NPORT-EX 2 edgar.htm FAAR HTML
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments
September 30, 2022 (Unaudited)
Principal
Value 		  Description   Stated
Coupon 		  Stated
Maturity 		  Value
U.S. TREASURY BILLS – 60.1%
$10,000,000  
U.S. Treasury Bill
  (a)   10/04/22   $9,999,387
15,000,000  
U.S. Treasury Bill
  (a)   10/06/22   14,997,078
10,000,000  
U.S. Treasury Bill
  (a)   10/11/22   9,994,550
3,000,000  
U.S. Treasury Bill
  (a)   10/13/22   2,997,868
5,000,000  
U.S. Treasury Bill
  (a)   10/18/22   4,994,892
5,000,000  
U.S. Treasury Bill
  (a)   10/20/22   4,994,103
15,000,000  
U.S. Treasury Bill
  (a)   10/25/22   14,976,820
12,000,000  
U.S. Treasury Bill
  (a)   10/27/22   11,979,480
10,000,000  
U.S. Treasury Bill
  (a)   11/01/22   9,978,109
10,000,000  
U.S. Treasury Bill
  (a)   11/03/22   9,977,152
10,000,000  
U.S. Treasury Bill
  (a)   11/08/22   9,973,150
10,000,000  
U.S. Treasury Bill
  (a)   11/10/22   9,971,400
   
Total U.S. Treasury Bills
  114,833,989
    (Cost $114,820,403)            
    
Shares   Description   Value
MONEY MARKET FUNDS – 10.5%
20,000,000  
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.77% (b)
  20,000,000
    (Cost $20,000,000)    
    
 
Total Investments – 70.6%
134,833,989
  (Cost $134,820,403)      
    
 
Net Other Assets and Liabilities – 29.4%
56,127,820
 
Net Assets – 100.0%
$190,961,809
The following futures contracts of the Fund’s wholly-owned subsidiary were open at September 30, 2022:
Futures Contracts Long:   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
Brent Crude Oil Futures   44   $3,746,160   Oct–22   $(237,910)
Brent Crude Oil Futures   72   6,013,440   Nov–22   (698,028)
Corn Futures   310   10,501,250   Dec–22   527,008
Gold 100 Oz. Futures   48   8,025,600   Dec–22   (359,830)
Kansas City Hard Red Winter Wheat Futures   32   1,586,400   Dec–22   128,071
Lean Hogs Futures   133   4,055,170   Dec–22   (513,486)
LME Zinc Futures   40   2,983,000   Dec–22   (468,550)
Low Sulphur Gasoil “G” Futures   28   2,526,300   Dec–22   (103,293)
Low Sulphur Gasoil “G” Futures   28   2,484,300   Jan–23   (150,775)
Natural Gas Futures   13   918,450   Nov–22   (165,002)
Natural Gas Futures   40   2,898,800   Dec–22   (403,760)
NY Harbor ULSD Futures   22   2,976,759   Oct–22   (191,627)
NY Harbor ULSD Futures   46   6,041,364   Nov–22   (594,717)
NY Harbor ULSD Futures   16   2,065,392   Dec–22   (198,320)
Platinum Futures   25   1,073,875   Jan–23   (49,684)
Soybean Futures   80   5,459,000   Nov–22   (336,694)
Soybean Meal Futures   350   14,105,000   Dec–22   (88,804)
Soybean Oil Futures   302   11,154,672   Dec–22   (607,081)
Sugar #11 (World) Futures   84   1,663,334   Feb–23   (26,465)
Wheat Futures   90   4,146,750   Dec–22   505,442
        $94,425,016       $(4,033,505)
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments (Continued)
September 30, 2022 (Unaudited)
Futures Contracts Short:   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
Cattle Feeder Futures   5   $(436,563)   Nov–22   $2,781
Cocoa Futures   322   (7,579,880)   Dec–22   (202,798)
Coffee “C” Futures   61   (5,067,956)   Dec–22   (34,232)
Copper Futures   51   (4,350,938)   Dec–22   (104,990)
Cotton No. 2 Futures   78   (3,328,260)   Dec–22   154,127
Gasoline RBOB Futures   50   (4,785,690)   Nov–22   96,983
Live Cattle Futures   75   (4,411,500)   Dec–22   (23,649)
LME Aluminum Futures   96   (5,186,400)   Dec–22   (49,000)
LME Lead Futures   59   (2,817,250)   Dec–22   (109,519)
LME Nickel Futures   12   (1,518,624)   Dec–22   122,067
Silver Futures   148   (14,088,860)   Dec–22   (224,921)
WTI Crude Futures   92   (7,242,240)   Nov–22   363,654
        $(60,814,161)       $(9,497)
    Total   $33,610,855       $(4,043,002)
    
(a) Zero Coupon Bond. The interest rate shown reflects the yield at time of purchase.
(b) Rate shown reflects yield as of September 30, 2022.
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments.
• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.)
• Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
A summary of the inputs used to value the Fund’s investments as of September 30, 2022 is as follows:
ASSETS TABLE
  Total
Value at
9/30/2022 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
U.S. Treasury Bills
$ 114,833,989 $ — $ 114,833,989 $ —
Money Market Funds
 20,000,000  20,000,000  —  —
Total Investments
 134,833,989  20,000,000  114,833,989  —
Futures Contracts
 1,900,133  1,900,133  —  —
Total
$ 136,734,122 $ 21,900,133 $ 114,833,989 $—
 
LIABILITIES TABLE
  Total
Value at
9/30/2022 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Futures Contracts
$ (5,943,135) $ (5,943,135) $ — $ —
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments (Continued)
September 30, 2022 (Unaudited)