NPORT-EX 2 multi_nportex.htm 01.31.24 PART F MULTI

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS

As of December 31, 2023  (Unaudited)

 

 

Principal
Amount		      Value 
    COLLATERALIZED LOAN OBLIGATIONS — 30.2%    
     AMMC CLO XXVI Ltd.     
$500,000   Series 2023-26A, Class E, 13.674% (3-Month Term SOFR+828 basis points), 4/15/2036  $504,882 
     Apidos CLO Ltd.     
 1,000,000   Series 2015-20A, Class DR, 11.355% (3-Month Term SOFR+596 basis points), 7/16/2031   941,637 
     Apidos CLO XLI Ltd.     
 500,000   Series 2022-41A, Class E, 13.746% (3-Month Term SOFR+833 basis points), 10/20/2034   504,022 
     Apidos CLO XXIV Ltd.     
 1,150,000  Series 2016-24A, Class DR, 11.477% (3-Month Term SOFR+606 basis points), 10/20/2030   1,074,547 
     Apidos CLO XXIX Ltd.     
 1,500,000   Series 2018-29A, Class C, 8.390% (3-Month Term SOFR+301 basis points), 7/25/2030   1,467,784 
     Ares L CLO Ltd.     
 950,000   Series 2018-50A, Class D, 8.555% (3-Month Term SOFR+316 basis points), 1/15/2032   934,563 
     Ares XL CLO Ltd.     
 1,000,000   Series 2016-40A, Class CRR, 8.455% (3-Month Term SOFR+306 basis points), 1/15/20291,2   1,000,800 
     Barings CLO Ltd.     
 750,000   Series 2018-3A, Class E, 11.427% (3-Month Term SOFR+601 basis points), 7/20/20291,2   712,658 
 1,120,000   Series 2018-2A, Class C, 8.355% (3-Month Term SOFR+296 basis points), 4/15/2030   1,106,301 
 500,000   Series 2016-1A, Class DR, 8.724% (3-Month Term SOFR+331 basis points), 7/23/2030   494,418 
 1,250,000   Series 2015-2A, Class DR, 8.627% (3-Month Term SOFR+321 basis points), 10/20/2030   1,243,152 
     Benefit Street Partners CLO V-B Ltd.     
 1,500,000   Series 2018-5BA, Class C, 8.607% (3-Month Term SOFR+319 basis points), 4/20/2031   1,490,806 
     Benefit Street Partners CLO VIII Ltd.     
 250,000   Series 2015-8A, Class DR, 11.277% (3-Month Term SOFR+586 basis points), 1/20/20311,2   219,562 
     Carlyle Global Market Strategies CLO Ltd.     
 250,000   Series 2014-4RA, Class C, 8.555% (3-Month Term SOFR+316 basis points), 7/15/20301,2   234,360 
 750,000   Series 2014-4RA, Class D, 11.305% (3-Month Term SOFR+591 basis points), 7/15/2030   666,865 
     Catamaran CLO Ltd.     
 500,000   Series 2018-1A, Class D, 9.290% (3-Month Term SOFR+391 basis points), 10/25/2031   494,116 

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Principal
Amount		      Value 
    COLLATERALIZED LOAN OBLIGATIONS (Continued)    
    CIFC Funding I Ltd.    
$1,000,000   Series 2015-1A, Class ERR, 11.674% (3-Month Term SOFR+626 basis points), 1/22/2031  $943,776 
     CIFC Funding III Ltd.     
 750,000   Series 2013-3RA, Class C, 8.560% (3-Month Term SOFR+316 basis points), 4/24/2031   739,075 
 1,500,000   Series 2013-3RA, Class D, 11.560% (3-Month Term SOFR+616 basis points), 4/24/20311,2   1,413,712 
 1,000,000   Series 2014-3A, Class DR2, 9.074% (3-Month Term SOFR+366 basis points), 10/22/2031   990,029 
     CIFC Funding IV Ltd.     
 1,000,000   Series 2017-4A, Class D, 11.760% (3-Month Term SOFR+636 basis points), 10/24/20301,2   968,785 
     Crestline Denali CLO XIV Ltd.     
 1,000,000   Series 2016-1A, Class DR, 9.024% (3-Month Term SOFR+361 basis points), 10/23/2031   953,545 
     Dryden 106 CLO Ltd.     
 750,000   Series 2022-106A, Class D, 11.094% (3-Month Term SOFR+570 basis points), 10/15/20351,2   764,786 
     Eaton Vance CLO Ltd.     
 1,000,000   Series 2018-1A, Class D, 8.855% (3-Month Term SOFR+346 basis points), 10/15/2030   989,798 
 450,000   Series 2018-1A, Class E, 11.655% (3-Month Term SOFR+626 basis points), 10/15/2030   422,778 
     Flatiron XXIV CLO Ltd.     
 750,000   Series 2023-2A, Class E, 13.035% (3-Month Term SOFR+783 basis points), 1/15/2037   749,990 
     Galaxy XXIV CLO Ltd.     
 1,000,000   Series 2017-24A, Class D, 8.105% (3-Month Term SOFR+271 basis points), 1/15/2031   981,660 
     Galaxy XXV CLO Ltd.     
 1,000,000   Series 2018-25A, Class E, 11.590% (3-Month Term SOFR+621 basis points), 10/25/2031   970,163 
     Galaxy XXVII CLO Ltd.     
 500,000   Series 2018-27A, Class E, 11.432% (3-Month Term SOFR+604 basis points), 5/16/2031   482,283 
     Galaxy XXVIII CLO Ltd.     
 750,000   Series 2018-28A, Class D, 8.655% (3-Month Term SOFR+326 basis points), 7/15/2031   741,227 
     Generate CLO III Ltd.     
 1,000,000   Series 3A, Class D2R, 10.248% (3-Month Term SOFR+490 basis points), 10/20/2036   1,000,039 
     Generate VI CLO Ltd.     
 500,000   Series 6A, Class ER, 12.474% (3-Month Term SOFR+706 basis points), 1/22/2035   500,189 

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Principal
Amount		      Value 
    COLLATERALIZED LOAN OBLIGATIONS (Continued)    
    Generate XII CLO Ltd.    
$1,000,000   Series 2023-12A, Class E, 13.739% (3-Month Term SOFR+840 basis points), 7/20/20361,2  $1,011,145 
     Gilbert Park CLO Ltd.     
 1,450,000   Series 2017-1A, Class D, 8.605% (3-Month Term SOFR+321 basis points), 10/15/20301,2   1,445,003 
     GoldenTree Loan Opportunities IX Ltd.     
 660,000   Series 2014-9A, Class ER2, 11.312% (3-Month Term SOFR+592 basis points), 10/29/2029   661,571 
     Hartwick Park CLO Ltd.     
 1,000,000   Series 2023-1A, Class D, 9.841% (3-Month Term SOFR+450 basis points), 1/21/2036   998,817 
     HPS Loan Management Ltd.     
 500,000   Series 2023-17A, Class E, 13.362% (3-Month Term SOFR+795 basis points), 4/23/2036   503,636 
     KKR XLIV CLO Ltd.     
 1,000,000   Series 44A, Class D, 10.348% (3-Month Term SOFR+500 basis points), 1/20/2036   999,897 
     Magnetite VII Ltd.     
 1,000,000   Series 2012-7A, Class DR2, 10.155% (3-Month Term SOFR+476 basis points), 1/15/2028   992,589 
     Magnetite XXV Ltd.     
 1,100,000   Series 2020-25A, Class E, 11.990% (3-Month Term SOFR+661 basis points), 1/25/2032   1,094,033 
     Magnetite XXXV Ltd.     
 1,250,000   Series 2022-35A, Class ER, 12.628% (3-Month Term SOFR+725 basis points), 10/25/2036   1,244,057 
     Mountain View CLO IX Ltd.     
 500,000   Series 2015-9A, Class CR, 8.775% (3-Month Term SOFR+338 basis points), 7/15/2031   459,126 
     Myers Park CLO Ltd.     
 800,000   Series 2018-1A, Class D, 8.727% (3-Month Term SOFR+331 basis points), 10/20/2030   792,082 
     Neuberger Berman Loan Advisers CLO XXIV Ltd.     
 750,000   Series 2017-24A, Class E, 11.678% (3-Month Term SOFR+628 basis points), 4/19/2030   704,022 
     Neuberger Berman Loan Advisers CLO XXV Ltd.     
 500,000   Series 2017-25A, Class DR, 8.507% (3-Month Term SOFR+311 basis points), 10/18/2029   495,393 
     OCP CLO Ltd.     
 1,000,000   Series 2019-16A, Class DR, 8.818% (3-Month Term SOFR+341 basis points), 4/10/2033   977,253 
 1,000,000   Series 2023-30A, Class D, 12.065% (3-Month Term SOFR+450 basis points), 1/24/2037   1,000,000 
 1,000,000   Series 2023-30A, Class E, 12.337% (3-Month Term SOFR+709 basis points), 1/24/2037   990,000 

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Principal
Amount		      Value 
    COLLATERALIZED LOAN OBLIGATIONS (Continued)    
    Octagon 60 Ltd.    
$750,000   Series 2022-1A, Class D1, 10.416% (3-Month Term SOFR+500 basis points), 10/20/2035  $759,819 
     Octagon Investment Partners XVIII-R Ltd.     
 1,500,000   Series 2018-18A, Class C, 8.355% (3-Month Term SOFR+296 basis points), 4/16/2031   1,437,590 
     OHA Credit Partners CLO XV Ltd.     
 1,000,000   Series 2017-15A, Class D, 8.127% (3-Month Term SOFR+271 basis points), 1/20/20301,2   981,069 
     OZLM XX Ltd.     
 1,120,000   Series 2018-20A, Class C, 8.627% (3-Month Term SOFR+321 basis points), 4/20/20311,2   1,079,756 
     OZLM XXII, Ltd.     
 1,000,000   Series 2018-22A, Class C, 8.314% (3-Month Term SOFR+291 basis points), 1/17/20311,2   962,343 
     OZLM XXIII Ltd.     
 590,000   Series 2019-23A, Class DR, 9.405% (3-Month Term SOFR+401 basis points), 4/15/2034   580,753 
     Palmer Square Loan Funding Ltd.     
 500,000   Series 2020-1A, Class SUB, 0.000%, 2/19/20281,2,3,4,5   — 
     Regatta VII Funding Ltd.     
 1,000,000   Series 2016-1A, Class ER2, 12.032% (3-Month Term SOFR+666 basis points), 6/20/2034   969,314 
     Regatta XIV Funding Ltd.     
 800,000   Series 2018-3A, Class D, 8.840% (3-Month Term SOFR+346 basis points), 10/25/2031   796,619 
 850,000   Series 2018-3A, Class E, 11.590% (3-Month Term SOFR+621 basis points), 10/25/20311,2   798,877 
     Regatta XV Funding Ltd.     
 500,000   Series 2018-4A, Class C, 8.940% (3-Month Term SOFR+356 basis points), 10/25/2031   499,909 
 500,000   Series 2018-4A, Class D, 12.140% (3-Month Term SOFR+676 basis points), 10/25/2031   462,066 
     Regatta XXVI Funding Ltd.     
 1,000,000   Series 2023-2A, Class D, 10.478% (3-Month Term SOFR+525 basis points), 1/25/2037   999,622 
     Shackleton CLO Ltd.     
 525,000   Series 2015-7RA, Class D, 8.985% (3-Month Term SOFR+359 basis points), 7/15/2031   508,594 
     Signal Peak CLO V Ltd.     
 1,000,000   Series 2018-5A, Class D, 8.290% (3-Month Term SOFR+291 basis points), 4/25/20311,2   978,651 
 1,250,000   Series 2018-5A, Class E, 11.290% (3-Month Term SOFR+591 basis points), 4/25/2031   1,165,637 

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Principal
Amount		      Value 
    COLLATERALIZED LOAN OBLIGATIONS (Continued)    
    Signal Peak CLO VII Ltd.    
$1,000,000   Series 2019-1A, Class D, 9.502% (3-Month Term SOFR+411 basis points), 4/30/2032  $1,005,241 
     Silver Creek CLO Ltd.     
 1,000,000   Series 2014-1A, Class E2R, 12.077% (3-Month Term SOFR+666 basis points), 7/20/2030   1,000,012 
     Sound Point CLO XVII Ltd.     
 1,000,000   Series 2017-3A, Class C, 8.677% (3-Month Term SOFR+326 basis points), 10/20/20301,2   918,562 
     Sound Point CLO XVIII Ltd.     
 1,000,000   Series 2017-4A, Class C, 8.177% (3-Month Term SOFR+276 basis points), 1/21/2031   886,438 
     Sound Point CLO XX Ltd.     
 1,350,000   Series 2018-2A, Class D, 8.641% (3-Month Term SOFR+326 basis points), 7/26/2031   1,227,827 
     Stratus CLO Ltd.     
 655,000   Series 2022-1A, Class D, 9.666% (3-Month Term SOFR+425 basis points), 7/20/2030   658,709 
     Symphony CLO XXXVIII Ltd.     
 1,225,000   Series 2023-38A, Class D, 10.598% (3-Month Term SOFR+520 basis points), 4/24/2036   1,242,001 
     Texas Debt Capital CLO Ltd.     
 750,000   Series 2023-2A, Class E, 13.072% (3-Month Term SOFR+766 basis points), 7/21/2035   752,316 
     Trinitas CLO XXV Ltd.     
 1,000,000   Series 2023-25A, Class D1, 10.331% (3-Month Term SOFR+500 basis points), 1/23/2037   999,866 
     Upland CLO Ltd.     
 750,000   Series 2016-1A, Class CR, 8.577% (3-Month Term SOFR+316 basis points), 4/20/2031   725,143 
     Voya CLO Ltd.     
 750,000   Series 2017-1A, Class C, 8.994% (3-Month Term SOFR+359 basis points), 4/17/20301,2   727,892 
 750,000   Series 2014-1A, Class CR2, 8.457% (3-Month Term SOFR+306 basis points), 4/18/20311,2   707,068 
 1,250,000   Series 2018-2A, Class D, 8.405% (3-Month Term SOFR+301 basis points), 7/15/20311,2   1,177,644 
     TOTAL COLLATERALIZED LOAN OBLIGATIONS     
     (Cost $64,900,229)   66,080,270 
           
     COLLATERALIZED MORTGAGE OBLIGATIONS — 0.0%     
     Alternative Loan Trust     
 3,998,220   Series 2006-HY10, Class 1X, 0.476%, 5/25/20362,5   67,986 
     TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS     
     (Cost $118,667)   67,986 

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Number
of Shares		      Value 
    COMMON STOCKS — 16.3%    
    APPLICATIONS SOFTWARE — 0.1%    
 7,579   EngageSmart, Inc.*  $173,559 
           
     COMPUTER SOFTWARE — 0.6%     
 9,039   Splunk, Inc.*,4   1,377,092 
           
     ENTERPRISE SOFTWARE/SERVICE — 0.7%     
 34,083   Alteryx, Inc. - Class A*,4   1,607,354 
           
     HOTELS & MOTELS — 0.0%     
 193   Bluegreen Vacations Holding Corp.   14,498 
           
     INDUSTRIAL AUTOMATED/ROBOTS — 0.1%     
 5,775   Hollysys Automation Technologies Ltd.*,6   152,171 
           
     INTERNET CONTENT-INFO — 0.1%     
 26,491   Rover Group, Inc.*   288,222 
           
     LIFE/HEALTH INSURANCE — 1.1%     
 36,874   American Equity Investment Life Holding Co.*,4   2,057,569 
 683   National Western Life Group, Inc. - Class A   329,903 
         2,387,472 
     MEDICAL-BIOMEDICAL/GENERICS — 0.5%     
 21,282   ImmunoGen, Inc.*   631,011 
 569   Karuna Therapeutics, Inc.*   180,094 
 14   Mirati Therapeutics, Inc.*   823 
 4,999   RayzeBio, Inc.*   310,788 
         1,122,716 
     OIL COMP-EXPLORATION & PRODUCTION — 0.6%     
 5,710   Pioneer Natural Resources Co.   1,284,065 
           
     REITS-SHOPPING CENTERS — 0.4%     
 61,886   RPT Realty4   793,997 
           
     REITS-SINGLE TENANT — 2.4%     
 118,027   Spirit Realty Capital, Inc.4   5,156,600 
           
     RENTAL AUTO/EQUIPMENT — 0.4%     
 19,773   Textainer Group Holdings Ltd.4,6   972,832 
           
     SPECIFIED PURPOSE ACQUISITIONS — 9.3%     
 25,000   99 Acquisition Group, Inc. - Class A*   254,750 
 22,847   Alchemy Investments Acquisition Corp. I - Class A*,6   238,294 
 39,400   Alpha Partners Technology Merger Corp.*,4,6   421,580 

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Number
of Shares		      Value 
    SPECIFIED PURPOSE ACQUISITIONS (Continued)    
 45,559   Alpha Star Acquisition Corp.*,4,6  $509,805 
 19,505   AlphaVest Acquisition Corp.*,6   208,703 
 5,800   Andretti Acquisition Corp. - Class A*,4,6   63,046 
 15,935   AP Acquisition Corp. - Class A*,4,6   177,357 
 7,753   APx Acquisition Corp. I - Class A*,4,6   86,679 
 25,000   Ares Acquisition Corp. II - Class A*,4,6   261,000 
 3,877   ARYA Sciences Acquisition Corp. IV - Class A*,6   42,182 
 60,000   Battery Future Acquisition Corp. - Class A*,6   651,000 
 4,555   Blue Ocean Acquisition Corp. - Class A*,6   49,103 
 3,213   Blue World Acquisition Corp. - Class A*,6   35,407 
 16,503   BlueRiver Acquisition Corp. - Class A*,6   175,922 
 20,000   Bukit Jalil Global Acquisition I Ltd.*,6   207,800 
 15,628   BurTech Acquisition Corp. - Class A*,4   167,376 
 9,910   byNordic Acquisition Corp. - Class A*   110,100 
 2,951   Capitalworks Emerging Markets Acquisition Corp. - Class A*,6   32,313 
 50,062   Cartesian Growth Corp. II*,4,6   548,679 
 12,000   Cartica Acquisition Corp. - Class A*,4,6   130,920 
 3,009   Catcha Investment Corp. - Class A*,6   33,490 
 1,139   Cetus Capital Acquisition Corp. - Class A*,4   11,959 
 38,700   CF Acquisition Corp. VII - Class A*,4   419,895 
 28,750   Chenghe Acquisition Co. - Class A*,4,6   316,250 
 4,556   Chenghe Acquisition I Co. - Class A*,6   50,207 
 15,952   Churchill Capital Corp. VII - Class A*,4   167,496 
 15,873   Coliseum Acquisition Corp. - Class A*,6   168,730 
 13,431   Compass Digital Acquisition Corp. - Class A*,6   141,697 
 30,000   Constellation Acquisition Corp. I - Class A*,4,6   331,500 
 9,969   CSLM Acquisition Corp. - Class A*,6   108,463 
 10,056   DHC Acquisition Corp. - Class A*,6   106,493 
 11,982   Distoken Acquisition Corp.*,4,6   127,009 
 3,915   DP Cap Acquisition Corp. I - Class A*,6   42,634 
 26,453   DUET Acquisition Corp.   289,925 
 4,287   Enphys Acquisition Corp. - Class A*,6   45,742 
 27,121   ESH Acquisition Corp.*   277,177 
 11,031   EVe Mobility Acquisition Corp. - Class A*,6   119,135 
 20,000   Everest Consolidator Acquisition Corp. - Class A*   218,800 
 22,164   Evergreen Corp. - Class A*,6   246,907 
 6,352   Feutune Light Acquisition Corp. - Class A*   68,665 
 21,901   Finnovate Acquisition Corp. - Class A*,6   241,787 
 4,850   Focus Impact Acquisition Corp.   53,107 
 30,182   FTAC Emerald Acquisition Corp. - Class A*,4   319,024 
 14,474   Generation Asia I Acquisition Ltd. - Class A*,6   157,043 
 13,712   Global Lights Acquisition Corp.*,6   138,080 

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Number
of Shares		      Value 
    SPECIFIED PURPOSE ACQUISITIONS (Continued)    
 34,260   Global Partner Acquisition Corp. II - Class A*,4,6  $378,916 
 992   Global Star Acquisition, Inc. - Class A*,4   10,485 
 1,880   Golden Star Acquisition Corp.*,4,6   19,590 
 7,289   Goldenstone Acquisition Ltd.*,4   78,357 
 10,000   Gores Holdings IX, Inc. - Class A*,4   105,000 
 24,030   Haymaker Acquisition Corp. IV*,6   246,548 
 30,200   Hennessy Capital Investment Corp. VI - Class A*   314,986 
 1,015   HH&L Acquisition Co. - Class A*,6   10,820 
 29,454   Horizon Space Acquisition I Corp.*,4,6   315,452 
 14,162   InFinT Acquisition Corp.*,6   158,898 
 30,000   Inflection Point Acquisition Corp. II - Class A*,4,6   309,900 
 4,887   Integrated Rail and Resources Acquisition Corp. - Class A*   52,780 
 7,473   Integrated Wellness Acquisition Corp. - Class A*,6   83,847 
 10,415   Investcorp Europe Acquisition Corp. I - Class A*,4,6   114,773 
 63,492   Investcorp India Acquisition Corp. - Class A*,4,6   697,777 
 19,929   Israel Acquisitions Corp.*,4,6   213,041 
 11,209   IX Acquisition Corp. - Class A*,6   123,859 
 9,506   Kensington Capital Acquisition Corp. V - Class A*,6   101,619 
 5,549   Kernel Group Holdings, Inc. - Class A*,4,6   59,596 
 30,724   L Catterton Asia Acquisition Corp. - Class A*,4,6   331,205 
 13,666   Mountain & Co. I Acquisition Corp. - Class A*,4,6   154,426 
 25,000   Nabors Energy Transition Corp. II - Class A*,6   259,500 
 18,817   Oak Woods Acquisition Corp. - Class A*,4,6   198,143 
 50,000   Patria Latin American Opportunity Acquisition Corp. - Class A*,4,6   555,000 
 28,097   Pegasus Digital Mobility Acquisition Corp. - Class A*,6   310,472 
 26,653   Pono Capital Three, Inc.   283,055 
 1,354   PowerUp Acquisition Corp. - Class A*,6   14,772 
 60,004   Project Energy Reimagined Acquisition Corp. - Class A*,4,6   634,842 
 42,176   Pyrophyte Acquisition Corp. - Class A*,6   463,936 
 2,212   Quantum FinTech Acquisition Corp.   23,735 
 67,560   Rigel Resource Acquisition Corp. - Class A*,4,6   740,458 
 52,029   Ross Acquisition Corp. II - Class A*,6   566,596 
 2,583   Screaming Eagle Acquisition Corp. - Class A*,6   27,380 
 67,026   SDCL EDGE Acquisition Corp. - Class A*,4,6   721,200 
 23,849   SK Growth Opportunities Corp. - Class A*,6   259,507 
 10,528   Spark I Acquisition Corp.*,6   106,754 
 8,266   Spree Acquisitions Corp. - Class A   90,265 
 50,000   Spring Valley Acquisition Corp. II - Class A*,4,6   542,000 
 2,691   Swiftmerge Acquisition Corp. - Class A*,6   28,955 
 9,947   Target Global Acquisition I Corp. - Class A*,6   109,715 
 398   TLGY Acquisition Corp. - Class A*,6   4,410 
 53,709   TortoiseEcofin Acquisition Corp. III - Class A*,4,6   570,390 

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Number
of Shares		      Value 
    SPECIFIED PURPOSE ACQUISITIONS (Continued)    
 25,298   Tristar Acquisition I Corp. - Class A*,4,6  $272,839 
 9,313   two - Class A*,6   98,625 
 37,744   Valuence Merger Corp. I - Class A*,4,6   422,355 
 4,177   Zalatoris Acquisition Corp. - Class A*,4   44,527 
 40,000   Zalatoris II Acquisition Corp. - Class A*,6   426,000 
         20,230,537 
     TOTAL COMMON STOCKS     
     (Cost $34,469,712)   35,561,115 
           
     PREFERRED STOCKS — 0.1%     
     INDUSTRIALS — 0.1%     
     Textainer Group Holdings Ltd.     
 3,754   6.250%5,6,7   92,649 
 4,916   7.000%2,5,6,7   122,162 
         214,811 
     TOTAL PREFERRED STOCKS     
     (Cost $212,426)   214,811 

 

 

Number
of Contracts		        
    PURCHASED OPTIONS CONTRACTS — 29.2%    
    CALL OPTIONS — 24.6%    
    S&P 500 Index    
    Exercise Price: $1,000.00, Notional Amount: $4,000,000,    
 40   Expiration Date: March 15, 2024*   15,072,800 
     Exercise Price: $4,000.00, Notional Amount: $190,800,000,     
 477   Expiration Date: March 15, 2024*   38,660,850 
     TOTAL CALL OPTIONS     
     (Cost $44,835,993)   53,733,650 
           
     PUT OPTIONS — 4.6%     
     S&P 500 Index     
     Exercise Price: $2,000.00, Notional Amount: $8,000,000,     
 40   Expiration Date: March 15, 2024*   800 
     Exercise Price: $5,000.00, Notional Amount: $238,500,000,     
 477   Expiration Date: March 15, 2024*   10,133,865 
     TOTAL PUT OPTIONS     
     (Cost $17,956,246)   10,134,665 
     TOTAL PURCHASED OPTIONS CONTRACTS     
     (Cost $62,792,239)   63,868,315 

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Number
of Shares		      Value 
    RIGHTS — 0.0%    
 1,014   ABIOMED, Inc., Expiration Date: December 30, 2029*,4,8  $1,034 
     TOTAL RIGHTS     
     (Cost $1,034)   1,034 
           
     UNITS — 0.6%     
     SPECIFIED PURPOSE ACQUISITIONS — 0.6%     
 50,961   Agriculture & Natural Solutions Acquisition Corp.*,4,6   516,745 
 10,133   Aimei Health Technology Co., Ltd.*,6   103,357 
 3,293   Aimfinity Investment Corp. I*,4,6   36,058 
 19,012   Bayview Acquisition Corp.*,6   192,402 
 15,530   Colombier Acquisition Corp. II*,6   156,542 
 20,570   Keen Vision Acquisition Corp.*,4,6   213,105 
         1,218,209 
     TOTAL UNITS     
     (Cost $1,205,768)   1,218,209 
           
     WARRANTS — 0.0%     
 6   Haymaker Acquisition Corp. IV, Expiration Date: September 12, 2028*,6   1 
 12,274   Inflection Point Acquisition Corp. II, Expiration Date: July 17, 2028*,6   1,227 
 10,870   Nabors Energy Transition Corp. II, Expiration Date: September 5, 2028*,6   1,413 
 5,264   Spark I Acquisition Corp., Expiration Date: November 27, 2028*,6   579 
     TOTAL WARRANTS     
     (Cost $0)   3,220 
           
     SHORT-TERM INVESTMENTS — 29.4%     
 64,389,650   Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 5.20%4,9   64,389,650 
     TOTAL SHORT-TERM INVESTMENTS     
     (Cost $64,389,650)   64,389,650 
     TOTAL INVESTMENTS — 105.8%     
     (Cost $228,089,725)   231,404,610 
     Liabilities in Excess of Other Assets — (5.8)%   (12,706,860)
     TOTAL NET ASSETS — 100.0%  $218,697,750 
           
     SECURITIES SOLD SHORT — (3.4)%     
     COMMON STOCKS — (3.4)%     
     INVESTMENT MANAGEMENT/ADVISORY SERVICES — (0.1)%     
 (5,106)  Brookfield Asset Management, Inc. - Class A6   (205,108)
           
     OIL COMP-INTEGRATED — (0.6)%     
 (13,322)  Exxon Mobil Corp.   (1,331,934)

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Number
of Shares		      Value 
    REITS-SHOPPING CENTERS — (0.3)%    
 (37,435)  Kimco Realty Corp.  $(797,740)
           
     REITS-SINGLE TENANT — (2.4)%     
 (90,536)  Realty Income Corp.   (5,198,577)
     TOTAL COMMON STOCKS     
     (Proceeds $6,757,127)   (7,533,359)
     TOTAL SECURITIES SOLD SHORT     
     (Proceeds $6,757,127)  $(7,533,359)

 

 

Number
of Contracts		        
    WRITTEN OPTIONS CONTRACTS — (5.9)%    
    CALL OPTIONS — (5.7)%    
    S&P 500 Index    
    Exercise Price: $2,000.00, Notional Amount: $(8,000,000),    
 (40)  Expiration Date: March 15, 2024*   (11,119,400)
     Exercise Price: $5,000.00, Notional Amount: $(238,500,000),     
 (477)  Expiration Date: March 15, 2024*   (1,306,980)
     TOTAL CALL OPTIONS     
     (Proceeds $10,466,717)   (12,426,380)
           
     PUT OPTIONS — (0.2)%     
     iShares 20 Plus Year Treasury Bond ETF     
     Exercise Price: $95.00, Notional Amount: $(2,470,000),     
 (260)  Expiration Date: January 19, 2024*   (6,630)
     Exercise Price: $98.00, Notional Amount: $(1,960,000),     
 (200)  Expiration Date: January 19, 2024*   (19,600)
     Exercise Price: $99.00, Notional Amount: $(3,960,000),     
 (400)  Expiration Date: January 19, 2024*   (56,600)
     S&P 500 Index     
     Exercise Price: $4,600.00, Notional Amount: $(12,420,000),     
 (27)  Expiration Date: January 18, 2024*   (19,035)
     Exercise Price: $4,500.00, Notional Amount: $(900,000),     
 (2)  Expiration Date: January 19, 2024*   (680)
     Exercise Price: $4,700.00, Notional Amount: $(3,290,000),     
 (7)  Expiration Date: January 19, 2024*   (13,160)
     Exercise Price: $1,000.00, Notional Amount: $(4,000,000),     
 (40)  Expiration Date: March 15, 2024*   (200)

 

 

First Trust Multi-Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2023  (Unaudited)

 

 

Number
of Contracts		      Value 
     PUT OPTIONS (Continued)     
     Exercise Price: $4,000.00, Notional Amount: $(190,800,000),     
 (477)  Expiration Date: March 15, 2024*  $(350,595)
     TOTAL PUT OPTIONS     
     (Proceeds $1,670,067)   (466,500)
     TOTAL WRITTEN OPTIONS CONTRACTS     
     (Proceeds $12,136,784)  $(12,892,880)

 

ETF — Exchange-Traded Fund

*Non-income producing security.

1 Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $16,102,673, which represents 7.36% of the total net assets of the Fund.

2  Variable rate security.

3Affiliated company.

4All or a portion of this security is segregated as collateral for securities sold short. The market value of the securities pledged as collateral is $17,390,237, which represents 7.95% of the total net assets of the Fund.

5Callable.

6Foreign security denominated in U.S. Dollars.

7Perpetual security. Maturity date is not applicable.

8Level 3 securities fair valued under procedures established by the Board of Trustees. The total value of these securities is $1,034, which represents 0.00% of total net assets of the Fund.

9 The rate is the annualized seven-day yield at period end.

 

 

First Trust Multi Strategy Fund

 

   Value Beginning
of Period		   Additions   Reductions   Net Realized
Gain (Loss)		   Change in Unrealized
Appreciation
(Depreciation)		   Value End of
Period		   Dividend Income* 
Collateralized Loan Obligations - 0.0%                 
Palmer Square Loan Funding Ltd.(1)(2)(3)(4)  $78,750   $-   $(78,353)  $-   $(397)  $-   $   - 
Total  $78,750   $-   $(78,353)  $-   $(397)  $-   $- 

 

First Trust Multi Strategy Fund

 

   Shares
Beginning of
Period		   Purchases   Sales   Stock Split   Shares End of Period 
Palmer Square Loan Funding Ltd.(1)(2)(3)(4)   500,000    -    -    -    500,000 

 

*Net of foreign withholding taxes.
(1)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $4,210,907, which represents 1.93% of the total net assets of the Fund.
(2)All or a portion of this security is segregated as collateral for securities sold short. The market value of the securities pledged as collateral is $17,390,237, which represents 7.95% of the total net assets of the Fund.
(3)Callable.

(4)Variable rate security.