NPORT-EX 2 ftgc.htm FTGC 9.30.22 N-PORT PART F
First Trust Global Tactical Commodity Strategy Fund (FTGC)
Consolidated Portfolio of Investments
September 30, 2022 (Unaudited)
Principal
Value 		  Description   Stated
Coupon 		  Stated
Maturity 		  Value
U.S. TREASURY BILLS – 64.6%
$200,000,000  
U.S. Treasury Bill
  (a)   10/04/22   $199,987,750
250,000,000  
U.S. Treasury Bill
  (a)   10/06/22   249,951,302
250,000,000  
U.S. Treasury Bill
  (a)   10/11/22   249,863,750
300,000,000  
U.S. Treasury Bill
  (a)   10/13/22   299,786,805
240,000,000  
U.S. Treasury Bill
  (a)   10/18/22   239,754,816
250,000,000  
U.S. Treasury Bill
  (a)   10/20/22   249,705,155
270,000,000  
U.S. Treasury Bill
  (a)   10/25/22   269,582,755
200,000,000  
U.S. Treasury Bill
  (a)   10/27/22   199,658,000
180,000,000  
U.S. Treasury Bill
  (a)   11/01/22   179,605,963
170,000,000  
U.S. Treasury Bill
  (a)   11/03/22   169,611,582
175,000,000  
U.S. Treasury Bill
  (a)   11/08/22   174,530,125
100,000,000  
U.S. Treasury Bill
  (a)   11/10/22   99,713,997
   
Total U.S. Treasury Bills
  2,581,752,000
    (Cost $2,581,460,517)            
    
Shares   Description   Value
MONEY MARKET FUNDS – 8.7%
346,500,000  
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.77% (b)
  346,500,000
    (Cost $346,500,000)    
    
                   
Total Investments – 73.3%
  2,928,252,000
  (Cost $2,927,960,517)   
    
                   
Net Other Assets and Liabilities – 26.7%
  1,067,822,299
 
Net Assets – 100.0%
  $3,996,074,299
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   658   $56,022,120   Oct–22   $(8,418,716)
Brent Crude Oil Futures   1,061   88,614,720   Nov–22   (11,037,692)
Cattle Feeder Futures   195   16,982,063   Oct–22   (1,049,042)
Cocoa Futures   1,010   23,775,400   Dec–22   (765,439)
Coffee “C” Futures   1,403   116,562,993   Dec–22   2,500,457
Copper Futures   2,186   186,493,125   Dec–22   (14,506,273)
Corn Futures   8,818   298,709,750   Dec–22   16,779,241
Cotton No. 2 Futures   2,226   94,983,420   Dec–22   (33,982,652)
Gasoline RBOB Futures   898   85,950,992   Nov–22   (13,824,958)
Gasoline RBOB Futures   996   93,561,451   Dec–22   (2,880,277)
Gold 100 Oz. Futures   1,370   229,064,000   Dec–22   (10,192,256)
Kansas City Hard Red Winter Wheat Futures   751   37,230,825   Dec–22   5,200,059
Lean Hogs Futures   4,278   130,436,220   Dec–22   (16,589,514)
Live Cattle Futures   1,342   78,936,440   Dec–22   (1,335,461)
LME Aluminum Futures   3,367   181,902,175   Dec–22   (21,441,238)
LME Lead Futures   971   46,365,250   Dec–22   (6,296,009)
LME Nickel Futures   474   59,985,648   Dec–22   (2,592,681)
LME Zinc Futures   789   58,839,675   Dec–22   (10,355,635)
Low Sulphur Gasoil “G” Futures   1,605   144,811,125   Dec–22   (3,229,136)
Low Sulphur Gasoil “G” Futures   800   70,980,000   Jan–23   (3,742,499)
Natural Gas Futures   370   25,034,200   Oct–22   (4,721,226)
Natural Gas Futures   1,448   102,301,200   Nov–22   (14,390,717)
First Trust Global Tactical Commodity Strategy Fund (FTGC)
Consolidated Portfolio of Investments (Continued)
September 30, 2022 (Unaudited)
Futures Contracts Long: (Continued)   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
Natural Gas Futures   2,087   $151,244,890   Dec–22   $5,834,890
NY Harbor ULSD Futures   1,373   185,776,786   Oct–22   (7,500,505)
NY Harbor ULSD Futures   831   109,138,554   Nov–22   (5,519,546)
Platinum Futures   889   38,186,995   Jan–23   (1,292,571)
Silver Futures   920   87,579,400   Dec–22   (6,334,558)
Soybean Futures   3,207   218,837,662   Nov–22   (24,297,296)
Soybean Meal Futures   7,713   310,833,900   Dec–22   (768,945)
Soybean Oil Futures   6,083   224,681,688   Dec–22   (19,728,514)
Sugar #11 (World) Futures   8,459   167,501,734   Feb–23   (1,665,813)
Wheat Futures   735   33,865,125   Dec–22   4,515,710
WTI Crude Futures   446   35,109,120   Nov–22   (5,712,404)
WTI Crude Futures   439   34,132,250   Dec–22   (4,382,996)
    Total   $3,824,430,896       $(223,724,212)
    
(a) Zero coupon bond.
(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
$ 2,581,752,000 $ — $ 2,581,752,000 $ —
Money Market Funds
 346,500,000  346,500,000  —  —
Total Investments
 2,928,252,000  346,500,000  2,581,752,000  —
Futures Contracts
 34,830,357  34,830,357  —  —
Total
$ 2,963,082,357 $ 381,330,357 $ 2,581,752,000 $—
 
LIABILITIES TABLE
  Total
Value at
9/30/2022 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Futures Contracts
$ (258,554,569) $ (258,554,569) $ — $ —