0001752724-24-070616.txt : 20240327 0001752724-24-070616.hdr.sgml : 20240327 20240327124009 ACCESSION NUMBER: 0001752724-24-070616 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240131 FILED AS OF DATE: 20240327 DATE AS OF CHANGE: 20240327 PERIOD START: 20241031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED FUND IV CENTRAL INDEX KEY: 0001517936 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22559 FILM NUMBER: 24788004 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 0001517936 S000080998 First Trust Intermediate Government Opportunities ETF C000243637 First Trust Intermediate Government Opportunities ETF MGOV NPORT-P 1 primary_doc.xml NPORT-P false 0001517936 XXXXXXXX S000080998 C000243637 First Trust Exchange-Traded Fund IV 811-22559 0001517936 5493006CBTW7P2B31B80 120 East Liberty Drive Suite 400 Wheaton 60187 630-765-8000 First Trust Intermediate Government Opportunities ETF S000080998 5493000G9GN9OLNUML64 2024-10-31 2024-01-31 N 36950246.90 10423038.57 26527208.33 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2239563.90000000 2602475.19000000 0.00000000 303469.34000000 USD N The Fund's Designated Reference Portfolio is the Fund's Securities Portfolio. 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-16241.83000000 -0.06122706090 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2024-03-19 -1035633.17000000 USD -16241.83000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38384BRH6 242884.64000000 PA USD 242440.31000000 0.913930734753 Long ABS-MBS USGA US N 2 2060-11-20 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F72F1 7700000.00000000 PA USD 270044.39000000 1.017990233426 Long ABS-MBS USGSE US N 2 2027-10-25 Variable 1.19340100 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B32M9 1158045.83000000 PA USD 1071446.12000000 4.039045898351 Long ABS-MBS USGSE US N 2 2043-06-15 Fixed 3.50000000 N N N N N N Freddie Mac Multiclass Certifi S6XOOCT0IEG5ABCC6L87 Freddie Mac Multiclass Certificates Series 2015-P001 3137FRV99 3500000.00000000 PA USD 371428.58000000 1.400179677331 Long ABS-MBS USGSE US N 2 2033-05-27 Variable 1.83575300 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 10 YEAR US ULTRA TREASURY BOND 000000000 -10.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US ULTRA BOND 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2024-03-19 0.00000000 USD 100000.00000000 110.00000000 USD 2024-02-23 XXXX 6848.80000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F052631 -108000.00000000 PA USD -108311.63000000 -0.40830391442 Short ABS-MBS USGSE US N 2 2054-03-15 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137HA4B9 1000000.00000000 PA USD 1000073.20000000 3.769990371994 Long ABS-MBS USGSE US N 2 2030-03-25 Fixed 4.41200000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 -9.00000000 NC USD -57656.25000000 -0.21734759754 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2024-03-19 0.00000000 USD 100000.00000000 116.00000000 USD 2024-02-23 XXXX -32273.57000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US 5 YEAR TREASURY NOTE 000000000 -3.00000000 NC USD -1453.13000000 -0.00547788512 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US 5 YEAR TREASURY NOTE 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2024-03-28 0.00000000 USD 100000.00000000 108.50000000 USD 2024-02-23 XXXX -523.49000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 -5.00000000 NC USD -22734.38000000 -0.08570212031 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2024-03-19 0.00000000 USD 100000.00000000 118.00000000 USD 2024-02-23 XXXX -13153.73000000 N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FFXM4 22258986.33800000 PA USD 397872.70000000 1.499866458054 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.40233700 N N N N N N Freddie Mac - SLST N/A Seasoned Loans Structured Transaction Trust Series 2021-1 35564CJU2 628823.51000000 PA USD 570162.51000000 2.149349840764 Long ABS-MBS USGSE US N 2 2031-05-26 Fixed 2.00000000 N N N N N N iShares 20+ Year Treasury Bond ETF 549300WWURKS1JGBZU59 iShares 20+ Year Treasury Bond ETF 464287432 1300.00000000 NS USD 125658.00000000 0.473694775706 Long EC RF US N 1 N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FJZ51 121322.60000000 PA USD 120846.57000000 0.455557058611 Long ABS-MBS USGSE US N 2 2028-10-25 Floating 5.88855000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RP5 135000.00000000 PA USD 109239.26000000 0.411800814624 Long DBT UST US N 2 2045-11-15 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US 2YR NOTE (CBT) 000000000 20.00000000 NC USD 18545.00000000 0.069909354083 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2024-03-28 4094580.00000000 USD 18545.00000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US ULTRA TREASURY BOND 000000000 -6.00000000 NC USD -8250.00000000 -0.03110014403 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US ULTRA TREASURY BOND 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2024-03-19 0.00000000 USD 100000.00000000 128.00000000 USD 2024-02-23 XXXX 4531.16000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 -8.00000000 NC USD -20625.00000000 -0.07775036009 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2024-06-18 0.00000000 USD 100000.00000000 124.00000000 USD 2024-05-24 XXXX -5208.46000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US LONG BOND (CBT) 000000000 15.00000000 NC USD 30834.85000000 0.116238578957 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2024-03-19 1804321.40000000 USD 30834.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JBPS9 466648.28000000 PA USD 441322.97000000 1.663661567813 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CFX4 1000000.00000000 PA USD 996719.73000000 3.757348747748 Long DBT UST US N 2 2024-11-30 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3131XQ6T8 485583.81000000 PA USD 452371.39000000 1.705310956103 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JB4P8 500381.15000000 PA USD 452317.98000000 1.705109615656 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F050635 -275000.00000000 PA USD -271429.92000000 -1.02321328585 Short ABS-MBS USGSE US N 2 2054-03-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AULL3 1350000.00000000 PA USD 1041607.49000000 3.926562784301 Long ABS-MBS USGSE US N 2 2046-12-25 Fixed 2.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 FNCL 3.5 3/23 01F032633 -700000.00000000 PA USD -637489.48000000 -2.40315329102 Short ABS-MBS USGSE US N 2 2054-03-15 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 -8.00000000 NC USD -625.00000000 -0.00235607151 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2024-03-19 0.00000000 USD 100000.00000000 116.00000000 USD 2024-02-23 XXXX 43244.67000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WHS45 1488965.13000000 PA USD 1312627.79000000 4.948231919736 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F030637 -45000.00000000 PA USD -39433.01000000 -0.14865118677 Short ABS-MBS USGSE US N 2 2054-03-15 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RM2 100000.00000000 PA USD 81261.72000000 0.306333478401 Long DBT UST US N 2 2045-05-15 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 -11.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2024-03-19 0.00000000 USD 100000.00000000 110.00000000 USD 2024-02-23 XXXX 18611.82000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AAWE1 1387726.00000000 PA USD 1058559.61000000 3.990467435666 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137F5MU0 1065848.07000000 PA USD 1009381.46000000 3.805079854024 Long ABS-MBS USGSE US N 2 2048-06-15 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 -6.00000000 NC USD -2906.25000000 -0.01095573255 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2024-06-18 0.00000000 USD 100000.00000000 112.00000000 USD 2024-05-24 XXXX 1999.91000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XJ5B5 1017421.82000000 PA USD 926864.14000000 3.494013122186 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FCBP8 1250000.00000000 PA USD 1058192.00000000 3.989081650945 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FTZS9 3252010.59000000 PA USD 261997.58000000 0.987656057662 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.81236000 N N N N N N Freddie Mac REMICS S6XOOCT0IEG5ABCC6L87 FHR 4929 FB 09/49 3137FPKK0 1049751.32000000 PA USD 1019476.18000000 3.843134065664 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 5.90912000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 4.00000000 NC USD 125.00000000 0.000471214303 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2024-03-19 0.00000000 USD 100000.00000000 114.00000000 USD 2024-02-23 XXXX -791.74000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F040636 98000.00000000 PA USD 92278.59000000 0.347863932201 Long ABS-MBS USGSE US N 2 2054-03-15 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 10 YEAR US TREASURY NOTE 000000000 -3.00000000 NC USD -3703.13000000 -0.01395974259 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 10 YEAR US TREASURY NOTE 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2024-06-18 0.00000000 USD 100000.00000000 114.00000000 USD 2024-05-24 XXXX -960.99000000 N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H13T1 8000000.00000000 PA USD 579656.00000000 2.185137586997 Long ABS-MBS USGSE US N 2 2031-05-25 Variable 1.32479300 N N N N N N 2024-03-25 First Trust Exchange-Traded Fund IV Derek Maltbie Derek Maltbie Treasurer, Chief Financial Officer and Chief Accounting Officer XXXX NPORT-EX 2 659057FT013124.htm EDGAR HTML
First Trust Intermediate Government Opportunities ETF (MGOV)
Portfolio of Investments
January 31, 2024 (Unaudited)
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 86.4%
 
Collateralized Mortgage Obligations — 38.6%
 
Federal Home Loan Mortgage Corporation
 
 
$1,158,046
Series 2013-4213, Class GZ
3.50%
06/15/43
$1,071,446
1,208,369
Series 2014-4316, Class BZ
3.00%
03/15/44
1,072,077
1,250,000
Series 2017-4741, Class GY
3.00%
12/15/47
1,058,192
1,065,848
Series 2018-4798, Class GZ
4.00%
06/15/48
1,009,381
1,049,751
Series 2019-4929, Class FB, 30 Day Average SOFR + CSA +
0.45% (a)
5.91%
09/25/49
1,019,476
350,000
Series 2020-4959, Class LB
3.00%
03/25/40
307,864
 
Federal National Mortgage Association
 
 
1,387,726
Series 2012-134, Class ZC
2.50%
12/25/42
1,058,560
1,110,441
Series 2014-12, Class ZB
3.00%
03/25/39
1,014,188
415,676
Series 2015-89, Class CZ
4.00%
08/25/45
385,290
1,350,000
Series 2016-94, Class MB
2.50%
12/25/46
1,041,608
 
Government National Mortgage Association
 
 
242,885
Series 2023-83, Class CA
5.00%
11/20/60
242,440
 
Seasoned Loans Structured Transaction Trust
 
 
426,284
Series 2019-3, Class A1C
2.75%
11/25/29
394,511
628,824
Series 2021-1, Class A1D
2.00%
05/26/31
570,163
 
 
10,245,196
 
Commercial Mortgage-Backed Securities — 17.1%
 
Federal Home Loan Mortgage Corporation Multiclass Certificates
 
 
3,500,000
Series 2020-RR06, Class BX, IO (b)
1.84%
05/27/33
371,429
 
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass Through Certificates
 
 
121,323
Series 2018-KSW4, Class A, 30 Day Average SOFR + CSA +
0.43% (a)
5.89%
10/25/28
120,846
3,252,011
Series 2020-K110, Class X1, IO (c)
1.81%
04/25/30
261,998
7,700,000
Series 2020-K740, Class XAM, IO (c)
1.19%
10/25/27
270,044
8,000,000
Series 2021-K129, Class XAM, IO (c)
1.32%
05/25/31
579,656
22,258,986
Series 2021-KG05, Class X1, IO (c)
0.40%
01/25/31
397,873
1,000,000
Series 2023-K751, Class A2
4.41%
03/25/30
1,000,073
1,000,000
Series 2023-KJ47, Class A2
5.43%
06/25/31
1,032,879
 
FREMF Mortgage Trust
 
 
500,000
Series 2019-KL4F, Class BAS (c) (d)
4.44%
10/25/25
486,825
 
 
4,521,623
 
Pass-Through Securities — 30.7%
 
Federal Home Loan Mortgage Corporation
465,860
Pool SD4005
4.00%
12/01/49
449,268
150,006
Pool U90690
3.50%
06/01/42
138,414
485,584
Pool ZL8982
3.50%
01/01/45
452,371
487,465
Pool ZS9446
3.50%
08/01/45
456,201
967,934
Pool ZS9776
3.50%
08/01/46
901,188
 
Federal National Mortgage Association
697,902
Pool 310208
3.00%
03/01/48
611,374
499,163
Pool 310211
3.50%
07/01/48
454,863
1,488,965
Pool AS7738
3.00%
08/01/46
1,312,628
1,082,358
Pool AS7749
3.50%
08/01/46
998,726
466,648
Pool BM6732
4.00%
11/01/48
441,323
483,383
Pool BM7079
4.00%
10/01/48
460,499
500,381
Pool BM7129
3.00%
01/01/47
452,318
First Trust Intermediate Government Opportunities ETF (MGOV)
Portfolio of Investments (Continued)
January 31, 2024 (Unaudited)
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)
$1,017,422
Pool FS3541
3.50%
08/01/52
$926,864
98,000
Pool TBA
4.00%
03/15/54
92,279
 
 
8,148,316
 
Total U.S. Government Agency Mortgage-Backed Securities
22,915,135
 
(Cost $22,420,825)
U.S. GOVERNMENT BONDS AND NOTES — 13.3%
500,000
U.S. Treasury Bond
4.00%
11/15/42
480,127
100,000
U.S. Treasury Bond
3.00%
05/15/45
81,262
135,000
U.S. Treasury Bond
3.00%
11/15/45
109,239
500,000
U.S. Treasury Bond
4.00%
11/15/52
480,488
400,000
U.S. Treasury Note
4.25%
09/30/24
398,044
1,000,000
U.S. Treasury Note
4.50%
11/30/24
996,720
1,000,000
U.S. Treasury Note
4.63%
02/28/25
999,388
 
Total U.S. Government Bonds and Notes
3,545,268
 
(Cost $3,523,265)
 
Shares
Description
Value
EXCHANGE-TRADED FUNDS — 0.5%
 
Capital Markets — 0.5%
1,300
iShares 20+ Year Treasury Bond ETF
125,658
 
(Cost $118,183)
MONEY MARKET FUNDS — 7.4%
1,966,557
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.18% (e)
1,966,557
 
(Cost $1,966,557)
 
Total Investments — 107.6%
28,552,618
 
(Cost $28,028,830)
 
Number of
Contracts
Description
Notional
Amount
Exercise
Price
Expiration
Date
Value
PURCHASED OPTIONS — 0.0%
 
Put Options Purchased — 0.0%
4
U.S. Treasury Long Bond Futures Put
$489,375
$114.00
02/23/24
125
 
(Cost $917)
 
 
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (6.4)%
 
Federal National Mortgage Association
 
 
$(45,000)
Pool TBA
3.00%
03/15/54
(39,433
)
(700,000)
Pool TBA
3.50%
03/15/54
(637,489
)
(672,000)
Pool TBA
4.50%
03/15/54
(649,976
)
(275,000)
Pool TBA
5.00%
03/15/54
(271,430
)
(108,000)
Pool TBA
5.50%
03/15/54
(108,312
)
 
Total Investments Sold Short — (6.4)%
(1,706,640
)
 
(Proceeds $1,693,924)
 
First Trust Intermediate Government Opportunities ETF (MGOV)
Portfolio of Investments (Continued)
January 31, 2024 (Unaudited)
Number of
Contracts
Description
Notional
Amount
Exercise
Price
Expiration
Date
Value
WRITTEN OPTIONS — (0.5)%
 
Call Options Written — (0.4)%
(3)
U.S. 5-Year Treasury Futures Call
$(325,172
)
$108.50
02/23/24
$(1,453
)
(3)
U.S. 10-Year Treasury Futures Call
(338,906
)
114.00
05/24/24
(3,703
)
(9)
U.S. Treasury Long Bond Futures Call
(1,101,094
)
116.00
02/23/24
(57,656
)
(5)
U.S. Treasury Long Bond Futures Call
(611,719
)
118.00
02/23/24
(22,735
)
(8)
U.S. Treasury Long Bond Futures Call
(978,750
)
124.00
05/24/24
(20,625
)
 
Total Call Options Written
(106,172
)
 
(Premiums received $54,052)
 
Put Options Written — (0.1)%
(9)
U.S. 5-Year Treasury Futures Put
(979,523
)
106.50
05/24/24
(2,812
)
(11)
U.S. Treasury Long Bond Futures Put
(1,345,781
)
110.00
02/23/24
(0
)
(8)
U.S. Treasury Long Bond Futures Put
(978,750
)
116.00
02/23/24
(625
)
(6)
U.S. Treasury Long Bond Futures Put
(734,063
)
112.00
05/24/24
(2,906
)
(10)
Ultra 10-Year U.S. Treasury Futures Put
(1,168,750
)
110.00
02/23/24
(0
)
(6)
Ultra U.S. Treasury Long Bond Futures Put
(775,313
)
114.00
02/23/24
(188
)
(6)
Ultra U.S. Treasury Long Bond Futures Put
(775,313
)
128.00
02/23/24
(8,250
)
 
Total Put Options Written
(14,781
)
 
(Premiums received $96,002)
 
Total Written Options
(120,953
)
 
(Premiums received $150,054)
 
Net Other Assets and Liabilities — (0.7)%
(197,942
)
 
Net Assets — 100.0%
$26,527,208
Futures Contracts at January 31, 2024:
 
Futures Contracts
Position
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
U.S. 2-Year Treasury Notes
Long
20
Mar-2024
$4,113,125
$18,545
U.S. 5-Year Treasury Notes
Long
4
Mar-2024
433,563
(963
)
U.S. Treasury Long Bond Futures
Long
15
Mar-2024
1,835,156
30,835
Ultra U.S. Treasury Bond Futures
Long
6
Mar-2024
775,313
10,640
U.S. 10-Year Treasury Notes
Short
6
Mar-2024
(673,969
)
(16,398
)
Ultra 10-Year U.S. Treasury Notes
Short
9
Mar-2024
(1,051,875
)
(16,242
)
 
$5,431,313
$26,417
 
(a)
Floating or variable rate security.
(b)
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.
(c)
Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The
interest rate resets periodically.
(d)
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 January 31, 2024, securities noted as such amounted to $486,825 or 1.8% of net assets.
(e)
Rate shown reflects yield as of January 31, 2024.
 
First Trust Intermediate Government Opportunities ETF (MGOV)
Portfolio of Investments (Continued)
January 31, 2024 (Unaudited)
Abbreviations throughout the Portfolio of Investments:
CSA
–  Credit Spread Adjustment
IO
–  Interest-Only Security - Principal amount shown represents par value on which interest payments are based
SOFR
–  Secured Overnight Financing Rate
TBA
–  To-Be-Announced Security
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments.
• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.)
• Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
A summary of the inputs used to value the Fund’s investments as of January 31, 2024 is as follows:
 
ASSETS TABLE
 
Total
Value at
1/31/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
U.S. Government Agency Mortgage-Backed
Securities
$22,915,135
$—
$22,915,135
$—
U.S. Government Bonds and Notes
3,545,268
—
3,545,268
—
Exchange-Traded Funds*
125,658
125,658
—
—
Money Market Funds
1,966,557
1,966,557
—
—
Total Investments
28,552,618
2,092,215
26,460,403
—
Purchased Options
125
125
—
—
Futures Contracts
60,020
60,020
—
—
Total
$28,612,763
$2,152,360
$26,460,403
$—
 
LIABILITIES TABLE
 
Total
Value at
1/31/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
U.S. Government Agency Mortgage-Backed
Securities Sold Short
$(1,706,640
)
$—
$(1,706,640
)
$—
Written Options
(120,953
)
(120,953
)
—
—
Futures Contracts
(33,603
)
(33,603
)
—
—
Total
$(1,861,196
)
$(154,556
)
$(1,706,640
)
$—
 
*
See Portfolio of Investments for industry breakout.