|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
FOREIGN SOVEREIGN BONDS AND NOTES (a) — 90.9%
|
|||||
|
|
Brazil — 10.8%
|
|
|||
|
$9,250,000
|
Brazil Notas do Tesouro Nacional, Series F (BRL)
|
10.00%
|
01/01/27
|
$1,870,501
|
|
|
25,200,000
|
Brazil Notas do Tesouro Nacional, Series F (BRL)
|
10.00%
|
01/01/29
|
5,039,670
|
|
|
31,000,000
|
Brazil Notas do Tesouro Nacional, Series F (BRL)
|
10.00%
|
01/01/31
|
6,113,679
|
|
|
18,500,000
|
Brazil Notas do Tesouro Nacional, Series F (BRL)
|
10.00%
|
01/01/33
|
3,623,691
|
|
|
|
|
16,647,541
|
|||
|
|
Chile — 2.3%
|
|
|||
|
325,000,000
|
Bonos de la Tesoreria de la Republica en pesos (CLP)
|
4.50%
|
03/01/26
|
345,408
|
|
|
3,065,000,000
|
Bonos de la Tesoreria de la Republica en pesos (CLP) (b) (c)
|
4.70%
|
09/01/30
|
3,199,324
|
|
|
|
|
3,544,732
|
|||
|
|
Colombia — 6.7%
|
|
|||
|
4,595,000,000
|
Colombian TES, Series B (COP)
|
7.75%
|
09/18/30
|
1,107,689
|
|
|
22,510,000,000
|
Colombian TES, Series B (COP)
|
7.00%
|
06/30/32
|
5,001,874
|
|
|
19,143,000,000
|
Colombian TES, Series B (COP)
|
7.25%
|
10/18/34
|
4,179,434
|
|
|
|
|
10,288,997
|
|||
|
|
Czech Republic — 2.6%
|
|
|||
|
40,740,000
|
Czech Republic Government Bond (CZK) (c)
|
2.40%
|
09/17/25
|
1,725,097
|
|
|
62,810,000
|
Czech Republic Government Bond (CZK)
|
2.00%
|
10/13/33
|
2,342,251
|
|
|
|
|
4,067,348
|
|||
|
|
Hungary — 3.5%
|
|
|||
|
1,496,000,000
|
Hungary Government Bond (HUF)
|
5.50%
|
06/24/25
|
4,194,232
|
|
|
423,000,000
|
Hungary Government Bond (HUF)
|
6.75%
|
10/22/28
|
1,235,453
|
|
|
|
|
5,429,685
|
|||
|
|
India — 0.3%
|
|
|||
|
40,000,000
|
India Government Bond (INR)
|
6.10%
|
07/12/31
|
452,936
|
|
|
|
Indonesia — 13.7%
|
|
|||
|
97,693,000,000
|
Indonesia Treasury Bond (IDR)
|
8.38%
|
09/15/26
|
6,496,584
|
|
|
86,899,000,000
|
Indonesia Treasury Bond (IDR)
|
9.00%
|
03/15/29
|
6,104,958
|
|
|
64,540,000,000
|
Indonesia Treasury Bond (IDR)
|
7.00%
|
09/15/30
|
4,187,206
|
|
|
51,250,000,000
|
Indonesia Treasury Bond (IDR)
|
8.38%
|
03/15/34
|
3,658,367
|
|
|
8,786,000,000
|
Indonesia Treasury Bond (IDR)
|
8.25%
|
05/15/36
|
627,108
|
|
|
|
|
21,074,223
|
|||
|
|
Israel — 1.8%
|
|
|||
|
2,400,000
|
Israel Government Bond - Fixed (ILS)
|
6.25%
|
10/30/26
|
700,854
|
|
|
1,850,000
|
Israel Government Bond - Fixed (ILS)
|
3.75%
|
02/28/29
|
505,112
|
|
|
6,900,000
|
Israel Government Bond - Fixed (ILS)
|
1.30%
|
04/30/32
|
1,520,353
|
|
|
|
|
2,726,319
|
|||
|
|
Malaysia — 10.0%
|
|
|||
|
12,000,000
|
Malaysia Government Bond (MYR)
|
3.90%
|
11/30/26
|
2,567,406
|
|
|
12,520,000
|
Malaysia Government Bond (MYR)
|
3.73%
|
06/15/28
|
2,660,963
|
|
|
33,185,000
|
Malaysia Government Bond (MYR)
|
3.89%
|
08/15/29
|
7,101,198
|
|
|
15,955,000
|
Malaysia Government Bond (MYR)
|
2.63%
|
04/15/31
|
3,139,694
|
|
|
|
|
15,469,261
|
|||
|
|
Mexico — 4.9%
|
|
|||
|
98,470,000
|
Mexican Bonos, Series M (MXN)
|
7.50%
|
06/03/27
|
5,420,813
|
|
|
37,860,000
|
Mexican Bonos, Series M (MXN)
|
8.50%
|
05/31/29
|
2,145,580
|
|
|
|
|
7,566,393
|
|||
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued)
|
|||||
|
|
Peru — 2.7%
|
|
|||
|
$7,470,000
|
Peru Government Bond (PEN)
|
6.95%
|
08/12/31
|
$2,051,644
|
|
|
8,150,000
|
Peru Government Bond (PEN)
|
6.90%
|
08/12/37
|
2,166,992
|
|
|
|
|
4,218,636
|
|||
|
|
Philippines — 2.4%
|
|
|||
|
226,000,000
|
Philippine Government International Bond (PHP)
|
6.25%
|
01/14/36
|
3,734,691
|
|
|
|
Poland — 4.9%
|
|
|||
|
5,820,000
|
Republic of Poland Government Bond (PLN)
|
2.75%
|
04/25/28
|
1,337,047
|
|
|
6,172,000
|
Republic of Poland Government Bond (PLN)
|
7.50%
|
07/25/28
|
1,695,555
|
|
|
23,375,000
|
Republic of Poland Government Bond (PLN)
|
1.75%
|
04/25/32
|
4,545,578
|
|
|
|
|
7,578,180
|
|||
|
|
Romania — 4.8%
|
|
|||
|
4,475,000
|
Romania Government Bond (RON)
|
8.75%
|
10/30/28
|
1,071,715
|
|
|
27,860,000
|
Romania Government Bond (RON)
|
6.70%
|
02/25/32
|
6,248,770
|
|
|
|
|
7,320,485
|
|||
|
|
South Africa — 7.9%
|
|
|||
|
54,620,000
|
Republic of South Africa Government Bond (ZAR)
|
10.50%
|
12/21/26
|
3,052,273
|
|
|
124,380,000
|
Republic of South Africa Government Bond (ZAR)
|
8.25%
|
03/31/32
|
5,799,307
|
|
|
56,560,000
|
Republic of South Africa Government Bond (ZAR)
|
8.88%
|
02/28/35
|
2,547,579
|
|
|
20,000,000
|
Republic of South Africa Government Bond (ZAR)
|
8.75%
|
01/31/44
|
790,065
|
|
|
|
|
12,189,224
|
|||
|
|
Supranational — 6.5%
|
|
|||
|
100,000,000
|
African Development Bank (ZAR)
|
(d)
|
04/05/46
|
569,933
|
|
|
277,020,000
|
Asian Development Bank (INR)
|
6.20%
|
10/06/26
|
3,299,805
|
|
|
186,000,000
|
European Bank for Reconstruction & Development (INR)
|
6.30%
|
10/26/27
|
2,209,834
|
|
|
61,000,000
|
Inter-American Development Bank (INR)
|
7.35%
|
10/06/30
|
749,381
|
|
|
62,000,000
|
International Bank for Reconstruction & Development (INR)
|
6.75%
|
07/13/29
|
743,341
|
|
|
116,000,000
|
International Finance Corp. (INR)
|
6.30%
|
11/25/24
|
1,389,423
|
|
|
62,500,000
|
International Finance Corp. (MXN)
|
(d)
|
02/22/38
|
1,043,997
|
|
|
|
|
10,005,714
|
|||
|
|
Thailand — 4.9%
|
|
|||
|
6,800,000
|
Thailand Government Bond (THB)
|
3.65%
|
06/20/31
|
206,430
|
|
|
198,710,000
|
Thailand Government Bond (THB)
|
3.35%
|
06/17/33
|
5,926,323
|
|
|
46,700,000
|
Thailand Government Bond (THB)
|
3.39%
|
06/17/37
|
1,395,767
|
|
|
|
|
7,528,520
|
|||
|
|
Turkey — 0.2%
|
|
|||
|
11,800,000
|
Turkiye Government Bond (TRY)
|
10.60%
|
02/11/26
|
257,776
|
|
|
|
|||||
|
|
|||||
|
|
Total Investments — 90.9%
|
140,100,661
|
|||
|
|
(Cost $144,427,734)
|
|
|||
|
|
Net Other Assets and Liabilities — 9.1%
|
14,044,922
|
|||
|
|
Net Assets — 100.0%
|
$154,145,583
|
|||
|
Settlement
Date
|
Counterparty
|
Amount
Purchased
|
Amount
Sold
|
Purchase Value
as of
1/31/2024
|
Sale Value
as of
1/31/2024
|
Unrealized
Appreciation
(Depreciation)
|
||
|
2/20/2024
|
BNS
|
BRL
|
5,600,000
|
USD
|
1,153,901
|
$1,128,427
|
$1,153,901
|
$(25,474
)
|
|
2/20/2024
|
BNS
|
CLP
|
1,880,000,000
|
USD
|
2,068,776
|
2,018,513
|
2,068,776
|
(50,263
)
|
|
2/20/2024
|
BNY
|
CNH
|
33,000,000
|
USD
|
4,585,703
|
4,595,784
|
4,585,703
|
10,081
|
|
2/20/2024
|
BNS
|
COP
|
13,140,000,000
|
USD
|
3,352,554
|
3,361,725
|
3,352,554
|
9,171
|
|
2/20/2024
|
BNY
|
CZK
|
8,500,000
|
USD
|
374,313
|
369,736
|
374,313
|
(4,577
)
|
|
2/20/2024
|
BNY
|
HUF
|
775,000,000
|
USD
|
2,213,794
|
2,177,558
|
2,213,794
|
(36,236
)
|
|
2/20/2024
|
BNS
|
INR
|
40,000,000
|
USD
|
481,956
|
481,316
|
481,956
|
(640
)
|
|
2/20/2024
|
BNS
|
KRW
|
4,920,000,000
|
USD
|
3,760,605
|
3,690,506
|
3,760,605
|
(70,099
)
|
|
2/20/2024
|
BNY
|
MXN
|
130,750,000
|
USD
|
7,625,714
|
7,570,641
|
7,625,714
|
(55,073
)
|
|
2/20/2024
|
BNS
|
PEN
|
7,500,000
|
USD
|
2,032,025
|
1,970,194
|
2,032,025
|
(61,831
)
|
|
2/20/2024
|
BNS
|
PHP
|
238,100,000
|
USD
|
4,267,790
|
4,227,253
|
4,267,790
|
(40,537
)
|
|
2/20/2024
|
BNY
|
PLN
|
5,505,000
|
USD
|
1,364,899
|
1,374,510
|
1,364,899
|
9,611
|
|
2/20/2024
|
BNY
|
THB
|
151,500,000
|
USD
|
4,285,761
|
4,277,109
|
4,285,761
|
(8,652
)
|
|
2/20/2024
|
BNS
|
USD
|
1,121,682
|
BRL
|
5,600,000
|
1,121,682
|
1,128,427
|
(6,745
)
|
|
2/20/2024
|
BNS
|
USD
|
765,697
|
CLP
|
700,000,000
|
765,697
|
751,574
|
14,123
|
|
2/20/2024
|
BNS
|
USD
|
1,493,568
|
COP
|
5,900,000,000
|
1,493,568
|
1,509,450
|
(15,882
)
|
|
2/20/2024
|
BNY
|
USD
|
1,903,205
|
CZK
|
43,500,000
|
1,903,205
|
1,892,175
|
11,030
|
|
2/20/2024
|
BNY
|
USD
|
2,957,671
|
HUF
|
1,045,000,000
|
2,957,671
|
2,936,192
|
21,479
|
|
2/20/2024
|
BNS
|
USD
|
3,847,636
|
IDR
|
59,900,000,000
|
3,847,636
|
3,794,485
|
53,151
|
|
2/20/2024
|
BNY
|
USD
|
2,720,379
|
ILS
|
10,090,000
|
2,720,379
|
2,767,963
|
(47,584
)
|
|
2/20/2024
|
BNS
|
USD
|
1,142,065
|
KRW
|
1,525,000,000
|
1,142,065
|
1,143,907
|
(1,842
)
|
|
2/20/2024
|
BNY
|
USD
|
778,178
|
MXN
|
13,550,000
|
778,178
|
784,567
|
(6,389
)
|
|
2/20/2024
|
BNS
|
USD
|
738,423
|
PHP
|
41,300,000
|
738,423
|
733,245
|
5,178
|
|
2/20/2024
|
BNY
|
USD
|
380,665
|
PLN
|
1,525,000
|
380,665
|
380,768
|
(103
)
|
|
2/20/2024
|
BNY
|
USD
|
1,748,610
|
THB
|
62,300,000
|
1,748,610
|
1,758,838
|
(10,228
)
|
|
2/20/2024
|
BNY
|
USD
|
2,642,180
|
ZAR
|
50,450,000
|
2,642,180
|
2,690,008
|
(47,828
)
|
|
2/20/2024
|
BNY
|
ZAR
|
65,230,000
|
USD
|
3,441,218
|
3,478,080
|
3,441,218
|
36,862
|
|
Net Unrealized Appreciation (Depreciation)
|
$(319,297
)
|
|||||||
|
(a)
|
Principal Value is in local currency 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 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 January 31, 2024, securities noted as such amounted to $3,199,324 or 2.1%
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)
|
Zero coupon security.
|
|
Abbreviations throughout the Portfolio of Investments:
|
|
|
BNS
|
– Bank of Nova Scotia
|
|
BNY
|
– Bank of New York (The)
|
|
BRL
|
– Brazilian Real
|
|
CLP
|
– Chilean Peso
|
|
CNH
|
– Chinese Yuan
|
|
COP
|
– Colombian Peso
|
|
CZK
|
– Czech Republic Koruna
|
|
EUR
|
– Euro
|
|
HUF
|
– Hungarian Forint
|
|
IDR
|
– Indonesian Rupiah
|
|
ILS
|
– Israeli Shekel
|
|
INR
|
– Indian Rupee
|
|
KRW
|
– South Korean Won
|
|
MXN
|
– Mexican Peso
|
|
MYR
|
– Malaysian Ringgit
|
|
PEN
|
– Peruvian Nuevo Sol
|
|
PHP
|
– Philippine Peso
|
|
PLN
|
– Polish Zloty
|
|
RON
|
– Romanian New Leu
|
|
THB
|
– Thai Baht
|
|
TRY
|
– Turkish Lira
|
|
USD
|
– United States Dollar
|
|
ZAR
|
– South African Rand
|
|
Credit Quality(1)
|
% of Total
Investments
(including cash)
|
|
AAA
|
7.0%
|
|
AA
|
2.8
|
|
AA-
|
1.9
|
|
A+
|
2.5
|
|
A
|
16.1
|
|
A-
|
5.2
|
|
BBB+
|
10.8
|
|
BBB
|
14.7
|
|
BBB-
|
16.4
|
|
BB
|
20.1
|
|
B
|
0.2
|
|
Cash
|
2.3
|
|
Total
|
100.0%
|
|
(1)
|
The ratings are by S&P Global Ratings. A credit rating is an
assessment provided by a nationally recognized statistical rating
organization (NRSRO) of the creditworthiness of an issuer with
respect to debt obligations. Ratings are measured 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. 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.
|
|
Currency Exposure Diversification
|
% of Total
Investments
(including cash)‡
|
|
IDR
|
12.1%
|
|
BRL
|
11.7
|
|
MYR
|
10.8
|
|
MXN
|
10.7
|
|
ZAR
|
9.5
|
|
COP
|
8.5
|
|
THB
|
7.5
|
|
INR
|
6.5
|
|
PLN
|
6.0
|
|
RON
|
5.3
|
|
PHP
|
5.0
|
|
PEN
|
4.3
|
|
CLP
|
3.4
|
|
HUF
|
3.3
|
|
CNH
|
3.2
|
|
KRW
|
1.8
|
|
CZK
|
1.8
|
|
TRY
|
0.2
|
|
EUR
|
0.0‡‡
|
|
ILS
|
0.0‡‡
|
|
USD
|
(11.6)
|
|
Total
|
100.0%
|
|
‡
|
The weightings include the impact of currency forwards.
|
|
|
‡‡
|
Amount is less than 0.1%.
|
|
|
ASSETS TABLE
|
||||
|
|
Total
Value at
1/31/2024
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
Foreign Sovereign Bonds and Notes*
|
$140,100,661
|
$—
|
$140,100,661
|
$—
|
|
Forward Foreign Currency Contracts
|
170,686
|
—
|
170,686
|
—
|
|
Total
|
$140,271,347
|
$—
|
$140,271,347
|
$—
|
|
LIABILITIES TABLE
|
||||
|
|
Total
Value at
1/31/2024
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
Forward Foreign Currency Contracts
|
$(489,983
)
|
$—
|
$(489,983
)
|
$—
|
|
*
|
See Portfolio of Investments for country breakout.
|