | Value | |||
Software (Continued) | |||||
77 | Qualys, Inc. (a) | $13,233 | |||
353 | SentinelOne, Inc., Class A (a) | 9,944 | |||
71 | Smartsheet, Inc., Class A (a) | 2,997 | |||
20 | SPS Commerce, Inc. (a) | 3,703 | |||
129 | Teradata Corp. (a) | 4,853 | |||
245,038 | |||||
Specialized REITs — 1.5% | |||||
165 | CubeSmart | 7,196 | |||
254 | EPR Properties | 10,434 | |||
673 | Gaming and Leisure Properties, Inc. | 30,608 | |||
124 | Iron Mountain, Inc. | 9,751 | |||
287 | Lamar Advertising Co., Class A | 31,728 | |||
506 | National Storage Affiliates Trust | 18,120 | |||
107,837 | |||||
Specialty Retail — 5.1% | |||||
210 | Abercrombie & Fitch Co., Class A (a) | 26,829 | |||
585 | Academy Sports & Outdoors, Inc. | 43,711 | |||
653 | American Eagle Outfitters, Inc. | 15,509 | |||
107 | Asbury Automotive Group, Inc. (a) | 22,345 | |||
155 | AutoNation, Inc. (a) | 23,219 | |||
158 | Dick’s Sporting Goods, Inc. | 28,107 | |||
1,335 | Gap (The), Inc. | 25,285 | |||
52 | Group 1 Automotive, Inc. | 14,074 | |||
114 | Murphy USA, Inc. | 47,539 | |||
68 | Penske Automotive Group, Inc. | 10,438 | |||
411 | Victoria’s Secret & Co. (a) | 11,738 | |||
56 | Wayfair, Inc., Class A (a) | 3,338 | |||
382 | Williams-Sonoma, Inc. | 89,972 | |||
362,104 | |||||
Technology Hardware, Storage & Peripherals — 1.9% | |||||
439 | NetApp, Inc. | 39,124 | |||
110 | Super Micro Computer, Inc. (a) | 95,273 | |||
134,397 | |||||
Textiles, Apparel & Luxury Goods — 3.1% | |||||
285 | Carter’s, Inc. | 23,071 | |||
142 | Crocs, Inc. (a) | 17,359 | |||
110 | Deckers Outdoor Corp. (a) | 98,515 | |||
316 | PVH Corp. | 43,188 | |||
100 | Ralph Lauren Corp. | 18,592 | |||
480 | Tapestry, Inc. | 22,814 | |||
223,539 | |||||
Trading Companies & Distributors — 2.9% | |||||
69 | Applied Industrial Technologies, Inc. | 13,102 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Trading Companies & Distributors (Continued) | |||||
210 | Beacon Roofing Supply, Inc. (a) | $18,037 | |||
407 | Boise Cascade Co. | 55,315 | |||
1,113 | Core & Main, Inc., Class A (a) | 53,124 | |||
243 | MSC Industrial Direct Co., Inc., Class A | 24,528 | |||
74 | Watsco, Inc. | 29,165 | |||
105 | WESCO International, Inc. | 15,697 | |||
208,968 | |||||
Total Common Stocks | 7,102,855 | ||||
(Cost $6,349,246) | |||||
MONEY MARKET FUNDS — 0.2% | |||||
12,372 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (b) | 12,372 | |||
(Cost $12,372) | |||||
Total Investments — 100.0% | 7,115,227 | ||||
(Cost $6,361,618) | |||||
Net Other Assets and Liabilities — 0.0% | 2,632 | ||||
Net Assets — 100.0% | $7,117,859 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
REITs | – Real Estate Investment Trusts |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 7,102,855 | $ 7,102,855 | $ — | $ — |
Money Market Funds | 12,372 | 12,372 | — | — |
Total Investments | $7,115,227 | $7,115,227 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
COMMON STOCKS — 99.7% | |||||
Aerospace & Defense — 0.3% | |||||
104 | Moog, Inc., Class A | $15,595 | |||
Air Freight & Logistics — 0.8% | |||||
419 | Forward Air Corp. | 15,557 | |||
700 | Hub Group, Inc., Class A (a) | 29,771 | |||
45,328 | |||||
Automobile Components — 0.7% | |||||
467 | Modine Manufacturing Co. (a) | 41,895 | |||
Automobiles — 0.3% | |||||
209 | Winnebago Industries, Inc. | 14,992 | |||
Banks — 6.6% | |||||
357 | Bancorp (The), Inc. (a) | 15,936 | |||
957 | Bank of NT Butterfield & Son Ltd. (The) | 28,605 | |||
1,061 | BankUnited, Inc. | 28,456 | |||
688 | Cadence Bank | 19,044 | |||
403 | Cathay General Bancorp | 15,737 | |||
277 | City Holding Co. | 27,833 | |||
1,045 | CVB Financial Corp. | 17,786 | |||
1,167 | Eagle Bancorp, Inc. | 27,798 | |||
1,231 | First BanCorp | 20,902 | |||
120 | First Financial Corp. | 4,468 | |||
104 | First Interstate BancSystem, Inc., Class A | 2,737 | |||
48 | Independent Bank Corp. | 2,504 | |||
309 | International Bancshares Corp. | 16,034 | |||
860 | OFG Bancorp | 31,149 | |||
20 | Park National Corp. | 2,570 | |||
257 | Pathward Financial, Inc. | 13,066 | |||
112 | Popular, Inc. | 9,372 | |||
620 | Preferred Bank | 44,547 | |||
744 | Provident Financial Services, Inc. | 11,220 | |||
808 | S&T Bancorp, Inc. | 25,202 | |||
245 | Westamerica BanCorp | 11,199 | |||
376,165 | |||||
Beverages — 0.4% | |||||
16 | Coca-Cola Consolidated, Inc. | 13,453 | |||
387 | Vita Coco (The) Co., Inc. (a) | 10,101 | |||
23,554 | |||||
Biotechnology — 3.7% | |||||
293 | ACADIA Pharmaceuticals, Inc. (a) | 6,809 | |||
1,371 | Alkermes PLC (a) | 40,705 | |||
471 | ALX Oncology Holdings, Inc. (a) | 6,910 | |||
233 | Blueprint Medicines Corp. (a) | 21,790 | |||
353 | Cabaletta Bio, Inc. (a) | 8,077 |
Shares | Description | Value | |||
Biotechnology (Continued) | |||||
2,529 | Catalyst Pharmaceuticals, Inc. (a) | $40,540 | |||
207 | Dynavax Technologies Corp. (a) | 2,623 | |||
535 | Eagle Pharmaceuticals, Inc. (a) | 3,135 | |||
281 | Ideaya Biosciences, Inc. (a) | 12,561 | |||
1,143 | Ironwood Pharmaceuticals, Inc. (a) | 10,778 | |||
599 | Kiniksa Pharmaceuticals Ltd., Class A (a) | 12,663 | |||
28 | Krystal Biotech, Inc. (a) | 4,465 | |||
407 | Mirum Pharmaceuticals, Inc. (a) | 11,685 | |||
247 | TG Therapeutics, Inc. (a) | 4,253 | |||
4,700 | Vanda Pharmaceuticals, Inc. (a) | 21,009 | |||
60 | Vericel Corp. (a) | 2,741 | |||
210,744 | |||||
Broadline Retail — 1.2% | |||||
108 | Dillard’s, Inc., Class A | 44,791 | |||
112 | Kohl’s Corp. | 3,121 | |||
1,025 | Macy’s, Inc. | 17,876 | |||
169 | Nordstrom, Inc. | 3,544 | |||
69,332 | |||||
Building Products — 2.8% | |||||
177 | American Woodmark Corp. (a) | 17,742 | |||
301 | Apogee Enterprises, Inc. | 17,220 | |||
76 | Gibraltar Industries, Inc. (a) | 5,886 | |||
44 | Griffon Corp. | 3,142 | |||
369 | Insteel Industries, Inc. | 13,435 | |||
241 | Janus International Group, Inc. (a) | 3,458 | |||
1,005 | Masterbrand, Inc. (a) | 17,397 | |||
844 | Resideo Technologies, Inc. (a) | 18,847 | |||
201 | Simpson Manufacturing Co., Inc. | 41,945 | |||
165 | UFP Industries, Inc. | 18,914 | |||
157,986 | |||||
Capital Markets — 1.1% | |||||
72 | Artisan Partners Asset Management, Inc., Class A | 3,101 | |||
479 | Donnelley Financial Solutions, Inc. (a) | 30,924 | |||
149 | Hamilton Lane, Inc., Class A | 17,113 | |||
48 | Piper Sandler Cos. | 9,037 | |||
80 | Victory Capital Holdings, Inc., Class A | 3,074 | |||
63,249 | |||||
Chemicals — 0.9% | |||||
329 | AdvanSix, Inc. | 9,206 | |||
205 | Hawkins, Inc. | 14,401 | |||
345 | Koppers Holdings, Inc. | 19,534 | |||
1,009 | LSB Industries, Inc. (a) | 7,426 | |||
50,567 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Commercial Services & Supplies — 1.2% | |||||
133 | Brady Corp., Class A | $7,751 | |||
309 | CECO Environmental Corp. (a) | 6,999 | |||
129 | Cimpress PLC (a) | 12,643 | |||
1,292 | GEO Group (The), Inc. (a) | 15,853 | |||
100 | MillerKnoll, Inc. | 3,055 | |||
1,521 | Steelcase, Inc., Class A | 20,899 | |||
67,200 | |||||
Communications Equipment — 0.6% | |||||
959 | Extreme Networks, Inc. (a) | 12,122 | |||
1,044 | NetScout Systems, Inc. (a) | 22,602 | |||
34,724 | |||||
Construction & Engineering — 2.2% | |||||
165 | Comfort Systems USA, Inc. | 50,445 | |||
116 | EMCOR Group, Inc. | 36,368 | |||
387 | Sterling Infrastructure, Inc. (a) | 41,270 | |||
128,083 | |||||
Consumer Finance — 0.7% | |||||
1,580 | Navient Corp. | 25,691 | |||
495 | PROG Holdings, Inc. (a) | 15,280 | |||
40,971 | |||||
Consumer Staples Distribution & Retail — 0.9% | |||||
313 | Andersons (The), Inc. | 17,303 | |||
124 | Ingles Markets, Inc., Class A | 9,549 | |||
96 | SpartanNash Co. | 2,023 | |||
64 | Sprouts Farmers Market, Inc. (a) | 3,996 | |||
341 | United Natural Foods, Inc. (a) | 5,323 | |||
181 | Weis Markets, Inc. | 11,754 | |||
49,948 | |||||
Diversified Consumer Services — 2.0% | |||||
60 | Duolingo, Inc. (a) | 14,340 | |||
137 | Grand Canyon Education, Inc. (a) | 18,468 | |||
349 | H&R Block, Inc. | 17,083 | |||
1,901 | Perdoceo Education Corp. | 33,857 | |||
145 | Strategic Education, Inc. | 16,064 | |||
241 | Stride, Inc. (a) | 14,400 | |||
114,212 | |||||
Electric Utilities — 0.9% | |||||
300 | ALLETE, Inc. | 16,992 | |||
383 | Otter Tail Corp. | 34,646 | |||
51,638 | |||||
Electrical Equipment — 2.4% | |||||
28 | Acuity Brands, Inc. | 7,035 | |||
229 | Atkore, Inc. | 38,793 |
Shares | Description | Value | |||
Electrical Equipment (Continued) | |||||
165 | Encore Wire Corp. | $39,765 | |||
241 | NEXTracker, Inc., Class A (a) | 13,554 | |||
193 | Powell Industries, Inc. | 35,751 | |||
134,898 | |||||
Electronic Equipment, Instruments & Components — 4.8% | |||||
185 | Badger Meter, Inc. | 29,358 | |||
249 | Bel Fuse, Inc., Class B | 12,940 | |||
355 | Belden, Inc. | 30,239 | |||
64 | CTS Corp. | 2,852 | |||
1,473 | Daktronics, Inc. (a) | 12,786 | |||
467 | ePlus, Inc. (a) | 38,476 | |||
116 | Insight Enterprises, Inc. (a) | 21,808 | |||
281 | Knowles Corp. (a) | 4,591 | |||
337 | Napco Security Technologies, Inc. | 15,175 | |||
104 | OSI Systems, Inc. (a) | 13,643 | |||
523 | PC Connection, Inc. | 34,717 | |||
535 | Sanmina Corp. (a) | 33,812 | |||
969 | Vishay Intertechnology, Inc. | 21,076 | |||
271,473 | |||||
Energy Equipment & Services — 1.6% | |||||
1,853 | Archrock, Inc. | 33,854 | |||
1,335 | Helix Energy Solutions Group, Inc. (a) | 12,015 | |||
305 | Liberty Energy, Inc. | 6,521 | |||
361 | Weatherford International PLC (a) | 37,042 | |||
89,432 | |||||
Financial Services — 2.5% | |||||
459 | A-Mark Precious Metals, Inc. | 11,792 | |||
471 | Enact Holdings, Inc. | 13,056 | |||
88 | Essent Group Ltd. | 4,714 | |||
491 | International Money Express, Inc. (a) | 9,673 | |||
2,124 | MGIC Investment Corp. | 42,246 | |||
241 | Mr. Cooper Group, Inc. (a) | 17,178 | |||
507 | NMI Holdings, Inc., Class A (a) | 15,251 | |||
911 | Radian Group, Inc. | 26,547 | |||
140,457 | |||||
Food Products — 1.2% | |||||
539 | Cal-Maine Foods, Inc. | 30,987 | |||
949 | Dole PLC | 11,208 | |||
997 | Fresh Del Monte Produce, Inc. | 23,858 | |||
66,053 | |||||
Gas Utilities — 0.0% | |||||
44 | ONE Gas, Inc. | 2,622 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Ground Transportation — 0.4% | |||||
141 | ArcBest Corp. | $20,143 | |||
Health Care Equipment & Supplies — 3.0% | |||||
644 | Avanos Medical, Inc. (a) | 11,959 | |||
229 | Embecta Corp. | 3,270 | |||
471 | Globus Medical, Inc., Class A (a) | 25,429 | |||
165 | Haemonetics Corp. (a) | 12,042 | |||
1,151 | Inmode Ltd. (a) | 25,322 | |||
159 | Lantheus Holdings, Inc. (a) | 10,396 | |||
149 | LeMaitre Vascular, Inc. | 10,430 | |||
129 | QuidelOrtho Corp. (a) | 5,882 | |||
225 | RxSight, Inc. (a) | 12,278 | |||
137 | SI-BONE, Inc. (a) | 2,377 | |||
681 | Tactile Systems Technology, Inc. (a) | 10,385 | |||
137 | TransMedics Group, Inc. (a) | 11,179 | |||
141 | UFP Technologies, Inc. (a) | 29,372 | |||
170,321 | |||||
Health Care Providers & Services — 3.5% | |||||
201 | Addus HomeCare Corp. (a) | 18,548 | |||
64 | AMN Healthcare Services, Inc. (a) | 3,601 | |||
435 | Astrana Health, Inc. (a) | 19,592 | |||
124 | CorVel Corp. (a) | 30,256 | |||
1,432 | Cross Country Healthcare, Inc. (a) | 26,163 | |||
1,049 | Hims & Hers Health, Inc. (a) | 13,679 | |||
427 | NeoGenomics, Inc. (a) | 6,661 | |||
909 | Option Care Health, Inc. (a) | 29,334 | |||
313 | Owens & Minor, Inc. (a) | 7,615 | |||
2,364 | Pediatrix Medical Group, Inc. (a) | 21,631 | |||
992 | Premier, Inc., Class A | 20,693 | |||
197,773 | |||||
Health Care REITs — 0.8% | |||||
768 | CareTrust REIT, Inc. | 17,326 | |||
237 | National Health Investors, Inc. | 13,621 | |||
997 | Sabra Health Care REIT, Inc. | 13,838 | |||
44,785 | |||||
Health Care Technology — 0.0% | |||||
108 | Phreesia, Inc. (a) | 2,673 | |||
Hotel & Resort REITs — 0.6% | |||||
816 | Park Hotels & Resorts, Inc. | 13,546 | |||
157 | Ryman Hospitality Properties, Inc. | 18,601 | |||
32,147 |
Shares | Description | Value | |||
Household Durables — 4.0% | |||||
145 | Century Communities, Inc. | $12,512 | |||
373 | Dream Finders Homes, Inc., Class A (a) | 14,595 | |||
520 | Ethan Allen Interiors, Inc. | 17,384 | |||
519 | Green Brick Partners, Inc. (a) | 30,361 | |||
72 | Hovnanian Enterprises, Inc., Class A (a) | 11,279 | |||
660 | KB Home | 43,844 | |||
325 | M/I Homes, Inc. (a) | 41,272 | |||
120 | Meritage Homes Corp. | 18,919 | |||
644 | Taylor Morrison Home Corp. (a) | 36,457 | |||
104 | Tri Pointe Homes, Inc. (a) | 3,680 | |||
230,303 | |||||
Industrial REITs — 0.3% | |||||
173 | Innovative Industrial Properties, Inc. | 16,952 | |||
Insurance — 2.4% | |||||
80 | Employers Holdings, Inc. | 3,657 | |||
177 | Enstar Group Ltd. (a) | 54,505 | |||
149 | HCI Group, Inc. | 14,545 | |||
301 | Mercury General Corp. | 14,656 | |||
495 | Oscar Health, Inc., Class A (a) | 8,049 | |||
92 | RLI Corp. | 13,473 | |||
1,352 | Universal Insurance Holdings, Inc. | 27,297 | |||
136,182 | |||||
Interactive Media & Services — 0.3% | |||||
664 | Cars.com, Inc. (a) | 12,178 | |||
137 | Yelp, Inc. (a) | 5,266 | |||
17,444 | |||||
IT Services — 0.3% | |||||
435 | Couchbase, Inc. (a) | 12,215 | |||
92 | Squarespace, Inc., Class A (a) | 3,062 | |||
15,277 | |||||
Leisure Products — 0.1% | |||||
92 | Vista Outdoor, Inc. (a) | 2,870 | |||
Life Sciences Tools & Services — 1.0% | |||||
2,308 | Maravai LifeSciences Holdings, Inc., Class A (a) | 17,841 | |||
64 | Medpace Holdings, Inc. (a) | 25,441 | |||
53 | OmniAb, Inc. - 12.5 Earnout Shares (a) (b) (c) (d) (e) | 0 | |||
53 | OmniAb, Inc. - 15 Earnout Shares (a) (b) (c) (d) (e) | 0 | |||
676 | Quanterix Corp. (a) | 16,197 | |||
59,479 | |||||
Machinery — 2.3% | |||||
12 | Kadant, Inc. | 4,048 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Machinery (Continued) | |||||
700 | Mueller Industries, Inc. | $35,966 | |||
551 | Terex Corp. | 31,600 | |||
1,817 | Titan International, Inc. (a) | 23,185 | |||
712 | Wabash National Corp. | 19,423 | |||
88 | Watts Water Technologies, Inc., Class A | 17,947 | |||
132,169 | |||||
Marine Transportation — 1.2% | |||||
1,685 | Genco Shipping & Trading Ltd. | 34,374 | |||
325 | Matson, Inc. | 36,091 | |||
70,465 | |||||
Media — 0.5% | |||||
1,832 | TEGNA, Inc. | 25,666 | |||
Metals & Mining — 4.2% | |||||
181 | Alpha Metallurgical Resources, Inc. | 68,282 | |||
325 | Arch Resources, Inc. | 53,719 | |||
197 | Carpenter Technology Corp. | 12,736 | |||
349 | Commercial Metals Co. | 18,846 | |||
44 | Olympic Steel, Inc. | 2,993 | |||
435 | Ramaco Resources, Inc., Class A | 7,647 | |||
340 | Ryerson Holding Corp. | 10,737 | |||
1,155 | Warrior Met Coal, Inc. | 65,801 | |||
240,761 | |||||
Multi-Utilities — 0.3% | |||||
281 | Black Hills Corp. | 14,620 | |||
Office REITs — 1.3% | |||||
636 | Cousins Properties, Inc. | 14,507 | |||
688 | Highwoods Properties, Inc. | 16,821 | |||
321 | Kilroy Realty Corp. | 12,163 | |||
1,709 | Office Properties Income Trust | 4,563 | |||
2,184 | Piedmont Office Realty Trust, Inc., Class A | 13,694 | |||
269 | SL Green Realty Corp. | 13,041 | |||
74,789 | |||||
Oil, Gas & Consumable Fuels — 5.0% | |||||
1,335 | Ardmore Shipping Corp. | 21,667 | |||
285 | California Resources Corp. | 14,869 | |||
48 | Chord Energy Corp. | 7,798 | |||
341 | CONSOL Energy, Inc. | 29,265 | |||
1,183 | DHT Holdings, Inc. | 12,800 | |||
925 | Dorian LPG Ltd. | 33,439 | |||
209 | International Seaways, Inc. | 11,062 | |||
68 | Ovintiv, Inc. | 3,360 | |||
353 | Par Pacific Holdings, Inc. (a) | 12,750 | |||
633 | PBF Energy, Inc., Class A | 29,561 | |||
1,101 | Peabody Energy Corp. | 27,272 |
Shares | Description | Value | |||
Oil, Gas & Consumable Fuels (Continued) | |||||
905 | SandRidge Energy, Inc. | $11,801 | |||
149 | Scorpio Tankers, Inc. | 10,002 | |||
1,191 | SFL Corp., Ltd. | 15,912 | |||
776 | Teekay Tankers Ltd., Class A | 42,540 | |||
284,098 | |||||
Paper & Forest Products — 0.6% | |||||
567 | Sylvamo Corp. | 34,252 | |||
Passenger Airlines — 0.4% | |||||
377 | SkyWest, Inc. (a) | 24,211 | |||
Personal Care Products — 2.3% | |||||
543 | BellRing Brands, Inc. (a) | 30,924 | |||
345 | elf Beauty, Inc. (a) | 71,943 | |||
491 | Medifast, Inc. | 19,684 | |||
780 | Nu Skin Enterprises, Inc., Class A | 9,750 | |||
132,301 | |||||
Pharmaceuticals — 3.4% | |||||
805 | Amphastar Pharmaceuticals, Inc. (a) | 37,489 | |||
341 | ANI Pharmaceuticals, Inc. (a) | 23,075 | |||
124 | Axsome Therapeutics, Inc. (a) | 10,091 | |||
627 | Corcept Therapeutics, Inc. (a) | 14,735 | |||
217 | Evolus, Inc. (a) | 3,218 | |||
80 | EyePoint Pharmaceuticals, Inc. (a) | 2,177 | |||
700 | Harmony Biosciences Holdings, Inc. (a) | 22,470 | |||
619 | Innoviva, Inc. (a) | 9,458 | |||
197 | Intra-Cellular Therapies, Inc. (a) | 13,695 | |||
377 | Ligand Pharmaceuticals, Inc. (a) | 29,915 | |||
688 | Liquidia Corp. (a) | 9,742 | |||
1,017 | SIGA Technologies, Inc. | 5,299 | |||
491 | Supernus Pharmaceuticals, Inc. (a) | 14,583 | |||
195,947 | |||||
Professional Services — 2.1% | |||||
257 | CBIZ, Inc. (a) | 19,411 | |||
28 | CRA International, Inc. | 3,711 | |||
88 | CSG Systems International, Inc. | 4,801 | |||
467 | Heidrick & Struggles International, Inc. | 15,878 | |||
277 | Huron Consulting Group, Inc. (a) | 27,182 | |||
189 | Kforce, Inc. | 13,162 | |||
253 | Korn Ferry | 16,106 | |||
217 | Parsons Corp. (a) | 17,493 | |||
28 | TriNet Group, Inc. (a) | 3,584 | |||
121,328 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Real Estate Management & Development — 0.6% | |||||
197 | Forestar Group, Inc. (a) | $6,643 | |||
1,061 | RMR Group (The), Inc., Class A | 25,963 | |||
32,606 | |||||
Retail REITs — 1.2% | |||||
12 | Acadia Realty Trust | 197 | |||
961 | Macerich (The) Co. | 15,770 | |||
800 | SITE Centers Corp. | 10,864 | |||
1,115 | Tanger, Inc. | 32,123 | |||
712 | Urban Edge Properties | 12,111 | |||
71,065 | |||||
Semiconductors & Semiconductor Equipment — 2.0% | |||||
507 | Amkor Technology, Inc. | 15,727 | |||
116 | Axcelis Technologies, Inc. (a) | 13,070 | |||
32 | Cirrus Logic, Inc. (a) | 2,938 | |||
321 | Cohu, Inc. (a) | 10,314 | |||
423 | MaxLinear, Inc. (a) | 8,223 | |||
108 | Onto Innovation, Inc. (a) | 19,889 | |||
1,077 | Photronics, Inc. (a) | 31,007 | |||
249 | Rambus, Inc. (a) | 14,751 | |||
115,919 | |||||
Software — 5.1% | |||||
205 | A10 Networks, Inc. | 2,729 | |||
2,628 | Adeia, Inc. | 29,802 | |||
309 | Alarm.com Holdings, Inc. (a) | 23,388 | |||
221 | Alkami Technology, Inc. (a) | 5,514 | |||
149 | Appfolio, Inc., Class A (a) | 36,071 | |||
265 | Braze, Inc., Class A (a) | 15,079 | |||
475 | Cleanspark, Inc. (a) | 7,942 | |||
197 | CommVault Systems, Inc. (a) | 18,855 | |||
289 | Intapp, Inc. (a) | 11,337 | |||
305 | InterDigital, Inc. | 32,641 | |||
447 | LiveRamp Holdings, Inc. (a) | 15,636 | |||
129 | Qualys, Inc. (a) | 22,170 | |||
676 | Sapiens International Corp. N.V. | 20,801 | |||
32 | SPS Commerce, Inc. (a) | 5,925 | |||
56 | Teradata Corp. (a) | 2,107 | |||
373 | Varonis Systems, Inc. (a) | 18,948 | |||
543 | Verint Systems, Inc. (a) | 17,164 | |||
911 | Yext, Inc. (a) | 5,393 | |||
291,502 | |||||
Specialized REITs — 0.2% | |||||
269 | EPR Properties | 11,051 | |||
Specialty Retail — 5.2% | |||||
383 | Abercrombie & Fitch Co., Class A (a) | 48,932 |
Shares | Description | Value | |||
Specialty Retail (Continued) | |||||
96 | Academy Sports & Outdoors, Inc. | $7,173 | |||
88 | Asbury Automotive Group, Inc. (a) | 18,377 | |||
592 | Buckle (The), Inc. | 24,237 | |||
1,353 | Caleres, Inc. | 52,239 | |||
76 | Genesco, Inc. (a) | 2,426 | |||
129 | Guess?, Inc. | 3,274 | |||
88 | Haverty Furniture Cos., Inc. | 3,018 | |||
277 | Hibbett, Inc. | 22,700 | |||
76 | Murphy USA, Inc. | 31,693 | |||
403 | ODP (The) Corp. (a) | 22,762 | |||
325 | Signet Jewelers Ltd. | 33,072 | |||
92 | Victoria’s Secret & Co. (a) | 2,628 | |||
68 | Winmark Corp. | 25,809 | |||
298,340 | |||||
Technology Hardware, Storage & Peripherals — 1.2% | |||||
56 | Super Micro Computer, Inc. (a) | 48,503 | |||
981 | Xerox Holdings Corp. | 18,295 | |||
66,798 | |||||
Textiles, Apparel & Luxury Goods — 0.3% | |||||
60 | Kontoor Brands, Inc. | 3,547 | |||
531 | Movado Group, Inc. | 15,245 | |||
18,792 | |||||
Tobacco — 0.2% | |||||
1,053 | Vector Group Ltd. | 11,752 | |||
Trading Companies & Distributors — 3.2% | |||||
32 | Applied Industrial Technologies, Inc. | 6,077 | |||
36 | Beacon Roofing Supply, Inc. (a) | 3,092 | |||
273 | BlueLinx Holdings, Inc. (a) | 34,630 | |||
527 | Boise Cascade Co. | 71,625 | |||
1,296 | DNOW, Inc. (a) | 18,338 | |||
403 | GMS, Inc. (a) | 35,992 | |||
993 | Hudson Technologies, Inc. (a) | 14,547 | |||
184,301 | |||||
Water Utilities — 0.4% | |||||
828 | Consolidated Water Co., Ltd. | 24,476 | |||
Total Common Stocks | 5,684,676 | ||||
(Cost $4,945,391) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.3% | |||||
14,113 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (f) | $14,113 | |||
(Cost $14,113) | |||||
Total Investments — 100.0% | 5,698,789 | ||||
(Cost $4,959,504) | |||||
Net Other Assets and Liabilities — 0.0% | 2,796 | ||||
Net Assets — 100.0% | $5,701,585 |
(a) | Non-income producing security. |
(b) | 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 Fund’s advisor (the “Advisor”). |
(c) | Restricted security as to resale, excluding Rule 144A securities (see Note 2E - Restricted Securities in the Notes to Financial Statements). |
(d) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At February 29, 2024, securities noted as such are valued at $0 or 0.0% of net assets. |
(e) | This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
(f) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
REITs | – Real Estate Investment Trusts |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Life Sciences Tools & Services | $ 59,479 | $ 59,479 | $ — | $ —** |
Other Industry Categories* | 5,625,197 | 5,625,197 | — | — |
Money Market Funds | 14,113 | 14,113 | — | — |
Total Investments | $5,698,789 | $5,698,789 | $— | $—** |
* | See Portfolio of Investments for industry breakout. |
** | Investments are valued at $0. |
First Trust Income Opportunities ETF (FCEF) | First Trust Flexible Municipal High Income ETF (MFLX) | First Trust Low Duration Strategic Focus ETF (LDSF) | |
ASSETS: | |||
Investments, at value - Unaffiliated | $29,293,899 | $16,749,365 | $10,605,359 |
Investments, at value - Affiliated | — | — | 96,049,847 |
Total investments, at value | 29,293,899 | 16,749,365 | 106,655,206 |
Cash | — | 65,130 | — |
Receivables: | |||
Dividends | 75,795 | 2,743 | 21,825 |
Investment securities sold | 45,201 | — | — |
Interest | — | 182,667 | — |
Reclaims | — | — | — |
Total Assets | 29,414,895 | 16,999,905 | 106,677,031 |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 36,488 | — | — |
Investment advisory fees | 19,648 | 10,077 | 16,882 |
Total Liabilities | 56,136 | 10,077 | 16,882 |
NET ASSETS | $29,358,759 | $16,989,828 | $106,660,149 |
NET ASSETS consist of: | |||
Paid-in capital | $32,108,763 | $20,569,691 | $123,588,821 |
Par value | 14,550 | 10,000 | 57,000 |
Accumulated distributable earnings (loss) | (2,764,554 ) | (3,589,863 ) | (16,985,672 ) |
NET ASSETS | $29,358,759 | $16,989,828 | $106,660,149 |
NET ASSET VALUE, per share | $20.18 | $16.99 | $18.71 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,455,000 | 1,000,002 | 5,700,002 |
Investments, at cost - Unaffiliated | $32,002,263 | $16,618,925 | $9,854,276 |
Investments, at cost - Affiliated | $— | $— | $100,364,916 |
Total investments, at cost | $32,002,263 | $16,618,925 | $110,219,192 |
First Trust Active Factor Large Cap ETF (AFLG) | First Trust Active Factor Mid Cap ETF (AFMC) | First Trust Active Factor Small Cap ETF (AFSM) |
$4,438,570 | $7,115,227 | $5,698,789 |
— | — | — |
4,438,570 | 7,115,227 | 5,698,789 |
— | — | — |
6,503 | 6,174 | 5,372 |
— | — | — |
— | — | — |
15 | — | — |
4,445,088 | 7,121,401 | 5,704,161 |
— | — | — |
1,887 | 3,542 | 2,576 |
1,887 | 3,542 | 2,576 |
$4,443,201 | $7,117,859 | $5,701,585 |
$3,909,990 | $6,421,980 | $5,607,654 |
1,500 | 2,500 | 2,000 |
531,711 | 693,379 | 91,931 |
$4,443,201 | $7,117,859 | $5,701,585 |
$29.62 | $28.47 | $28.51 |
150,002 | 250,002 | 200,002 |
$3,619,297 | $6,361,618 | $4,959,504 |
$— | $— | $— |
$3,619,297 | $6,361,618 | $4,959,504 |
First Trust Income Opportunities ETF (FCEF) | First Trust Flexible Municipal High Income ETF (MFLX) | First Trust Low Duration Strategic Focus ETF (LDSF) | |
INVESTMENT INCOME: | |||
Dividends - Unaffiliated | $1,186,361 | $15,637 | $141,425 |
Dividends - Affiliated | — | — | 2,782,540 |
Interest | — | 292,117 | — |
Foreign withholding tax | — | — | — |
Total investment income | 1,186,361 | 307,754 | 2,923,965 |
EXPENSES: | |||
Investment advisory fees | 116,004 | 51,848 | 120,720 |
Total expenses | 116,004 | 51,848 | 120,720 |
NET INVESTMENT INCOME (LOSS) | 1,070,357 | 255,906 | 2,803,245 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
Net realized gain (loss) on: | |||
Investments - Unaffiliated | (86,534 ) | (41,081 ) | (5,233 ) |
Investments - Affiliated | — | — | (367,942 ) |
In-kind redemptions - Unaffiliated | (75,483 ) | — | 50,901 |
In-kind redemptions - Affiliated | — | — | (1,301,752 ) |
Distribution of capital gains from investment companies | 58,621 | — | — |
Futures contracts | — | 11,214 | — |
Net realized gain (loss) | (103,396 ) | (29,867 ) | (1,624,026 ) |
Net change in unrealized appreciation (depreciation) on: | |||
Investments - Unaffiliated | 1,082,473 | 577,747 | 777,627 |
Investments - Affiliated | — | — | 2,030,621 |
Futures contracts | — | 2,568 | — |
Net change in unrealized appreciation (depreciation) | 1,082,473 | 580,315 | 2,808,248 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 979,077 | 550,448 | 1,184,222 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $2,049,434 | $806,354 | $3,987,467 |
First Trust Active Factor Large Cap ETF (AFLG) | First Trust Active Factor Mid Cap ETF (AFMC) | First Trust Active Factor Small Cap ETF (AFSM) |
$42,995 | $53,101 | $36,800 |
— | — | — |
— | — | — |
(29 ) | (41 ) | (69 ) |
42,966 | 53,060 | 36,731 |
12,804 | 19,154 | 14,347 |
12,804 | 19,154 | 14,347 |
30,162 | 33,906 | 22,384 |
94,556 | (69,434 ) | 77,678 |
— | — | — |
261,062 | 509,153 | — |
— | — | — |
— | — | — |
— | — | — |
355,618 | 439,719 | 77,678 |
292,924 | 186,372 | 458,154 |
— | — | — |
— | — | — |
292,924 | 186,372 | 458,154 |
648,542 | 626,091 | 535,832 |
$678,704 | $659,997 | $558,216 |
First Trust Income Opportunities ETF (FCEF) | First Trust Flexible Municipal High Income ETF (MFLX) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $1,070,357 | $1,069,399 | $255,906 | $461,657 |
Net realized gain (loss) | (103,396 ) | 57,259 | (29,867 ) | (233,361 ) |
Net increase from payment by the advisor | — | 7 | — | — |
Net change in unrealized appreciation (depreciation) | 1,082,473 | (1,080,035 ) | 580,315 | (155,243 ) |
Net increase (decrease) in net assets resulting from operations | 2,049,434 | 46,630 | 806,354 | 73,053 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (1,013,963 ) | (1,916,425 ) | (261,151 ) | (463,955 ) |
Return of capital | — | — | — | (13,046 ) |
Total distributions to shareholders | (1,013,963 ) | (1,916,425 ) | (261,151 ) | (477,001 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 2,914,913 | 4,869,721 | 4,151,263 | 845,655 |
Cost of shares redeemed | (2,765,489 ) | (2,831,399 ) | — | (2,420,570 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 149,424 | 2,038,322 | 4,151,263 | (1,574,915 ) |
Total increase (decrease) in net assets | 1,184,895 | 168,527 | 4,696,466 | (1,978,863 ) |
NET ASSETS: | ||||
Beginning of period | 28,173,864 | 28,005,337 | 12,293,362 | 14,272,225 |
End of period | $29,358,759 | $28,173,864 | $16,989,828 | $12,293,362 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 1,455,000 | 1,355,000 | 750,002 | 850,002 |
Shares sold | 150,000 | 250,000 | 250,000 | 50,000 |
Shares redeemed | (150,000 ) | (150,000 ) | — | (150,000 ) |
Shares outstanding, end of period | 1,455,000 | 1,455,000 | 1,000,002 | 750,002 |
First Trust Low Duration Strategic Focus ETF (LDSF) | First Trust Active Factor Large Cap ETF (AFLG) | ||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 |
$2,803,245 | $7,117,596 | $30,162 | $70,399 |
(1,624,026 ) | (8,575,473 ) | 355,618 | (244,917 ) |
— | — | — | — |
2,808,248 | 4,674,854 | 292,924 | 694,393 |
3,987,467 | 3,216,977 | 678,704 | 519,875 |
(2,750,816 ) | (6,541,477 ) | (42,616 ) | (73,281 ) |
— | — | — | — |
(2,750,816 ) | (6,541,477 ) | (42,616 ) | (73,281 ) |
10,271,140 | 50,189,796 | — | — |
(41,953,690 ) | (120,516,523 ) | (1,337,054 ) | — |
(31,682,550 ) | (70,326,727 ) | (1,337,054 ) | — |
(30,445,899 ) | (73,651,227 ) | (700,966 ) | 446,594 |
137,106,048 | 210,757,275 | 5,144,167 | 4,697,573 |
$106,660,149 | $137,106,048 | $4,443,201 | $5,144,167 |
7,400,002 | 11,200,002 | 200,002 | 200,002 |
550,000 | 2,700,000 | — | — |
(2,250,000 ) | (6,500,000 ) | (50,000 ) | — |
5,700,002 | 7,400,002 | 150,002 | 200,002 |
First Trust Active Factor Mid Cap ETF (AFMC) | First Trust Active Factor Small Cap ETF (AFSM) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $33,906 | $26,582 | $22,384 | $54,111 |
Net realized gain (loss) | 439,719 | (115,014 ) | 77,678 | 6,388 |
Net increase from payment by the advisor | — | — | — | — |
Net change in unrealized appreciation (depreciation) | 186,372 | 692,856 | 458,154 | 365,789 |
Net increase (decrease) in net assets resulting from operations | 659,997 | 604,424 | 558,216 | 426,288 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (36,960 ) | (19,426 ) | (23,595 ) | (53,926 ) |
Return of capital | — | — | — | — |
Total distributions to shareholders | (36,960 ) | (19,426 ) | (23,595 ) | (53,926 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 3,885,788 | 4,592,131 | 1,399,015 | 3,404,982 |
Cost of shares redeemed | (3,677,978 ) | — | — | (2,303,872 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 207,810 | 4,592,131 | 1,399,015 | 1,101,110 |
Total increase (decrease) in net assets | 830,847 | 5,177,129 | 1,933,636 | 1,473,472 |
NET ASSETS: | ||||
Beginning of period | 6,287,012 | 1,109,883 | 3,767,949 | 2,294,477 |
End of period | $7,117,859 | $6,287,012 | $5,701,585 | $3,767,949 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 250,002 | 50,002 | 150,002 | 100,002 |
Shares sold | 150,000 | 200,000 | 50,000 | 150,000 |
Shares redeemed | (150,000 ) | — | — | (100,000 ) |
Shares outstanding, end of period | 250,002 | 250,002 | 200,002 | 150,002 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value, beginning of period | $19.36 | $20.67 | $25.70 | $20.12 | $21.75 | $22.26 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.75 (a) | 0.79 (a) | 0.87 | 0.65 | 0.82 | 0.82 |
Net realized and unrealized gain (loss) | 0.79 | (0.69 ) (b) | (4.53 ) | 6.07 | (1.29 ) | (0.18 ) |
Total from investment operations | 1.54 | 0.10 | (3.66 ) | 6.72 | (0.47 ) | 0.64 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.72 ) | (1.36 ) | (1.26 ) | (0.84 ) | (1.10 ) | (0.96 ) |
Net realized gain | — | (0.05 ) | (0.11 ) | (0.30 ) | (0.06 ) | (0.19 ) |
Total distributions | (0.72 ) | (1.41 ) | (1.37 ) | (1.14 ) | (1.16 ) | (1.15 ) |
Net asset value, end of period | $20.18 | $19.36 | $20.67 | $25.70 | $20.12 | $21.75 |
Total return (c) | 8.19 % | 0.68 % (b) | (14.62 )% | 34.19 % | (2.04 )% | 3.18 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $29,359 | $28,174 | $28,005 | $38,675 | $33,301 | $37,085 |
Ratio of total expenses to average net assets (d) | 0.85 % (e) | 0.85 % | 0.85 % | 0.85 % | 0.85 % | 0.85 % |
Ratio of net investment income (loss) to average net assets | 7.84 % (e) | 4.06 % | 3.87 % | 2.79 % | 4.01 % | 3.92 % |
Portfolio turnover rate (f) | 6 % | 16 % | 16 % | 8 % | 6 % | 13 % |
(a) | Based on average shares outstanding. |
(b) | The Fund received a payment from the advisor in the amount of $7, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value, beginning of period | $16.39 | $16.79 | $21.56 | $19.21 | $19.61 | $17.94 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.30 (a) | 0.61 (a) | 0.67 | 0.70 | 0.68 | 0.62 |
Net realized and unrealized gain (loss) | 0.60 | (0.37 ) | (4.68 ) | 2.39 | (0.48 ) | 1.65 |
Total from investment operations | 0.90 | 0.24 | (4.01 ) | 3.09 | 0.20 | 2.27 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.30 ) | (0.62 ) | (0.72 ) | (0.74 ) | (0.60 ) | (0.60 ) |
Net realized gain | — | — | (0.03 ) | (0.00 ) (b) | — | — |
Return of capital | — | (0.02 ) | (0.01 ) | — | — | — |
Total distributions | (0.30 ) | (0.64 ) | (0.76 ) | (0.74 ) | (0.60 ) | (0.60 ) |
Net asset value, end of period | $16.99 | $16.39 | $16.79 | $21.56 | $19.21 | $19.61 |
Total return (c) | 5.59 % | 1.48 % | (18.91 )% | 16.37 % | 1.10 % | 12.96 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $16,990 | $12,293 | $14,272 | $18,328 | $8,646 | $10,785 |
Ratio of total expenses to average net assets (d) | 0.75 % (e) | 0.75 % | 0.75 % | 0.75 % | 0.75 % | 0.75 % |
Ratio of net expenses to average net assets (d) | 0.75 % (e) | 0.63 % | 0.69 % | — | — | — |
Ratio of net investment income (loss) to average net assets | 3.70 % (e) | 3.73 % | 3.55 % | 3.57 % | 3.49 % | 3.49 % |
Portfolio turnover rate (f) | 12 % | 27 % | 109 % (g) | 17 % | 7 % | 20 % |
(a) | Based on average shares outstanding. |
(b) | Amount represents less than $0.01. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
(g) | The variation in the portfolio turnover rate is due to the change in the Fund’s investment strategy effective April 14, 2022, which resulted in a rebalance of the Fund’s portfolio. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2019 (a) | ||||
2023 | 2022 | 2021 | 2020 | |||
Net asset value, beginning of period | $18.53 | $18.82 | $20.23 | $20.42 | $20.50 | $20.03 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.43 (b) | 0.72 (b) | 0.29 | 0.38 | 0.49 | 0.43 |
Net realized and unrealized gain (loss) | 0.17 | (0.33 ) | (1.29 ) | (0.06 ) | (0.07 ) | 0.47 |
Total from investment operations | 0.60 | 0.39 | (1.00 ) | 0.32 | 0.42 | 0.90 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.42 ) | (0.68 ) | (0.35 ) | (0.51 ) | (0.50 ) | 0.43 |
Return of capital | — | — | (0.06 ) | — | — | — |
Total distributions | (0.42 ) | (0.68 ) | (0.41 ) | (0.51 ) | (0.50 ) | (0.43 ) |
Net asset value, end of period | $18.71 | $18.53 | $18.82 | $20.23 | $20.42 | $20.50 |
Total return (c) | 3.29 % | 2.12 % | (4.98 )% | 1.57 % | 2.09 % | 4.52 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $106,660 | $137,106 | $210,757 | $184,072 | $130,701 | $50,228 |
Ratio of total expenses to average net assets (d) | 0.20 % (e) | 0.20 % | 0.20 % | 0.20 % | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | 4.64 % (e) | 3.90 % | 1.53 % | 1.85 % | 2.36 % | 3.16 % (e) |
Portfolio turnover rate (f) | 6 % | 52 % | 50 % | 54 % | 71 % | 14 % |
(a) | Inception date is January 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $25.72 | $23.49 | $26.72 | $20.99 | $19.87 |
Income from investment operations: | |||||
Net investment income (loss) | 0.17 (b) | 0.35 (b) | 0.30 | 0.27 | 0.23 |
Net realized and unrealized gain (loss) | 4.01 | 2.25 | (3.26 ) | 5.72 | 1.07 |
Total from investment operations | 4.18 | 2.60 | (2.96 ) | 5.99 | 1.30 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.28 ) | (0.37 ) | (0.27 ) | (0.26 ) | (0.18 ) |
Net asset value, end of period | $29.62 | $25.72 | $23.49 | $26.72 | $20.99 |
Total return (c) | 16.36 % | 11.22 % | (11.18 )% | 28.74 % | 6.67 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $4,443 | $5,144 | $4,698 | $4,007 | $2,099 |
Ratio of total expenses to average net assets | 0.55 % (d) | 0.55 % | 0.55 % | 0.55 % | 0.55 % (d) |
Ratio of net investment income (loss) to average net assets | 1.30 % (d) | 1.47 % | 1.24 % | 1.12 % | 1.62 % (d) |
Portfolio turnover rate (e) | 42 % | 55 % | 61 % | 70 % | 55 % |
(a) | Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $25.15 | $22.20 | $26.12 | $18.37 | $19.88 |
Income from investment operations: | |||||
Net investment income (loss) | 0.15 (b) | 0.23 (b) | 0.32 | 0.19 | 0.18 |
Net realized and unrealized gain (loss) | 3.35 | 2.97 | (3.96 ) | 7.76 | (1.55 ) |
Total from investment operations | 3.50 | 3.20 | (3.64 ) | 7.95 | (1.37 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (0.18 ) | (0.25 ) | (0.28 ) | (0.20 ) | (0.14 ) |
Net asset value, end of period | $28.47 | $25.15 | $22.20 | $26.12 | $18.37 |
Total return (c) | 13.98 % | 14.59 % | (14.04 )% | 43.52 % | (6.86 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $7,118 | $6,287 | $1,110 | $1,306 | $1,837 |
Ratio of total expenses to average net assets | 0.65 % (d) | 0.65 % | 0.65 % | 0.65 % | 0.65 % (d) |
Ratio of net investment income (loss) to average net assets | 1.15 % (d) | 0.96 % | 1.21 % | 0.81 % | 1.34 % (d) |
Portfolio turnover rate (e) | 48 % | 49 % | 80 % | 80 % | 66 % |
(a) | Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $25.12 | $22.94 | $26.72 | $18.45 | $19.95 |
Income from investment operations: | |||||
Net investment income (loss) | 0.15 (b) | 0.31 (b) | 0.25 | 0.05 | 0.12 |
Net realized and unrealized gain (loss) | 3.40 | 2.17 | (3.85 ) | 8.30 | (1.52 ) |
Total from investment operations | 3.55 | 2.48 | (3.60 ) | 8.35 | (1.40 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (0.16 ) | (0.30 ) | (0.18 ) | (0.08 ) | (0.10 ) |
Net asset value, end of period | $28.51 | $25.12 | $22.94 | $26.72 | $18.45 |
Total return (c) | 14.15 % | 10.97 % | (13.52 )% | 45.40 % | (7.03 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $5,702 | $3,768 | $2,294 | $2,672 | $1,845 |
Ratio of total expenses to average net assets | 0.75 % (d) | 0.75 % (e) | 0.75 % (e) | 0.75 % (e) | 0.75 % (d) (e) |
Ratio of net investment income (loss) to average net assets | 1.17 % (d) | 1.30 % | 1.01 % | 0.27 % | 0.91 % (d) |
Portfolio turnover rate (f) | 43 % | 59 % | 73 % | 86 % | 65 % |
(a) | Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | The Fund indirectly bears its proportionate share of fees and expenses incurred by certain underlying securities in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(f) | 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. |
First Trust Income Opportunities ETF – (Nasdaq, Inc. (“Nasdaq”) ticker “FCEF”) |
First Trust Flexible Municipal High Income ETF – (Nasdaq ticker “MFLX”) |
First Trust Low Duration Strategic Focus ETF – (Nasdaq ticker “LDSF”) |
First Trust Active Factor Large Cap ETF – (NYSE Arca, Inc. (“NYSE Arca”) ticker “AFLG”) |
First Trust Active Factor Mid Cap ETF – (NYSE Arca ticker “AFMC”) |
First Trust Active Factor Small Cap ETF – (NYSE Arca ticker “AFSM”) |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
First Trust Enhanced Short Maturity ETF | 90,099 | $10,242,872 | $587,987 | $(5,484,997 ) | $9,820 | $16,020 | $5,371,702 | $199,597 |
First Trust Limited Duration Investment Grade Corporate ETF | 1,984,931 | 47,720,439 | 3,856,327 | (14,728,034 ) | 359,356 | 29,218 | 37,237,306 | 1,001,909 |
First Trust Low Duration Opportunities ETF | 889,826 | 54,651,328 | 5,400,752 | (16,819,332 ) | 495,199 | (936,215 ) | 42,791,732 | 1,172,124 |
First Trust Tactical High Yield ETF | 258,599 | 13,715,866 | 1,053,739 | (4,552,600 ) | 869,927 | (437,825 ) | 10,649,107 | 393,992 |
First Trust TCW Unconstrained Plus Bond ETF | — | 3,434,659 | — | (3,390,086 ) | 296,319 | (340,892 ) | — | 14,918 |
$129,765,164 | $10,898,805 | $(44,975,049 ) | $2,030,621 | $(1,669,694 ) | $96,049,847 | $2,782,540 |
Security | Acquisition Date | Shares | Current Price | Carrying Cost | Value | % of Net Assets |
OmniAb, Inc. - 12.5 Earnout Shares | 11/02/22 | 53 | $0.00 | $0 | $0 | 0.00 % |
OmniAb, Inc. - 15 Earnout Shares | 11/02/22 | 53 | 0.00 | 0 | 0 | 0.00 |
$0 | $0 | 0.00 % |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Tax-Exempt Income | Distributions paid from Return of Capital | |
First Trust Income Opportunities ETF | $1,844,568 | $71,857 | $— | $— |
First Trust Flexible Municipal High Income ETF | 599 | — | 463,356 | 13,046 |
First Trust Low Duration Strategic Focus ETF | 6,541,477 | — | — | — |
First Trust Active Factor Large Cap ETF | 73,281 | — | — | — |
First Trust Active Factor Mid Cap ETF | 19,426 | — | — | — |
First Trust Active Factor Small Cap ETF | 53,926 | — | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust Income Opportunities ETF | $— | $— | $(3,800,025 ) |
First Trust Flexible Municipal High Income ETF | — | (3,695,044 ) | (440,022 ) |
First Trust Low Duration Strategic Focus ETF | 853 | (11,763,130 ) | (6,460,046 ) |
First Trust Active Factor Large Cap ETF | 14,685 | (628,309 ) | 509,247 |
First Trust Active Factor Mid Cap ETF | 10,606 | (503,467 ) | 563,203 |
First Trust Active Factor Small Cap ETF | 7,708 | (718,617 ) | 268,219 |
Non-Expiring Capital Loss Carryforwards | |
First Trust Income Opportunities ETF | $— |
First Trust Flexible Municipal High Income ETF | 3,695,044 |
First Trust Low Duration Strategic Focus ETF | 11,763,130 |
First Trust Active Factor Large Cap ETF | 628,309 |
Non-Expiring Capital Loss Carryforwards | |
First Trust Active Factor Mid Cap ETF | $503,467 |
First Trust Active Factor Small Cap ETF | 718,617 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust Income Opportunities ETF | $32,002,263 | $730,016 | $(3,438,380 ) | $(2,708,364 ) |
First Trust Flexible Municipal High Income ETF | 16,618,925 | 368,726 | (238,286 ) | 130,440 |
First Trust Low Duration Strategic Focus ETF | 110,219,192 | 39,628 | (3,603,614 ) | (3,563,986 ) |
First Trust Active Factor Large Cap ETF | 3,619,297 | 922,810 | (103,537 ) | 819,273 |
First Trust Active Factor Mid Cap ETF | 6,361,618 | 905,987 | (152,378 ) | 753,609 |
First Trust Active Factor Small Cap ETF | 4,959,504 | 912,032 | (172,747 ) | 739,285 |
Breakpoints | FCEF | MFLX |
Fund net assets up to and including $2.5 billion | 0.85000 % | 0.75000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % | 0.73125 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % | 0.71250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % | 0.69375 % |
Fund net assets greater than $10 billion | 0.76500 % | 0.67500 % |
Breakpoints | LDSF | AFLG | AFMC | AFSM |
Fund net assets up to and including $2.5 billion | 0.200 % | 0.55000 % | 0.65000 % | 0.75000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.195 % | 0.53625 % | 0.63375 % | 0.73125 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.190 % | 0.52250 % | 0.61750 % | 0.71250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.185 % | 0.50875 % | 0.60125 % | 0.69375 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.180 % | 0.49500 % | 0.58500 % | 0.67500 % |
Fund net assets greater than $15 billion | 0.170 % | 0.46750 % | 0.55250 % | 0.63750 % |
Purchases | Sales | |
First Trust Income Opportunities ETF | $5,129,020 | $1,590,026 |
First Trust Flexible Municipal High Income ETF | 5,826,828 | 1,634,951 |
First Trust Low Duration Strategic Focus ETF | 7,162,427 | 6,690,832 |
First Trust Active Factor Large Cap ETF | 1,973,522 | 1,997,431 |
First Trust Active Factor Mid Cap ETF | 2,866,420 | 2,863,315 |
First Trust Active Factor Small Cap ETF | 1,721,802 | 1,723,551 |
Purchases | Sales | |
First Trust Income Opportunities ETF | $— | $2,597,007 |
First Trust Flexible Municipal High Income ETF | — | — |
First Trust Low Duration Strategic Focus ETF | 10,261,749 | 41,853,953 |
First Trust Active Factor Large Cap ETF | — | 1,324,170 |
First Trust Active Factor Mid Cap ETF | 3,870,333 | 3,666,441 |
First Trust Active Factor Small Cap ETF | 1,393,744 | — |
Statements of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $11,214 |
Net change in unrealized appreciation (depreciation) on futures contracts | 2,568 |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended February 29, 2024 |
First Trust Innovation Leaders ETF (ILDR) |
First Trust Expanded Technology ETF (XPND) |
First Trust Multi-Strategy Alternative ETF (LALT) |
Semi-Annual Report
February 29, 2024
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Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (5/25/21) to 2/29/24 | Inception (5/25/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 20.36% | 42.96% | 3.32% | 9.44% |
Market Price | 20.05% | 42.94% | 3.38% | 9.64% |
Index Performance | ||||
Russell 3000® Growth Index | 17.79% | 43.97% | 10.02% | 30.20% |
Russell 3000® Index | 13.76% | 28.60% | 7.51% | 22.15% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 43.8% |
Health Care | 17.9 |
Industrials | 15.6 |
Communication Services | 11.1 |
Financials | 6.6 |
Consumer Discretionary | 5.0 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
NVIDIA Corp. | 6.0% |
Microsoft Corp. | 5.7 |
Alphabet, Inc., Class C | 5.2 |
Amazon.com, Inc. | 4.3 |
Uber Technologies, Inc. | 4.0 |
ServiceNow, Inc. | 3.6 |
Oracle Corp. | 3.1 |
Broadcom, Inc. | 2.7 |
Meta Platforms, Inc., Class A | 2.6 |
Schneider Electric SE | 2.6 |
Total | 39.8% |
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 indices do not actually hold a portfolio of securities and therefore do 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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (6/14/21) to 2/29/24 | Inception (6/14/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 20.64% | 52.79% | 10.41% | 30.77% |
Market Price | 20.55% | 52.76% | 10.38% | 30.67% |
Index Performance | ||||
S&P 500® Information Technology Index | 20.58% | 58.85% | 16.94% | 52.80% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 70.4% |
Communication Services | 19.0 |
Financials | 10.6 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
NVIDIA Corp. | 6.5% |
Meta Platforms, Inc., Class A | 5.8 |
Broadcom, Inc. | 5.4 |
Salesforce, Inc. | 4.7 |
Mastercard, Inc., Class A | 4.4 |
Visa, Inc., Class A | 4.2 |
Microsoft Corp. | 4.2 |
Alphabet, Inc., Class A | 4.0 |
Walt Disney (The) Co. | 3.9 |
Cisco Systems, Inc. | 3.7 |
Total | 46.8% |
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 | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (1/31/23) to 2/29/24 | Inception (1/31/23) to 2/29/24 | |
Fund Performance | ||||
NAV | 2.43% | 5.09% | 3.65% | 3.94% |
Market Price | 2.33% | 4.67% | 3.65% | 3.94% |
Index Performance | ||||
Credit Suisse AllHedge Index(1) | 6.02% | 8.59% | 7.53% | 8.13% |
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. |
(1) | Effective as of August 1, 2023, the Credit Suisse AllHedge Index replaced the Hedge Fund Research HFRX Global Fund Index, which is no longer available for use by the Fund. |
David McGarel, CFA, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Chris Peterson, CFA, Senior Vice President of First Trust
Jared Wollen, CFA, Vice President of First Trust
David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Jon C. Erickson, Senior Vice President of First Trust
Roger F. Testin, Senior Vice President of First Trust
Stan Ueland, Senior Vice President of First Trust
Chris A. Peterson, Senior Vice President of First Trust
Erik Russo, Vice President of First Trust
Omar Sepulveda, Vice President of First Trust
Rob A. Guttschow, CFA, Senior Vice President, Co-Head of the Alternatives Investment Team of First Trust
Daniel J. Lindquist, Chairman of the Investment Committee and Managing Director of First Trust
David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Chris A. Petersen, CFA, Senior Vice President and Head of Research Strategy of First Trust
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Innovation Leaders ETF (ILDR) | ||||
Actual | $1,000.00 | $1,203.60 | 0.75% | $4.11 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.13 | 0.75% | $3.77 |
First Trust Expanded Technology ETF (XPND) | ||||
Actual | $1,000.00 | $1,206.40 | 0.65% | $3.57 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.63 | 0.65% | $3.27 |
First Trust Multi-Strategy Alternative ETF (LALT) (b) | ||||
Actual | $1,000.00 | $1,024.30 | 0.20% | $1.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.87 | 0.20% | $1.01 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
(b) | Annualized expense ratio and expenses paid during the period do not include fees and expenses of the underlying funds in which the Fund invests. |
Shares | Description | Value | |||
COMMON STOCKS (a) — 98.1% | |||||
Aerospace & Defense — 2.9% | |||||
2,026 | AeroVironment, Inc. (b) | $256,876 | |||
1,346 | L3Harris Technologies, Inc. | 284,894 | |||
678 | Northrop Grumman Corp. | 312,572 | |||
854,342 | |||||
Automobiles — 0.7% | |||||
1,006 | Tesla, Inc. (b) | 203,091 | |||
Biotechnology — 11.2% | |||||
2,157 | Alnylam Pharmaceuticals, Inc. (b) | 325,901 | |||
21,584 | Amicus Therapeutics, Inc. (b) | 276,707 | |||
9,751 | Arcus Biosciences, Inc. (b) | 186,537 | |||
6,475 | BioMarin Pharmaceutical, Inc. (b) | 558,663 | |||
6,057 | Halozyme Therapeutics, Inc. (b) | 241,129 | |||
10,794 | Mirum Pharmaceuticals, Inc. (b) | 309,896 | |||
540 | Regeneron Pharmaceuticals, Inc. (b) | 521,688 | |||
15,771 | Replimune Group, Inc. (b) | 135,315 | |||
6,477 | SpringWorks Therapeutics, Inc. (b) | 319,057 | |||
1,031 | Vertex Pharmaceuticals, Inc. (b) | 433,783 | |||
3,308,676 | |||||
Broadline Retail — 4.3% | |||||
7,124 | Amazon.com, Inc. (b) | 1,259,238 | |||
Capital Markets — 1.3% | |||||
3,703 | Tradeweb Markets, Inc., Class A | 391,851 | |||
Communications Equipment — 2.3% | |||||
1,813 | Arista Networks, Inc. (b) | 503,180 | |||
3,382 | Ciena Corp. (b) | 192,706 | |||
695,886 | |||||
Electrical Equipment — 4.0% | |||||
5,701 | Array Technologies, Inc. (b) | 77,762 | |||
3,245 | Emerson Electric Co. | 346,728 | |||
3,302 | Schneider Electric SE (EUR) | 748,735 | |||
1,173,225 | |||||
Electronic Equipment, Instruments & Components — 0.8% | |||||
1,678 | TE Connectivity Ltd. | 240,894 | |||
Entertainment — 1.2% | |||||
602 | Netflix, Inc. (b) | 362,958 | |||
Financial Services — 5.2% | |||||
242 | Adyen N.V. (EUR) (b) (c) (d) | 381,868 | |||
3,029 | Block, Inc. (b) | 240,715 | |||
16,821 | Toast, Inc., Class A (b) | 386,883 | |||
1,841 | Visa, Inc., Class A | 520,340 | |||
1,529,806 | |||||
Ground Transportation — 3.9% | |||||
14,572 | Uber Technologies, Inc. (b) | 1,158,474 | |||
Health Care Equipment & Supplies — 2.5% | |||||
733 | Align Technology, Inc. (b) | 221,674 | |||
1,432 | Dexcom, Inc. (b) | 164,780 |
Shares | Description | Value | |||
Health Care Equipment & Supplies (Continued) | |||||
3,993 | Inmode Ltd. (b) | $87,846 | |||
676 | Intuitive Surgical, Inc. (b) | 260,666 | |||
734,966 | |||||
Health Care Providers & Services — 0.5% | |||||
7,128 | Fulgent Genetics, Inc. (b) | 160,808 | |||
Industrial Conglomerates — 1.7% | |||||
2,491 | Siemens AG (EUR) | 492,525 | |||
Interactive Media & Services — 8.8% | |||||
10,794 | Alphabet, Inc., Class C (b) | 1,508,785 | |||
1,567 | Meta Platforms, Inc., Class A | 768,034 | |||
7,885 | TripAdvisor, Inc. (b) | 211,476 | |||
6,746 | ZoomInfo Technologies, Inc. (b) | 113,063 | |||
2,601,358 | |||||
IT Services — 4.0% | |||||
924 | Accenture PLC, Class A | 346,297 | |||
2,699 | Akamai Technologies, Inc. (b) | 299,373 | |||
602 | MongoDB, Inc. (b) | 269,443 | |||
3,382 | Shopify, Inc., Class A (b) | 258,283 | |||
1,173,396 | |||||
Life Sciences Tools & Services — 3.3% | |||||
16,821 | Avantor, Inc. (b) | 414,470 | |||
1,006 | Thermo Fisher Scientific, Inc. | 573,601 | |||
988,071 | |||||
Machinery — 1.5% | |||||
3,026 | Chart Industries, Inc. (b) | 432,294 | |||
Media — 0.8% | |||||
2,924 | Trade Desk (The), Inc., Class A (b) | 249,797 | |||
Professional Services — 1.4% | |||||
2,488 | Paylocity Holding Corp. (b) | 419,502 | |||
Semiconductors & Semiconductor Equipment — 11.4% | |||||
592 | Broadcom, Inc. | 769,890 | |||
4,272 | Marvell Technology, Inc. | 306,131 | |||
4,046 | Micron Technology, Inc. | 366,608 | |||
2,210 | NVIDIA Corp. | 1,748,375 | |||
3,236 | Rambus, Inc. (b) | 191,701 | |||
3,382,705 | |||||
Software — 23.3% | |||||
7,833 | Confluent, Inc., Class A (b) | 265,304 | |||
1,513 | Crowdstrike Holdings, Inc., Class A (b) | 490,439 | |||
892 | CyberArk Software Ltd. (b) | 235,274 | |||
2,699 | Datadog, Inc., Class A (b) | 354,811 | |||
6,726 | Dynatrace, Inc. (b) | 333,273 | |||
4,031 | Microsoft Corp. | 1,667,383 | |||
8,074 | Oracle Corp. | 901,704 | |||
20,269 | Palantir Technologies, Inc., Class A (b) | 508,346 |
Shares | Description | Value | |||
COMMON STOCKS (a) (Continued) | |||||
Software (Continued) | |||||
5,635 | PowerSchool Holdings, Inc., Class A (b) | $117,715 | |||
1,347 | ServiceNow, Inc. (b) | 1,038,995 | |||
1,815 | Workday, Inc., Class A (b) | 534,808 | |||
1,815 | Zscaler, Inc. (b) | 439,176 | |||
6,887,228 | |||||
Technology Hardware, Storage & Peripherals — 1.1% | |||||
6,418 | Pure Storage, Inc., Class A (b) | 337,908 | |||
Total Common Stocks | 29,038,999 | ||||
(Cost $24,279,628) | |||||
MONEY MARKET FUNDS — 1.9% | |||||
571,599 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (e) | 571,599 | |||
(Cost $571,599) | |||||
Total Investments — 100.0% | 29,610,598 | ||||
(Cost $24,851,227) | |||||
Net Other Assets and Liabilities — (0.0)% | (4,474 ) | ||||
Net Assets — 100.0% | $29,606,124 |
(a) | Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
(b) | Non-income producing security. |
(c) | This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(d) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(e) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
EUR | – Euro |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 29,038,999 | $ 29,038,999 | $ — | $ — |
Money Market Funds | 571,599 | 571,599 | — | — |
Total Investments | $29,610,598 | $29,610,598 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
COMMON STOCKS — 99.7% | |||||
Communications Equipment — 6.4% | |||||
1,001 | Arista Networks, Inc. (a) | $277,818 | |||
13,081 | Cisco Systems, Inc. | 632,728 | |||
534 | Motorola Solutions, Inc. | 176,428 | |||
1,086,974 | |||||
Electronic Equipment, Instruments & Components — 1.7% | |||||
1,926 | Amphenol Corp., Class A | 210,396 | |||
172 | CDW Corp. | 42,348 | |||
314 | Jabil, Inc. | 45,245 | |||
297,989 | |||||
Entertainment — 4.8% | |||||
867 | Electronic Arts, Inc. | 120,929 | |||
5,891 | Walt Disney (The) Co. | 657,318 | |||
1,096 | Warner Music Group Corp., Class A | 38,283 | |||
816,530 | |||||
Financial Services — 10.6% | |||||
1,933 | Fiserv, Inc. (a) | 288,539 | |||
152 | FleetCor Technologies, Inc. (a) | 42,449 | |||
1,578 | Mastercard, Inc., Class A | 749,171 | |||
2,548 | Visa, Inc., Class A | 720,167 | |||
1,800,326 | |||||
Interactive Media & Services — 9.7% | |||||
4,932 | Alphabet, Inc., Class A (a) | 682,885 | |||
2,000 | Meta Platforms, Inc., Class A | 980,260 | |||
1,663,145 | |||||
IT Services — 3.6% | |||||
314 | Akamai Technologies, Inc. (a) | 34,829 | |||
82 | Gartner, Inc. (a) | 38,176 | |||
2,939 | International Business Machines Corp. | 543,803 | |||
616,808 | |||||
Media — 0.8% | |||||
477 | Charter Communications, Inc., Class A (a) | 140,205 | |||
Semiconductors & Semiconductor Equipment — 25.9% | |||||
1,598 | Analog Devices, Inc. | 306,528 | |||
2,693 | Applied Materials, Inc. | 542,963 | |||
705 | Broadcom, Inc. | 916,845 | |||
361 | Enphase Energy, Inc. (a) | 45,851 | |||
440 | KLA Corp. | 300,212 | |||
425 | Lam Research Corp. | 398,756 | |||
1,742 | Microchip Technology, Inc. | 146,572 | |||
66 | Monolithic Power Systems, Inc. | 47,523 |
Shares | Description | Value | |||
Semiconductors & Semiconductor Equipment (Continued) | |||||
1,396 | NVIDIA Corp. | $1,104,404 | |||
3,584 | QUALCOMM, Inc. | 565,519 | |||
375 | Skyworks Solutions, Inc. | 39,345 | |||
4,414,518 | |||||
Software — 28.7% | |||||
1,069 | Adobe, Inc. (a) | 598,939 | |||
971 | AppLovin Corp., Class A (a) | 57,988 | |||
193 | Aspen Technology, Inc. (a) | 37,421 | |||
688 | Autodesk, Inc. (a) | 177,621 | |||
699 | Bentley Systems, Inc., Class B | 35,908 | |||
875 | Cadence Design Systems, Inc. (a) | 266,333 | |||
772 | Crowdstrike Holdings, Inc., Class A (a) | 250,244 | |||
1,057 | Datadog, Inc., Class A (a) | 138,953 | |||
1,647 | Gen Digital, Inc. | 35,394 | |||
901 | Intuit, Inc. | 597,264 | |||
161 | Manhattan Associates, Inc. (a) | 40,786 | |||
1,726 | Microsoft Corp. | 713,943 | |||
1,015 | Palo Alto Networks, Inc. (a) | 315,208 | |||
232 | PTC, Inc. (a) | 42,458 | |||
2,597 | Salesforce, Inc. (a) | 802,006 | |||
660 | ServiceNow, Inc. (a) | 509,084 | |||
491 | Synopsys, Inc. (a) | 281,701 | |||
4,901,251 | |||||
Technology Hardware, Storage & Peripherals — 3.9% | |||||
3,443 | Apple, Inc. | 622,322 | |||
399 | NetApp, Inc. | 35,559 | |||
657,881 | |||||
Wireless Telecommunication Services — 3.6% | |||||
3,722 | T-Mobile US, Inc. | 607,802 | |||
Total Common Stocks | 17,003,429 | ||||
(Cost $14,376,020) | |||||
MONEY MARKET FUNDS — 0.3% | |||||
44,653 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (b) | 44,653 | |||
(Cost $44,653) | |||||
Total Investments — 100.0% | 17,048,082 | ||||
(Cost $14,420,673) | |||||
Net Other Assets and Liabilities — 0.0% | 7,712 | ||||
Net Assets — 100.0% | $17,055,794 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of February 29, 2024. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 17,003,429 | $ 17,003,429 | $ — | $ — |
Money Market Funds | 44,653 | 44,653 | — | — |
Total Investments | $17,048,082 | $17,048,082 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 99.9% | |||||
Capital Markets — 99.9% | |||||
38,780 | First Trust Alternative Absolute Return Strategy ETF (a) | $1,099,025 | |||
10,936 | First Trust Global Tactical Commodity Strategy Fund (a) | 252,075 | |||
13,066 | First Trust Long/Short Equity ETF (a) | 787,749 | |||
22,986 | First Trust Managed Futures Strategy Fund (a) | 1,141,676 | |||
29,271 | First Trust Merger Arbitrage ETF (a) | 577,253 | |||
19,906 | First Trust TCW Unconstrained Plus Bond ETF (a) | 487,498 | |||
5,101 | iShares 7-10 Year Treasury Bond ETF | 480,616 | |||
6,300 | iShares Gold Trust (b) | 243,495 | |||
Total Investments — 99.9% | 5,069,387 | ||||
(Cost $5,029,578) | |||||
Net Other Assets and Liabilities — 0.1% | 5,593 | ||||
Net Assets — 100.0% | $5,074,980 |
(a) | Investment in an affiliated fund. |
(b) | Non-income producing security. |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 5,069,387 | $ 5,069,387 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
First Trust Innovation Leaders ETF (ILDR) | First Trust Expanded Technology ETF (XPND) | First Trust Multi-Strategy Alternative ETF (LALT) | |
ASSETS: | |||
Investments, at value - Unaffiliated | $29,610,598 | $17,048,082 | $724,111 |
Investments, at value - Affiliated | — | — | 4,345,276 |
Total investments, at value | 29,610,598 | 17,048,082 | 5,069,387 |
Cash | — | — | 5,008 |
Receivables: | |||
Dividends | 11,480 | 15,332 | — |
Reclaims | 321 | — | — |
Capital shares sold | — | — | 1,013,923 |
Total Assets | 29,622,399 | 17,063,414 | 6,088,318 |
LIABILITIES: | |||
Payables: | |||
Investment advisory fees | 16,275 | 7,620 | 585 |
Investment securities purchased | — | — | 1,012,753 |
Total Liabilities | 16,275 | 7,620 | 1,013,338 |
NET ASSETS | $29,606,124 | $17,055,794 | $5,074,980 |
NET ASSETS consist of: | |||
Paid-in capital | $25,847,529 | $16,726,030 | $5,043,851 |
Par value | 13,500 | 6,500 | 2,500 |
Accumulated distributable earnings (loss) | 3,745,095 | 323,264 | 28,629 |
NET ASSETS | $29,606,124 | $17,055,794 | $5,074,980 |
NET ASSET VALUE, per share | $21.93 | $26.24 | $20.30 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,350,002 | 650,002 | 250,002 |
Investments, at cost - Unaffiliated | $24,851,227 | $14,420,673 | $721,335 |
Investments, at cost - Affiliated | $— | $— | $4,308,243 |
Total investments, at cost | $24,851,227 | $14,420,673 | $5,029,578 |
First Trust Innovation Leaders ETF (ILDR) | First Trust Expanded Technology ETF (XPND) | First Trust Multi-Strategy Alternative ETF (LALT) | |
INVESTMENT INCOME: | |||
Dividends - Unaffiliated | $54,795 | $41,296 | $3,206 |
Dividends - Affiliated | — | — | 30,971 |
Foreign withholding tax | (1,755 ) | — | — |
Total investment income | 53,040 | 41,296 | 34,177 |
EXPENSES: | |||
Investment advisory fees | 71,572 | 31,701 | 2,267 |
Total expenses | 71,572 | 31,701 | 2,267 |
NET INVESTMENT INCOME (LOSS) | (18,532 ) | 9,595 | 31,910 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
Net realized gain (loss) on: | |||
Investments - Unaffiliated | (446,651 ) | 42,626 | 577 |
Investments - Affiliated | — | — | (11,033 ) |
In-kind redemptions - Unaffiliated | 286,754 | 481,086 | — |
Foreign currency transactions | (106 ) | — | — |
Net realized gain (loss) | (160,003 ) | 523,712 | (10,456 ) |
Net change in unrealized appreciation (depreciation) on: | |||
Investments - Unaffiliated | 4,456,276 | 1,598,129 | 5,415 |
Investments - Affiliated | — | — | 30,409 |
Foreign currency translation | (1 ) | — | — |
Net change in unrealized appreciation (depreciation) | 4,456,275 | 1,598,129 | 35,824 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 4,296,272 | 2,121,841 | 25,368 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $4,277,740 | $2,131,436 | $57,278 |
First Trust Innovation Leaders ETF (ILDR) | First Trust Expanded Technology ETF (XPND) | |||
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $(18,532 ) | $(9,226 ) | $9,595 | $37,076 |
Net realized gain (loss) | (160,003 ) | (275,575 ) | 523,712 | (749,213 ) |
Net change in unrealized appreciation (depreciation) | 4,456,275 | 975,935 | 1,598,129 | 2,807,934 |
Net increase (decrease) in net assets resulting from operations | 4,277,740 | 691,134 | 2,131,436 | 2,095,797 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | — | — | (5,555 ) | (50,226 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 10,810,557 | 11,762,394 | 10,645,812 | 3,331,179 |
Cost of shares redeemed | (971,387 ) | — | (2,244,488 ) | (14,148,114 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 9,839,170 | 11,762,394 | 8,401,324 | (10,816,935 ) |
Total increase (decrease) in net assets | 14,116,910 | 12,453,528 | 10,527,205 | (8,771,364 ) |
NET ASSETS: | ||||
Beginning of period | 15,489,214 | 3,035,686 | 6,528,589 | 15,299,953 |
End of period | $29,606,124 | $15,489,214 | $17,055,794 | $6,528,589 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 850,002 | 200,002 | 300,002 | 900,002 |
Shares sold | 550,000 | 650,000 | 450,000 | 200,000 |
Shares redeemed | (50,000 ) | — | (100,000 ) | (800,000 ) |
Shares outstanding, end of period | 1,350,002 | 850,002 | 650,002 | 300,002 |
(a) | Inception date is January 31, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
First Trust Multi-Strategy Alternative ETF (LALT) | |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) |
$31,910 | $11,392 |
(10,456 ) | (495 ) |
35,824 | 3,985 |
57,278 | 14,882 |
(38,911 ) | (4,620 ) |
4,045,823 | 1,000,528 |
— | — |
4,045,823 | 1,000,528 |
4,064,190 | 1,010,790 |
1,010,790 | — |
$5,074,980 | $1,010,790 |
50,002 | — |
200,000 | 50,002 |
— | — |
250,002 | 50,002 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $18.22 | $15.18 | $22.95 | $20.07 |
Income from investment operations: | ||||
Net investment income (loss) | (0.02 ) (b) | (0.04 ) (b) | (0.08 ) | (0.02 ) |
Net realized and unrealized gain (loss) | 3.73 | 3.08 | (7.66 ) | 2.90 |
Total from investment operations | 3.71 | 3.04 | (7.74 ) | 2.88 |
Distributions paid to shareholders from: | ||||
Net investment income | — | — | (0.00 ) (c) | — |
Net realized gain | — | — | (0.03 ) | — |
Total distributions | — | — | (0.03 ) | — |
Net asset value, end of period | $21.93 | $18.22 | $15.18 | $22.95 |
Total return (d) | 20.36 % | 20.03 % | (33.75 )% | 14.35 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $29,606 | $15,489 | $3,036 | $3,443 |
Ratio of total expenses to average net assets | 0.75 % (e) | 0.75 % | 0.75 % | 0.75 % (e) |
Ratio of net investment income (loss) to average net assets | (0.19 )% (e) | (0.24 )% | (0.51 )% | (0.49 )% (e) |
Portfolio turnover rate (f) | 20 % | 51 % | 58 % | 9 % |
(a) | Inception date is May 25, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $21.76 | $17.00 | $21.87 | $20.18 |
Income from investment operations: | ||||
Net investment income (loss) | 0.02 (b) | 0.06 (b) | 0.04 | (0.00 ) (c) |
Net realized and unrealized gain (loss) | 4.48 | 4.77 | (4.89 ) | 1.69 |
Total from investment operations | 4.50 | 4.83 | (4.85 ) | 1.69 |
Distributions paid to shareholders from: | ||||
Net investment income | (0.02 ) | (0.07 ) | (0.02 ) | — |
Net asset value, end of period | $26.24 | $21.76 | $17.00 | $21.87 |
Total return (d) | 20.64 % | 28.55 % | (22.19 )% | 8.37 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $17,056 | $6,529 | $15,300 | $16,399 |
Ratio of total expenses to average net assets | 0.65 % (e) | 0.65 % | 0.65 % | 0.65 % (e) |
Ratio of net investment income (loss) to average net assets | 0.20 % (e) | 0.36 % | 0.19 % | (0.03 )% (e) |
Portfolio turnover rate (f) | 33 % | 81 % | 88 % | 0 % |
(a) | Inception date is June 14, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
Six Months Ended 2/29/2024 (Unaudited) | Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $20.21 | $20.01 |
Income from investment operations: | ||
Net investment income (loss) (b) | 0.27 | 0.23 |
Net realized and unrealized gain (loss) | 0.21 | 0.06 |
Total from investment operations | 0.48 | 0.29 |
Distributions paid to shareholders from: | ||
Net investment income | (0.39 ) | (0.09 ) |
Net asset value, end of period | $20.30 | $20.21 |
Total return (c) | 2.43 % | 1.47 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $5,075 | $1,011 |
Ratio of total expenses to average net assets (d) | 0.20 % (e) | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | 2.81 % (e) | 1.97 % (e) |
Portfolio turnover rate (f) | 6 % | 17 % |
(a) | Inception date is January 31, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
First Trust Innovation Leaders ETF – (ticker “ILDR”) |
First Trust Expanded Technology ETF – (ticker “XPND”) |
First Trust Multi-Strategy Alternative ETF – (ticker “LALT”) |
Security Name | Shares at 2/29/2024 | Value at 8/31/2023 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 2/29/2024 | Dividend Income |
First Trust Alternative Absolute Return Strategy ETF | 38,780 | $218,666 | $897,272 | $(3,806 ) | $(12,923 ) | $(184 ) | $1,099,025 | $7,341 |
First Trust Global Tactical Commodity Strategy Fund | 10,936 | 106,186 | 260,677 | (99,042 ) | (5,041 ) | (10,705 ) | 252,075 | 3,399 |
First Trust Long/Short Equity ETF | 13,066 | 100,572 | 649,766 | — | 37,411 | — | 787,749 | 1,900 |
First Trust Managed Futures Strategy Fund | 22,986 | 216,598 | 911,153 | (6,554 ) | 20,620 | (141 ) | 1,141,676 | 7,019 |
First Trust Merger Arbitrage ETF | 29,271 | 120,904 | 472,166 | (5,972 ) | (9,771 ) | (74 ) | 577,253 | 4,732 |
First Trust TCW Unconstrained Plus Bond ETF | 19,906 | 99,654 | 398,660 | (11,000 ) | 113 | 71 | 487,498 | 6,580 |
$862,580 | $3,589,694 | $(126,374 ) | $30,409 | $(11,033 ) | $4,345,276 | $30,971 |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Innovation Leaders ETF | $— | $— | $— |
First Trust Expanded Technology ETF | 50,226 | — | — |
First Trust Multi-Strategy Alternative ETF | 4,620 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust Innovation Leaders ETF | $(4,454 ) | $(805,741 ) | $277,550 |
First Trust Expanded Technology ETF | 1,394 | (2,821,732 ) | 1,017,721 |
First Trust Multi-Strategy Alternative ETF | 6,772 | (486 ) | 3,976 |
Non-Expiring Capital Loss Carryforwards | |
First Trust Innovation Leaders ETF | $805,741 |
First Trust Expanded Technology ETF | 2,821,732 |
First Trust Multi-Strategy Alternative ETF | 486 |
Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | |
First Trust Innovation Leaders ETF | $4,454 | $— |
First Trust Expanded Technology ETF | — | — |
First Trust Multi-Strategy Alternative ETF | — | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust Innovation Leaders ETF | $24,851,227 | $5,192,020 | $(432,649 ) | $4,759,371 |
First Trust Expanded Technology ETF | 14,420,673 | 2,724,104 | (96,695 ) | 2,627,409 |
First Trust Multi-Strategy Alternative ETF | 5,029,578 | 77,645 | (37,836 ) | 39,809 |
Breakpoints | ILDR |
Fund net assets up to and including $2.5 billion | 0.75000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.73125 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.71250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.69375 % |
Fund net assets greater than $10 billion | 0.67500 % |
Breakpoints | XPND | LALT |
Fund net assets up to and including $2.5 billion | 0.65000 % | 0.20000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.63375 % | 0.19500 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.61750 % | 0.19000 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.60125 % | 0.18500 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.58500 % | 0.18000 % |
Fund net assets greater than $15 billion | 0.55250 % | 0.17000 % |
Purchases | Sales | |
First Trust Innovation Leaders ETF | $4,183,581 | $3,795,796 |
First Trust Expanded Technology ETF | 3,443,695 | 3,460,465 |
First Trust Multi-Strategy Alternative ETF | 147,266 | 155,314 |
Purchases | Sales | |
First Trust Innovation Leaders ETF | $10,449,510 | $982,308 |
First Trust Expanded Technology ETF | 10,619,110 | 2,235,936 |
First Trust Multi-Strategy Alternative ETF | 4,042,300 | — |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended February 29, 2024 |
First Trust Multi-Manager Large Growth ETF (MMLG) |
Sands Capital Management, LLC
Semi-Annual Report
February 29, 2024
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18 |
Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (7/21/20) to 2/29/24 | Inception (7/21/20) to 2/29/24 | |
Fund Performance | ||||
NAV | 23.82% | 49.20% | 8.91% | 36.08% |
Market Price | 23.84% | 49.25% | 8.89% | 35.98% |
Index Performance | ||||
Russell 1000® Growth Index | 18.20% | 45.93% | 15.44% | 67.90% |
Russell 1000® Index | 14.03% | 29.81% | 14.57% | 63.37% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 46.4% |
Consumer Discretionary | 14.8 |
Communication Services | 11.4 |
Health Care | 10.5 |
Financials | 9.1 |
Industrials | 4.1 |
Consumer Staples | 1.8 |
Real Estate | 1.0 |
Materials | 0.6 |
Energy | 0.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Microsoft Corp. | 9.2% |
NVIDIA Corp. | 8.0 |
Amazon.com, Inc. | 7.9 |
Meta Platforms, Inc., Class A | 4.9 |
ServiceNow, Inc. | 4.0 |
Apple, Inc. | 3.5 |
Dexcom, Inc. | 2.6 |
Uber Technologies, Inc. | 2.6 |
Visa, Inc., Class A | 2.5 |
Alphabet, Inc., Class A | 2.4 |
Total | 47.6% |
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 indices do not actually hold a portfolio of securities and therefore do 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. |
• Daniel J. Lindquist, Managing Director of First Trust
• David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
• Jon C. Erickson, Senior Vice President of First Trust
• Roger F. Testin, Senior Vice President of First Trust
• Stan Ueland, Senior Vice President of First Trust
• Chris A. Peterson, CFA, Senior Vice President of First Trust
• Erik Russo, Vice President of First Trust
• Douglas W. McLane, CFA, Senior Managing Director, Partner and Equity Portfolio Manager
• Frank M. Sands, CFA, Chief Investment Officer and Chief Executive Officer
• Wesley A. Johnston, CFA, Senior Portfolio Manager and Research Analyst
• Thomas H. Trentman, CFA, Senior Portfolio Manager and Research Analyst
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Multi-Manager Large Growth ETF (MMLG) | ||||
Actual | $1,000.00 | $1,238.20 | 0.85% | $4.73 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
Shares | Description | Value | |||
COMMON STOCKS — 97.1% | |||||
Aerospace & Defense — 0.3% | |||||
2,018 | RTX Corp. | $180,954 | |||
Automobiles — 0.5% | |||||
1,542 | Tesla, Inc. (a) | 311,299 | |||
Banks — 1.5% | |||||
92,320 | NU Holdings Ltd., Class A (a) | 1,022,906 | |||
Beverages — 1.3% | |||||
4,097 | Brown-Forman Corp., Class B | 246,762 | |||
1,179 | Constellation Brands, Inc., Class A | 293,005 | |||
5,829 | Monster Beverage Corp. (a) | 344,494 | |||
884,261 | |||||
Biotechnology — 0.8% | |||||
9,885 | Ultragenyx Pharmaceutical, Inc. (a) | 511,252 | |||
Broadline Retail — 7.7% | |||||
29,258 | Amazon.com, Inc. (a) | 5,171,644 | |||
Chemicals — 0.5% | |||||
1,124 | Sherwin-Williams (The) Co. | 373,202 | |||
Commercial Services & Supplies — 0.4% | |||||
1,473 | Republic Services, Inc. | 270,443 | |||
Communications Equipment — 0.4% | |||||
886 | Motorola Solutions, Inc. | 292,726 | |||
Consumer Finance — 0.4% | |||||
1,108 | American Express Co. | 243,117 | |||
Electronic Equipment, Instruments & Components — 1.5% | |||||
3,557 | Amphenol Corp., Class A | 388,567 | |||
1,484 | CDW Corp. | 365,375 | |||
1,754 | Jabil, Inc. | 252,734 | |||
1,006,676 | |||||
Entertainment — 2.7% | |||||
2,363 | Netflix, Inc. (a) | 1,424,700 | |||
8,715 | Sea Ltd., ADR (a) | 422,852 | |||
1,847,552 | |||||
Financial Services — 6.1% | |||||
17,418 | Block, Inc. (a) | 1,384,208 | |||
813 | FleetCor Technologies, Inc. (a) | 227,047 | |||
1,913 | Mastercard, Inc., Class A | 908,216 | |||
5,721 | Visa, Inc., Class A | 1,616,983 | |||
4,136,454 | |||||
Ground Transportation — 2.5% | |||||
21,056 | Uber Technologies, Inc. (a) | 1,673,952 |
Shares | Description | Value | |||
Health Care Equipment & Supplies — 5.3% | |||||
1,802 | Abbott Laboratories | $213,789 | |||
1,386 | Align Technology, Inc. (a) | 419,154 | |||
2,935 | Boston Scientific Corp. (a) | 194,326 | |||
14,922 | Dexcom, Inc. (a) | 1,717,075 | |||
9,122 | Edwards Lifesciences Corp. (a) | 774,184 | |||
3,043 | Hologic, Inc. (a) | 224,574 | |||
3,543,102 | |||||
Health Care Providers & Services — 1.0% | |||||
1,349 | UnitedHealth Group, Inc. | 665,866 | |||
Health Care Technology — 0.3% | |||||
911 | Veeva Systems, Inc., Class A (a) | 205,440 | |||
Hotels, Restaurants & Leisure — 3.1% | |||||
4,564 | Airbnb, Inc., Class A (a) | 718,693 | |||
173 | Chipotle Mexican Grill, Inc. (a) | 465,157 | |||
7,015 | DoorDash, Inc., Class A (a) | 873,859 | |||
2,057,709 | |||||
Insurance — 0.8% | |||||
2,405 | Arch Capital Group Ltd. (a) | 210,654 | |||
1,409 | Chubb Ltd. | 354,603 | |||
565,257 | |||||
Interactive Media & Services — 8.3% | |||||
11,201 | Alphabet, Inc., Class A (a) | 1,550,890 | |||
2,134 | Alphabet, Inc., Class C (a) | 298,291 | |||
11,980 | Match Group, Inc. (a) | 431,759 | |||
6,540 | Meta Platforms, Inc., Class A | 3,205,450 | |||
7,418 | ZoomInfo Technologies, Inc. (a) | 124,326 | |||
5,610,716 | |||||
IT Services — 6.2% | |||||
811 | Accenture PLC, Class A | 303,947 | |||
7,401 | Cloudflare, Inc., Class A (a) | 729,294 | |||
7,753 | Okta, Inc. (a) | 831,897 | |||
11,737 | Shopify, Inc., Class A (a) | 896,355 | |||
7,448 | Snowflake, Inc., Class A (a) | 1,402,309 | |||
4,163,802 | |||||
Life Sciences Tools & Services — 1.4% | |||||
8,681 | 10X Genomics, Inc., Class A (a) | 404,882 | |||
965 | Danaher Corp. | 244,280 | |||
462 | Thermo Fisher Scientific, Inc. | 263,423 | |||
912,585 | |||||
Machinery — 0.8% | |||||
964 | Deere & Co. | 351,908 | |||
1,811 | Ingersoll Rand, Inc. | 165,399 | |||
517,307 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Oil, Gas & Consumable Fuels — 0.2% | |||||
923 | Diamondback Energy, Inc. | $168,466 | |||
Personal Care Products — 0.5% | |||||
2,118 | Estee Lauder (The) Cos., Inc., Class A | 314,692 | |||
Pharmaceuticals — 1.6% | |||||
1,391 | Eli Lilly & Co. | 1,048,369 | |||
Real Estate Management & Development — 1.0% | |||||
7,795 | CoStar Group, Inc. (a) | 678,399 | |||
Semiconductors & Semiconductor Equipment — 14.1% | |||||
1,827 | Advanced Micro Devices, Inc. (a) | 351,752 | |||
715 | Broadcom, Inc. | 929,851 | |||
7,489 | Entegris, Inc. | 1,006,222 | |||
601 | KLA Corp. | 410,062 | |||
1,306 | Lam Research Corp. | 1,225,355 | |||
6,616 | NVIDIA Corp. | 5,234,050 | |||
1,852 | Texas Instruments, Inc. | 309,895 | |||
9,467,187 | |||||
Software — 19.4% | |||||
498 | ANSYS, Inc. (a) | 166,417 | |||
5,383 | Atlassian Corp., Class A (a) | 1,116,542 | |||
830 | Cadence Design Systems, Inc. (a) | 252,635 | |||
10,020 | Datadog, Inc., Class A (a) | 1,317,229 | |||
582 | Intuit, Inc. | 385,802 | |||
14,567 | Microsoft Corp. | 6,025,494 | |||
906 | Palo Alto Networks, Inc. (a) | 281,358 | |||
330 | Roper Technologies, Inc. | 179,761 | |||
1,355 | Salesforce, Inc. (a) | 418,451 | |||
3,402 | ServiceNow, Inc. (a) | 2,624,099 | |||
1,101 | Workday, Inc., Class A (a) | 324,421 | |||
13,092,209 | |||||
Specialty Retail — 2.1% | |||||
5,280 | Floor & Decor Holdings, Inc., Class A (a) | 639,513 | |||
310 | O’Reilly Automotive, Inc. (a) | 337,100 | |||
4,691 | TJX (The) Cos., Inc. | 465,066 | |||
1,441,679 | |||||
Technology Hardware, Storage & Peripherals — 3.4% | |||||
12,831 | Apple, Inc. | 2,319,203 |
Shares | Description | Value | |||
Textiles, Apparel & Luxury Goods — 1.0% | |||||
716 | Lululemon Athletica, Inc. (a) | $334,436 | |||
3,103 | NIKE, Inc., Class B | 322,495 | |||
656,931 | |||||
Total Common Stocks | 65,355,357 | ||||
(Cost $58,723,498) | |||||
MONEY MARKET FUNDS — 2.9% | |||||
1,981,483 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (b) | 1,981,483 | |||
(Cost $1,981,483) | |||||
Total Investments — 100.0% | 67,336,840 | ||||
(Cost $60,704,981) | |||||
Net Other Assets and Liabilities — (0.0)% | (12,046 ) | ||||
Net Assets — 100.0% | $67,324,794 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
ADR | – American Depositary Receipt |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 65,355,357 | $ 65,355,357 | $ — | $ — |
Money Market Funds | 1,981,483 | 1,981,483 | — | — |
Total Investments | $67,336,840 | $67,336,840 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value | $67,336,840 |
Dividends receivable | 31,702 |
Total Assets | 67,368,542 |
LIABILITIES: | |
Investment advisory fees payable | 43,748 |
Total Liabilities | 43,748 |
NET ASSETS | $67,324,794 |
NET ASSETS consist of: | |
Paid-in capital | $76,736,298 |
Par value | 25,000 |
Accumulated distributable earnings (loss) | (9,436,504 ) |
NET ASSETS | $67,324,794 |
NET ASSET VALUE, per share | $26.93 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,500,002 |
Investments, at cost | $60,704,981 |
INVESTMENT INCOME: | |
Dividends | $117,854 |
Total investment income | 117,854 |
EXPENSES: | |
Investment advisory fees | 209,507 |
Total expenses | 209,507 |
NET INVESTMENT INCOME (LOSS) | (91,653 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on: | |
Investments | (481,370 ) |
In-kind redemptions | 549,093 |
Net realized gain (loss) | 67,723 |
Net change in unrealized appreciation (depreciation) on investments | 12,036,796 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 12,104,519 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $12,012,866 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||
Net investment income (loss) | $(91,653 ) | $(128,064 ) |
Net realized gain (loss) | 67,723 | (14,219,998 ) |
Net change in unrealized appreciation (depreciation) | 12,036,796 | 19,933,088 |
Net increase (decrease) in net assets resulting from operations | 12,012,866 | 5,585,026 |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | 17,438,882 | — |
Cost of shares redeemed | (3,451,292 ) | (27,738,996 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 13,987,590 | (27,738,996 ) |
Total increase (decrease) in net assets | 26,000,456 | (22,153,970 ) |
NET ASSETS: | ||
Beginning of period | 41,324,338 | 63,478,308 |
End of period | $67,324,794 | $41,324,338 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 1,900,002 | 3,500,002 |
Shares sold | 750,000 | — |
Shares redeemed | (150,000 ) | (1,600,000 ) |
Shares outstanding, end of period | 2,500,002 | 1,900,002 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $21.75 | $18.14 | $28.27 | $21.86 | $19.84 |
Income from investment operations: | |||||
Net investment income (loss) | (0.04 ) (b) | (0.05 ) (b) | (0.18 ) | 0.01 | (0.00 ) (c) |
Net realized and unrealized gain (loss) | 5.22 | 3.66 | (9.95 ) | 6.46 | 2.02 |
Total from investment operations | 5.18 | 3.61 | (10.13 ) | 6.47 | 2.02 |
Distributions paid to shareholders from: | |||||
Net investment income | — | — | — | (0.04 ) | — |
Net realized gain | — | — | — | (0.02 ) | — |
Total distributions | — | — | — | (0.06 ) | — |
Net asset value, end of period | $26.93 | $21.75 | $18.14 | $28.27 | $21.86 |
Total return (d) | 23.82 % | 19.90 % | (35.83 )% | 29.65 % | 10.18 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $67,325 | $41,324 | $63,478 | $171,005 | $2,186 |
Ratio of total expenses to average net assets | 0.85 % (e) | 0.85 % | 0.85 % | 0.85 % | 0.85 % (e) |
Ratio of net investment income (loss) to average net assets | (0.37 )% (e) | (0.29 )% | (0.49 )% | (0.49 )% | (0.21 )% (e) |
Portfolio turnover rate (f) | 10 % | 29 % | 31 % | 21 % | 2 % |
(a) | Inception date is July 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
Undistributed ordinary income | $(78,472 ) |
Accumulated capital and other gain (loss) | (15,819,658 ) |
Net unrealized appreciation (depreciation) | (5,551,240 ) |
Qualified Late Year Losses | |
Ordinary Losses | Capital Losses |
$78,472 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
$60,704,981 | $13,364,303 | $(6,732,444 ) | $6,631,859 |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.76500 % |
Fund net assets greater than $15 billion | 0.72250 % |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
280 Congress Street
Boston, MA 02210
1000 Wilson Boulevard, Suite 3000
Arlington, VA 22209
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended February 29, 2024 |
First Trust SkyBridge Crypto Industry and Digital Economy ETF (CRPT) |
Semi-Annual Report
February 29, 2024
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Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (9/20/21) to 2/29/24 | Inception (9/20/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 102.95% | 156.80% | -17.42% | -37.33% |
Market Price | 103.30% | 158.50% | -17.42% | -37.33% |
Index Performance | ||||
S&P 500® Index | 13.93% | 30.45% | 8.34% | 21.61% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 53.6% |
Financials | 38.8 |
Communication Services | 7.3 |
Industrials | 0.2 |
Consumer Discretionary | 0.1 |
Total | 100.0% |
Country Allocation† | % of Total Long-Term Investments |
United States | 87.4% |
Cayman Islands | 6.2 |
Canada | 4.4 |
Australia | 1.9 |
Taiwan | 0.1 |
Total | 100.0% |
† | Portfolio securities are categorized based upon their country of incorporation. |
Top Ten Holdings | % of Total Long-Term Investments |
Coinbase Global, Inc., Class A | 24.8% |
MicroStrategy, Inc., Class A | 24.6 |
Galaxy Digital Holdings Ltd. | 4.5 |
NVIDIA Corp. | 3.9 |
Meta Platforms, Inc., Class A | 3.8 |
Riot Platforms, Inc. | 3.8 |
Microsoft Corp. | 3.6 |
Alphabet, Inc., Class C | 3.5 |
BlackRock, Inc. | 3.0 |
Mastercard, Inc., Class A | 2.9 |
Total | 78.4% |
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. |
Brett Messing – President and Co-Chief Investment Officer
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust SkyBridge Crypto Industry and Digital Economy ETF (CRPT) | ||||
Actual | $1,000.00 | $2,029.50 | 0.85% | $6.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
Shares | Description | Value | |||
COMMON STOCKS (a) — 97.3% | |||||
Broadline Retail — 0.1% | |||||
31 | MercadoLibre, Inc. (b) | $49,454 | |||
Capital Markets — 31.7% | |||||
1,582 | BlackRock, Inc. | 1,283,540 | |||
52,764 | Coinbase Global, Inc., Class A (b) | 10,740,640 | |||
183,269 | Galaxy Digital Holdings Ltd. (CAD) (b) | 1,927,015 | |||
515 | Interactive Brokers Group, Inc., Class A | 55,991 | |||
5,744 | Robinhood Markets, Inc., Class A (b) | 93,684 | |||
14,100,870 | |||||
Commercial Services & Supplies — 0.1% | |||||
24,146 | Bitcoin Depot, Inc. (b) | 57,951 | |||
Financial Services — 6.0% | |||||
1,141 | Block, Inc. (b) | 90,675 | |||
2,683 | Mastercard, Inc., Class A | 1,273,781 | |||
790 | PayPal Holdings, Inc. (b) | 47,669 | |||
4,495 | Visa, Inc., Class A | 1,270,467 | |||
2,682,592 | |||||
Interactive Media & Services — 7.2% | |||||
10,817 | Alphabet, Inc., Class C (b) | 1,512,000 | |||
3,389 | Meta Platforms, Inc., Class A | 1,661,051 | |||
3,173,051 | |||||
IT Services — 2.4% | |||||
263,619 | Core Scientific, Inc. (b) | 991,207 | |||
721 | Shopify, Inc., Class A (b) | 55,063 | |||
1,046,270 | |||||
Semiconductors & Semiconductor Equipment — 4.2% | |||||
288 | Advanced Micro Devices, Inc. (b) | 55,449 | |||
520 | Microchip Technology, Inc. | 43,753 | |||
2,117 | NVIDIA Corp. | 1,674,801 | |||
315 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 40,531 | |||
322 | Texas Instruments, Inc. | 53,880 | |||
1,868,414 | |||||
Software — 45.6% | |||||
114,469 | Bitdeer Technologies Group, Class A (b) | 757,785 | |||
310,112 | Bitfarms Ltd. (b) | 883,819 | |||
244,333 | Cipher Mining, Inc. (b) | 723,226 | |||
65,774 | Cleanspark, Inc. (b) | 1,099,741 | |||
253,767 | Hive Digital Technologies Ltd. (b) | 966,852 |
Shares | Description | Value | |||
Software (Continued) | |||||
138,504 | Iris Energy Ltd. (b) | $817,174 | |||
46,670 | Marathon Digital Holdings, Inc. (b) | 1,208,753 | |||
3,783 | Microsoft Corp. | 1,564,800 | |||
10,390 | MicroStrategy, Inc., Class A (b) | 10,627,308 | |||
116,335 | Riot Platforms, Inc. (b) | 1,642,650 | |||
20,292,108 | |||||
Total Common Stocks | 43,270,710 | ||||
(Cost $34,576,852) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
19,418 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (c) | 19,418 | |||
(Cost $19,418) | |||||
Total Investments — 97.3% | 43,290,128 | ||||
(Cost $34,596,270) | |||||
Net Other Assets and Liabilities — 2.7% | 1,191,946 | ||||
Net Assets — 100.0% | $44,482,074 |
(a) | Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
ADR | – American Depositary Receipt |
CAD | – Canadian Dollar |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 43,270,710 | $ 43,270,710 | $ — | $ — |
Money Market Funds | 19,418 | 19,418 | — | — |
Total Investments | $43,290,128 | $43,290,128 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value | $43,290,128 |
Receivables: | |
Investment securities sold | 13,084,278 |
Dividends | 1,498 |
Total Assets | 56,375,904 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 11,869,754 |
Investment advisory fees | 24,076 |
Total Liabilities | 11,893,830 |
NET ASSETS | $44,482,074 |
NET ASSETS consist of: | |
Paid-in capital | $73,730,979 |
Par value | 38,000 |
Accumulated distributable earnings (loss) | (29,286,905 ) |
NET ASSETS | $44,482,074 |
NET ASSET VALUE, per share | $11.71 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,800,002 |
Investments, at cost | $34,596,270 |
INVESTMENT INCOME: | |
Dividends | $5,280 |
Foreign withholding tax | (123 ) |
Total investment income | 5,157 |
EXPENSES: | |
Investment advisory fees | 108,089 |
Total expenses | 108,089 |
NET INVESTMENT INCOME (LOSS) | (102,932 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on: | |
Investments | 4,555,224 |
Foreign currency transactions | 406 |
Net realized gain (loss) | 4,555,630 |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 16,904,413 |
Foreign currency translation | (785 ) |
Net change in unrealized appreciation (depreciation) | 16,903,628 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 21,459,258 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $21,356,326 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||
Net investment income (loss) | $(102,932 ) | $(144,115 ) |
Net realized gain (loss) | 4,555,630 | (20,158,631 ) |
Net change in unrealized appreciation (depreciation) | 16,903,628 | 17,713,895 |
Net increase (decrease) in net assets resulting from operations | 21,356,326 | (2,588,851 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||
Investment operations | — | (4,358 ) |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | 3,516,311 | 1,307,927 |
Cost of shares redeemed | — | (5,741,810 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 3,516,311 | (4,433,883 ) |
Total increase (decrease) in net assets | 24,872,637 | (7,027,092 ) |
NET ASSETS: | ||
Beginning of period | 19,609,437 | 26,636,529 |
End of period | $44,482,074 | $19,609,437 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 3,400,002 | 4,250,002 |
Shares sold | 400,000 | 300,000 |
Shares redeemed | — | (1,150,000 ) |
Shares outstanding, end of period | 3,800,002 | 3,400,002 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $5.77 | $6.27 | $18.91 |
Income from investment operations: | |||
Net investment income (loss) (b) | (0.03 ) | (0.04 ) | (0.08 ) |
Net realized and unrealized gain (loss) | 5.97 | (0.46 ) | (12.36 ) |
Total from investment operations | 5.94 | (0.50 ) | (12.44 ) |
Distributions paid to shareholders from: | |||
Net investment income | — | (0.00 ) (c) | (0.20 ) |
Net realized gain | — | — | (0.00 ) (c) |
Total distributions | — | (0.00 ) (c) | (0.20 ) |
Net asset value, end of period | $11.71 | $5.77 | $6.27 |
Total return (d) | 102.95 % | (7.95 )% | (66.46 )% |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $44,482 | $19,609 | $26,637 |
Ratio of total expenses to average net assets | 0.85 % (e) | 0.85 % | 0.85 % (e) |
Ratio of net investment income (loss) to average net assets | (0.81 )% (e) | (0.76 )% | (0.76 )% (e) |
Portfolio turnover rate (f) | 111 % | 197 % | 90 % |
(a) | Inception date is September 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
Distributions paid from: | |
Ordinary income | $4,358 |
Capital gains | — |
Return of capital | — |
Undistributed ordinary income | $(93,745 ) |
Accumulated capital and other gain (loss) | (37,877,638 ) |
Net unrealized appreciation (depreciation) | (12,671,848 ) |
Qualified Late Year Losses | |
Ordinary Losses | Capital Losses |
$93,745 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
$34,596,270 | $9,822,399 | $(1,128,541 ) | $8,693,858 |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion | 0.76500 % |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
527 Madison Avenue, 4th Floor
New York, NY 10022
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended February 29, 2024 |
First Trust Multi-Manager Small Cap Opportunities ETF (MMSC) |
Stephens Investment Management Group, LLC
Semi-Annual Report
February 29, 2024
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Semi-Annual Letter from the Chairman and CEO
February 29, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 2/29/24 | 1 Year Ended 2/29/24 | Inception (10/13/21) to 2/29/24 | Inception (10/13/21) to 2/29/24 | |
Fund Performance | ||||
NAV | 16.11% | 24.54% | -2.46% | -5.75% |
Market Price | 16.24% | 24.53% | -2.44% | -5.70% |
Index Performance | ||||
Russell 2000® Growth Index | 10.21% | 14.18% | -4.12% | -9.53% |
Russell 3000® Index | 13.76% | 28.60% | 6.71% | 16.70% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 26.0% |
Industrials | 24.8 |
Health Care | 18.4 |
Financials | 8.9 |
Consumer Discretionary | 8.6 |
Consumer Staples | 7.4 |
Energy | 5.0 |
Materials | 0.9 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Super Micro Computer, Inc. | 2.1% |
Onto Innovation, Inc. | 2.0 |
BellRing Brands, Inc. | 2.0 |
CyberArk Software Ltd. | 1.9 |
Celsius Holdings, Inc. | 1.9 |
Axon Enterprise, Inc. | 1.8 |
Wingstop, Inc. | 1.4 |
Monday.com Ltd. | 1.3 |
Leonardo DRS, Inc. | 1.3 |
Saia, Inc. | 1.2 |
Total | 16.9% |
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 indices do not actually hold a portfolio of securities and therefore do 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. |
• Daniel J. Lindquist, Managing Director of First Trust
• David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
• Jon C. Erickson, Senior Vice President of First Trust
• Roger F. Testin, Senior Vice President of First Trust
• Stan Ueland, Senior Vice President of First Trust
• Chris A. Peterson, CFA, Senior Vice President of First Trust
• Erik Russo, Vice President of First Trust
• Jeffrey James, Lead Portfolio Manager
• Michael Buck, Portfolio Manager
• Prakash Vijayan, CFA, Assistant Portfolio Manager
• Ryan E. Crane, Chief Investment Officer
• Kelly Ranucci, Senior Portfolio Manager
• John Keller, Portfolio Manager
• John M. Thornton, Senior Portfolio Manager
• Samuel M. Chase III, Senior Portfolio Manager
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Multi-Manager Small Cap Opportunities ETF (MMSC) | ||||
Actual | $1,000.00 | $1,161.10 | 0.95% | $5.10 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.14 | 0.95% | $4.77 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2023 through February 29, 2024), multiplied by 182/366 (to reflect the six-month period). |
Shares | Description | Value | |||
COMMON STOCKS — 97.6% | |||||
Aerospace & Defense — 5.6% | |||||
468 | AeroVironment, Inc. (a) | $59,338 | |||
496 | Axon Enterprise, Inc. (a) | 152,455 | |||
129 | Curtiss-Wright Corp. | 30,479 | |||
328 | HEICO Corp., Class A | 51,034 | |||
3,331 | Kratos Defense & Security Solutions, Inc. (a) | 60,757 | |||
4,625 | Leonardo DRS, Inc. (a) | 105,034 | |||
157 | Moog, Inc., Class A | 23,542 | |||
482,639 | |||||
Air Freight & Logistics — 0.4% | |||||
831 | Hub Group, Inc., Class A (a) | 35,342 | |||
Automobile Components — 0.4% | |||||
341 | Modine Manufacturing Co. (a) | 30,591 | |||
Banks — 0.5% | |||||
393 | Customers Bancorp, Inc. (a) | 21,344 | |||
343 | Western Alliance Bancorp | 19,801 | |||
41,145 | |||||
Beverages — 2.1% | |||||
1,913 | Celsius Holdings, Inc. (a) | 156,139 | |||
303 | MGP Ingredients, Inc. | 25,810 | |||
181,949 | |||||
Biotechnology — 7.3% | |||||
541 | Apellis Pharmaceuticals, Inc. (a) | 33,526 | |||
869 | Apogee Therapeutics, Inc. (a) | 30,259 | |||
930 | Biomea Fusion, Inc. (a) | 16,275 | |||
1,903 | Crinetics Pharmaceuticals, Inc. (a) | 77,909 | |||
145 | Cytokinetics, Inc. (a) | 10,475 | |||
2,278 | Exelixis, Inc. (a) | 49,888 | |||
1,122 | Halozyme Therapeutics, Inc. (a) | 44,667 | |||
187 | Krystal Biotech, Inc. (a) | 29,821 | |||
65 | Kyverna Therapeutics, Inc. (a) | 1,766 | |||
851 | Merus N.V. (a) | 41,256 | |||
582 | Natera, Inc. (a) | 50,337 | |||
599 | Nuvalent, Inc., Class A (a) | 50,388 | |||
485 | Ultragenyx Pharmaceutical, Inc. (a) | 25,084 | |||
1,176 | Vaxcyte, Inc. (a) | 86,812 | |||
1,701 | Xenon Pharmaceuticals, Inc. (a) | 80,287 | |||
628,750 | |||||
Broadline Retail — 0.2% | |||||
210 | Ollie’s Bargain Outlet Holdings, Inc. (a) | 16,836 | |||
Building Products — 2.4% | |||||
446 | AAON, Inc. | 37,455 | |||
1,807 | AZEK (The) Co., Inc. (a) | 86,935 |
Shares | Description | Value | |||
Building Products (Continued) | |||||
575 | Trex Co., Inc. (a) | $52,762 | |||
917 | Zurn Elkay Water Solutions Corp. | 29,115 | |||
206,267 | |||||
Capital Markets — 1.5% | |||||
241 | Evercore, Inc., Class A | 45,086 | |||
88 | MarketAxess Holdings, Inc. | 18,780 | |||
329 | Piper Sandler Cos. | 61,941 | |||
125,807 | |||||
Chemicals — 0.5% | |||||
295 | Balchem Corp. | 46,371 | |||
Commercial Services & Supplies — 1.5% | |||||
1,280 | Montrose Environmental Group, Inc. (a) | 52,966 | |||
113 | MSA Safety, Inc. | 20,809 | |||
265 | Tetra Tech, Inc. | 46,990 | |||
159 | VSE Corp. | 11,782 | |||
132,547 | |||||
Communications Equipment — 0.4% | |||||
2,176 | Applied Optoelectronics, Inc. (a) | 34,772 | |||
Construction & Engineering — 3.3% | |||||
667 | Ameresco, Inc., Class A (a) | 13,980 | |||
950 | API Group Corp. (a) | 33,298 | |||
294 | Arcosa, Inc. | 24,402 | |||
261 | Comfort Systems USA, Inc. | 79,796 | |||
179 | EMCOR Group, Inc. | 56,120 | |||
1,419 | Fluor Corp. (a) | 52,219 | |||
192 | Sterling Infrastructure, Inc. (a) | 20,475 | |||
280,290 | |||||
Construction Materials — 0.4% | |||||
424 | Knife River Corp. (a) | 31,414 | |||
Consumer Finance — 2.2% | |||||
935 | Encore Capital Group, Inc. (a) | 44,880 | |||
5,136 | EZCORP, Inc., Class A (a) | 53,877 | |||
754 | FirstCash Holdings, Inc. | 86,333 | |||
185,090 | |||||
Consumer Staples Distribution & Retail — 1.2% | |||||
1,786 | Chefs’ Warehouse (The), Inc. (a) | 67,886 | |||
538 | Sprouts Farmers Market, Inc. (a) | 33,593 | |||
101,479 | |||||
Diversified Consumer Services — 1.3% | |||||
393 | Bright Horizons Family Solutions, Inc. (a) | 45,140 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Diversified Consumer Services (Continued) | |||||
201 | Duolingo, Inc. (a) | $48,039 | |||
158 | Grand Canyon Education, Inc. (a) | 21,298 | |||
114,477 | |||||
Electrical Equipment — 1.2% | |||||
1,843 | Enovix Corp. (a) | 17,969 | |||
688 | NEXTracker, Inc., Class A (a) | 38,693 | |||
685 | Vertiv Holdings Co., Class A | 46,320 | |||
102,982 | |||||
Electronic Equipment, Instruments & Components — 1.1% | |||||
96 | Badger Meter, Inc. | 15,234 | |||
594 | Cognex Corp. | 23,433 | |||
122 | Fabrinet (a) | 26,300 | |||
2,144 | nLight, Inc. (a) | 28,365 | |||
93,332 | |||||
Energy Equipment & Services — 1.7% | |||||
595 | Cactus, Inc., Class A | 27,311 | |||
4,203 | TechnipFMC PLC | 91,163 | |||
228 | Weatherford International PLC (a) | 23,395 | |||
141,869 | |||||
Financial Services — 1.1% | |||||
629 | Flywire Corp. (a) | 17,857 | |||
606 | Remitly Global, Inc. (a) | 12,496 | |||
956 | Toast, Inc., Class A (a) | 21,988 | |||
177 | WEX, Inc. (a) | 38,892 | |||
91,233 | |||||
Food Products — 0.6% | |||||
440 | Freshpet, Inc. (a) | 49,733 | |||
Ground Transportation — 1.2% | |||||
173 | Saia, Inc. (a) | 99,544 | |||
Health Care Equipment & Supplies — 3.6% | |||||
1,754 | Alphatec Holdings, Inc. (a) | 23,556 | |||
476 | Glaukos Corp. (a) | 42,169 | |||
523 | Globus Medical, Inc., Class A (a) | 28,237 | |||
161 | Inspire Medical Systems, Inc. (a) | 28,825 | |||
57 | Insulet Corp. (a) | 9,348 | |||
271 | Integer Holdings Corp. (a) | 29,889 | |||
295 | iRhythm Technologies, Inc. (a) | 35,002 | |||
1,592 | Neogen Corp. (a) | 27,366 | |||
168 | PROCEPT BioRobotics Corp. (a) | 8,121 |
Shares | Description | Value | |||
Health Care Equipment & Supplies (Continued) | |||||
646 | Tandem Diabetes Care, Inc. (a) | $17,203 | |||
761 | TransMedics Group, Inc. (a) | 62,098 | |||
311,814 | |||||
Health Care Providers & Services — 1.6% | |||||
730 | Acadia Healthcare Co., Inc. (a) | 60,919 | |||
882 | HealthEquity, Inc. (a) | 72,862 | |||
133,781 | |||||
Health Care Technology — 0.5% | |||||
1,035 | HealthStream, Inc. | 28,235 | |||
746 | Schrodinger, Inc. (a) | 18,993 | |||
47,228 | |||||
Hotels, Restaurants & Leisure — 2.9% | |||||
602 | Cava Group, Inc. (a) | 35,163 | |||
1,233 | Dutch Bros, Inc., Class A (a) | 35,917 | |||
927 | First Watch Restaurant Group, Inc. (a) | 23,222 | |||
546 | Papa John’s International, Inc. | 39,252 | |||
323 | Wingstop, Inc. | 113,389 | |||
246,943 | |||||
Household Durables — 1.4% | |||||
293 | Installed Building Products, Inc. | 70,006 | |||
227 | Meritage Homes Corp. | 35,789 | |||
158 | Skyline Champion Corp. (a) | 13,239 | |||
119,034 | |||||
Insurance — 3.5% | |||||
317 | HCI Group, Inc. | 30,945 | |||
679 | Kemper Corp. | 38,927 | |||
137 | Kinsale Capital Group, Inc. | 70,717 | |||
1,037 | Oscar Health, Inc., Class A (a) | 16,862 | |||
833 | Palomar Holdings, Inc. (a) | 63,425 | |||
1,045 | Ryan Specialty Holdings, Inc. (a) | 54,737 | |||
646 | Skyward Specialty Insurance Group, Inc. (a) | 23,637 | |||
299,250 | |||||
IT Services — 0.6% | |||||
361 | Endava PLC, ADR (a) | 13,418 | |||
187 | Globant S.A. (a) | 41,733 | |||
55,151 | |||||
Life Sciences Tools & Services — 2.8% | |||||
742 | Azenta, Inc. (a) | 48,341 | |||
759 | BioLife Solutions, Inc. (a) | 12,827 | |||
491 | Bio-Techne Corp. | 36,123 | |||
139 | ICON PLC (a) | 44,566 | |||
103 | Medpace Holdings, Inc. (a) | 40,945 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Life Sciences Tools & Services (Continued) | |||||
46 | OmniAb, Inc. - 12.5 Earnout Shares (a) (b) (c) (d) (e) | $0 | |||
46 | OmniAb, Inc. - 15 Earnout Shares (a) (b) (c) (d) (e) | 0 | |||
275 | Repligen Corp. (a) | 53,347 | |||
236,149 | |||||
Machinery — 3.0% | |||||
260 | Crane Co. | 31,606 | |||
663 | Federal Signal Corp. | 54,306 | |||
1,208 | Kornit Digital Ltd. (a) | 21,732 | |||
238 | Lindsay Corp. | 28,396 | |||
233 | RBC Bearings, Inc. (a) | 63,569 | |||
506 | SPX Technologies, Inc. (a) | 59,298 | |||
258,907 | |||||
Oil, Gas & Consumable Fuels — 3.2% | |||||
1,721 | Cameco Corp. | 69,752 | |||
2,078 | Magnolia Oil & Gas Corp., Class A | 47,129 | |||
5,822 | Southwestern Energy Co. (a) | 40,580 | |||
5,721 | Uranium Energy Corp. (a) | 37,072 | |||
2,266 | Viper Energy, Inc. | 81,893 | |||
276,426 | |||||
Personal Care Products — 3.4% | |||||
2,900 | BellRing Brands, Inc. (a) | 165,155 | |||
419 | elf Beauty, Inc. (a) | 87,374 | |||
246 | Inter Parfums, Inc. | 36,093 | |||
288,622 | |||||
Pharmaceuticals — 2.1% | |||||
352 | Axsome Therapeutics, Inc. (a) | 28,646 | |||
555 | Ligand Pharmaceuticals, Inc. (a) | 44,039 | |||
892 | Pacira BioSciences, Inc. (a) | 26,510 | |||
926 | Structure Therapeutics, Inc., ADR (a) | 37,568 | |||
1,388 | Supernus Pharmaceuticals, Inc. (a) | 41,224 | |||
177,987 | |||||
Professional Services — 1.8% | |||||
225 | FTI Consulting, Inc. (a) | 46,548 | |||
336 | ICF International, Inc. | 52,029 | |||
657 | Maximus, Inc. | 54,965 | |||
153,542 | |||||
Semiconductors & Semiconductor Equipment — 5.5% | |||||
209 | Ambarella, Inc. (a) | 11,673 | |||
1,071 | Camtek Ltd. (a) | 85,241 |
Shares | Description | Value | |||
Semiconductors & Semiconductor Equipment (Continued) | |||||
2,138 | Credo Technology Group Holding Ltd. (a) | $46,052 | |||
395 | Lattice Semiconductor Corp. (a) | 30,261 | |||
245 | MACOM Technology Solutions Holdings, Inc. (a) | 21,641 | |||
912 | Onto Innovation, Inc. (a) | 167,954 | |||
427 | Power Integrations, Inc. | 30,513 | |||
816 | Rambus, Inc. (a) | 48,340 | |||
186 | Silicon Laboratories, Inc. (a) | 25,582 | |||
467,257 | |||||
Software — 15.3% | |||||
173 | Altair Engineering, Inc., Class A (a) | 14,719 | |||
164 | Appfolio, Inc., Class A (a) | 39,703 | |||
79 | Aspen Technology, Inc. (a) | 15,317 | |||
1,018 | Braze, Inc., Class A (a) | 57,924 | |||
616 | CyberArk Software Ltd. (a) | 162,476 | |||
535 | Descartes Systems Group (The), Inc. (a) | 46,368 | |||
528 | Elastic N.V. (a) | 70,652 | |||
1,101 | Envestnet, Inc. (a) | 56,735 | |||
395 | Five9, Inc. (a) | 24,095 | |||
1,267 | Freshworks, Inc., Class A (a) | 25,897 | |||
1,063 | Gitlab, Inc., Class A (a) | 76,664 | |||
390 | Guidewire Software, Inc. (a) | 46,543 | |||
344 | Intapp, Inc. (a) | 13,495 | |||
332 | Manhattan Associates, Inc. (a) | 84,106 | |||
944 | Marathon Digital Holdings, Inc. (a) | 24,450 | |||
1,064 | Model N, Inc. (a) | 26,132 | |||
475 | Monday.com Ltd. (a) | 105,930 | |||
1,405 | PROS Holdings, Inc. (a) | 50,229 | |||
180 | Qualys, Inc. (a) | 30,935 | |||
744 | Rapid7, Inc. (a) | 43,583 | |||
2,303 | SentinelOne, Inc., Class A (a) | 64,875 | |||
310 | Sprout Social, Inc., Class A (a) | 19,164 | |||
503 | SPS Commerce, Inc. (a) | 93,135 | |||
826 | Tenable Holdings, Inc. (a) | 39,780 | |||
36 | Tyler Technologies, Inc. (a) | 15,737 | |||
1,148 | Varonis Systems, Inc. (a) | 58,318 | |||
1,306,962 | |||||
Specialty Retail — 2.2% | |||||
450 | Academy Sports & Outdoors, Inc. | 33,624 | |||
1,435 | American Eagle Outfitters, Inc. | 34,081 | |||
204 | Carvana Co. (a) | 15,490 | |||
167 | Five Below, Inc. (a) | 33,514 | |||
697 | Gap (The), Inc. | 13,201 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Specialty Retail (Continued) | |||||
863 | National Vision Holdings, Inc. (a) | $20,194 | |||
1,819 | Revolve Group, Inc. (a) | 39,891 | |||
189,995 | |||||
Technology Hardware, Storage & Peripherals — 2.4% | |||||
601 | Pure Storage, Inc., Class A (a) | 31,642 | |||
206 | Super Micro Computer, Inc. (a) | 178,421 | |||
210,063 | |||||
Trading Companies & Distributors — 3.7% | |||||
330 | Applied Industrial Technologies, Inc. | 62,664 | |||
337 | Boise Cascade Co. | 45,802 | |||
953 | Core & Main, Inc., Class A (a) | 45,487 | |||
1,293 | FTAI Aviation Ltd. | 72,783 | |||
246 | Herc Holdings, Inc. | 39,035 | |||
326 | SiteOne Landscape Supply, Inc. (a) | 54,924 | |||
320,695 | |||||
Total Common Stocks | 8,354,265 | ||||
(Cost $6,523,009) | |||||
MONEY MARKET FUNDS — 2.4% | |||||
211,517 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.17% (f) | 211,517 | |||
(Cost $211,517) | |||||
Total Investments — 100.0% | 8,565,782 | ||||
(Cost $6,734,526) | |||||
Net Other Assets and Liabilities — (0.0)% | (3,982 ) | ||||
Net Assets — 100.0% | $8,561,800 |
(a) | Non-income producing security. |
(b) | 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 Fund’s advisor (the “Advisor”). |
(c) | Restricted security as to resale, excluding Rule 144A securities (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(d) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At February 29, 2024, securities noted as such are valued at $0 or 0.0% of net assets. |
(e) | This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
(f) | Rate shown reflects yield as of February 29, 2024. |
Abbreviations throughout the Portfolio of Investments: | |
ADR | – American Depositary Receipt |
Valuation Inputs
Total Value at 2/29/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Life Sciences Tools & Services | $ 236,149 | $ 236,149 | $ — | $ —** |
Other Industry Categories* | 8,118,116 | 8,118,116 | — | — |
Money Market Funds | 211,517 | 211,517 | — | — |
Total Investments | $8,565,782 | $8,565,782 | $— | $—** |
* | See Portfolio of Investments for industry breakout. |
** | Investments are valued at $0. |
ASSETS: | |
Investments, at value | $8,565,782 |
Dividends receivable | 2,477 |
Total Assets | 8,568,259 |
LIABILITIES: | |
Investment advisory fees payable | 6,459 |
Total Liabilities | 6,459 |
NET ASSETS | $8,561,800 |
NET ASSETS consist of: | |
Paid-in capital | $7,179,362 |
Par value | 4,500 |
Accumulated distributable earnings (loss) | 1,377,938 |
NET ASSETS | $8,561,800 |
NET ASSET VALUE, per share | $19.03 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 450,002 |
Investments, at cost | $6,734,526 |
INVESTMENT INCOME: | |
Dividends | $17,487 |
Foreign withholding tax | (26 ) |
Total investment income | 17,461 |
EXPENSES: | |
Investment advisory fees | 36,269 |
Total expenses | 36,269 |
NET INVESTMENT INCOME (LOSS) | (18,808 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on: | |
Investments | (15,665 ) |
In-kind redemptions | 295,045 |
Net realized gain (loss) | 279,380 |
Net change in unrealized appreciation (depreciation) on investments | 1,038,898 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,318,278 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $1,299,470 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | |
OPERATIONS: | ||
Net investment income (loss) | $(18,808 ) | $(23,244 ) |
Net realized gain (loss) | 279,380 | (381,065 ) |
Net change in unrealized appreciation (depreciation) | 1,038,898 | 971,153 |
Net increase (decrease) in net assets resulting from operations | 1,299,470 | 566,844 |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | 784,514 | 5,290,488 |
Cost of shares redeemed | (896,527 ) | — |
Net increase (decrease) in net assets resulting from shareholder transactions | (112,013 ) | 5,290,488 |
Total increase (decrease) in net assets | 1,187,457 | 5,857,332 |
NET ASSETS: | ||
Beginning of period | 7,374,343 | 1,517,011 |
End of period | $8,561,800 | $7,374,343 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 450,002 | 100,002 |
Shares sold | 50,000 | 350,000 |
Shares redeemed | (50,000 ) | — |
Shares outstanding, end of period | 450,002 | 450,002 |
Six Months Ended 2/29/2024 (Unaudited) | Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $16.39 | $15.17 | $20.19 |
Income from investment operations: | |||
Net investment income (loss) | (0.04 ) (b) | (0.08 ) (b) | (0.08 ) |
Net realized and unrealized gain (loss) | 2.68 | 1.30 | (4.94 ) |
Total from investment operations | 2.64 | 1.22 | (5.02 ) |
Net asset value, end of period | $19.03 | $16.39 | $15.17 |
Total return (c) | 16.11 % | 8.04 % | (24.86 )% |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $8,562 | $7,374 | $1,517 |
Ratio of total expenses to average net assets | 0.95 % (d) | 0.95 % | 0.95 % (d) |
Ratio of net investment income (loss) to average net assets | (0.49 )% (d) | (0.54 )% | (0.55 )% (d) |
Portfolio turnover rate (e) | 38 % | 79 % | 74 % |
(a) | Inception date is October 13, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Security | Acquisition Date | Shares | Current Price | Carrying Cost | Value | % of Net Assets |
OmniAb, Inc. - 12.5 Earnout Shares | 11/02/22 | 46 | $0.00 | $0 | $0 | 0.00 % |
OmniAb, Inc. - 15 Earnout Shares | 11/02/22 | 46 | 0.00 | 0 | 0 | 0.00 |
$0 | $0 | 0.00 % |
Undistributed ordinary income | $(18,455 ) |
Accumulated capital and other gain (loss) | (602,167 ) |
Net unrealized appreciation (depreciation) | 699,090 |
Qualified Late Year Losses | |
Ordinary Losses | Capital Losses |
$18,455 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
$6,734,526 | $2,037,077 | $(205,821 ) | $1,831,256 |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.95000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.92625 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.90250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.87875 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.85500 % |
Fund net assets greater than $15 billion | 0.80750 % |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
25 East Erie Street
Chicago, IL 60611
111 Center Street
Little Rock, AR 72201
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
(a) | Not applicable. |
(b) | Not applicable. |
Item [18]. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 14. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund VIII |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | May 7, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | May 7, 2024 |
By (Signature and Title)* | /s/ Derek D. Maltbie | |
Derek D. Maltbie, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | May 7, 2024 |
* Print the name and title of each signing officer under his or her signature.