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. |
3 | Affiliated company. |
4 | 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. |
5 | Callable. |
6 | Foreign security denominated in U.S. Dollars. |
7 | Perpetual security. Maturity date is not applicable. |
8 | Level 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. |