NPORT-EX 2 faar_nq0520.htm FAAR 3.31.20 N-PORT PART F
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments
March 31, 2020 (Unaudited)
Principal
Value 		  Description   Stated
Coupon 		  Stated
Maturity 		  Value
U.S. TREASURY BILLS – 71.9%
$4,000,000  
U.S. Treasury Bill (a)
  (b)   04/02/20   $4,000,001
3,000,000  
U.S. Treasury Bill (a)
  (b)   04/09/20   2,999,947
5,300,000  
U.S. Treasury Bill (a)
  (b)   04/16/20   5,299,856
2,000,000  
U.S. Treasury Bill (a)
  (b)   04/23/20   1,999,974
1,000,000  
U.S. Treasury Bill (a)
  (b)   04/30/20   999,964
800,000  
U.S. Treasury Bill (a)
  (b)   06/18/20   799,857
1,000,000  
U.S. Treasury Bill (a)
  (b)   07/09/20   999,817
   
Total Investments – 71.9%
  17,099,416
   (Cost $17,085,981) (c)   
   
Net Other Assets and Liabilities – 28.1%
  6,682,006
   
Net Assets – 100.0%
  $23,781,422
The following futures contracts of the Fund’s wholly-owned subsidiary were open at March 31, 2020:
Futures Contracts Long:   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
Brent Crude Futures   9   $266,940   May–20   $8,174
Brent Crude Futures   13   419,120   Jun–20   (17,848)
Cocoa Futures   16   361,440   Jul–20   7,923
Copper Futures   10   558,375   Jul–20   5,920
Gasoline RBOB Futures   4   110,712   May–20   (168,520)
Gold 100 Oz. Futures   4   638,640   Jun–20   40,572
Live Cattle Futures   3   110,490   Jun–20   (6,770)
Platinum Futures   4   145,980   Jul–20   1,444
Silver Futures   2   141,910   Jul–20   (3,645)
Soybean Futures   20   889,500   Jul–20   (512)
Soybean Meal Futures   18   574,020   Jul–20   (12,440)
Sugar #11 (World) Futures   31   364,560   Jun–20   (26,800)
Wheat (CBT) Futures   13   365,625   Jul–20   (500)
        $4,947,312       $(173,002)
Futures Contracts Short:                
Cattle Feeder Futures   7   $(430,150)   May–20   $(18,312)
Coffee “C” Futures   12   (541,575)   Jul–20   (199)
Corn Futures   23   (397,900)   Jul–20   (1,410)
Cotton No. 2 Futures   10   (254,500)   Jul–20   17,755
KC HRW Wheat Futures   28   (699,300)   Jul–20   (13,668)
Lean Hogs Futures   16   (386,080)   Jun–20   54,342
LME Nickle Futures   4   (275,508)   Jun–20   24,036
LME Primary Aluminum Futures   11   (418,687)   Jun–20   46,250
LME Zinc Futures   5   (238,094)   Jun–20   11,600
Low Sulphur Gasoil “G” Futures   13   (392,275)   Jun–20   (22,100)
Natural Gas Futures   15   (286,800)   Jun–20   (8,085)
Natural Gas Futures   13   (257,140)   Jul–20   (6,188)
NY Harbor ULSD Futures   3   (131,229)   Jun–20   8,921
Soybean Oil Futures   31   (508,896)   Jul–20   (21,762)
WTI Crude Futures   12   (332,280)   Jun–20   (17,794)
        $(5,550,414)       $53,386
    Total   $(603,102)       $(119,616)
    
(a) All or a portion of this security is segregated as collateral for open futures contracts.
(b) Zero coupon bond.
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments (Continued)
March 31, 2020 (Unaudited)
(c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of March 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $240,372 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $346,553. The net unrealized depreciation was $106,181. The amounts presented are inclusive of derivative contracts.
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments.
• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.)
• Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
A summary of the inputs used to value the Fund’s investments as of March 31, 2020 is as follows:
ASSETS TABLE
  Total
Value at
3/31/2020 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
U.S. Treasury Bills
$ 17,099,416 $ — $ 17,099,416 $ —
Total Investments
 17,099,416  —  17,099,416  —
Futures Contracts
 226,937  226,937  —  —
Total
$ 17,326,353 $ 226,937 $ 17,099,416 $—

 

LIABILITIES TABLE

  Total
Value at
3/31/2020 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Futures Contracts
$ (346,553) $ (346,553) $ — $ —