UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23147
First Trust Exchange-Traded Fund VIII
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: August 31
Date of reporting period: August 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img590fd6771.gif)
First Trust TCW Opportunistic Fixed Income ETF (FIXD) |
First Trust TCW Unconstrained Plus Bond ETF (UCON) |
First Trust TCW Securitized Plus ETF (DEED) |
First Trust TCW Emerging Markets Debt ETF (EFIX) |
Annual Report
August 31, 2023
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Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgebdc86662.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |||||
Average Annual Total Returns | Cumulative Total Returns | ||||
1 Year Ended 8/31/23 | 5 Years Ended 8/31/23 | Inception (2/14/17) to 8/31/23 | 5 Years Ended 8/31/23 | Inception (2/14/17) to 8/31/23 | |
Fund Performance | |||||
NAV* | -2.15% | 0.40% | 0.70% | 1.99% | 4.69% |
Market Price | -1.68% | 0.44% | 0.74% | 2.22% | 4.92% |
Index Performance | |||||
Bloomberg U.S. Aggregate Bond Index | -1.19% | 0.49% | 0.73% | 2.47% | 4.86% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. Performance in securitized product investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size. |
* | On January 3, 2023, the fair value methodology used to value the senior loan investments held by the Fund was changed. Prior to that date, the senior loans were valued using the bid side price provided by a pricing service. After such date, the senior loans were valued using the midpoint between the bid and ask price provided by a pricing service. The change in the Fund’s fair value methodology on January 3, 2023, resulted in a one-time increase in the Fund’s net asset value of approximately $0.005 per share on that date, which represented a positive impact on the Fund’s performance of 0.01%. Without the change to the pricing methodology, the performance of the Fund on a NAV basis would have been -2.15%, 0.40%, 0.70%, 2.00%, and 4.69% in the one-year, five-years average annual, since inception average annual, five-years cumulative, and since inception cumulative periods ended August 31, 2023, respectively. |
Fund Allocation | % of Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 33.2% |
U.S. Government Bonds and Notes | 32.9 |
Corporate Bonds and Notes | 20.2 |
Asset-Backed Securities | 10.3 |
Mortgage-Backed Securities | 8.6 |
Foreign Corporate Bonds and Notes | 5.7 |
Senior Floating-Rate Loan Interests | 1.5 |
Foreign Sovereign Bonds and Notes | 1.1 |
Municipal Bonds | 0.5 |
Common Stocks | 0.0(1) |
Rights | 0.0(1) |
U.S. Treasury Bills | 4.7 |
Money Market Funds | 0.9 |
Net Other Assets and Liabilities(2) | (19.6) |
Total | 100.0% |
Credit Quality(3) | % of Fixed-Income Investments |
Government/Agency | 59.6% |
AAA | 2.7 |
AA+ | 0.3 |
AA | 1.6 |
AA- | 1.2 |
A+ | 0.7 |
A | 2.1 |
A- | 5.3 |
BBB+ | 3.9 |
BBB | 5.7 |
BBB- | 4.7 |
BB+ | 2.3 |
BB | 1.3 |
BB- | 1.4 |
B+ | 0.2 |
B | 0.8 |
B- | 1.1 |
CCC+ | 0.2 |
CCC | 1.5 |
CCC- | 0.4 |
CC | 2.1 |
C | 0.1 |
D | 0.8 |
NR | 0.0(1) |
Total | 100.0% |
Top Ten Holdings | % of Fixed-Income Investments |
U.S. Treasury Note, 4.38%, 08/31/28 | 8.2% |
U.S. Treasury Note, 5.00%, 08/31/25 | 6.1 |
U.S. Treasury Bond, 4.38%, 08/15/43 | 3.6 |
U.S. Treasury Bond, 4.13%, 08/15/53 | 3.4 |
U.S. Treasury Bill, 0.00%, 11/28/23 | 3.3 |
Federal National Mortgage Association, Pool TBA, 5.50%, 09/15/53 | 2.3 |
U.S. Treasury Note, 3.88%, 08/15/33 | 2.3 |
Federal National Mortgage Association, Pool TBA, 2.00%, 10/15/53 | 2.2 |
Federal National Mortgage Association, Pool TBA, 4.50%, 10/15/53 | 2.0 |
U.S. Treasury Note, 4.13%, 07/31/28 | 1.7 |
Total | 35.1% |
(1) | Amount is less than 0.1%. |
(2) | Includes variation margin on futures contracts, unrealized appreciation/depreciation on forward foreign currency contracts and unrealized appreciation/depreciation on interest rate swap agreements. |
(3) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the lowest ratings are used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under “Government/Agency.” Credit ratings are subject to change. |
Performance | |||||
Average Annual Total Returns | Cumulative Total Returns | ||||
1 Year Ended 8/31/23 | 5 Years Ended 8/31/23 | Inception (6/4/18) to 8/31/23 | 5 Years Ended 8/31/23 | Inception (6/4/18) to 8/31/23 | |
Fund Performance | |||||
NAV | 3.18% | 2.47% | 2.56% | 12.97% | 14.17% |
Market Price | 3.18% | 2.49% | 2.64% | 13.07% | 14.63% |
Index Performance | |||||
ICE BofA 3-Month US Treasury Bill Index | 4.25% | 1.65% | 1.67% | 8.55% | 9.08% |
ICE BofA US Dollar 3-Month Deposit Offered Rate Average Index(1) | 4.62% | 1.92% | 1.94% | 9.97% | 10.60% |
Bloomberg US Aggregate Bond Index | -1.19% | 0.49% | 0.67% | 2.47% | 3.58% |
(1) | On May 31, 2023, the ICE BofA US Dollar 3-Month Deposit Offered Rate Average Index will be replaced as a securities market index for the Fund with the ICE BofA 3-Month US Treasury Bill Index in connection with the phase out of the London interbank offered rate. |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. Performance in securitized product investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size. |
Fund Allocation | % of Net Assets |
Mortgage-Backed Securities | 24.4% |
Asset-Backed Securities | 24.3 |
U.S. Government Agency Mortgage-Backed Securities | 21.3 |
Corporate Bonds and Notes | 19.5 |
Foreign Corporate Bonds and Notes | 7.3 |
U.S. Government Bonds and Notes | 7.2 |
Foreign Sovereign Bonds and Notes | 3.3 |
U.S. Government Agency Securities | 2.0 |
Municipal Bonds | 0.0(1) |
Common Stocks | 0.0(1) |
Rights | 0.0(1) |
U.S. Treasury Bills | 9.1 |
Money Market Funds | 3.3 |
Net Other Assets and Liabilities(2) | (21.7) |
Total | 100.0% |
Credit Quality(3) | % of Fixed-Income Investments |
Government/Agency | 33.5% |
AAA | 5.4 |
AA+ | 1.2 |
AA | 2.3 |
AA- | 1.6 |
A+ | 0.7 |
A | 2.1 |
A- | 5.1 |
BBB+ | 3.3 |
BBB | 7.6 |
BBB- | 6.0 |
BB+ | 2.8 |
BB | 4.1 |
BB- | 2.2 |
B+ | 1.3 |
B | 2.1 |
B- | 1.9 |
CCC+ | 1.2 |
CCC | 5.0 |
CCC- | 2.4 |
CC | 5.9 |
C | 1.1 |
D | 1.2 |
NR | 0.0(1) |
Total | 100.0% |
Top Ten Holdings | % of Fixed-Income Investments |
U.S. Treasury Note, 5.00%, 08/31/25 | 5.4% |
U.S. Treasury Bill, 0.00%, 10/19/23 | 4.1 |
U.S. Treasury Bill, 0.00%, 10/12/23 | 3.2 |
Federal National Mortgage Association, Pool TBA, 5.50%, 09/15/53 | 2.7 |
Federal National Mortgage Association, Pool TBA, 2.00%, 10/15/53 | 2.6 |
Federal National Mortgage Association, Pool TBA, 5.00%, 10/15/53 | 2.1 |
Federal National Mortgage Association, Pool TBA, 5.00%, 09/15/53 | 1.8 |
Federal Home Loan Bank Discount Notes, 0.00%, 10/18/23 | 1.7 |
Federal National Mortgage Association, Pool TBA, 3.00%, 10/15/53 | 1.6 |
Federal National Mortgage Association, Pool TBA, 4.50%, 10/15/53 | 1.6 |
Total | 26.8% |
(1) | Amount is less than 0.1%. |
(2) | Includes variation margin on futures contracts, unrealized appreciation/depreciation on forward foreign currency contracts and unrealized appreciation/depreciation on interest rate swap agreements. |
(3) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the lowest ratings are used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under “Government/Agency.” Credit ratings are subject to change. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (4/29/20) to 8/31/23 | Inception (4/29/20) to 8/31/23 | |
Fund Performance | |||
NAV | -3.62% | -2.54% | -8.22% |
Market Price | -3.31% | -2.56% | -8.29% |
Index Performance | |||
Bloomberg U.S. Mortgage-Backed Securities Index | -2.10% | -3.58% | -11.46% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. Performance in securitized product investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size. |
Fund Allocation | % of Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 70.0% |
Mortgage-Backed Securities | 31.2 |
Asset-Backed Securities | 29.0 |
U.S. Government Bonds and Notes | 0.0(1) |
Money Market Funds | 0.8 |
Net Other Assets and Liabilities(2) | (31.0) |
Total | 100.0% |
Credit Quality(3) | % of Fixed-Income Investments |
Government/Agency | 52.6% |
AAA | 3.2 |
AA+ | 1.0 |
AA | 4.2 |
AA- | 2.0 |
A+ | 0.6 |
A | 0.6 |
A- | 1.4 |
BBB+ | 0.0(1) |
BBB | 2.3 |
BBB- | 1.8 |
BB | 3.9 |
BB- | 0.5 |
B+ | 0.7 |
B | 2.3 |
B- | 3.7 |
CCC+ | 0.6 |
CCC | 4.4 |
CCC- | 2.0 |
CC | 7.0 |
C | 2.2 |
D | 3.0 |
Total | 100.0% |
Top Ten Holdings | % of Fixed-Income Investments |
Government National Mortgage Association, Pool TBA, 2.50%, 09/15/53 | 4.5% |
Federal National Mortgage Association, Pool TBA, 2.50%, 09/15/53 | 2.9 |
Federal National Mortgage Association, Pool TBA, 5.50%, 09/15/53 | 2.9 |
Federal National Mortgage Association, Pool TBA, 2.00%, 10/15/53 | 2.8 |
Federal National Mortgage Association, Pool TBA, 5.00%, 10/15/53 | 2.1 |
Government National Mortgage Association, Pool TBA, 4.50%, 09/15/53 | 1.8 |
Federal National Mortgage Association, Pool TBA, 5.00%, 09/15/53 | 1.8 |
Federal National Mortgage Association, Pool TBA, 4.50%, 10/15/53 | 1.7 |
Federal Home Loan Mortgage Corporation, Pool RA5855, 2.50%, 09/01/51 | 1.4 |
LHOME Mortgage Trust, 2.36%, 09/25/26 | 1.2 |
Total | 23.1% |
(1) | Amount is less than 0.1%. |
(2) | Includes variation margin on futures contracts and unrealized appreciation/depreciation on forward foreign currency contracts. |
(3) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the lowest ratings are used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under “Government/Agency.” Credit ratings are subject to change. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (2/17/21) to 8/31/23 | Inception (2/17/21) to 8/31/23 | |
Fund Performance | |||
NAV | 4.67% | -5.38% | -13.07% |
Market Price | 5.75% | -5.11% | -12.44% |
Index Performance | |||
JP Morgan Emerging Market Bond Index Global Diversified | 5.76% | -5.79% | -14.03% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Fund Allocation | % of Net Assets |
Foreign Sovereign Bonds and Notes | 64.8% |
Foreign Corporate Bonds and Notes | 29.8 |
Corporate Bonds and Notes | 3.2 |
Money Market Funds | 0.7 |
Net Other Assets and Liabilities(1) | 1.5 |
Total | 100.0% |
Credit Quality(2) | % of Fixed-Income Investments |
AA | 1.7% |
AA- | 2.5 |
A+ | 4.3 |
A- | 5.6 |
BBB+ | 2.1 |
BBB | 9.6 |
BBB- | 17.5 |
BB+ | 9.0 |
BB | 7.0 |
BB- | 10.9 |
B+ | 7.2 |
B | 8.6 |
B- | 6.0 |
CCC+ | 2.0 |
CCC | 1.4 |
CCC- | 1.6 |
CC | 0.7 |
D | 2.3 |
Total | 100.0% |
Top Ten Holdings | % of Fixed-Income Investments |
KazMunayGas National Co. JSC, 4.75%, 04/19/27 | 3.0% |
Uruguay Government International Bond, 5.10%, 06/18/50 | 2.1 |
Turkey Government International Bond, 9.38%, 01/19/33 | 2.0 |
Mexico Government International Bond, 6.35%, 02/09/35 | 2.0 |
Finance Department Government of Sharjah, 6.50%, 11/23/32 | 2.0 |
Qatar Energy, 3.30%, 07/12/51 | 1.9 |
Mexico Government International Bond, 6.34%, 05/04/53 | 1.8 |
Petroleos Mexicanos, 6.49%, 01/23/27 | 1.7 |
Greensaif Pipelines Bidco Sarl, 6.13%, 02/23/38 | 1.6 |
Hungary Government International Bond, 5.25%, 06/16/29 | 1.6 |
Total | 19.7% |
(1) | Includes unrealized appreciation/depreciation on credit default swap agreements. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the lowest ratings are used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under “Government/Agency.” Credit ratings are subject to change. |
Annual Report
August 31, 2023 (Unaudited)
Stephen M. Kane, CFA, Generalist Portfolio Manager, Co-Chief Investment Officer and Co-Director in the Fixed Income Group of TCW
Laird Landmann, Generalist Portfolio Manager and Co-Director in the Fixed Income Group of TCW
Stephen M. Kane, CFA, Generalist Portfolio Manager, Co-Chief Investment Officer and Co-Director in the Fixed Income Group of TCW
Laird Landmann, Generalist Portfolio Manager and Co-Director in the Fixed Income Group of TCW
Steven J. Purdy, Managing Director, Specialist Portfolio Manager and Co-Head of Global Credit of TCW
Mitchell Flack, Specialist Portfolio Manager and Managing Director in the Fixed Income Group of TCW
Elizabeth J. Crawford, Specialist Portfolio Manager and Managing Director in the Fixed Income Group of TCW
David I. Robbins, Group Managing Director at TCW
Alex Stanojevic, Group Managing Director at TCW
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
long-term equilibrium levels, and that an eventual pivot in Fed policy will lead to a steepening of the curve. As such, the Fund maintained an emphasis on the front-end, which produced a drag as these policy-sensitive rates increased the most over the year. Meanwhile, the allocation to agency MBS was also negative as the sector was held back by the swift rise in Treasury rates and volatility, resulting in it being one of the few fixed income sectors to trail comparable Treasuries over the trailing twelve-month period. In non-agency MBS, a decline in trading and demand during the height of 2022’s volatility weighed on prices, though the recent steadying of home prices and resilient outlook for U.S. housing fundamentals has seen the sector perform strongly in recent months. Away from residential MBS, ABS issues have held up relatively well given their largely floating rate nature and shorter duration/average life profiles, engendering increased investor demand and supporting both prices and spreads across the sector. Fund holdings of CLOs and student loans performed well, as did select issues backed by single family rentals. Finally, though the CMBS sector lagged duration-matched Treasuries during the period, issues held in the Fund performed relatively well as an emphasis on single-asset single-borrower deals backed by trophy properties/strong sponsors helped the Fund avoid the worst of the repricing in the sector thus far. The position in corporate credit also boosted relative returns, as the sector outpaced duration-adjusted Treasuries by over 360 bps. Non-cyclicals – one of the Fund’s preferred industrial sectors throughout much of the period – performed well, while favorable selection among financials provided the largest tailwind. In particular, an emphasis on large, money center banks was beneficial as these credits performed relatively well during the first quarter of 2023 banking crisis, with the portfolio able to take advantage of the volatility to add to existing senior positions among higher conviction names, including Credit Suisse. Performance benefitted significantly from the subsequent sharp rebound in prices amid the announcement of the Swiss National Bank sponsored merger with UBS, with the position continuing to benefit relative performance given an ongoing compression of yield spreads towards the broader investment grade corporate universe.
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust TCW Opportunistic Fixed Income ETF (FIXD) | ||||
Actual | $1,000.00 | $1,006.50 | 0.64% | $3.24 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.98 | 0.64% | $3.26 |
First Trust TCW Unconstrained Plus Bond ETF (UCON) | ||||
Actual | $1,000.00 | $1,026.00 | 0.85% | $4.34 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
First Trust TCW Securitized Plus ETF (DEED) | ||||
Actual | $1,000.00 | $1,006.20 | 0.75% | $3.79 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.42 | 0.75% | $3.82 |
First Trust TCW Emerging Markets Debt ETF (EFIX) | ||||
Actual | $1,000.00 | $1,028.60 | 0.95% | $4.86 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | 0.95% | $4.84 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Portfolio of Investments
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 33.2% | |||||
Collateralized Mortgage Obligations — 0.1% | |||||
Federal Home Loan Mortgage Corporation | |||||
$285,201 | Series 2017-4656, Class EZ | 4.00% | 02/15/47 | $263,259 | |
Federal National Mortgage Association | |||||
1,640,360 | Series 2012-20, Class ZT | 3.50% | 03/25/42 | 1,490,553 | |
1,805,766 | Series 2012-84, Class VZ | 3.50% | 08/25/42 | 1,629,286 | |
203,589 | Series 2018-38, Class PA | 3.50% | 06/25/47 | 191,523 | |
609,997 | Series 2018-43, Class CT | 3.00% | 06/25/48 | 538,568 | |
152,157 | Series 2018-86, Class JA | 4.00% | 05/25/47 | 145,422 | |
77,182 | Series 2018-94, Class KD | 3.50% | 12/25/48 | 70,507 | |
91,502 | Series 2019-1, Class KP | 3.25% | 02/25/49 | 82,320 | |
47,977 | Series 2019-20, Class BA | 3.50% | 02/25/48 | 46,162 | |
45,915 | Series 2019-52, Class PA | 3.00% | 09/25/49 | 39,924 | |
Government National Mortgage Association | |||||
167,724 | Series 2018-115, Class DE | 3.50% | 08/20/48 | 154,728 | |
186,643 | Series 2018-124, Class NW | 3.50% | 09/20/48 | 173,425 | |
313,141 | Series 2019-12, Class QA | 3.50% | 09/20/48 | 294,881 | |
26,719 | Series 2019-71, Class PT | 3.00% | 06/20/49 | 23,913 | |
347,113 | Series 2019-119, Class JE | 3.00% | 09/20/49 | 304,569 | |
5,449,040 | |||||
Pass-Through Securities — 33.1% | |||||
Federal Home Loan Mortgage Corporation | |||||
53,540 | Pool C91981 | 3.00% | 02/01/38 | 48,554 | |
49,304 | Pool G07961 | 3.50% | 03/01/45 | 45,141 | |
47,067 | Pool G08692 | 3.00% | 02/01/46 | 41,584 | |
1,378,499 | Pool G08715 | 3.00% | 08/01/46 | 1,211,065 | |
27,239 | Pool G08721 | 3.00% | 09/01/46 | 23,926 | |
313,878 | Pool G08726 | 3.00% | 10/01/46 | 276,458 | |
755,696 | Pool G08732 | 3.00% | 11/01/46 | 661,956 | |
99,424 | Pool G08738 | 3.50% | 12/01/46 | 90,586 | |
198,761 | Pool G08741 | 3.00% | 01/01/47 | 174,527 | |
138,488 | Pool G08747 | 3.00% | 02/01/47 | 121,582 | |
96,594 | Pool G08748 | 3.50% | 02/01/47 | 87,998 | |
449,223 | Pool G08750 | 3.00% | 03/01/47 | 394,386 | |
104,793 | Pool G08766 | 3.50% | 06/01/47 | 95,456 | |
277,748 | Pool G08788 | 3.50% | 11/01/47 | 252,914 | |
919,999 | Pool G08792 | 3.50% | 12/01/47 | 835,744 | |
124,214 | Pool G08800 | 3.50% | 02/01/48 | 113,106 | |
190,824 | Pool G08816 | 3.50% | 06/01/48 | 173,759 | |
49,830 | Pool G08833 | 5.00% | 07/01/48 | 49,220 | |
9,566 | Pool G08838 | 5.00% | 09/01/48 | 9,445 | |
173,588 | Pool G08843 | 4.50% | 10/01/48 | 167,790 | |
36,917 | Pool G08844 | 5.00% | 10/01/48 | 36,447 | |
106,279 | Pool G08849 | 5.00% | 11/01/48 | 104,835 | |
370,418 | Pool G16085 | 2.50% | 02/01/32 | 341,763 | |
232,279 | Pool G16350 | 2.50% | 10/01/32 | 214,271 | |
274,097 | Pool G16396 | 3.50% | 02/01/33 | 262,484 | |
811,325 | Pool G16524 | 3.50% | 05/01/33 | 776,866 | |
89,659 | Pool G18670 | 3.00% | 12/01/32 | 84,790 | |
25,399 | Pool G18691 | 3.00% | 06/01/33 | 23,802 | |
74,338 | Pool G18713 | 3.50% | 11/01/33 | 71,176 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal Home Loan Mortgage Corporation (Continued) | |||||
$1,218,638 | Pool G60038 | 3.50% | 01/01/44 | $1,124,454 | |
323,586 | Pool G60080 | 3.50% | 06/01/45 | 296,062 | |
658,567 | Pool G60344 | 4.00% | 12/01/45 | 625,751 | |
209,708 | Pool G60440 | 3.50% | 03/01/46 | 191,569 | |
648,276 | Pool G60582 | 3.50% | 05/01/46 | 591,460 | |
616,588 | Pool G60658 | 3.50% | 07/01/46 | 565,051 | |
279,156 | Pool G61556 | 3.50% | 08/01/48 | 254,801 | |
1,914,842 | Pool G61748 | 3.50% | 11/01/48 | 1,747,539 | |
640,417 | Pool G67700 | 3.50% | 08/01/46 | 584,358 | |
5,291,704 | Pool G67706 | 3.50% | 12/01/47 | 4,833,682 | |
1,299,517 | Pool G67707 | 3.50% | 01/01/48 | 1,192,346 | |
1,494,716 | Pool G67714 | 4.00% | 07/01/48 | 1,408,302 | |
2,058,073 | Pool G67717 | 4.00% | 11/01/48 | 1,939,086 | |
3,171,820 | Pool G67718 | 4.00% | 01/01/49 | 2,987,130 | |
113,104 | Pool Q44452 | 3.00% | 11/01/46 | 99,214 | |
198,766 | Pool Q50135 | 3.50% | 08/01/47 | 180,995 | |
8,109,523 | Pool QA7837 | 3.50% | 03/01/50 | 7,380,470 | |
22,927,504 | Pool QD3419 | 2.00% | 12/01/51 | 18,307,761 | |
20,978,863 | Pool QD8259 | 3.00% | 03/01/52 | 18,091,698 | |
14,747,472 | Pool QE0312 | 2.00% | 04/01/52 | 11,770,044 | |
21,415,627 | Pool QE0521 | 2.50% | 04/01/52 | 17,776,738 | |
13,401,022 | Pool RA3078 | 3.00% | 07/01/50 | 11,694,835 | |
374,976 | Pool RE6029 | 3.00% | 02/01/50 | 318,785 | |
12,688,313 | Pool SD0231 | 3.00% | 01/01/50 | 11,115,514 | |
3,423,109 | Pool SD7511 | 3.50% | 01/01/50 | 3,115,033 | |
10,704,313 | Pool SD7513 | 3.50% | 04/01/50 | 9,747,578 | |
6,336,453 | Pool SD7518 | 3.00% | 06/01/50 | 5,550,975 | |
163,333 | Pool SD8043 | 2.50% | 02/01/50 | 137,692 | |
2,075,753 | Pool SD8107 | 2.50% | 11/01/50 | 1,737,005 | |
14,302,046 | Pool SD8189 | 2.50% | 01/01/52 | 11,874,930 | |
18,053,468 | Pool SD8194 | 2.50% | 02/01/52 | 14,987,848 | |
21,937,054 | Pool SD8205 | 2.50% | 04/01/52 | 18,193,682 | |
18,825,445 | Pool SD8212 | 2.50% | 05/01/52 | 15,613,016 | |
248,747 | Pool U90772 | 3.50% | 01/01/43 | 227,844 | |
290,864 | Pool U99114 | 3.50% | 02/01/44 | 266,498 | |
588,861 | Pool ZA4692 | 3.50% | 06/01/46 | 536,509 | |
288,581 | Pool ZM0063 | 4.00% | 08/01/45 | 274,070 | |
13,830,568 | Pool ZM1779 | 3.00% | 09/01/46 | 12,179,701 | |
2,951,208 | Pool ZS4667 | 3.00% | 06/01/46 | 2,593,049 | |
4,856,303 | Pool ZS4688 | 3.00% | 11/01/46 | 4,248,354 | |
7,838,589 | Pool ZS4735 | 3.50% | 09/01/47 | 7,071,646 | |
265,826 | Pool ZS8602 | 3.00% | 03/01/31 | 251,098 | |
542,798 | Pool ZS9844 | 3.50% | 07/01/46 | 494,370 | |
1,536,188 | Pool ZT0277 | 3.50% | 10/01/46 | 1,399,619 | |
705,630 | Pool ZT0531 | 3.50% | 04/01/47 | 642,796 | |
680,460 | Pool ZT0536 | 3.50% | 03/01/48 | 620,308 | |
2,155,206 | Pool ZT0537 | 3.50% | 03/01/48 | 1,964,413 | |
370,174 | Pool ZT0542 | 4.00% | 07/01/48 | 348,337 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal Home Loan Mortgage Corporation (Continued) | |||||
$74,347 | Pool ZT1403 | 3.50% | 11/01/33 | $71,101 | |
1,048,240 | Pool ZT1703 | 4.00% | 01/01/49 | 985,967 | |
Federal National Mortgage Association | |||||
2,399,966 | Pool AL8825 | 3.50% | 06/01/46 | 2,186,920 | |
111,918 | Pool AN2786 | 2.76% | 09/01/36 | 93,193 | |
995,729 | Pool AS0225 | 4.00% | 08/01/43 | 946,571 | |
1,245,661 | Pool AS3134 | 3.50% | 08/01/44 | 1,141,270 | |
285,077 | Pool AS6620 | 3.50% | 02/01/46 | 259,822 | |
85,590 | Pool AS9334 | 3.00% | 03/01/32 | 80,840 | |
67,963 | Pool AS9749 | 4.00% | 06/01/47 | 64,003 | |
71,803 | Pool BD7081 | 4.00% | 03/01/47 | 66,976 | |
5,487,813 | Pool BE3774 | 4.00% | 07/01/47 | 5,176,935 | |
728,839 | Pool BJ2692 | 3.50% | 04/01/48 | 662,882 | |
896,410 | Pool BM1903 | 3.50% | 08/01/47 | 817,546 | |
241,147 | Pool BM2000 | 3.50% | 05/01/47 | 220,435 | |
626,537 | Pool BM3260 | 3.50% | 01/01/48 | 569,793 | |
264,120 | Pool BM4299 | 3.00% | 03/01/30 | 255,385 | |
231,825 | Pool BM4304 | 3.00% | 02/01/30 | 224,412 | |
759,135 | Pool BM4472 | 3.50% | 07/01/48 | 691,629 | |
1,614,658 | Pool BM5585 | 3.00% | 11/01/48 | 1,415,769 | |
12,672,465 | Pool BN7755 | 3.00% | 09/01/49 | 11,102,263 | |
27,870,768 | Pool BQ6913 | 2.00% | 12/01/51 | 22,249,462 | |
46,772,746 | Pool BQ7006 | 2.00% | 01/01/52 | 37,384,990 | |
24,058,903 | Pool BT6179 | 2.50% | 07/01/51 | 20,021,019 | |
11,136,354 | Pool BV2784 | 2.50% | 02/01/52 | 9,244,141 | |
16,314,688 | Pool BV3101 | 2.00% | 03/01/52 | 13,021,486 | |
22,356,336 | Pool BV4133 | 2.50% | 03/01/52 | 18,542,366 | |
9,036,223 | Pool BV8515 | 3.00% | 05/01/52 | 7,798,814 | |
21,280,678 | Pool BW9886 | 4.50% | 10/01/52 | 20,190,548 | |
936,674 | Pool CA0854 | 3.50% | 12/01/47 | 852,782 | |
432,390 | Pool CA0907 | 3.50% | 12/01/47 | 393,665 | |
364,408 | Pool CA0996 | 3.50% | 01/01/48 | 331,629 | |
2,655,954 | Pool CA1182 | 3.50% | 02/01/48 | 2,417,042 | |
440,930 | Pool CA1187 | 3.50% | 02/01/48 | 402,303 | |
310,469 | Pool CA1710 | 4.50% | 05/01/48 | 299,217 | |
202,382 | Pool CA1711 | 4.50% | 05/01/48 | 194,984 | |
119,191 | Pool CA2208 | 4.50% | 08/01/48 | 114,580 | |
436,055 | Pool CA2327 | 4.00% | 09/01/48 | 412,273 | |
2,835,915 | Pool CA3633 | 3.50% | 06/01/49 | 2,586,562 | |
11,832,165 | Pool CA4534 | 3.00% | 11/01/49 | 10,365,876 | |
3,940,164 | Pool FM2870 | 3.00% | 03/01/50 | 3,451,833 | |
6,750,890 | Pool FM5397 | 3.00% | 12/01/50 | 5,911,038 | |
28,518,271 | Pool FS1598 | 2.00% | 04/01/52 | 22,742,278 | |
209,940 | Pool MA1146 | 4.00% | 08/01/42 | 198,440 | |
380,886 | Pool MA1373 | 3.50% | 03/01/43 | 348,572 | |
385,730 | Pool MA2077 | 3.50% | 11/01/34 | 366,868 | |
107,070 | Pool MA2145 | 4.00% | 01/01/45 | 101,666 | |
440,317 | Pool MA2670 | 3.00% | 07/01/46 | 386,558 | |
427,456 | Pool MA2806 | 3.00% | 11/01/46 | 376,239 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal National Mortgage Association (Continued) | |||||
$11,905 | Pool MA2896 | 3.50% | 02/01/47 | $10,832 | |
381,840 | Pool MA3057 | 3.50% | 07/01/47 | 347,922 | |
172,761 | Pool MA3088 | 4.00% | 08/01/47 | 162,572 | |
403,017 | Pool MA3210 | 3.50% | 12/01/47 | 366,531 | |
4,525,008 | Pool MA3238 | 3.50% | 01/01/48 | 4,120,863 | |
383,294 | Pool MA3239 | 4.00% | 01/01/48 | 360,686 | |
190,005 | Pool MA3276 | 3.50% | 02/01/48 | 172,806 | |
546,415 | Pool MA3332 | 3.50% | 04/01/48 | 496,950 | |
146,858 | Pool MA3336 | 3.50% | 04/01/38 | 136,491 | |
94,767 | Pool MA3410 | 3.50% | 07/01/33 | 90,638 | |
132,880 | Pool MA3537 | 4.50% | 12/01/48 | 128,257 | |
565,066 | Pool MA3846 | 3.00% | 11/01/49 | 481,315 | |
485,191 | Pool MA4078 | 2.50% | 07/01/50 | 406,555 | |
8,932,625 | Pool MA4093 | 2.00% | 08/01/40 | 7,504,004 | |
178,927 | Pool MA4120 | 2.50% | 09/01/50 | 150,199 | |
6,124,674 | Pool MA4128 | 2.00% | 09/01/40 | 5,175,383 | |
6,857,210 | Pool MA4152 | 2.00% | 10/01/40 | 5,750,309 | |
5,078,637 | Pool MA4158 | 2.00% | 10/01/50 | 4,076,296 | |
3,675,567 | Pool MA4176 | 2.00% | 11/01/40 | 3,093,847 | |
13,164,482 | Pool MA4364 | 2.00% | 06/01/41 | 11,051,330 | |
1,280,074 | Pool MA4379 | 2.50% | 07/01/51 | 1,066,635 | |
135,332 | Pool MA4438 | 2.50% | 10/01/51 | 112,479 | |
18,209,728 | Pool MA4548 | 2.50% | 02/01/52 | 15,103,123 | |
26,050,000 | Pool TBA (a) | 2.50% | 09/15/53 | 21,584,867 | |
27,325,000 | Pool TBA (a) | 3.00% | 09/15/53 | 23,547,532 | |
100,550,000 | Pool TBA (a) | 3.50% | 09/15/53 | 89,886,201 | |
91,525,000 | Pool TBA (a) | 4.00% | 09/15/53 | 84,489,016 | |
94,875,000 | Pool TBA (a) | 5.00% | 09/15/53 | 92,000,955 | |
125,550,000 | Pool TBA (a) | 5.50% | 09/15/53 | 123,970,817 | |
149,275,000 | Pool TBA (a) | 2.00% | 10/15/53 | 119,040,982 | |
65,075,000 | Pool TBA (a) | 2.50% | 10/15/53 | 53,994,455 | |
82,500,000 | Pool TBA (a) | 3.00% | 10/15/53 | 71,172,364 | |
33,050,000 | Pool TBA (a) | 4.00% | 10/15/53 | 30,540,266 | |
111,700,000 | Pool TBA (a) | 4.50% | 10/15/53 | 105,984,102 | |
65,225,000 | Pool TBA (a) | 5.00% | 10/15/53 | 63,279,716 | |
Government National Mortgage Association | |||||
171,442 | Pool MA1157 | 3.50% | 07/20/43 | 159,075 | |
500,304 | Pool MA2825 | 3.00% | 05/20/45 | 449,244 | |
169,089 | Pool MA3521 | 3.50% | 03/20/46 | 155,938 | |
7,168,092 | Pool MA3662 | 3.00% | 05/20/46 | 6,420,912 | |
648,589 | Pool MA3663 | 3.50% | 05/20/46 | 598,942 | |
438,666 | Pool MA3735 | 3.00% | 06/20/46 | 392,794 | |
8,903,342 | Pool MA3937 | 3.50% | 09/20/46 | 8,216,285 | |
122,894 | Pool MA4069 | 3.50% | 11/20/46 | 113,538 | |
71,251 | Pool MA4195 | 3.00% | 01/20/47 | 63,669 | |
84,983 | Pool MA4196 | 3.50% | 01/20/47 | 78,466 | |
427,747 | Pool MA4261 | 3.00% | 02/20/47 | 382,216 | |
109,112 | Pool MA4262 | 3.50% | 02/20/47 | 100,624 | |
2,747,908 | Pool MA4322 | 4.00% | 03/20/47 | 2,603,523 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Government National Mortgage Association (Continued) | |||||
$2,907,313 | Pool MA4382 | 3.50% | 04/20/47 | $2,681,143 | |
34,460 | Pool MA4453 | 4.50% | 05/20/47 | 33,476 | |
36,469 | Pool MA4586 | 3.50% | 07/20/47 | 33,639 | |
235,246 | Pool MA4588 | 4.50% | 07/20/47 | 228,102 | |
641,584 | Pool MA4651 | 3.00% | 08/20/47 | 572,165 | |
928,888 | Pool MA4652 | 3.50% | 08/20/47 | 853,768 | |
320,715 | Pool MA4719 | 3.50% | 09/20/47 | 294,971 | |
38,906 | Pool MA4722 | 5.00% | 09/20/47 | 38,495 | |
31,996 | Pool MA4777 | 3.00% | 10/20/47 | 28,530 | |
800,463 | Pool MA4778 | 3.50% | 10/20/47 | 737,223 | |
769,612 | Pool MA4836 | 3.00% | 11/20/47 | 686,264 | |
795,530 | Pool MA4837 | 3.50% | 11/20/47 | 732,670 | |
267,040 | Pool MA4838 | 4.00% | 11/20/47 | 252,599 | |
44,442 | Pool MA4901 | 4.00% | 12/20/47 | 42,072 | |
205,675 | Pool MA4961 | 3.00% | 01/20/48 | 183,536 | |
275,680 | Pool MA4962 | 3.50% | 01/20/48 | 253,981 | |
400,207 | Pool MA4963 | 4.00% | 01/20/48 | 378,894 | |
201,272 | Pool MA5078 | 4.00% | 03/20/48 | 190,339 | |
553,387 | Pool MA5136 | 3.50% | 04/20/48 | 509,336 | |
418,073 | Pool MA5399 | 4.50% | 08/20/48 | 403,635 | |
167,525 | Pool MA5466 | 4.00% | 09/20/48 | 157,495 | |
44,060 | Pool MA5467 | 4.50% | 09/20/48 | 42,571 | |
116,453 | Pool MA5597 | 5.00% | 11/20/48 | 115,139 | |
137,128 | Pool MA5976 | 3.50% | 06/20/49 | 123,645 | |
34,851 | Pool MA6030 | 3.50% | 07/20/49 | 31,381 | |
201,245 | Pool MA6080 | 3.00% | 08/20/49 | 174,671 | |
53,275,000 | Pool TBA (a) | 2.50% | 09/15/53 | 45,333,695 | |
17,325,000 | Pool TBA (a) | 4.50% | 09/15/53 | 16,511,537 | |
9,100,000 | Pool TBA (a) | 5.00% | 09/15/53 | 8,855,615 | |
1,503,759,699 | |||||
Total U.S. Government Agency Mortgage-Backed Securities | 1,509,208,739 | ||||
(Cost $1,577,449,400) | |||||
U.S. GOVERNMENT BONDS AND NOTES — 32.9% | |||||
3,084,000 | U.S. Treasury Bond | 2.00% | 11/15/41 | 2,159,282 | |
62,810,000 | U.S. Treasury Bond | 3.88% | 05/15/43 | 58,432,928 | |
194,885,000 | U.S. Treasury Bond | 4.38% | 08/15/43 | 194,397,787 | |
185,345,000 | U.S. Treasury Bond | 4.13% | 08/15/53 | 182,897,868 | |
24,723,667 | U.S. Treasury Inflation Indexed Bond (b) | 1.25% | 04/15/28 | 23,812,374 | |
6,469,745 | U.S. Treasury Inflation Indexed Bond (b) | 1.13% | 01/15/33 | 6,037,938 | |
22,223,864 | U.S. Treasury Inflation Indexed Bond (b) | 1.38% | 07/15/33 | 21,251,264 | |
13,695,000 | U.S. Treasury Note | 4.75% | 07/31/25 | 13,659,157 | |
327,569,500 | U.S. Treasury Note | 5.00% | 08/31/25 | 328,516,379 | |
93,100,000 | U.S. Treasury Note | 4.13% | 07/31/28 | 92,561,766 | |
443,860,000 | U.S. Treasury Note | 4.38% | 08/31/28 | 446,616,788 | |
123,940,000 | U.S. Treasury Note | 3.88% | 08/15/33 | 121,742,001 | |
Total U.S. Government Bonds and Notes | 1,492,085,532 | ||||
(Cost $1,487,438,323) |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (c) — 20.2% | |||||
Aerospace/Defense — 0.3% | |||||
$3,208,000 | BAE Systems Holdings, Inc. (d) | 3.85% | 12/15/25 | $3,094,213 | |
8,500,000 | Boeing (The) Co. | 1.43% | 02/04/24 | 8,337,299 | |
1,610,000 | Boeing (The) Co. | 4.88% | 05/01/25 | 1,588,605 | |
13,020,117 | |||||
Agriculture — 0.4% | |||||
979,000 | BAT Capital Corp. | 3.56% | 08/15/27 | 908,625 | |
1,400,000 | BAT Capital Corp. | 2.73% | 03/25/31 | 1,109,599 | |
4,530,000 | BAT Capital Corp. | 4.39% | 08/15/37 | 3,590,215 | |
1,855,000 | BAT Capital Corp. | 4.54% | 08/15/47 | 1,350,058 | |
409,000 | BAT Capital Corp. | 4.76% | 09/06/49 | 303,570 | |
2,143,000 | BAT Capital Corp. | 5.65% | 03/16/52 | 1,795,537 | |
4,250,000 | Reynolds American, Inc. | 5.70% | 08/15/35 | 3,934,584 | |
3,735,000 | Reynolds American, Inc. | 5.85% | 08/15/45 | 3,247,095 | |
16,239,283 | |||||
Airlines — 0.4% | |||||
827,524 | American Airlines Pass-Through Trust, Series 2014-1, Class A | 3.70% | 10/01/26 | 756,342 | |
100,260 | American Airlines Pass-Through Trust, Series 2015-2, Class AA | 3.60% | 09/22/27 | 93,487 | |
3,334,459 | American Airlines Pass-Through Trust, Series 2016-1, Class AA | 3.58% | 01/15/28 | 3,090,853 | |
4,103,091 | Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA | 2.00% | 06/10/28 | 3,616,786 | |
7,527,668 | JetBlue Pass-Through Trust, Series 2020-1, Class A | 4.00% | 11/15/32 | 6,938,970 | |
6,000,000 | United Airlines Pass-Through Trust, Series 2023-1, Class A | 5.80% | 01/15/36 | 6,002,677 | |
20,499,115 | |||||
Banks — 5.5% | |||||
2,500,000 | Bank of America Corp. (e) | 2.30% | 07/21/32 | 1,972,318 | |
1,455,000 | Bank of America Corp. (e) | 2.57% | 10/20/32 | 1,166,750 | |
21,290,000 | Bank of America Corp., Series N (e) | 1.66% | 03/11/27 | 19,246,079 | |
8,965,000 | Bank of America Corp., Medium-Term Note (e) | 2.55% | 02/04/28 | 8,112,537 | |
1,345,000 | Bank of America Corp., Medium-Term Note (e) | 3.97% | 03/05/29 | 1,257,413 | |
12,261,000 | Bank of America Corp., Medium-Term Note (e) | 2.09% | 06/14/29 | 10,468,338 | |
2,839,000 | Bank of America Corp., Medium-Term Note (e) | 3.97% | 02/07/30 | 2,615,178 | |
5,265,000 | Bank of America Corp., Medium-Term Note (e) | 1.92% | 10/24/31 | 4,127,445 | |
5,310,000 | Citigroup, Inc. (e) | 3.07% | 02/24/28 | 4,876,660 | |
2,375,000 | Citigroup, Inc. (e) | 3.52% | 10/27/28 | 2,193,025 | |
4,110,000 | Citigroup, Inc. (e) | 2.98% | 11/05/30 | 3,536,857 | |
9,765,000 | Citigroup, Inc. (e) | 2.57% | 06/03/31 | 8,068,787 | |
720,000 | Citigroup, Inc. (e) | 2.56% | 05/01/32 | 580,314 | |
585,000 | Citigroup, Inc. (e) | 2.52% | 11/03/32 | 464,462 | |
15,187,000 | Citigroup, Inc. (e) | 3.06% | 01/25/33 | 12,533,757 | |
10,000,000 | Goldman Sachs Group (The), Inc. | 1.22% | 12/06/23 | 9,881,735 | |
1,995,000 | Goldman Sachs Group (The), Inc. (e) | 0.93% | 10/21/24 | 1,979,438 | |
950,000 | Goldman Sachs Group (The), Inc. (e) | 3.27% | 09/29/25 | 921,704 | |
18,965,000 | Goldman Sachs Group (The), Inc. (e) | 1.54% | 09/10/27 | 16,754,023 | |
845,000 | Goldman Sachs Group (The), Inc. (e) | 2.64% | 02/24/28 | 765,134 | |
265,000 | Goldman Sachs Group (The), Inc. (e) | 1.99% | 01/27/32 | 206,454 | |
6,615,000 | Goldman Sachs Group (The), Inc. (e) | 2.38% | 07/21/32 | 5,230,673 | |
3,265,000 | Goldman Sachs Group (The), Inc. (e) | 2.65% | 10/21/32 | 2,620,971 | |
13,465,000 | JPMorgan Chase & Co. (e) | 0.97% | 06/23/25 | 12,911,801 | |
8,015,000 | JPMorgan Chase & Co. (e) | 1.56% | 12/10/25 | 7,571,991 | |
1,895,000 | JPMorgan Chase & Co. (e) | 1.04% | 02/04/27 | 1,696,815 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (c) (Continued) | |||||
Banks (Continued) | |||||
$10,455,000 | JPMorgan Chase & Co. (e) | 1.58% | 04/22/27 | $9,392,547 | |
2,625,000 | JPMorgan Chase & Co. (e) | 4.01% | 04/23/29 | 2,463,698 | |
1,445,000 | JPMorgan Chase & Co. (e) | 2.07% | 06/01/29 | 1,240,313 | |
3,900,000 | JPMorgan Chase & Co. (e) | 1.95% | 02/04/32 | 3,074,927 | |
3,145,000 | JPMorgan Chase & Co. (e) | 2.58% | 04/22/32 | 2,575,522 | |
3,020,000 | JPMorgan Chase & Co. (e) | 2.55% | 11/08/32 | 2,440,657 | |
495,000 | Morgan Stanley (e) | 0.99% | 12/10/26 | 444,279 | |
4,615,000 | Morgan Stanley (e) | 2.48% | 09/16/36 | 3,482,352 | |
3,751,000 | Morgan Stanley, Global Medium-Term Note (e) | 1.51% | 07/20/27 | 3,331,720 | |
1,975,000 | Morgan Stanley, Global Medium-Term Note (e) | 2.24% | 07/21/32 | 1,554,169 | |
13,355,000 | Morgan Stanley, Medium-Term Note (e) | 1.16% | 10/21/25 | 12,601,066 | |
4,440,000 | Morgan Stanley, Medium-Term Note (e) | 1.93% | 04/28/32 | 3,424,750 | |
2,095,000 | PNC Financial Services Group (The), Inc. (e) | 5.58% | 06/12/29 | 2,078,560 | |
970,000 | PNC Financial Services Group (The), Inc. (e) | 6.04% | 10/28/33 | 985,886 | |
8,545,000 | PNC Financial Services Group (The), Inc. (e) | 5.07% | 01/24/34 | 8,098,604 | |
1,525,000 | US Bancorp (e) | 5.85% | 10/21/33 | 1,519,760 | |
9,835,000 | US Bancorp (e) | 4.84% | 02/01/34 | 9,127,211 | |
2,420,000 | US Bancorp (e) | 5.84% | 06/12/34 | 2,418,828 | |
4,320,000 | Wells Fargo & Co., Medium-Term Note (e) | 2.16% | 02/11/26 | 4,086,934 | |
10,185,000 | Wells Fargo & Co., Medium-Term Note (e) | 3.53% | 03/24/28 | 9,483,060 | |
8,109,000 | Wells Fargo & Co., Medium-Term Note (e) | 2.39% | 06/02/28 | 7,219,900 | |
5,790,000 | Wells Fargo & Co., Medium-Term Note (e) | 2.88% | 10/30/30 | 4,957,509 | |
11,865,000 | Wells Fargo & Co., Medium-Term Note (e) | 3.35% | 03/02/33 | 9,996,358 | |
3,795,000 | Wells Fargo & Co., Medium-Term Note (e) | 4.90% | 07/25/33 | 3,572,430 | |
251,331,699 | |||||
Beverages — 0.1% | |||||
4,300,000 | Constellation Brands, Inc. | 2.88% | 05/01/30 | 3,714,379 | |
3,500,000 | Triton Water Holdings, Inc. (d) | 6.25% | 04/01/29 | 2,978,340 | |
6,692,719 | |||||
Biotechnology — 0.3% | |||||
2,010,000 | Amgen, Inc. | 5.25% | 03/02/33 | 2,000,391 | |
2,510,000 | Amgen, Inc. | 5.60% | 03/02/43 | 2,465,039 | |
1,412,000 | Amgen, Inc. | 4.40% | 05/01/45 | 1,188,865 | |
900,000 | Amgen, Inc. | 4.88% | 03/01/53 | 799,540 | |
4,520,000 | Amgen, Inc. | 5.75% | 03/02/63 | 4,467,144 | |
1,510,000 | Regeneron Pharmaceuticals, Inc. | 1.75% | 09/15/30 | 1,202,507 | |
12,123,486 | |||||
Chemicals — 0.2% | |||||
890,000 | International Flavors & Fragrances, Inc. (EUR) | 1.80% | 09/25/26 | 873,853 | |
8,003,000 | International Flavors & Fragrances, Inc. (d) | 2.30% | 11/01/30 | 6,215,911 | |
1,040,000 | International Flavors & Fragrances, Inc. (d) | 3.27% | 11/15/40 | 693,200 | |
3,359,000 | International Flavors & Fragrances, Inc. | 5.00% | 09/26/48 | 2,672,705 | |
830,000 | International Flavors & Fragrances, Inc. (d) | 3.47% | 12/01/50 | 516,809 | |
10,972,478 | |||||
Commercial Services — 0.2% | |||||
2,485,000 | Global Payments, Inc. (EUR) | 4.88% | 03/17/31 | 2,703,202 | |
1,730,000 | Global Payments, Inc. | 5.40% | 08/15/32 | 1,697,163 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (c) (Continued) | |||||
Commercial Services (Continued) | |||||
$2,366,000 | Global Payments, Inc. | 5.95% | 08/15/52 | $2,260,175 | |
500,000 | WASH Multifamily Acquisition, Inc. (d) | 5.75% | 04/15/26 | 464,147 | |
7,124,687 | |||||
Computers — 0.1% | |||||
3,261,000 | NCR Corp. (d) | 5.25% | 10/01/30 | 2,929,543 | |
Diversified Financial Services — 0.4% | |||||
1,890,000 | Air Lease Corp. | 3.25% | 03/01/25 | 1,810,113 | |
940,000 | Air Lease Corp. | 3.38% | 07/01/25 | 896,447 | |
3,000,000 | Air Lease Corp. | 4.63% | 10/01/28 | 2,828,772 | |
360,000 | Air Lease Corp., Medium-Term Note | 2.30% | 02/01/25 | 340,962 | |
7,930,000 | Capital One Financial Corp. (e) | 1.34% | 12/06/24 | 7,817,145 | |
3,755,000 | Discover Financial Services | 3.95% | 11/06/24 | 3,658,957 | |
1,500,000 | Jane Street Group/JSG Finance, Inc. (d) | 4.50% | 11/15/29 | 1,317,953 | |
18,670,349 | |||||
Electric — 2.0% | |||||
2,655,000 | Alliant Energy Finance LLC (d) | 1.40% | 03/15/26 | 2,366,343 | |
200,000 | Ameren Illinois Co. | 3.70% | 12/01/47 | 154,884 | |
3,000,000 | Appalachian Power Co., Series Z | 3.70% | 05/01/50 | 2,164,803 | |
12,605,000 | Arizona Public Service Co. | 6.35% | 12/15/32 | 13,281,477 | |
2,670,000 | Baltimore Gas and Electric Co. | 4.55% | 06/01/52 | 2,309,775 | |
1,625,000 | Baltimore Gas and Electric Co. | 5.40% | 06/01/53 | 1,605,034 | |
750,000 | Cleco Power LLC | 6.00% | 12/01/40 | 714,968 | |
5,953,000 | Commonwealth Edison Co. | 6.45% | 01/15/38 | 6,413,034 | |
500,000 | Consolidated Edison Co. of New York, Inc. | 4.50% | 05/15/58 | 408,098 | |
1,695,000 | Dominion Energy, Inc., Series A | 3.30% | 03/15/25 | 1,637,817 | |
2,375,000 | Duke Energy Carolinas LLC | 5.35% | 01/15/53 | 2,312,263 | |
2,000,000 | Duke Energy Corp. (EUR) | 3.85% | 06/15/34 | 1,993,130 | |
3,500,000 | Duke Energy Progress LLC | 5.25% | 03/15/33 | 3,505,745 | |
750,000 | Entergy Texas, Inc. | 3.45% | 12/01/27 | 687,435 | |
9,101,000 | FirstEnergy Transmission LLC (d) | 2.87% | 09/15/28 | 7,998,377 | |
3,855,000 | Interstate Power and Light Co. | 2.30% | 06/01/30 | 3,167,935 | |
1,500,000 | ITC Holdings Corp. (d) | 2.95% | 05/14/30 | 1,283,706 | |
5,000,000 | ITC Holdings Corp. (d) | 5.40% | 06/01/33 | 4,916,965 | |
1,750,000 | Jersey Central Power & Light Co. (d) | 4.30% | 01/15/26 | 1,697,897 | |
830,000 | Metropolitan Edison Co. (d) | 4.00% | 04/15/25 | 787,707 | |
2,253,000 | Metropolitan Edison Co. (d) | 4.30% | 01/15/29 | 2,135,788 | |
10,000,000 | Niagara Mohawk Power Corp. (d) | 3.03% | 06/27/50 | 6,390,239 | |
4,820,000 | Oncor Electric Delivery Co. LLC (d) | 4.95% | 09/15/52 | 4,480,164 | |
825,000 | Public Service Co. of New Mexico | 3.85% | 08/01/25 | 789,045 | |
4,080,000 | Puget Sound Energy, Inc. | 5.45% | 06/01/53 | 3,993,710 | |
5,705,000 | Southwestern Electric Power Co. | 5.30% | 04/01/33 | 5,590,116 | |
3,480,000 | Southwestern Public Service Co., Series 9 | 5.15% | 06/01/52 | 3,066,371 | |
700,000 | Trans-Allegheny Interstate Line Co. (d) | 3.85% | 06/01/25 | 676,501 | |
2,310,000 | Tucson Electric Power Co. | 5.50% | 04/15/53 | 2,229,477 | |
1,505,000 | Xcel Energy, Inc. | 4.80% | 09/15/41 | 1,295,805 | |
90,054,609 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (c) (Continued) | |||||
Entertainment — 0.4% | |||||
$9,840,000 | Warnermedia Holdings, Inc. | 5.05% | 03/15/42 | $8,098,048 | |
11,190,000 | Warnermedia Holdings, Inc. | 5.14% | 03/15/52 | 8,926,400 | |
17,024,448 | |||||
Food — 0.2% | |||||
1,000,000 | Pilgrim’s Pride Corp. (d) | 5.88% | 09/30/27 | 990,076 | |
4,075,000 | Pilgrim’s Pride Corp. | 3.50% | 03/01/32 | 3,285,306 | |
2,041,000 | Pilgrim’s Pride Corp. | 6.25% | 07/01/33 | 2,027,929 | |
2,500,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed (d) | 4.63% | 03/01/29 | 2,082,849 | |
8,386,160 | |||||
Gas — 0.3% | |||||
2,180,000 | KeySpan Gas East Corp. (d) | 5.99% | 03/06/33 | 2,167,554 | |
4,305,000 | NiSource, Inc. | 5.40% | 06/30/33 | 4,267,824 | |
4,125,000 | Piedmont Natural Gas Co., Inc. | 5.40% | 06/15/33 | 4,075,030 | |
500,000 | Piedmont Natural Gas Co., Inc. | 3.35% | 06/01/50 | 329,038 | |
3,856,000 | Southern Co. Gas Capital Corp. | 5.88% | 03/15/41 | 3,819,651 | |
200,000 | Spire, Inc. | 3.54% | 02/27/24 | 197,727 | |
14,856,824 | |||||
Healthcare-Products — 0.2% | |||||
525,000 | Alcon Finance Corp. (d) | 2.75% | 09/23/26 | 485,019 | |
1,500,000 | Alcon Finance Corp. (d) | 2.60% | 05/27/30 | 1,266,073 | |
3,015,000 | DENTSPLY SIRONA, Inc. | 3.25% | 06/01/30 | 2,592,205 | |
5,000,000 | Revvity, Inc. | 2.55% | 03/15/31 | 4,106,151 | |
8,449,448 | |||||
Healthcare-Services — 1.4% | |||||
2,105,000 | Bon Secours Mercy Health, Inc., Series 20-2 | 2.10% | 06/01/31 | 1,688,403 | |
1,845,000 | Centene Corp. | 4.25% | 12/15/27 | 1,727,636 | |
9,311,000 | Centene Corp. | 2.45% | 07/15/28 | 7,981,976 | |
2,982,000 | Centene Corp. | 3.00% | 10/15/30 | 2,483,185 | |
475,000 | CommonSpirit Health | 2.78% | 10/01/30 | 399,639 | |
473,000 | Fortrea Holdings, Inc. (d) | 7.50% | 07/01/30 | 463,540 | |
3,250,000 | HCA, Inc. | 3.13% | 03/15/27 | 2,988,267 | |
8,233,000 | HCA, Inc. | 4.13% | 06/15/29 | 7,608,742 | |
3,800,000 | HCA, Inc. | 3.50% | 09/01/30 | 3,320,547 | |
11,264,000 | HCA, Inc. | 3.63% | 03/15/32 | 9,691,701 | |
7,530,000 | IQVIA, Inc. (d) | 5.70% | 05/15/28 | 7,511,454 | |
4,219,000 | ModivCare Escrow Issuer, Inc. (d) | 5.00% | 10/01/29 | 3,115,310 | |
850,000 | ModivCare, Inc. (d) | 5.88% | 11/15/25 | 807,381 | |
5,228,000 | Molina Healthcare, Inc. (d) | 3.88% | 05/15/32 | 4,342,748 | |
200,000 | New York and Presbyterian (The) Hospital | 3.56% | 08/01/36 | 165,663 | |
5,910,000 | Providence St Joseph Health Obligated Group | 5.40% | 10/01/33 | 5,833,575 | |
160,000 | UnitedHealth Group, Inc. | 4.45% | 12/15/48 | 140,603 | |
2,630,000 | Universal Health Services, Inc. | 1.65% | 09/01/26 | 2,336,998 | |
62,607,368 | |||||
Insurance — 1.2% | |||||
3,505,000 | Arthur J Gallagher & Co. | 5.75% | 03/02/53 | 3,440,689 | |
5,090,000 | Athene Global Funding, SOFR Compounded Index + 0.70% (d) (f) | 6.03% | 05/24/24 | 5,053,412 | |
2,145,000 | Athene Global Funding (d) | 3.21% | 03/08/27 | 1,935,078 | |
5,585,000 | Athene Global Funding (d) | 1.99% | 08/19/28 | 4,629,589 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (c) (Continued) | |||||
Insurance (Continued) | |||||
$2,605,000 | Athene Global Funding (d) | 2.72% | 01/07/29 | $2,176,760 | |
1,650,000 | Farmers Exchange Capital (d) | 7.05% | 07/15/28 | 1,661,258 | |
2,200,000 | Farmers Exchange Capital II (d) (e) | 6.15% | 11/01/53 | 2,121,972 | |
1,770,000 | Farmers Exchange Capital III (d) (e) | 5.45% | 10/15/54 | 1,533,652 | |
600,000 | Farmers Insurance Exchange (d) | 8.63% | 05/01/24 | 603,549 | |
3,495,000 | Farmers Insurance Exchange (d) (e) | 4.75% | 11/01/57 | 2,722,187 | |
4,645,000 | Metropolitan Life Global Funding I (d) | 3.45% | 12/18/26 | 4,382,479 | |
2,380,000 | Metropolitan Life Global Funding I (d) | 5.15% | 03/28/33 | 2,328,975 | |
7,000,000 | National General Holdings Corp. (d) | 6.75% | 05/15/24 | 6,965,952 | |
1,525,000 | Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (d) (f) | 7.84% | 12/15/24 | 1,523,498 | |
1,665,000 | New York Life Insurance Co. (d) | 3.75% | 05/15/50 | 1,243,967 | |
1,790,000 | Teachers Insurance & Annuity Association of America (d) | 4.90% | 09/15/44 | 1,608,888 | |
3,910,000 | Teachers Insurance & Annuity Association of America (d) | 4.27% | 05/15/47 | 3,167,201 | |
1,980,000 | Teachers Insurance & Annuity Association of America (d) (e) | 4.38% | 09/15/54 | 1,926,552 | |
6,015,000 | Willis North America, Inc. | 5.35% | 05/15/33 | 5,812,300 | |
54,837,958 | |||||
Internet — 0.2% | |||||
1,905,000 | Meta Platforms, Inc. | 4.45% | 08/15/52 | 1,617,950 | |
6,200,000 | Meta Platforms, Inc. | 5.60% | 05/15/53 | 6,229,952 | |
1,945,000 | Netflix, Inc. (EUR) | 4.63% | 05/15/29 | 2,156,832 | |
375,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc. (d) | 4.75% | 04/30/27 | 330,255 | |
10,334,989 | |||||
Investment Companies — 0.1% | |||||
1,316,000 | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. | 6.25% | 05/15/26 | 1,220,760 | |
2,322,000 | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. | 5.25% | 05/15/27 | 2,040,063 | |
3,260,823 | |||||
Lodging — 0.1% | |||||
4,385,000 | Hyatt Hotels Corp. | 1.80% | 10/01/24 | 4,199,389 | |
Media — 0.7% | |||||
875,000 | Cable One, Inc. (d) | 4.00% | 11/15/30 | 683,303 | |
1,475,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 4.91% | 07/23/25 | 1,449,710 | |
1,410,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 2.30% | 02/01/32 | 1,065,047 | |
1,471,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.38% | 04/01/38 | 1,246,828 | |
6,920,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.38% | 05/01/47 | 5,533,448 | |
1,960,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.25% | 04/01/53 | 1,552,904 | |
3,570,000 | Cox Communications, Inc. (d) | 2.60% | 06/15/31 | 2,886,941 | |
4,670,000 | Cox Enterprises, Inc. (d) | 7.38% | 07/15/27 | 4,880,804 | |
7,000,000 | CSC Holdings LLC (d) | 6.50% | 02/01/29 | 5,793,431 | |
2,000,000 | CSC Holdings LLC (d) | 5.75% | 01/15/30 | 1,108,150 | |
5,278,000 | Diamond Sports Group LLC / Diamond Sports Finance Co. (d) (g) | 5.38% | 08/15/26 | 130,947 | |
8,320,000 | Time Warner Cable LLC | 5.50% | 09/01/41 | 6,840,932 | |
33,172,445 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (c) (Continued) | |||||
Miscellaneous Manufacturing — 0.0% | |||||
$943,000 | General Electric Co., Medium-Term Note, 3 Mo. CME Term SOFR + CSA + 0.38% (f) | 6.01% | 05/05/26 | $942,842 | |
Packaging & Containers — 0.3% | |||||
3,000,000 | Amcor Finance USA, Inc. | 3.63% | 04/28/26 | 2,844,861 | |
1,000,000 | Amcor Flexibles North America, Inc. | 2.63% | 06/19/30 | 823,876 | |
3,948,000 | Berry Global, Inc. | 1.57% | 01/15/26 | 3,592,109 | |
2,125,000 | Berry Global, Inc. (d) | 4.88% | 07/15/26 | 2,053,013 | |
2,809,000 | Berry Global, Inc. | 1.65% | 01/15/27 | 2,437,116 | |
3,670,000 | WRKCo, Inc. | 3.00% | 06/15/33 | 2,978,576 | |
14,729,551 | |||||
Pharmaceuticals — 0.7% | |||||
1,045,000 | Bayer US Finance II LLC (d) | 3.38% | 07/15/24 | 1,022,551 | |
625,000 | Bayer US Finance II LLC (d) | 2.85% | 04/15/25 | 591,746 | |
7,880,000 | Bayer US Finance II LLC (d) | 4.25% | 12/15/25 | 7,634,486 | |
3,160,000 | Bayer US Finance II LLC (d) | 4.38% | 12/15/28 | 3,003,248 | |
815,000 | Bayer US Finance II LLC (d) | 4.63% | 06/25/38 | 703,552 | |
1,750,000 | Bayer US Finance II LLC (d) | 4.40% | 07/15/44 | 1,381,919 | |
2,540,000 | Bayer US Finance II LLC (d) | 4.88% | 06/25/48 | 2,166,735 | |
2,107,000 | Becton Dickinson & Co. | 3.73% | 12/15/24 | 2,056,954 | |
2,000,000 | Cigna Group (The) | 3.40% | 03/01/27 | 1,881,270 | |
75,000 | Cigna Group (The) | 3.05% | 10/15/27 | 69,183 | |
1,225,000 | CVS Health Corp. | 1.75% | 08/21/30 | 971,946 | |
1,850,000 | CVS Health Corp. | 5.13% | 07/20/45 | 1,649,089 | |
8,430,000 | CVS Health Corp. | 5.05% | 03/25/48 | 7,398,936 | |
30,531,615 | |||||
Pipelines — 0.6% | |||||
6,000,000 | Columbia Pipelines Operating Co. LLC (d) | 6.04% | 11/15/33 | 6,066,003 | |
3,200,000 | Energy Transfer L.P. | 4.90% | 03/15/35 | 2,928,243 | |
260,000 | Energy Transfer L.P. | 5.15% | 03/15/45 | 219,538 | |
2,600,000 | Energy Transfer L.P. | 6.13% | 12/15/45 | 2,444,807 | |
3,606,000 | Energy Transfer L.P. | 5.40% | 10/01/47 | 3,109,116 | |
3,980,000 | Energy Transfer L.P. | 5.00% | 05/15/50 | 3,279,849 | |
3,640,000 | NGPL PipeCo LLC (d) | 4.88% | 08/15/27 | 3,489,242 | |
425,000 | Plains All American Pipeline L.P. / PAA Finance Corp. | 3.55% | 12/15/29 | 374,075 | |
1,350,000 | Plains All American Pipeline L.P. / PAA Finance Corp. | 3.80% | 09/15/30 | 1,195,543 | |
716,000 | Rockies Express Pipeline LLC (d) | 4.95% | 07/15/29 | 656,069 | |
1,500,000 | Rockies Express Pipeline LLC (d) | 4.80% | 05/15/30 | 1,312,917 | |
1,360,000 | Rockies Express Pipeline LLC (d) | 6.88% | 04/15/40 | 1,229,184 | |
158,000 | Sabine Pass Liquefaction LLC | 4.50% | 05/15/30 | 148,771 | |
221,000 | Williams (The) Cos., Inc. | 5.75% | 06/24/44 | 209,517 | |
26,662,874 | |||||
Real Estate Investment Trusts — 1.9% | |||||
612,000 | Alexandria Real Estate Equities, Inc. | 4.50% | 07/30/29 | 580,271 | |
500,000 | American Assets Trust L.P. | 3.38% | 02/01/31 | 388,782 | |
4,665,000 | American Homes 4 Rent L.P. | 3.38% | 07/15/51 | 2,994,893 | |
435,000 | American Homes 4 Rent L.P. | 4.30% | 04/15/52 | 336,924 | |
3,230,000 | American Tower Corp. | 2.70% | 04/15/31 | 2,644,451 | |
750,000 | American Tower Corp. (EUR) | 1.00% | 01/15/32 | 618,207 | |
3,500,000 | American Tower Corp. | 5.65% | 03/15/33 | 3,488,776 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (c) (Continued) | |||||
Real Estate Investment Trusts (Continued) | |||||
$7,465,000 | American Tower Corp. | 5.55% | 07/15/33 | $7,395,883 | |
5,340,000 | Crown Castle, Inc. | 5.10% | 05/01/33 | 5,142,491 | |
750,000 | CubeSmart L.P. | 4.38% | 02/15/29 | 703,156 | |
810,000 | CubeSmart L.P. | 2.50% | 02/15/32 | 639,221 | |
543,000 | Extra Space Storage L.P. | 3.90% | 04/01/29 | 497,795 | |
1,135,000 | Extra Space Storage L.P. | 2.20% | 10/15/30 | 906,733 | |
615,000 | Extra Space Storage L.P. | 2.55% | 06/01/31 | 494,290 | |
872,000 | Extra Space Storage L.P. | 2.40% | 10/15/31 | 685,481 | |
3,610,000 | Extra Space Storage L.P. | 2.35% | 03/15/32 | 2,810,883 | |
1,210,000 | GLP Capital L.P. / GLP Financing II, Inc. | 5.30% | 01/15/29 | 1,142,002 | |
10,755,000 | GLP Capital L.P. / GLP Financing II, Inc. | 4.00% | 01/15/30 | 9,392,916 | |
1,763,000 | GLP Capital L.P. / GLP Financing II, Inc. | 3.25% | 01/15/32 | 1,423,065 | |
895,000 | Healthcare Realty Holdings L.P. | 3.63% | 01/15/28 | 808,730 | |
2,000,000 | Healthcare Realty Holdings L.P. | 3.10% | 02/15/30 | 1,706,603 | |
6,805,000 | Healthcare Realty Holdings L.P. | 2.00% | 03/15/31 | 5,248,041 | |
453,000 | Healthcare Realty Holdings L.P. | 2.05% | 03/15/31 | 338,525 | |
5,085,000 | Hudson Pacific Properties L.P. | 3.95% | 11/01/27 | 4,002,457 | |
1,735,000 | Hudson Pacific Properties L.P. | 4.65% | 04/01/29 | 1,323,593 | |
1,135,000 | Hudson Pacific Properties L.P. | 3.25% | 01/15/30 | 770,096 | |
2,825,000 | Invitation Homes Operating Partnership L.P. | 2.00% | 08/15/31 | 2,164,562 | |
1,392,000 | Invitation Homes Operating Partnership L.P. | 2.70% | 01/15/34 | 1,059,800 | |
860,000 | Kilroy Realty L.P. | 2.50% | 11/15/32 | 606,451 | |
1,093,000 | Kilroy Realty L.P. | 2.65% | 11/15/33 | 759,942 | |
1,605,000 | LXP Industrial Trust | 2.70% | 09/15/30 | 1,273,797 | |
3,852,000 | LXP Industrial Trust | 2.38% | 10/01/31 | 2,917,459 | |
475,000 | Physicians Realty L.P. | 4.30% | 03/15/27 | 454,136 | |
54,000 | Physicians Realty L.P. | 3.95% | 01/15/28 | 49,538 | |
670,000 | Piedmont Operating Partnership L.P. | 3.15% | 08/15/30 | 484,153 | |
3,000,000 | Prologis Euro Finance LLC, Medium-Term Note (EUR) | 4.25% | 01/31/43 | 2,974,249 | |
1,705,000 | Realty Income Corp. (EUR) | 5.13% | 07/06/34 | 1,861,506 | |
170,000 | Rexford Industrial Realty L.P. | 2.15% | 09/01/31 | 131,406 | |
1,000,000 | Ventas Realty L.P. | 2.65% | 01/15/25 | 953,356 | |
100,000 | VICI Properties L.P. | 4.95% | 02/15/30 | 94,154 | |
5,984,000 | VICI Properties L.P. | 5.13% | 05/15/32 | 5,551,472 | |
350,000 | VICI Properties L.P. / VICI Note Co., Inc. (d) | 4.63% | 06/15/25 | 339,070 | |
1,275,000 | VICI Properties L.P. / VICI Note Co., Inc. (d) | 4.50% | 09/01/26 | 1,207,967 | |
55,000 | VICI Properties L.P. / VICI Note Co., Inc. (d) | 3.75% | 02/15/27 | 50,541 | |
867,000 | VICI Properties L.P. / VICI Note Co., Inc. (d) | 4.50% | 01/15/28 | 805,343 | |
2,675,000 | VICI Properties L.P. / VICI Note Co., Inc. (d) | 3.88% | 02/15/29 | 2,364,192 | |
2,240,000 | VICI Properties L.P. / VICI Note Co., Inc. (d) | 4.13% | 08/15/30 | 1,963,328 | |
84,550,687 | |||||
Retail — 0.2% | |||||
7,335,000 | 7-Eleven, Inc. (d) | 0.80% | 02/10/24 | 7,170,139 | |
1,000,000 | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. (d) | 6.75% | 01/15/30 | 826,675 | |
5,035,000 | Michaels (The) Cos., Inc. (d) | 7.88% | 05/01/29 | 3,494,793 | |
11,491,607 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (c) (Continued) | |||||
Semiconductors — 0.1% | |||||
$2,540,000 | Broadcom, Inc. (d) | 3.42% | 04/15/33 | $2,105,806 | |
2,000,000 | Broadcom, Inc. (d) | 3.47% | 04/15/34 | 1,635,099 | |
3,740,905 | |||||
Software — 0.5% | |||||
1,400,000 | Fiserv, Inc. | 2.25% | 06/01/27 | 1,256,581 | |
510,000 | Fiserv, Inc. | 2.65% | 06/01/30 | 429,325 | |
5,485,000 | Fiserv, Inc. | 5.60% | 03/02/33 | 5,522,238 | |
1,090,000 | Oracle Corp. | 6.50% | 04/15/38 | 1,150,574 | |
3,000,000 | Oracle Corp. | 4.13% | 05/15/45 | 2,320,549 | |
2,050,000 | Oracle Corp. | 4.00% | 11/15/47 | 1,530,270 | |
5,015,000 | Oracle Corp. | 3.60% | 04/01/50 | 3,468,756 | |
8,372,000 | Oracle Corp. | 3.95% | 03/25/51 | 6,124,643 | |
755,000 | Oracle Corp. | 6.90% | 11/09/52 | 822,908 | |
22,625,844 | |||||
Telecommunications — 1.2% | |||||
3,500,000 | AT&T, Inc. | 5.25% | 03/01/37 | 3,320,070 | |
145,000 | AT&T, Inc. | 4.30% | 12/15/42 | 117,565 | |
1,200,000 | AT&T, Inc. | 4.75% | 05/15/46 | 1,002,577 | |
3,880,000 | AT&T, Inc. | 4.50% | 03/09/48 | 3,099,514 | |
2,000,000 | Frontier Communications Holdings LLC (d) | 5.00% | 05/01/28 | 1,715,587 | |
1,500,000 | Frontier Communications Holdings LLC (d) | 8.75% | 05/15/30 | 1,459,378 | |
2,166,000 | Frontier Communications Holdings LLC (d) | 8.63% | 03/15/31 | 2,087,915 | |
4,500,000 | SES GLOBAL Americas Holdings, Inc. (d) | 5.30% | 03/25/44 | 3,215,222 | |
3,280,000 | Sprint Capital Corp. | 8.75% | 03/15/32 | 3,912,253 | |
235,813 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (d) | 4.74% | 03/20/25 | 233,499 | |
20,087,750 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (d) | 5.15% | 03/20/28 | 19,920,728 | |
3,415,000 | T-Mobile USA, Inc. | 3.75% | 04/15/27 | 3,238,194 | |
6,980,000 | T-Mobile USA, Inc. | 3.88% | 04/15/30 | 6,373,455 | |
6,231,000 | T-Mobile USA, Inc. | 2.55% | 02/15/31 | 5,137,779 | |
54,833,736 | |||||
Total Corporate Bonds and Notes | 916,897,598 | ||||
(Cost $1,006,069,031) | |||||
ASSET-BACKED SECURITIES — 10.3% | |||||
ACE Securities Corp. Home Equity Loan Trust | |||||
14,148,861 | Series 2007-HE1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.30% (f) | 5.73% | 01/25/37 | 7,610,803 | |
12,573,716 | Series 2007-WM2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.21% (f) | 5.64% | 02/25/37 | 5,406,532 | |
AGL CLO Ltd. | |||||
13,000,000 | Series 2021-12A, Class A1, 3 Mo. CME Term SOFR + CSA + 1.16% (d) (f) | 6.75% | 07/20/34 | 12,925,401 | |
AMSR Trust | |||||
5,000,000 | Series 2021-SFR3, Class G (d) | 3.80% | 10/17/38 | 4,233,711 | |
Argent Securities, Inc. | |||||
87,588 | Series 2005-W2, Class M1, 1 Mo. CME Term SOFR + CSA + 0.74% (f) | 6.16% | 10/25/35 | 85,269 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Asset Backed Funding Certificates Trust | |||||
$8,118,160 | Series 2006-HE1, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.11% (f) | 5.54% | 01/25/37 | $4,673,790 | |
Bardot CLO Ltd. | |||||
10,400,000 | Series 2019-2A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.60% (d) (f) | 7.21% | 10/22/32 | 10,193,361 | |
Barings CLO Ltd. | |||||
12,500,000 | Series 2019-2A, Class A2R, 3 Mo. CME Term SOFR + CSA + 1.70% (d) (f) | 7.27% | 04/15/36 | 12,267,146 | |
Carrington Mortgage Loan Trust | |||||
18,000,000 | Series 2006-NC4, Class A4, 1 Mo. CME Term SOFR + CSA + 0.24% (f) | 5.67% | 10/25/36 | 14,659,603 | |
389,999 | Series 2006-OPT1, Class M1, 1 Mo. CME Term SOFR + CSA + 0.53% (f) | 5.95% | 02/25/36 | 379,422 | |
Carvana Auto Receivables Trust | |||||
70,350 | Series 2022-P3, Class R (d) | (h) | 09/10/29 | 11,570,823 | |
CF Hippolyta Issuer LLC | |||||
9,255,361 | Series 2020-1, Class A1 (d) | 1.69% | 07/15/60 | 8,377,206 | |
CIFC Funding Ltd. | |||||
5,610,000 | Series 2021-7A, Class A1, 3 Mo. CME Term SOFR + CSA + 1.13% (d) (f) | 6.74% | 01/23/35 | 5,572,352 | |
CIM Trust | |||||
4,431,978 | Series 2021-NR3, Class A1, steps up to 5.57% on 04/01/24 (d) (i) | 2.57% | 06/25/57 | 4,308,785 | |
15,663,607 | Series 2021-NR4, Class A1, steps up to 5.82% on 10/25/24 (d) (i) | 2.82% | 10/25/61 | 14,839,228 | |
15,711,576 | Series 2023-NR1, Class A1, steps up to 9.00% on 01/01/26 (d) (i) | 6.00% | 06/25/62 | 15,370,395 | |
Citigroup Mortgage Loan Trust | |||||
136,612 | Series 2006-HE2, Class M1, 1 Mo. CME Term SOFR + CSA + 0.44% (f) | 5.86% | 08/25/36 | 136,005 | |
Dryden 70 CLO Ltd. | |||||
2,500,000 | Series 2018-70A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (d) (f) | 7.27% | 01/16/32 | 2,472,820 | |
Dryden Senior Loan Fund | |||||
701,331 | Series 2013-26A, Class AR, 3 Mo. CME Term SOFR + CSA + 0.90% (d) (f) | 6.47% | 04/15/29 | 699,179 | |
532,228 | Series 2013-28A, Class A1LR, 3 Mo. CME Term SOFR + CSA + 1.20% (d) (f) | 6.83% | 08/15/30 | 532,601 | |
ECMC Group Student Loan Trust | |||||
1,383,929 | Series 2017-2A, Class A, 30 Day Average SOFR + 1.16% (d) (f) | 6.45% | 05/25/67 | 1,365,211 | |
Elmwood CLO VI Ltd. | |||||
13,400,000 | Series 2020-3A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (d) (f) | 7.24% | 10/20/34 | 13,244,660 | |
Exeter Automobile Receivables Trust | |||||
10,000 | Series 2021-4A, Class R (d) | (h) | 12/15/33 | 2,686,974 | |
First Franklin Mortgage Loan Trust | |||||
15,650,285 | Series 2006-FF13, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.32% (f) | 5.75% | 10/25/36 | 10,136,325 | |
11,775,285 | Series 2007-FF2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.28% (f) | 5.71% | 03/25/37 | 6,367,128 | |
GE-WMC Mortgage Securities LLC | |||||
294,936 | Series 2005-1, Class M1, 1 Mo. CME Term SOFR + CSA + 0.66% (f) | 6.09% | 10/25/35 | 285,593 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
GoldenTree Loan Management US CLO Ltd. | |||||
$5,000,000 | Series 2020-8A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.15% (d) (f) | 6.74% | 10/20/34 | $4,970,260 | |
GSAMP Trust | |||||
12,508,522 | Series 2006-NC2, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.30% (f) | 5.73% | 06/25/36 | 6,684,676 | |
9,047,194 | Series 2007-FM2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.14% (f) | 5.57% | 01/25/37 | 5,309,945 | |
JP Morgan Mortgage Acquisition Trust | |||||
2,167,886 | Series 2006-WF1, Class A6 | 6.50% | 07/25/36 | 629,629 | |
17,331,976 | Series 2006-WMC2, Class A4, 1 Mo. CME Term SOFR + CSA + 0.30% (f) | 5.73% | 07/25/36 | 7,409,052 | |
18,337,898 | Series 2006-WMC2, Class A5, 1 Mo. CME Term SOFR + CSA + 0.50% (f) | 5.93% | 07/25/36 | 7,870,283 | |
117,071 | Series 2007-CH2, Class MV1, 1 Mo. CME Term SOFR + CSA + 0.28% (f) | 5.71% | 01/25/37 | 116,323 | |
Lehman XS Trust | |||||
2,675,509 | Series 2006-9, Class A1C, 1 Mo. CME Term SOFR + CSA + 0.52% (f) | 5.95% | 05/25/46 | 2,376,540 | |
Long Beach Mortgage Loan Trust | |||||
384,101 | Series 2006-1, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.44% (f) | 5.87% | 02/25/36 | 364,389 | |
Madison Park Funding XXVII Ltd. | |||||
250,000 | Series 2018-27A, Class A2, 3 Mo. CME Term SOFR + CSA + 1.35% (d) (f) | 6.94% | 04/20/30 | 246,578 | |
Magnetite VII Ltd. | |||||
2,918,258 | Series 2012-7A, Class A1R2, 3 Mo. CME Term SOFR + CSA + 0.80% (d) (f) | 6.37% | 01/15/28 | 2,916,102 | |
Mastr Asset Backed Securities Trust | |||||
6,947,173 | Series 2006-WMC3, Class A2, 1 Mo. CME Term SOFR + CSA + 0.10% (f) | 5.53% | 08/25/36 | 2,518,325 | |
Merrill Lynch First Franklin Mortgage Loan Trust | |||||
263,977 | Series 2007-3, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.26% (f) | 5.69% | 06/25/37 | 201,735 | |
Mid-State Trust | |||||
86,724 | Series 11, Class A1 | 4.86% | 07/15/38 | 83,917 | |
Morgan Stanley ABS Capital I, Inc. Trust | |||||
9,857,671 | Series 2006-HE4, Class A3, 1 Mo. CME Term SOFR + CSA + 0.30% (f) | 5.73% | 06/25/36 | 5,172,121 | |
5,304,120 | Series 2006-HE8, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.10% (f) | 5.53% | 10/25/36 | 2,309,467 | |
216,053 | Series 2006-NC1, Class M1, 1 Mo. CME Term SOFR + CSA + 0.57% (f) | 6.00% | 12/25/35 | 212,203 | |
5,704,655 | Series 2007-HE1, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.23% (f) | 5.66% | 11/25/36 | 3,241,083 | |
25,404,652 | Series 2007-HE2, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.21% (f) | 5.64% | 01/25/37 | 11,387,986 | |
6,205,954 | Series 2007-NC3, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.26% (f) | 5.69% | 05/25/37 | 4,586,538 | |
Navient Student Loan Trust | |||||
167,223 | Series 2014-1, Class A3, 30 Day Average SOFR + 0.62% (f) | 5.91% | 06/25/31 | 160,596 | |
273,497 | Series 2017-3A, Class A3, 30 Day Average SOFR + 1.16% (d) (f) | 6.45% | 07/26/66 | 269,427 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
New Century Home Equity Loan Trust | |||||
$324,519 | Series 2005-4, Class M3, 1 Mo. CME Term SOFR + CSA + 0.83% (f) | 6.25% | 09/25/35 | $323,502 | |
New Residential Mortgage Loan Trust | |||||
16,615,000 | Series 2022-SFR2, Class B (d) | 3.75% | 09/04/39 | 15,120,155 | |
15,000,000 | Series 2022-SFR2, Class E1 (d) | 4.00% | 09/04/39 | 12,924,101 | |
OCP CLO Ltd. | |||||
6,200,000 | Series 2020-19A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.15% (d) (f) | 6.74% | 10/20/34 | 6,145,827 | |
8,530,000 | Series 2021-21A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (d) (f) | 7.29% | 07/20/34 | 8,315,208 | |
Octagon Investment Partners 46 Ltd. | |||||
14,000,000 | Series 2020-2A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.16% (d) (f) | 6.73% | 07/15/36 | 13,891,674 | |
OHA Credit Funding 4 Ltd. | |||||
12,685,000 | Series 2019-4A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (d) (f) | 7.26% | 10/22/36 | 12,546,353 | |
Pretium Mortgage Credit Partners LLC | |||||
9,404,345 | Series 2022-RN3, Class A1, steps up to 8.0% on 8/25/25 (d) (i) | 5.00% | 08/25/52 | 9,254,465 | |
Progress Residential Trust | |||||
9,120,000 | Series 2021-SFR2, Class G (d) | 4.25% | 04/19/38 | 8,175,929 | |
4,130,000 | Series 2021-SFR3, Class G (d) | 4.25% | 05/17/26 | 3,635,936 | |
PRPM LLC | |||||
9,090,386 | Series 2021-7, Class A1, steps up to 4.87% on 08/25/24 (d) (i) | 1.87% | 08/25/26 | 8,449,344 | |
17,117,378 | Series 2021-10, Class A1, steps up to 5.49% on 10/25/24 (d) (i) | 2.49% | 10/25/26 | 16,128,065 | |
Rad CLO 14 Ltd. | |||||
10,000,000 | Series 2021-14A, Class B, 3 Mo. CME Term SOFR + CSA + 1.65% (d) (f) | 7.22% | 01/15/35 | 9,818,032 | |
Residential Asset Securities Corp. | |||||
68,436 | Series 2006-EMX3, Class A3, 1 Mo. CME Term SOFR + CSA + 0.28% (f) | 5.08% | 04/25/36 | 66,821 | |
483,440 | Series 2006-KS3, Class M1, 1 Mo. CME Term SOFR + CSA + 0.33% (f) | 4.49% | 04/25/36 | 474,111 | |
Rockford Tower CLO Ltd. | |||||
9,414,063 | Series 2017-3A, Class A, 3 Mo. CME Term SOFR + CSA + 1.19% (d) (f) | 6.78% | 10/20/30 | 9,402,298 | |
Saxon Asset Securities Trust | |||||
530,014 | Series 2007-2, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.24% (f) | 5.67% | 05/25/47 | 374,525 | |
Securitized Asset-Backed Receivables LLC Trust | |||||
22,445,371 | Series 2006-WM4, Class A1, 1 Mo. CME Term SOFR + CSA + 0.38% (d) (f) | 5.81% | 11/25/36 | 11,488,217 | |
Skyline Aircraft Finance LLC | |||||
12,028,297 | Series 2020-1, Class A (j) (k) | 3.23% | 05/10/38 | 10,623,392 | |
SLC Student Loan Trust | |||||
969,755 | Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (f) | 7.15% | 12/15/32 | 975,808 | |
SLM Student Loan Trust | |||||
369,478 | Series 2005-9, Class A7A, 90 Day Average SOFR + CSA + 0.60% (f) | 5.92% | 01/25/41 | 357,769 | |
80,000 | Series 2007-7, Class B, 90 Day Average SOFR + 1.01% (f) | 6.07% | 10/27/70 | 69,898 | |
130,000 | Series 2008-2, Class B, 90 Day Average SOFR + 1.46% (f) | 6.52% | 01/25/83 | 123,708 | |
700,000 | Series 2008-3, Class B, 90 Day Average SOFR + 1.46% (f) | 6.52% | 04/26/83 | 614,259 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
SLM Student Loan Trust (Continued) | |||||
$3,469,902 | Series 2008-6, Class A4, 90 Day Average SOFR + 1.36% (f) | 6.42% | 07/25/23 | $3,434,896 | |
320,000 | Series 2008-7, Class B, 90 Day Average SOFR + 2.11% (f) | 7.17% | 07/26/83 | 294,869 | |
534,186 | Series 2012-2, Class A, 30 Day Average SOFR + 0.81% (f) | 6.10% | 01/25/29 | 513,730 | |
511,972 | Series 2012-3, Class A, 30 Day Average SOFR + 0.76% (f) | 6.05% | 12/27/38 | 499,569 | |
188,927 | Series 2012-6, Class A3, 30 Day Average SOFR + 0.86% (f) | 6.15% | 05/26/26 | 182,899 | |
2,839,444 | Series 2012-7, Class A3, 30 Day Average SOFR + 0.76% (f) | 6.05% | 05/26/26 | 2,730,366 | |
555,000 | Series 2012-7, Class B, 30 Day Average SOFR + CSA + 1.8% (f) | 7.20% | 09/25/43 | 516,680 | |
99,957 | Series 2013-2, Class A, 30 Day Average SOFR + 0.56% (f) | 5.85% | 06/25/43 | 98,507 | |
Soundview Home Loan Trust | |||||
5,991,201 | Series 2007-OPT4, Class 1A1, 1 Mo. CME Term SOFR + CSA + 1.00% (f) | 6.43% | 09/25/37 | 4,118,049 | |
Structured Asset Investment Loan Trust | |||||
549,020 | Series 2004-6, Class A3, 1 Mo. CME Term SOFR + CSA + 0.80% (f) | 6.23% | 07/25/34 | 533,860 | |
27,437 | Series 2005-2, Class M2, 1 Mo. CME Term SOFR + CSA + 0.74% (f) | 6.16% | 03/25/35 | 27,274 | |
Structured Asset Securities Corp. Mortgage Loan Trust | |||||
671,708 | Series 2005-NC2, Class M5, 1 Mo. CME Term SOFR + CSA + 0.93% (f) | 6.36% | 05/25/35 | 674,615 | |
TAL Advantage VII LLC | |||||
8,325,000 | Series 2020-1A, Class A (d) | 2.05% | 09/20/45 | 7,367,558 | |
TIF Funding II LLC | |||||
7,420,500 | Series 2020-1A, Class A (d) | 2.09% | 08/20/45 | 6,489,412 | |
Trestles CLO V Ltd. | |||||
13,000,000 | Series 2021-5A, Class A1, 3 Mo. CME Term SOFR + CSA + 1.17% (d) (f) | 6.76% | 10/20/34 | 12,866,845 | |
Voya CLO Ltd. | |||||
13,000,000 | Series 2020-1A, Class AR, 3 Mo. LIBOR + 1.15% (d) (f) | 6.72% | 07/16/34 | 12,853,031 | |
Wachovia Student Loan Trust | |||||
532,223 | Series 2006-1, Class A6, 90 Day Average SOFR + 0.43% (d) (f) | 5.49% | 04/25/40 | 508,316 | |
WaMu Asset-Backed Certificates WaMu Trust | |||||
1,053,549 | Series 2007-HE2, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.11% (f) | 5.54% | 04/25/37 | 400,281 | |
3,655,995 | Series 2007-HE2, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.19% (f) | 5.62% | 04/25/37 | 1,391,728 | |
7,834,276 | Series 2007-HE2, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.25% (f) | 5.68% | 04/25/37 | 2,984,474 | |
Wellman Park CLO Ltd. | |||||
11,650,000 | Series 2021-1A, Class B, 3 Mo. CME Term SOFR + CSA + 1.60% (d) (f) | 7.17% | 07/15/34 | 11,509,667 | |
Total Asset-Backed Securities | 468,733,521 | ||||
(Cost $512,172,627) | |||||
MORTGAGE-BACKED SECURITIES — 8.6% | |||||
Collateralized Mortgage Obligations — 4.9% | |||||
Ajax Mortgage Loan Trust | |||||
2,254,541 | Series 2019-F, Class A1, steps up to 3.86% on 11/25/26 (d) (i) | 2.86% | 07/25/59 | 2,120,043 | |
Alternative Loan Trust | |||||
4,825,978 | Series 2005-16, Class A4, 1 Mo. CME Term SOFR + CSA + 0.48% (f) | 5.91% | 06/25/35 | 4,230,990 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
Alternative Loan Trust (Continued) | |||||
$5,462,669 | Series 2005-56, Class 1A1, 1 Mo. CME Term SOFR + CSA + 1.46% (f) | 6.89% | 11/25/35 | $4,984,157 | |
5,195,290 | Series 2005-67CB, Class A1 | 5.50% | 01/25/36 | 3,906,398 | |
2,551,558 | Series 2007-13, Class A1 | 6.00% | 06/25/47 | 1,356,642 | |
American Home Mortgage Assets Trust | |||||
11,915,384 | Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (f) | 5.13% | 02/25/47 | 4,755,350 | |
American Home Mortgage Investment Trust | |||||
1,448,075 | Series 2005-4, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.58% (f) | 6.01% | 11/25/45 | 1,264,949 | |
Banc of America Funding Trust | |||||
386,795 | Series 2014-R6, Class 2A13 (d) (l) | 5.67% | 07/26/36 | 379,664 | |
Bear Stearns Mortgage Funding Trust | |||||
87,006 | Series 2006-AR1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.42% (f) | 5.85% | 07/25/36 | 77,340 | |
2,140,889 | Series 2006-AR3, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.18% (f) | 5.61% | 10/25/36 | 1,799,251 | |
3,003,803 | Series 2006-AR5, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.19% (f) | 5.81% | 01/25/37 | 2,743,209 | |
160,058 | Series 2007-AR5, Class 1A1G, 1 Mo. CME Term SOFR + CSA + 0.16% (f) | 5.75% | 06/25/47 | 132,810 | |
CIM Trust | |||||
2,672,918 | Series 2019-R1, Class A (d) | 3.25% | 10/25/58 | 2,332,411 | |
3,005,418 | Series 2019-R4, Class A1 (d) | 3.00% | 10/25/59 | 2,726,726 | |
4,850,041 | Series 2020-R3, Class A1A (d) | 4.00% | 01/26/60 | 4,458,621 | |
21,112,000 | Series 2020-R7, Class A1B (d) (m) | 2.25% | 12/27/61 | 13,891,276 | |
13,939,953 | Series 2021-R3, Class A1A (d) | 1.95% | 06/25/57 | 12,271,556 | |
15,087,325 | Series 2023-R1, Class A1A (d) | 5.40% | 04/25/62 | 13,465,654 | |
14,885,431 | Series 2023-R3, Class A1A (d) | 4.50% | 01/25/63 | 12,717,239 | |
Connecticut Avenue Securities Trust | |||||
7,047,969 | Series 2019-R04, Class 2B1, 30 Day Average SOFR + 5.36% (d) (f) | 10.65% | 06/25/39 | 7,439,079 | |
6,500,000 | Series 2021-R01, Class 1B1, 30 Day Average SOFR + 3.10% (d) (f) | 8.39% | 10/25/41 | 6,479,644 | |
Credit Suisse Mortgage Trust | |||||
8,803,991 | Series 2007-2, Class 1A4 | 5.75% | 03/25/37 | 4,901,747 | |
26,420,472 | Series 2007-3, Class 1A1A | 5.84% | 04/25/37 | 6,464,107 | |
14,009,005 | Series 2021-RP11 (d) | 3.78% | 10/25/61 | 10,215,326 | |
CSMCM Trust | |||||
600,508 | Series 2021-RP11 (d) | 3.78% | 10/27/61 | 443,213 | |
GMACM Mortgage Loan Trust | |||||
1,281,129 | Series 2006-AR1, Class 1A1 (l) | 3.28% | 04/19/36 | 996,512 | |
1,160,558 | Series 2006-J1, Class A4 | 5.75% | 04/25/36 | 989,319 | |
GreenPoint Mortgage Funding Trust | |||||
65,847 | Series 2006-AR1, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.58% (f) | 6.01% | 02/25/36 | 56,654 | |
GSR Mortgage Loan Trust | |||||
21,406,942 | Series 2006-OA1, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.52% (f) | 5.95% | 08/25/46 | 5,378,775 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
HarborView Mortgage Loan Trust | |||||
$170,203 | Series 2005-10, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.62% (f) | 6.05% | 11/19/35 | $120,886 | |
1,039,045 | Series 2007-7, Class 1A1, 1 Mo. CME Term SOFR + CSA + 2.00% (f) | 7.43% | 10/25/37 | 776,264 | |
HomeBanc Mortgage Trust | |||||
534,208 | Series 2004-2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.74% (f) | 6.17% | 12/25/34 | 502,820 | |
Impac CMB Trust | |||||
144,360 | Series 2005-2, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.52% (f) | 5.95% | 04/25/35 | 135,894 | |
473,189 | Series 2005-4, Class 1A1A, 1 Mo. CME Term SOFR + CSA + 0.27% (f) | 5.06% | 05/25/35 | 433,117 | |
IndyMac INDX Mortgage Loan Trust | |||||
1,224,534 | Series 2005-AR14, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.60% (f) | 6.03% | 07/25/35 | 983,044 | |
15,722,422 | Series 2005-AR29, Class A1 (l) | 3.58% | 01/25/36 | 12,906,608 | |
2,855,407 | Series 2006-AR6, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.40% (f) | 5.83% | 06/25/46 | 2,240,385 | |
3,567,336 | Series 2007-FLX4, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.25% (f) | 5.68% | 07/25/37 | 3,213,471 | |
JP Morgan Mortgage Trust | |||||
1,377,333 | Series 2006-A4, Class 1A1 (l) | 4.40% | 06/25/36 | 980,371 | |
Lehman XS Trust | |||||
227,709 | Series 2006-16N, Class A4A, 1 Mo. CME Term SOFR + CSA + 0.38% (f) | 5.81% | 11/25/46 | 195,934 | |
4,391,919 | Series 2007-16N, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.94% (f) | 6.37% | 09/25/47 | 4,029,538 | |
2,206,735 | Series 2007-16N, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.80% (f) | 6.23% | 09/25/47 | 1,880,854 | |
Merrill Lynch Alternative Note Asset Trust | |||||
3,015,440 | Series 2007-OAR3, Class A1, 1 Mo. CME Term SOFR + CSA + 0.19% (f) | 5.62% | 07/25/47 | 2,727,240 | |
Morgan Stanley Mortgage Loan Trust | |||||
20,246 | Series 2005-2AR, Class A, 1 Mo. CME Term SOFR + CSA + 0.26% (f) | 5.69% | 04/25/35 | 18,860 | |
MortgageIT Trust | |||||
40,559 | Series 2005-5, Class A1, 1 Mo. CME Term SOFR + CSA + 0.52% (f) | 5.95% | 12/25/35 | 38,904 | |
Nomura Resecuritization Trust | |||||
312,482 | Series 2015-5R, Class 1A1 (d) | 4.00% | 08/26/37 | 309,075 | |
OBX Trust | |||||
4,113,731 | Series 2021-NQM2, Class A1 (d) | 1.10% | 05/25/61 | 3,218,436 | |
10,175,101 | Series 2021-NQM3, Class A1 (d) | 1.05% | 07/25/61 | 7,641,095 | |
Opteum Mortgage Acceptance Corp. | |||||
828,045 | Series 2005-5, Class 1A1D, 1 Mo. CME Term SOFR + CSA + 0.76% (f) | 6.19% | 12/25/35 | 767,081 | |
257,381 | Series 2006-1, Class 1APT, 1 Mo. CME Term SOFR + CSA + 0.42% (f) | 5.85% | 04/25/36 | 224,886 | |
PRKCM Trust | |||||
15,807,331 | Series 2021-AFC2, Class A1 (d) | 2.07% | 11/25/56 | 13,125,050 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
RALI Trust | |||||
$6,214,023 | Series 2007-QS7, Class 1A1 | 6.00% | 05/25/37 | $4,971,998 | |
2,884,531 | Series 2007-QS9, Class A33 | 6.50% | 07/25/37 | 2,309,196 | |
RFMSI Trust | |||||
6,232,799 | Series 2007-S6, Class 1A4 | 6.00% | 06/25/37 | 4,666,949 | |
Structured Adjustable Rate Mortgage Loan Trust | |||||
10,727 | Series 2004-12, Class 3A1 (l) | 5.43% | 09/25/34 | 10,405 | |
22,644,212 | Series 2006-2, Class 4A1 (l) | 4.45% | 03/25/36 | 13,983,351 | |
Structured Asset Mortgage Investments II Trust | |||||
1,394,356 | Series 2006-AR1, Class 3A1, 1 Mo. CME Term SOFR + CSA + 0.46% (f) | 5.89% | 02/25/36 | 1,091,267 | |
4,312,556 | Series 2006-AR7, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.42% (f) | 5.85% | 08/25/36 | 3,493,316 | |
3,127,358 | Series 2007-AR6, Class A1, 12 Mo. Treasury Average + 1.50% (f) | 5.93% | 08/25/47 | 2,783,648 | |
WaMu Mortgage Pass-Through Certificates Trust | |||||
66,197 | Series 2005-AR1, Class A2A1, 1 Mo. CME Term SOFR + CSA + 0.68% (f) | 6.11% | 01/25/45 | 62,479 | |
137,765 | Series 2005-AR15, Class A1A1, 1 Mo. CME Term SOFR + CSA + 0.52% (f) | 5.95% | 11/25/45 | 126,256 | |
177,714 | Series 2006-AR3, Class A1A, 12 Mo. Treasury Average + 1.00% (f) | 3.88% | 02/25/46 | 157,168 | |
272,074 | Series 2006-AR4, Class 1A1A, 12 Mo. Treasury Average + 0.94% (f) | 4.20% | 05/25/46 | 251,467 | |
223,355,975 | |||||
Commercial Mortgage-Backed Securities — 3.7% | |||||
BFLD TRUST Mortgage-Backed Securities | |||||
2,000,000 | Series 2020-EYP, Class A, 1 Mo. CME Term SOFR + CSA + 1.15% (d) (f) | 6.58% | 10/15/35 | 1,688,184 | |
BX Commercial Mortgage Trust | |||||
7,250,766 | Series 2019-XL, Class A, 1 Mo. CME Term SOFR + CSA + 0.92% (d) (f) | 6.34% | 10/15/36 | 7,234,864 | |
12,546,000 | Series 2020-VIV2, Class C (d) (l) | 3.66% | 03/09/44 | 10,396,274 | |
6,600,000 | Series 2020-VIVA, Class D (d) (l) | 3.67% | 03/11/44 | 5,339,781 | |
4,000,000 | Series 2021-ARIA, Class F, 1 Mo. CME Term SOFR + CSA + 2.59% (d) (f) | 8.02% | 10/15/36 | 3,733,130 | |
3,909,651 | Series 2021-XL2, Class J, 1 Mo. CME Term SOFR + CSA + 3.89% (d) (f) | 9.31% | 10/15/38 | 3,695,001 | |
BX Trust | |||||
1,800,000 | Series 2019-OC11, Class D (d) (l) | 4.08% | 12/09/41 | 1,506,370 | |
BXHPP Trust | |||||
5,200,000 | Series 2021-FILM, Class E, 1 Mo. CME Term SOFR + CSA + 2.00% (d) (f) | 7.42% | 08/15/36 | 4,457,197 | |
BXP Trust | |||||
8,500,000 | Series 2017-CC, Class B (d) (l) | 3.67% | 08/13/37 | 7,196,375 | |
1,440,000 | Series 2017-CC, Class D (d) (l) | 3.67% | 08/13/37 | 1,054,040 | |
5,000,000 | Series 2017-GM, Class D (d) (l) | 3.54% | 06/13/39 | 4,159,867 | |
BXSC Commercial Mortgage Trust | |||||
8,450,000 | Series 2022-WSS, Class D, 1 Mo. CME Term SOFR + 3.19% (d) (f) | 8.50% | 03/15/35 | 8,324,466 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
CAMB Commercial Mortgage Trust | |||||
$9,150,000 | Series 2019-LIFE, Class F, 1 Mo. CME Term SOFR + CSA + 2.55% (d) (f) | 7.98% | 12/15/37 | $8,886,748 | |
CENT Trust | |||||
6,470,000 | Series 2023-CITY, Class A, 1 Mo. CME Term SOFR + 2.62% (d) (f) | 7.87% | 09/15/28 | 6,501,387 | |
Century Plaza Towers | |||||
3,500,000 | Series 2019-CPT, Class A (d) | 2.87% | 11/13/39 | 2,869,227 | |
CRSO Trust | |||||
1,700,000 | Series 2023-BRND | 7.91% | 07/10/28 | 1,722,950 | |
DC Office Trust | |||||
3,600,000 | Series 2019-MTC, Class A (d) | 2.97% | 09/15/45 | 2,913,331 | |
DROP Mortgage Trust | |||||
12,284,000 | Series 2021-FILE, Class B, 1 Mo. CME Term SOFR + CSA + 1.70% (d) (f) | 7.12% | 10/15/43 | 10,717,019 | |
Grace Trust | |||||
5,080,000 | Series 2020-GRCE, Class D (d) (l) | 2.77% | 12/10/40 | 3,588,119 | |
Hilton U.S.A. Trust | |||||
4,000,000 | Series 2016-HHV, Class F (d) (l) | 4.33% | 11/05/38 | 3,549,774 | |
Hudson Yards Mortgage Trust | |||||
3,537,000 | Series 2019-30HY, Class D (d) (l) | 3.56% | 07/10/39 | 2,791,316 | |
Life Mortgage Trust | |||||
7,863,761 | Series 2021-BMR, Class G, 1 Mo. CME Term SOFR + CSA + 2.95% (d) (f) | 8.37% | 03/15/38 | 7,473,005 | |
Manhattan West | |||||
3,855,000 | Series 2020-1MW, Class A (d) | 2.13% | 09/10/39 | 3,336,442 | |
Med Trust | |||||
6,966,566 | Series 2021-MDLN, Class D, 1 Mo. CME Term SOFR + CSA + 2.00% (d) (f) | 7.42% | 11/15/38 | 6,697,796 | |
MSCG Trust | |||||
12,732,059 | Series 2018-SELF, Class F, 1 Mo. CME Term SOFR + CSA + 3.05% (d) (f) | 8.41% | 10/15/37 | 12,496,301 | |
SFAVE Commercial Mortgage Securities Trust | |||||
9,265,000 | Series 2015-5AVE, Class A2A (d) (l) | 3.66% | 01/05/43 | 6,557,662 | |
SLG Office Trust | |||||
7,600,000 | Series 2021-OVA, Class A (d) | 2.59% | 07/15/41 | 6,110,416 | |
5,000,000 | Series 2021-OVA, Class E (d) | 2.85% | 07/15/41 | 3,565,611 | |
5,000,000 | Series 2021-OVA, Class F (d) | 2.85% | 07/15/41 | 3,452,524 | |
SREIT Trust | |||||
7,100,000 | Series 2021-PALM, Class E, 1 Mo. CME Term SOFR + 1.91% (d) (f) | 7.33% | 10/15/34 | 6,690,982 | |
6,430,000 | Series 2021-PALM, Class G, 1 Mo. CME Term SOFR + 3.62% (d) (f) | 9.04% | 10/15/34 | 6,114,591 | |
TPGI Trust | |||||
3,775,413 | Series 2021-DGWD, Class E, 1 Mo. CME Term SOFR + CSA + 2.35% (d) (f) | 7.77% | 06/15/26 | 3,613,933 | |
168,434,683 | |||||
Total Mortgage-Backed Securities | 391,790,658 | ||||
(Cost $445,111,063) |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (c) — 5.7% | |||||
Agriculture — 0.2% | |||||
$2,325,000 | Imperial Brands Finance PLC (d) | 3.13% | 07/26/24 | $2,263,921 | |
1,790,000 | Imperial Brands Finance PLC (d) | 4.25% | 07/21/25 | 1,732,385 | |
3,295,000 | Imperial Brands Finance PLC (d) | 3.50% | 07/26/26 | 3,097,603 | |
7,093,909 | |||||
Airlines — 0.0% | |||||
558,000 | Air Canada Pass-Through Trust, Series 2017-1, Class AA (d) | 3.30% | 01/15/30 | 492,902 | |
Banks — 2.9% | |||||
1,830,000 | HSBC Holdings PLC (e) | 2.10% | 06/04/26 | 1,706,654 | |
1,765,000 | HSBC Holdings PLC (e) | 4.76% | 06/09/28 | 1,694,004 | |
6,100,000 | HSBC Holdings PLC (e) | 2.01% | 09/22/28 | 5,246,588 | |
8,045,000 | HSBC Holdings PLC (e) | 2.21% | 08/17/29 | 6,743,215 | |
1,755,000 | HSBC Holdings PLC (e) | 2.36% | 08/18/31 | 1,391,156 | |
9,845,000 | HSBC Holdings PLC (e) | 2.80% | 05/24/32 | 7,866,295 | |
2,075,000 | HSBC Holdings PLC (e) | 6.33% | 03/09/44 | 2,094,311 | |
3,000,000 | Lloyds Banking Group PLC (e) | 3.87% | 07/09/25 | 2,943,575 | |
5,000,000 | Lloyds Banking Group PLC (e) | 1.63% | 05/11/27 | 4,463,702 | |
3,000,000 | Lloyds Banking Group PLC (e) | 3.57% | 11/07/28 | 2,727,661 | |
1,245,000 | Lloyds Banking Group PLC (e) | 4.98% | 08/11/33 | 1,153,712 | |
7,600,000 | Macquarie Group Ltd. (d) (e) | 1.34% | 01/12/27 | 6,820,556 | |
4,775,000 | Macquarie Group Ltd. (d) (e) | 2.87% | 01/14/33 | 3,746,389 | |
6,655,000 | NatWest Group PLC (e) | 4.27% | 03/22/25 | 6,581,626 | |
10,775,000 | Santander UK Group Holdings PLC (e) | 4.80% | 11/15/24 | 10,743,666 | |
5,545,000 | Santander UK Group Holdings PLC (e) | 1.09% | 03/15/25 | 5,376,762 | |
930,000 | Santander UK Group Holdings PLC (e) | 1.53% | 08/21/26 | 844,769 | |
5,250,000 | Santander UK Group Holdings PLC (e) | 1.67% | 06/14/27 | 4,624,449 | |
1,735,000 | Santander UK Group Holdings PLC (e) | 2.47% | 01/11/28 | 1,527,769 | |
4,485,000 | UBS Group AG (d) (e) | 2.59% | 09/11/25 | 4,326,539 | |
1,200,000 | UBS Group AG (d) (e) | 1.36% | 01/30/27 | 1,072,889 | |
12,020,000 | UBS Group AG (d) (e) | 1.31% | 02/02/27 | 10,716,601 | |
1,865,000 | UBS Group AG (d) | 4.28% | 01/09/28 | 1,745,921 | |
15,740,000 | UBS Group AG (d) (e) | 4.19% | 04/01/31 | 14,183,827 | |
5,970,000 | UBS Group AG (d) (e) | 3.09% | 05/14/32 | 4,922,018 | |
13,095,000 | UBS Group AG (d) (e) | 9.02% | 11/15/33 | 15,865,122 | |
131,129,776 | |||||
Beverages — 0.3% | |||||
6,260,000 | Bacardi Ltd. (d) | 4.45% | 05/15/25 | 6,104,564 | |
7,000,000 | Becle SAB de C.V. (d) | 2.50% | 10/14/31 | 5,516,545 | |
4,230,000 | JDE Peet's N.V. (d) | 2.25% | 09/24/31 | 3,256,337 | |
14,877,446 | |||||
Diversified Financial Services — 0.5% | |||||
1,000,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.50% | 01/15/25 | 966,338 | |
1,296,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.45% | 10/01/25 | 1,255,658 | |
11,200,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.00% | 10/29/28 | 9,714,259 | |
1,755,000 | Avolon Holdings Funding Ltd. (d) | 2.88% | 02/15/25 | 1,657,212 | |
670,000 | Avolon Holdings Funding Ltd. (d) | 3.25% | 02/15/27 | 603,333 | |
5,256,000 | Avolon Holdings Funding Ltd. (d) | 2.53% | 11/18/27 | 4,491,484 | |
2,074,000 | GGAM Finance Ltd. (d) | 8.00% | 06/15/28 | 2,105,027 | |
467,000 | Park Aerospace Holdings Ltd. (d) | 5.50% | 02/15/24 | 463,992 | |
21,257,303 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (c) (Continued) | |||||
Electric — 0.2% | |||||
$250,000 | Mong Duong Finance Holdings B.V. (n) | 5.13% | 05/07/29 | $226,770 | |
3,975,000 | TenneT Holding B.V., Medium-Term Note (EUR) (n) | 4.50% | 10/28/34 | 4,573,796 | |
2,390,000 | TenneT Holding B.V., Medium-Term Note (EUR) (n) | 2.75% | 05/17/42 | 2,264,130 | |
1,190,000 | TenneT Holding B.V., Medium-Term Note (EUR) (n) | 4.75% | 10/28/42 | 1,406,288 | |
8,470,984 | |||||
Engineering & Construction — 0.0% | |||||
1,700,000 | Cellnex Finance Co., S.A., Medium-Term Note (EUR) (n) | 2.00% | 09/15/32 | 1,468,257 | |
Entertainment — 0.0% | |||||
600,000 | Banijay Entertainment SASU (d) | 5.38% | 03/01/25 | 585,180 | |
Food — 0.2% | |||||
150,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 5.50% | 01/15/30 | 145,349 | |
1,505,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 3.75% | 12/01/31 | 1,252,253 | |
2,115,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 3.00% | 05/15/32 | 1,671,820 | |
2,495,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 5.75% | 04/01/33 | 2,377,696 | |
3,000,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 4.38% | 02/02/52 | 2,128,945 | |
2,015,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 6.50% | 12/01/52 | 1,932,701 | |
9,508,764 | |||||
Gas — 0.0% | |||||
1,555,000 | National Gas Transmission PLC, Medium-Term Note (EUR) (n) | 4.25% | 04/05/30 | 1,685,068 | |
Healthcare-Services — 0.1% | |||||
3,250,000 | Kedrion S.p.A. (d) | 6.50% | 09/01/29 | 2,778,750 | |
Internet — 0.1% | |||||
2,775,000 | Tencent Holdings Ltd. (d) | 3.98% | 04/11/29 | 2,558,099 | |
2,380,000 | Tencent Holdings Ltd. (d) | 3.84% | 04/22/51 | 1,634,608 | |
4,192,707 | |||||
Investment Companies — 0.0% | |||||
2,000,000 | Gaci First Investment Co. (n) | 5.25% | 10/13/32 | 2,004,838 | |
Mining — 0.0% | |||||
600,000 | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT (d) | 5.45% | 05/15/30 | 575,780 | |
Oil & Gas — 0.3% | |||||
450,000 | Ecopetrol S.A. | 8.88% | 01/13/33 | 456,559 | |
1,383,000 | KazMunayGas National Co. JSC (n) | 5.38% | 04/24/30 | 1,260,703 | |
1,200,000 | KazMunayGas National Co. JSC (d) | 3.50% | 04/14/33 | 905,402 | |
2,504,000 | Pertamina Persero PT (d) | 3.10% | 08/27/30 | 2,165,793 | |
5,717,000 | Petroleos Mexicanos | 5.95% | 01/28/31 | 4,141,694 | |
1,942,000 | Petroleos Mexicanos | 6.63% | 06/15/35 | 1,341,259 | |
565,000 | Petroleos Mexicanos | 6.95% | 01/28/60 | 350,043 | |
1,400,000 | Qatar Energy (n) | 2.25% | 07/12/31 | 1,154,194 | |
11,775,647 | |||||
Packaging & Containers — 0.0% | |||||
1,000,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (d) | 5.25% | 08/15/27 | 857,785 | |
1,500,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (d) | 5.25% | 08/15/27 | 1,286,678 | |
2,144,463 | |||||
Pharmaceuticals — 0.2% | |||||
500,000 | Bayer AG, Medium-Term Note (EUR) (n) | 4.63% | 05/26/33 | 550,976 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (c) (Continued) | |||||
Pharmaceuticals (Continued) | |||||
$1,380,000 | Grifols S.A. (d) | 4.75% | 10/15/28 | $1,212,012 | |
5,680,000 | Pfizer Investment Enterprises Pte Ltd. | 5.30% | 05/19/53 | 5,686,268 | |
7,449,256 | |||||
Pipelines — 0.1% | |||||
1,070,000 | Enbridge, Inc. | 5.70% | 03/08/33 | 1,070,995 | |
1,596,780 | Galaxy Pipeline Assets Bidco Ltd. (d) | 2.16% | 03/31/34 | 1,344,428 | |
800,000 | Southern Gas Corridor CJSC (n) | 6.88% | 03/24/26 | 809,128 | |
3,010,000 | TMS Issuer Sarl (n) | 5.78% | 08/23/32 | 3,066,341 | |
6,290,892 | |||||
Real Estate — 0.2% | |||||
1,270,000 | Annington Funding PLC, Medium-Term Note (GBP) (n) | 3.18% | 07/12/29 | 1,329,993 | |
1,400,000 | Annington Funding PLC, Medium-Term Note (GBP) (n) | 2.31% | 10/06/32 | 1,271,203 | |
900,000 | Annington Funding PLC, Medium-Term Note (GBP) (n) | 3.69% | 07/12/34 | 880,733 | |
1,350,000 | Blackstone Property Partners Europe Holdings Sarl, Medium-Term Note (EUR) (n) | 1.75% | 03/12/29 | 1,148,543 | |
2,400,000 | Blackstone Property Partners Europe Holdings Sarl, Medium-Term Note (EUR) (n) | 1.63% | 04/20/30 | 1,941,879 | |
500,000 | Vonovia Finance B.V. (EUR) (n) | 2.25% | 04/07/30 | 456,559 | |
400,000 | Vonovia SE, Medium-Term Note (EUR) (n) | 5.00% | 11/23/30 | 426,423 | |
1,800,000 | Vonovia SE (EUR) (n) | 1.50% | 06/14/41 | 1,083,252 | |
8,538,585 | |||||
Real Estate Investment Trusts — 0.1% | |||||
1,000,000 | CapitaLand Ascendas REIT, Medium-Term Note (EUR) (n) | 0.75% | 06/23/28 | 887,940 | |
4,065,000 | Digital Intrepid Holding B.V. (EUR) (n) | 0.63% | 07/15/31 | 3,192,621 | |
4,080,561 | |||||
Retail — 0.1% | |||||
4,230,000 | Alimentation Couche-Tard, Inc. (d) | 3.80% | 01/25/50 | 2,931,441 | |
Savings & Loans — 0.1% | |||||
4,055,000 | Nationwide Building Society (d) (e) | 2.97% | 02/16/28 | 3,667,912 | |
Telecommunications — 0.1% | |||||
200,000 | C&W Senior Financing DAC (d) | 6.88% | 09/15/27 | 185,808 | |
3,860,000 | Intelsat Jackson Holdings S.A. (g) (j) (k) (o) | 8.50% | 10/15/24 | 0 | |
390,000 | Intelsat Jackson Holdings S.A. (g) (j) (k) (o) | 9.75% | 07/15/25 | 0 | |
2,000,000 | Intelsat Jackson Holdings S.A. (g) (j) (k) (p) | 5.50% | 08/01/28 | 0 | |
4,363,000 | Intelsat Jackson Holdings S.A. (d) | 6.50% | 03/15/30 | 4,011,395 | |
500,000 | Ooredoo International Finance Ltd. (n) | 2.63% | 04/08/31 | 425,404 | |
1,477,000 | Vodafone Group PLC | 4.88% | 06/19/49 | 1,253,682 | |
1,375,000 | Vodafone Group PLC | 4.25% | 09/17/50 | 1,060,857 | |
6,937,146 | |||||
Total Foreign Corporate Bonds and Notes | 259,937,567 | ||||
(Cost $276,660,627) |
Principal Value | Description | Rate (q) | Stated Maturity (r) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS — 1.5% | |||||
Aerospace/Defense — 0.0% | |||||
686,436 | Transdigm, Inc., Term Loan, 1 Mo. CME Term SOFR + 3.25%, 0.00% Floor | 8.49% | 08/24/28 | 687,723 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Rate (q) | Stated Maturity (r) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | |||||
Airlines — 0.0% | |||||
$283,637 | AAdvantage Loyalty IP Ltd., Term Loan, 3 Mo. CME Term SOFR + CSA + 4.75%, 0.75% Floor | 10.34% | 04/20/28 | $294,961 | |
303,593 | United Airlines, Inc., Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 9.29% | 04/21/28 | 304,846 | |
599,807 | |||||
Brokerage Assetmanagers Exchanges — 0.0% | |||||
168,265 | Deerfield Dakota Holding LLC, Term Loan B, 3 Mo. CME Term SOFR + 3.75%, 1.00% Floor | 8.99% | 04/09/27 | 162,797 | |
Cable Satellite — 0.1% | |||||
521,439 | CSC Holdings LLC, Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 7.92% | 04/15/27 | 472,554 | |
842,500 | DIRECTV Financing LLC, Term Loan, 1 Mo. CME Term SOFR + 5.00%, 0.75% Floor | 10.45% | 08/02/27 | 833,932 | |
2,290,051 | EagleView Technology Corp., Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor | 9.04% | 08/14/25 | 2,044,592 | |
725,000 | Virgin Media Bristol LLC, Term Loan N, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.00% Floor | 7.92% | 01/31/28 | 706,150 | |
4,057,228 | |||||
Chemicals — 0.0% | |||||
1,358,177 | Chemours (The) Co., Term Loan B2, 1 Mo. CME Term SOFR + 3.50%, 0.50% Floor | 8.83% | 08/18/28 | 1,341,200 | |
Consumer Cyclical Services — 0.0% | |||||
116,454 | 8 Avenue Food & Provisions, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.75%, 0.00% Floor | 9.20% | 10/01/25 | 111,562 | |
349,833 | Arches Buyer, Inc., Term Loan, 1 Mo. CME Term SOFR + 3.25%, 0.50% Floor | 8.68% | 12/06/27 | 340,869 | |
500,000 | Prime Security Services Borrower LLC, Term Loan, 1 Mo. CME Term SOFR + CSA + 2.75%, 0.00% Floor | 8.08% | 03/14/28 | 492,500 | |
944,931 | |||||
Consumer Products — 0.1% | |||||
105,155 | AI Aqua Merger Sub, Inc., Delayed Draw Term Loan, 1 Mo. CME Term SOFR + 4.00%, 0.50% Floor | 9.33% | 07/30/28 | 104,967 | |
599,439 | AI Aqua Merger Sub, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.75%, 0.50% Floor | 9.08% | 07/30/28 | 598,369 | |
615,802 | Sunshine Luxembourg VII, Term Loan B, 3 Mo. CME Term SOFR + 3.75%, 0.75% Floor | 9.09% | 10/02/26 | 617,043 | |
2,577,031 | Zep, Inc., Term Loan B, 3 Mo. LIBOR + 4.00%, 1.00% Floor | 9.54% | 08/11/24 | 2,409,524 | |
3,729,903 | |||||
Diversified Manufacturing — 0.0% | |||||
303,920 | Filtration Group Corp., Term Loan, 1 Mo. CME Term SOFR + CSA + 4.25%, 0.50% Floor | 9.70% | 10/24/28 | 305,154 | |
Environmental — 0.0% | |||||
116,451 | Patriot Container Corp., Term Loan, 1 Mo. CME Term SOFR + CSA + 3.75%, 1.00% Floor | 9.18% | 03/20/25 | 109,755 | |
Finance Companies — 0.2% | |||||
4,899,498 | Avolon TLB Borrower 1 (U.S.) LLC, Term Loan B, 1 Mo. CME Term SOFR + 2.25%, 0.50% Floor | 7.66% | 12/01/27 | 4,902,560 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Rate (q) | Stated Maturity (r) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | |||||
Finance Companies (Continued) | |||||
$215,618 | Delos Finance S.A.R.L., Term Loan B, 3 Mo. LIBOR + 1.75%, 0.00% Floor | 7.29% | 10/06/23 | $215,820 | |
1,450,000 | Setanta Aircraft Leasing DAC, Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 7.54% | 11/05/28 | 1,451,812 | |
6,570,192 | |||||
Food And Beverage — 0.1% | |||||
460,836 | City Brewing Co. LLC, Term Loan B, 3 Mo. CME Term SOFR + 3.50%, 0.75% Floor | 9.07% | 04/05/28 | 304,152 | |
136,880 | H-Food Holdings LLC, Term Loan, 1 Mo. LIBOR + 3.69%, 0.00% Floor | 8.79% | 05/31/25 | 124,570 | |
1,069,773 | Hostess Brands LLC, Term Loan, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.00% Floor | 7.74% | 06/30/30 | 1,070,110 | |
1,364 | Naked Juice LLC, Delayed Draw Term Loan, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor | 8.58% | 01/24/29 | 1,296 | |
938,975 | Naked Juice LLC, Term Loan, 3 Mo. CME Term SOFR + CSA + 3.25%, 0.50% Floor | 8.59% | 01/24/29 | 892,379 | |
303,142 | Naked Juice LLC, Term Loan, 3 Mo. CME Term SOFR + CSA + 6.00%, 0.50% Floor | 11.34% | 01/24/30 | 247,277 | |
2,639,784 | |||||
Gaming — 0.0% | |||||
152,111 | Churchill Downs, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.00%, 0.00% Floor | 7.43% | 03/17/28 | 152,491 | |
500,000 | Golden Nugget, Term Loan, 1 Mo. CME Term SOFR + CSA + 4.00%, 0.50% Floor | 9.33% | 01/27/29 | 495,938 | |
648,429 | |||||
Healthcare — 0.2% | |||||
1,123,106 | Gainwell Acquisition Corp., Term Loan B, 3 Mo. CME Term SOFR + 4.00%, 0.75% Floor | 9.34% | 10/01/27 | 1,107,663 | |
2,997,046 | Grifols Worldwide Operations Ltd., Term Loan B, 1 Mo. CME Term SOFR + 2.00%, 0.00% Floor | 7.43% | 11/15/27 | 2,964,274 | |
674,178 | ICON Luxembourg S.A.R.L., Term Loan B, 3 Mo. CME Term SOFR + CSA + 2.50%, 0.50% Floor | 7.75% | 07/01/28 | 675,287 | |
656,569 | IQVIA, Inc., Term Loan, 3 Mo. LIBOR + 1.75%, 0.00% Floor | 7.29% | 06/11/25 | 658,743 | |
592,500 | Medline Borrower L.P., Term Loan B, 1 Mo. CME Term SOFR + 3.25%, 0.50% Floor | 8.70% | 10/21/28 | 592,808 | |
778,030 | Phoenix Newco, Inc., Term Loan, 1 Mo. CME Term SOFR + 3.25%, 0.50% Floor | 8.70% | 11/15/28 | 776,817 | |
167,972 | PRA Health Sciences, Inc., Term Loan B, 3 Mo. CME Term SOFR + CSA + 2.25%, 0.50% Floor | 7.75% | 07/01/28 | 168,248 | |
6,943,840 | |||||
Insurance — 0.1% | |||||
1,132,443 | Acrisure LLC, Term Loan B, 1 Mo. CME Term SOFR + 3.50%, 0.00% Floor | 8.95% | 02/15/27 | 1,112,523 | |
2,912,462 | AmWINS Group, Inc., Term Loan B, 1 Mo. CME Term SOFR + 2.25%, 0.75% Floor | 7.70% | 02/19/28 | 2,916,103 | |
348,824 | Asurion LLC (fka Asurion Corp.), Term Loan B, 3 Mo. LIBOR + 3.25%, 0.00% Floor | 8.79% | 12/23/26 | 339,730 | |
4,368,356 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Rate (q) | Stated Maturity (r) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | |||||
Leisure — 0.0% | |||||
$79,990 | Delta 2 Lux S.A.R.L., Term Loan B, 1 Mo. CME Term SOFR + 3.25%, 0.50% Floor | 8.33% | 01/15/30 | $80,303 | |
969,869 | William Morris Endeavor Entertainment LLC, Term Loan B1, 1 Mo. CME Term SOFR + CSA + 2.75%, 0.00% Floor | 8.20% | 05/18/25 | 969,947 | |
1,050,250 | |||||
Lodging — 0.0% | |||||
161,940 | Hilton Worldwide Finance LLC, Term Loan B2, 1 Mo. CME Term SOFR + 1.75%, 0.00% Floor | 7.16% | 06/21/26 | 162,033 | |
Media Entertainment — 0.0% | |||||
298,930 | AppLovin Corp., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.00%, 0.50% Floor | 8.41% | 08/15/30 | 298,445 | |
374,153 | MH Sub I LLC, Term Loan, 1 Mo. CME Term SOFR + 4.25%, 0.50% Floor | 9.58% | 05/03/28 | 360,240 | |
658,685 | |||||
Medical Equipment & Devices — 0.0% | |||||
1,324,614 | Avantor Funding, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 1.00% Floor | 7.68% | 11/06/27 | 1,327,396 | |
Packaging — 0.1% | |||||
1,143,840 | Berry Global, Inc., Term Loan, 3 Mo. CME Term SOFR + 1.75%, 0.00% Floor | 7.29% | 07/01/26 | 1,144,858 | |
1,511,250 | Plaze, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.75%, 0.75% Floor | 9.20% | 08/03/26 | 1,446,833 | |
2,179,787 | Proampac PG Borrower LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.75%, 0.75% Floor | 9.18%-9.32% | 11/03/25 | 2,179,786 | |
4,771,477 | |||||
Paper — 0.0% | |||||
969,693 | Mativ Holdings, Inc., Delayed Draw Term Loan, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.00% Floor (j) | 7.93% | 05/06/27 | 945,451 | |
Pharmaceuticals — 0.2% | |||||
1,549,782 | Elanco Animal Health, Inc., Term Loan B, 1 Mo. CME Term SOFR + 1.75%, 0.00% Floor | 7.17% | 08/01/27 | 1,536,950 | |
1,750,000 | Horizon Therapeutics USA, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.00%, 0.00% Floor | 7.43% | 05/22/26 | 1,751,566 | |
2,097,661 | Jazz Financing LUX S.A.R.L., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.50%, 0.50% Floor | 8.95% | 05/05/28 | 2,100,283 | |
2,269,278 | Organon & Co., Term Loan, 3 Mo. CME Term SOFR + CSA + 3.00%, 0.50% Floor | 8.43% | 06/02/28 | 2,277,085 | |
272,727 | Perrigo Investments LLC, Delayed Draw Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.50% Floor | 7.58% | 04/20/29 | 272,046 | |
469,773 | Perrigo Investments LLC, Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.50%, 0.50% Floor | 7.68% | 04/20/29 | 468,598 | |
8,406,528 | |||||
Railroads — 0.0% | |||||
169,742 | Genesee & Wyoming, Inc., Term Loan, 3 Mo. CME Term SOFR + 2.00%, 0.00% Floor | 7.34% | 12/30/26 | 169,964 | |
Restaurants — 0.0% | |||||
181,005 | Dave & Buster's, Inc., Term Loan B, 1 Mo. CME Term SOFR + CSA + 3.75%, 0.50% Floor | 9.19% | 06/29/29 | 181,413 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Rate (q) | Stated Maturity (r) | Value | |
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | |||||
Services — 0.0% | |||||
$1,656,863 | Spin Holdco, Inc., Term Loan, 3 Mo. LIBOR + 4.00%, 0.75% Floor | 9.23% | 03/04/28 | $1,395,907 | |
Technology — 0.3% | |||||
365,000 | Amentum Government Services Holdings LLC, Term Loan B, 1 Mo. CME Term SOFR + 4.00%, 0.00% Floor | 9.45% | 01/31/27 | 363,175 | |
335,382 | Central Parent, Inc., Term Loan, 3 Mo. CME Term SOFR + 4.00%, 0.00% Floor | 9.49% | 07/06/29 | 336,004 | |
3,908,629 | Commscope, Inc., Term Loan B2, 1 Mo. CME Term SOFR + CSA + 3.25%, 0.00% Floor | 8.70% | 04/04/26 | 3,605,222 | |
144,496 | DTI Holdco, Inc., Term Loan B, 3 Mo. CME Term SOFR + 4.75%, 0.75% Floor | 10.12% | 04/26/29 | 140,122 | |
114,373 | Entegris, Inc., Term Loan B, 1 Mo. CME Term SOFR + 2.50%, 0.00% Floor | 7.83% | 07/06/29 | 114,702 | |
58,022 | Entegris, Inc., Term Loan B, 1 Mo. CME Term SOFR + 2.75%, 0.00% Floor | 8.08% | 07/06/29 | 58,189 | |
195,914 | Entegris, Inc., Term Loan B, 3 Mo. CME Term SOFR + 2.75%, 0.00% Floor | 7.99% | 07/06/29 | 196,478 | |
2,130,348 | NortonLifeLock, Inc., Term Loan A2, 1 Mo. CME Term SOFR + 1.75%, 0.00% Floor | 6.93% | 09/12/27 | 2,109,055 | |
332,401 | Open Text Corp., Term Loan B, 1 Mo. CME Term SOFR + CSA + 1.75%, 0.00% Floor | 7.18% | 05/30/25 | 333,185 | |
751,670 | Open Text Corp., Term Loan B, 1 Mo. CME Term SOFR + CSA + 2.75%, 0.50% Floor | 8.20% | 01/31/30 | 753,395 | |
2,588,904 | Oracle Corp., Term Loan A1, 1 Mo. CME Term SOFR + CSA + 1.60%, 0.00% Floor | 7.02% | 08/16/27 | 2,575,960 | |
593,921 | Peraton Corp., Term Loan B, 1 Mo. CME Term SOFR + 3.75%, 0.75% Floor | 9.18% | 02/01/28 | 589,234 | |
165,930 | RealPage, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.00%, 0.50% Floor | 8.45% | 04/22/28 | 164,356 | |
453,427 | Renaissance Holding Corp., Term Loan, 1 Mo. CME Term SOFR + 4.75%, 0.50% Floor | 9.99% | 04/07/30 | 454,810 | |
536,124 | SS&C Technologies, Inc., Term Loan B-5, 1 Mo. CME Term SOFR + 1.75%, 0.00% Floor | 7.20% | 04/16/25 | 536,660 | |
12,330,547 | |||||
Wireless — 0.0% | |||||
1,043,559 | SBA Senior Finance II LLC, Term Loan B, 1 Mo. CME Term SOFR + 1.75%, 0.00% Floor | 7.09% | 04/11/25 | 1,045,072 | |
Wirelines — 0.1% | |||||
250,000 | Zayo Group Holdings, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.00%, 0.00% Floor | 8.45% | 03/09/27 | 200,986 | |
1,799,294 | Zayo Group Holdings, Inc., Term Loan B, 1 Mo. CME Term SOFR + 4.25%, 0.50% Floor | 9.66% | 03/09/27 | 1,452,256 | |
1,653,242 | |||||
Total Senior Floating-Rate Loan Interests | 67,207,064 | ||||
(Cost $68,209,705) |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (c) — 1.1% | |||||
Brazil — 0.1% | |||||
$3,330,000 | Brazilian Government International Bond | 3.88% | 06/12/30 | $2,956,322 | |
200,000 | Brazilian Government International Bond | 6.00% | 10/20/33 | 194,925 | |
3,151,247 | |||||
Chile — 0.1% | |||||
1,500,000 | Chile Government International Bond | 2.55% | 01/27/32 | 1,262,030 | |
1,540,000 | Chile Government International Bond | 2.55% | 07/27/33 | 1,240,143 | |
750,000 | Chile Government International Bond | 3.50% | 01/31/34 | 651,082 | |
3,153,255 | |||||
Colombia — 0.0% | |||||
1,200,000 | Colombia Government International Bond | 4.50% | 03/15/29 | 1,070,750 | |
1,485,000 | Colombia Government International Bond | 3.00% | 01/30/30 | 1,183,300 | |
2,254,050 | |||||
Dominican Republic — 0.1% | |||||
2,485,000 | Dominican Republic International Bond (d) | 4.50% | 01/30/30 | 2,173,621 | |
790,000 | Dominican Republic International Bond (n) | 4.88% | 09/23/32 | 672,282 | |
2,845,903 | |||||
Guatemala — 0.1% | |||||
1,000,000 | Guatemala Government Bond (n) | 5.25% | 08/10/29 | 951,343 | |
2,000,000 | Guatemala Government Bond (n) | 3.70% | 10/07/33 | 1,617,986 | |
2,569,329 | |||||
Hungary — 0.1% | |||||
1,000,000 | Hungary Government International Bond (n) | 5.25% | 06/16/29 | 980,024 | |
3,130,000 | Hungary Government International Bond (d) | 2.13% | 09/22/31 | 2,414,078 | |
3,394,102 | |||||
Indonesia — 0.1% | |||||
3,500,000 | Perusahaan Penerbit SBSN Indonesia III (d) | 2.80% | 06/23/30 | 3,034,406 | |
Mexico — 0.1% | |||||
5,772,000 | Mexico Government International Bond | 2.66% | 05/24/31 | 4,789,939 | |
1,700,000 | Mexico Government International Bond | 4.75% | 04/27/32 | 1,614,073 | |
6,404,012 | |||||
Oman — 0.0% | |||||
800,000 | Oman Government International Bond (n) | 6.75% | 10/28/27 | 825,500 | |
1,100,000 | Oman Government International Bond (n) | 5.63% | 01/17/28 | 1,088,150 | |
1,913,650 | |||||
Panama — 0.1% | |||||
3,608,000 | Panama Government International Bond | 3.16% | 01/23/30 | 3,150,850 | |
500,000 | Panama Government International Bond | 2.25% | 09/29/32 | 380,692 | |
3,531,542 | |||||
Paraguay — 0.0% | |||||
2,285,000 | Paraguay Government International Bond (n) | 4.95% | 04/28/31 | 2,163,248 | |
Peru — 0.1% | |||||
1,715,000 | Peruvian Government International Bond | 2.84% | 06/20/30 | 1,487,419 | |
1,260,000 | Peruvian Government International Bond | 2.78% | 01/23/31 | 1,071,121 | |
2,558,540 | |||||
Philippines — 0.0% | |||||
2,500,000 | Philippine Government International Bond | 2.46% | 05/05/30 | 2,133,391 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (c) (Continued) | |||||
Poland — 0.0% | |||||
$323,000 | Republic of Poland Government International Bond | 5.75% | 11/16/32 | $336,208 | |
1,995,000 | Republic of Poland Government International Bond | 4.88% | 10/04/33 | 1,939,794 | |
2,276,002 | |||||
Romania — 0.1% | |||||
250,000 | Romanian Government International Bond (d) | 6.63% | 02/17/28 | 258,744 | |
3,000,000 | Romanian Government International Bond (n) | 3.00% | 02/14/31 | 2,488,911 | |
2,747,655 | |||||
South Africa — 0.1% | |||||
730,000 | Republic of South Africa Government International Bond | 4.85% | 09/30/29 | 644,685 | |
759,000 | Republic of South Africa Government International Bond | 5.88% | 06/22/30 | 692,443 | |
1,550,000 | Republic of South Africa Government International Bond | 5.88% | 04/20/32 | 1,374,517 | |
2,711,645 | |||||
United Arab Emirates — 0.0% | |||||
1,302,000 | Finance Department Government of Sharjah (d) | 6.50% | 11/23/32 | 1,332,334 | |
Uruguay — 0.0% | |||||
2,000,000 | Uruguay Government International Bond | 4.38% | 01/23/31 | 1,969,467 | |
Total Foreign Sovereign Bonds and Notes | 50,143,778 | ||||
(Cost $55,282,072) | |||||
MUNICIPAL BONDS — 0.5% | |||||
California — 0.1% | |||||
4,545,000 | Regents of the Univ of CA Med Ctr Pooled Rev | 3.26% | 05/15/60 | 3,072,227 | |
Massachusetts — 0.0% | |||||
1,845,000 | Massachusetts Sch Bldg Auth | 2.97% | 10/15/32 | 1,572,433 | |
New Jersey — 0.0% | |||||
2,000,000 | NJ St Turnpike Auth Rev | 1.86% | 01/01/31 | 1,621,743 | |
500,000 | NJ St Turnpike Auth Rev | 3.73% | 01/01/36 | 435,592 | |
2,057,335 | |||||
New York — 0.4% | |||||
2,285,000 | City of New York NY | 3.62% | 04/01/31 | 2,083,416 | |
1,225,000 | Metro Transprtn Auth NY Rev Txbl Green Bond, Ser C2 | 5.18% | 11/15/49 | 1,134,823 | |
970,000 | New York City NY Transitional Fin Auth Rev, Ser A-3 | 3.96% | 08/01/32 | 901,582 | |
6,940,000 | New York City NY Transitional Fin Auth Rev, Ser B-3 | 1.85% | 08/01/32 | 5,401,906 | |
400,000 | New York City NY Transitional Fin Auth Rev Qualified Sch Constr, Ser BD G-3 | 5.27% | 05/01/27 | 403,016 | |
2,690,000 | NY St Dorm Auth, Ser D | 5.00% | 03/15/24 | 2,678,698 | |
5,140,000 | NY St Urban Dev Corp. | 2.97% | 03/15/34 | 4,272,998 | |
16,876,439 | |||||
Total Municipal Bonds | 23,578,434 | ||||
(Cost $29,078,486) |
Shares | Description | Value | |||
COMMON STOCKS — 0.0% | |||||
Wireless Telecommunication Services — 0.0% | |||||
59,835 | Intelsat Jackson Emergence S.A. (j) (k) (p) (s) | 0 | |||
(Cost $2,002,850) |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
RIGHTS — 0.0% | |||||
Wireless Telecommunication Services — 0.0% | |||||
6,263 | Intelsat Jackson Holdings S.A., Series A (j) (k) (p) (s) | $0 | |||
6,263 | Intelsat Jackson Holdings S.A., Series B (j) (k) (p) (s) | 0 | |||
Total Rights | 0 | ||||
(Cost $138) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. TREASURY BILLS — 4.7% | |||||
$179,545,000 | U.S. Treasury Bill | (h) | 11/28/23 | 177,224,381 | |
34,595,000 | U.S. Treasury Bill | (h) | 12/21/23 | 34,030,860 | |
Total U.S. Treasury Bills | 211,255,241 | ||||
(Cost $211,251,175) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
39,100,223 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (t) | 39,100,223 | |||
(Cost $39,100,223) | |||||
Total Investments — 119.6% | 5,429,938,355 | ||||
(Cost $5,709,825,720) | |||||
Net Other Assets and Liabilities — (19.6)% | (890,445,026 ) | ||||
Net Assets — 100.0% | $4,539,493,329 |
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 8/31/2023 | Sale Value as of 8/31/2023 | Unrealized Appreciation (Depreciation) | ||
10/13/2023 | Citi | GBP | 110,000 | USD | 140,359 | $139,369 | $140,359 | $(990 ) |
10/13/2023 | Citi | USD | 557,857 | EUR | 506,000 | 557,857 | 549,840 | 8,017 |
10/13/2023 | Citi | USD | 1,098,235 | EUR | 996,000 | 1,098,235 | 1,082,293 | 15,942 |
10/13/2023 | Citi | USD | 1,641,282 | EUR | 1,506,000 | 1,641,282 | 1,636,479 | 4,803 |
10/13/2023 | Citi | USD | 881,044 | EUR | 810,000 | 881,044 | 880,178 | 866 |
10/13/2023 | Citi | USD | 29,393,122 | EUR | 26,917,000 | 29,393,122 | 29,249,073 | 144,049 |
10/13/2023 | Citi | USD | 832,017 | EUR | 760,000 | 832,017 | 825,846 | 6,171 |
10/13/2023 | Citi | USD | 2,773,472 | GBP | 2,160,000 | 2,773,472 | 2,736,701 | 36,771 |
10/13/2023 | Citi | USD | 782,767 | GBP | 611,000 | 782,767 | 774,132 | 8,635 |
Net Unrealized Appreciation (Depreciation) | $224,264 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
U.S. 2-Year Treasury Notes | Long | 7,362 | Dec-2023 | $1,500,410,113 | $3,020,657 |
U.S. 5-Year Treasury Notes | Long | 353 | Dec-2023 | 37,743,422 | 279,402 |
Ultra U.S. Treasury Bond Futures | Long | 175 | Dec-2023 | 22,657,031 | 738,912 |
Euro-Bobl Futures | Short | 17 | Dec-2023 | (2,165,440 ) | (9,911 ) |
Portfolio of Investments (Continued)
August 31, 2023
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
Euro-Bund Futures | Short | 44 | Dec-2023 | $(6,327,973 ) | $(1,008 ) |
Euro-Buxl 30 Year Bonds Futures | Short | 26 | Dec-2023 | (3,771,115 ) | (5,674 ) |
Ultra 10-Year U.S. Treasury Notes | Short | 364 | Dec-2023 | (42,263,812 ) | (492,595 ) |
$1,506,282,226 | $3,529,783 |
Counterparty | Floating Rate | Expiration Date | Notional Value | Fixed Rate | Unrealized Appreciation (Depreciation)/ Value |
Citadel Securities LLC | SOFR(1) | 12/20/2053 | $27,661,000 | 3.520 %(1) | $(144,715 ) |
(1) | The Fund pays the fixed rate and receives the floating rate. The floating rate is not effective until 12/20/2023 and no interest is being accrued until that date. |
(a) | All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2J - Mortgage Dollar Rolls in the Notes to Financial Statements). |
(b) | Security whose principal value is adjusted in accordance with changes to the country’s Consumer Price Index. Interest is calculated on the basis of the current adjusted principal value. |
(c) | Principal Value is in U.S. dollars unless otherwise indicated in the security description. |
(d) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At August 31, 2023, securities noted as such amounted to $954,478,469 or 21.0% of net assets. |
(e) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at August 31, 2023. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(f) | Floating or variable rate security. |
(g) | This issuer is in default. |
(h) | Zero coupon security. |
(i) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(j) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At August 31, 2023, securities noted as such are valued at $11,568,843 or 0.3% of net assets. |
(k) | This security’s value was determined using significant unobservable inputs (see Note2A- Portfolio Valuation in the Notes to Financial Statements). |
(l) | Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically. |
(m) | Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have different coupons. The coupon may change in any period. |
(n) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(o) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note2K - Restricted Securities in the Notes to Financial Statements). |
(p) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
Portfolio of Investments (Continued)
August 31, 2023
(q) | Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the SOFR obtained from the U.S. Department of the Treasury’s Office of Financial Research or another major financial institution, (iii) the prime rate offered by one or more United States banks or (iv) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR or SOFR floor that establishes a minimum LIBOR or SOFR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR or SOFR period, spread and floor, but different LIBOR or SOFR reset dates. |
(r) | Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown. |
(s) | Non-income producing security. |
(t) | Rate shown reflects yield as of August 31, 2023. |
Abbreviations throughout the Portfolio of Investments: | |
Citi | – Citibank N.A. |
CME | – Chicago Mercantile Exchange |
CSA | – Credit Spread Adjustment |
EUR | – Euro |
GBP | – British Pound Sterling |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To-Be-Announced Security |
USD | – United States Dollar |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Government Agency Mortgage-Backed Securities | $1,509,208,739 | $— | $1,509,208,739 | $— |
U.S. Government Bonds and Notes | 1,492,085,532 | — | 1,492,085,532 | — |
Corporate Bonds and Notes* | 916,897,598 | — | 916,897,598 | — |
Asset-Backed Securities | 468,733,521 | — | 458,110,129 | 10,623,392 |
Mortgage-Backed Securities | 391,790,658 | — | 391,790,658 | — |
Foreign Corporate Bonds and Notes: | ||||
Telecommunications | 6,937,146 | — | 6,937,146 | — ** |
Other Industry Categories* | 253,000,421 | — | 253,000,421 | — |
Senior Floating-Rate Loan Interests* | 67,207,064 | — | 67,207,064 | — |
Foreign Sovereign Bonds and Notes*** | 50,143,778 | — | 50,143,778 | — |
Municipal Bonds**** | 23,578,434 | — | 23,578,434 | — |
Common Stocks* | — ** | — | — | — ** |
Rights* | — ** | — | — | — ** |
U.S. Treasury Bills | 211,255,241 | — | 211,255,241 | — |
Money Market Funds | 39,100,223 | 39,100,223 | — | — |
Total Investments | 5,429,938,355 | 39,100,223 | 5,380,214,740 | 10,623,392 |
Forward Foreign Currency Contracts | 225,254 | — | 225,254 | — |
Futures Contracts | 4,038,971 | 4,038,971 | — | — |
Total | $5,434,202,580 | $43,139,194 | $5,380,439,994 | $10,623,392 |
Portfolio of Investments (Continued)
August 31, 2023
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts | $(990 ) | $— | $(990 ) | $— |
Futures Contracts***** | (509,188 ) | (509,188 ) | — | — |
Interest Rate Swap Agreements | (144,715 ) | — | (144,715 ) | — |
Total | $(654,893 ) | $(509,188 ) | $(145,705 ) | $— |
* | See Portfolio of Investments for industry breakout. |
** | Investments are valued at $0. |
*** | See Portfolio of Investments for country breakout. |
**** | See Portfolio of Investments for state breakout. |
***** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Portfolio of Investments
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES — 24.4% | |||||
Collateralized Mortgage Obligations — 18.1% | |||||
Adjustable Rate Mortgage Trust | |||||
$75,641 | Series 2005-8, Class 3A21 (a) | 4.51% | 11/25/35 | $56,470 | |
Ajax Mortgage Loan Trust | |||||
6,038,255 | Series 2021-C, Class A, steps up to 5.12% on 09/25/24 (b) (c) | 2.12% | 01/25/61 | 5,722,069 | |
2,645,122 | Series 2021-D, Class A, steps up to 5.00% on 02/25/25 (b) (c) | 2.00% | 03/25/60 | 2,445,066 | |
Alternative Loan Trust | |||||
625,459 | Series 2005-13CB, Class A8 | 5.50% | 05/25/35 | 528,525 | |
223,318 | Series 2005-16, Class A3, 1 Mo. CME Term SOFR + CSA + 0.50% (d) | 5.93% | 06/25/35 | 195,960 | |
675,899 | Series 2005-65CB, Class 2A4 | 5.50% | 12/25/35 | 482,785 | |
61,482 | Series 2005-76, Class 1A1, 12 Mo. Treasury Average + 1.48% (d) | 5.91% | 01/25/36 | 56,746 | |
268,477 | Series 2006-33CB, Class 2A1 | 6.00% | 11/25/36 | 143,971 | |
846,825 | Series 2007-15CB, Class A6 | 5.75% | 07/25/37 | 486,580 | |
402,667 | Series 2007-OA6, Class A1B, 1 Mo. CME Term SOFR + CSA + 0.40% (d) | 5.83% | 06/25/37 | 358,495 | |
American Home Mortgage Assets Trust | |||||
1,133,479 | Series 2006-1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.21% (d) | 5.64% | 05/25/46 | 951,733 | |
12,645,838 | Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (d) | 5.13% | 02/25/47 | 5,046,869 | |
3,156,581 | Series 2007-2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.13% (d) | 5.55% | 03/25/47 | 2,777,942 | |
American Home Mortgage Investment Trust | |||||
487,080 | Series 2005-4, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.58% (d) | 6.01% | 11/25/45 | 425,483 | |
APS Resecuritization Trust | |||||
14,507,586 | Series 2016-3, Class 3MZ (a) (b) | 0.88% | 09/27/46 | 7,396,111 | |
Banc of America Funding Trust | |||||
623,195 | Series 2007-1, Class TA3A, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 01/25/37 | 541,185 | |
2,028,794 | Series 2007-2, Class TA4, 1 Mo. CME Term SOFR + CSA + 0.80% (d) | 6.23% | 03/25/37 | 1,822,840 | |
BCAP LLC Trust | |||||
298,169 | Series 2007-AA3, Class 1A1A, 1 Mo. CME Term SOFR + CSA + 0.42% (d) | 5.85% | 04/25/37 | 275,372 | |
4,943,447 | Series 2012-RR8, Class 4A6 (a) (b) | 2.39% | 11/20/36 | 4,219,826 | |
Bear Stearns ALT-A Trust | |||||
376,533 | Series 2004-8, Class M1, 1 Mo. CME Term SOFR + CSA + 0.92% (d) | 6.34% | 09/25/34 | 372,425 | |
1,282,095 | Series 2006-1, Class 21A2 (a) | 4.13% | 02/25/36 | 903,134 | |
Bear Stearns Mortgage Funding Trust | |||||
4,049,341 | Series 2006-AR1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.42% (d) | 5.85% | 07/25/36 | 3,599,475 | |
430,185 | Series 2006-AR3, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.18% (d) | 5.61% | 10/25/36 | 361,538 | |
5,680,729 | Series 2007-AR1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.16% (d) | 5.59% | 01/25/37 | 4,908,667 | |
152,750 | Series 2007-AR3, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.14% (d) | 5.57% | 03/25/37 | 130,391 | |
3,637,251 | Series 2007-AR5, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.23% (d) | 5.66% | 06/25/37 | 3,364,250 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
CIM Trust | |||||
$7,633,620 | Series 2020-R6, Class A1 (b) | 2.25% | 12/25/60 | $6,175,143 | |
524,923 | Series 2020-R7, Class A1A (b) (e) | 2.25% | 12/27/61 | 453,914 | |
5,005,571 | Series 2021-INV1, Class A2 (b) | 2.50% | 07/01/51 | 3,974,895 | |
994,921 | Series 2021-R3, Class A1A (b) | 1.95% | 06/25/57 | 875,845 | |
1,349,133 | Series 2021-R5, Class A1A (b) | 2.00% | 08/25/61 | 1,072,000 | |
6,655,084 | Series 2023-R1, Class A1A (b) | 5.40% | 04/25/62 | 5,939,758 | |
5,762,102 | Series 2023-R3, Class A1A (b) | 4.50% | 01/25/63 | 4,922,802 | |
Citigroup Mortgage Loan Trust | |||||
438,560 | Series 2005-8, Class 2A4A | 5.50% | 09/25/35 | 391,780 | |
1,064,553 | Series 2009-10, Class 2A2 (b) | 7.00% | 12/25/35 | 773,609 | |
COLT Mortgage Loan Trust | |||||
2,494,730 | Series 2021-2, Class A1 (b) | 0.92% | 08/25/66 | 1,922,306 | |
Connecticut Avenue Securities Trust | |||||
3,244,000 | Series 2020-R01, Class 1B1, 30 Day Average SOFR + 3.36% (b) (d) | 8.65% | 01/25/40 | 3,254,714 | |
2,500,000 | Series 2021-R03, Class 1B1, 30 Day Average SOFR + 2.75% (b) (d) | 8.04% | 12/25/41 | 2,475,937 | |
Credit Suisse Mortgage Trust | |||||
34,334 | Series 2014-2R, Class 28A1 (a) (b) | 3.00% | 06/27/37 | 32,354 | |
885,940 | Series 2014-8R, Class 3A2 (a) (b) | 4.64% | 02/27/36 | 879,773 | |
1,632,800 | Series 2014-11R, Class 17A2, 1 Mo. CME Term SOFR + CSA + 0.15% (b) (d) | 5.71% | 12/27/36 | 1,574,364 | |
6,972,421 | Series 2020-RPL3, Class A1 (a) (b) | 2.69% | 03/25/60 | 6,926,086 | |
7,251,593 | Series 2020-RPL6, Class A1 (b) | 2.69% | 03/25/59 | 7,097,937 | |
4,629,586 | Series 2021-RP11, Class A1 (b) | 2.25% | 10/25/61 | 3,473,726 | |
5,222,256 | Series 2021-RPL4, Class A1 (b) | 1.80% | 12/27/60 | 4,940,580 | |
3,423,912 | Series 2022-RPL1, Class A1 (b) | 4.15% | 04/25/61 | 2,872,622 | |
126,494 | Series 2022-RPL1, Class CERT (b) | 4.23% | 04/25/61 | 100,128 | |
3,009,691 | Series 2022-RPL1, Class PT (b) | 4.54% | 04/25/61 | 2,413,235 | |
Deutsche Alt-A Securities Mortgage Loan Trust | |||||
5,815,445 | Series 2006-AF1, Class A4, 1 Mo. CME Term SOFR + CSA + 0.60% (d) | 6.03% | 04/25/36 | 5,250,510 | |
2,446,662 | Series 2007-AR3, Class 2A5, 1 Mo. CME Term SOFR + CSA + 0.40% (d) | 5.83% | 06/25/37 | 2,096,199 | |
DSLA Mortgage Loan Trust | |||||
43,030 | Series 2004-AR4, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.72% (d) | 6.15% | 01/19/45 | 33,075 | |
4,866,511 | Series 2005-AR3, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.52% (d) | 5.95% | 07/19/45 | 3,764,079 | |
Federal Home Loan Mortgage Corporation STACR REMIC Trust | |||||
2,975,000 | Series 2021-HQA2, Class M2, 30 Day Average SOFR + 2.05% (b) (d) | 7.34% | 12/25/33 | 2,920,281 | |
4,770,000 | Series 2022-DNA1, Class M2, 30 Day Average SOFR + 2.50% (b) (d) | 7.79% | 01/25/42 | 4,713,794 | |
5,000,000 | Series 2022-DNA2, Class M2, 30 Day Average SOFR + 3.75% (b) (d) | 9.04% | 02/25/42 | 5,084,719 | |
4,000,000 | Series 2022-DNA3, Class M1B, 30 Day Average SOFR + 2.90% (b) (d) | 8.19% | 04/25/42 | 4,072,584 | |
First Horizon Alternative Mortgage Securities Trust | |||||
23,818 | Series 2004-AA4, Class A1 (a) | 5.39% | 10/25/34 | 23,398 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
First Horizon Alternative Mortgage Securities Trust (Continued) | |||||
$1,560,913 | Series 2005-AA4, Class 2A1 (a) | 5.17% | 06/25/35 | $1,409,162 | |
2,301,501 | Series 2007-FA1, Class A4 | 6.25% | 03/25/37 | 1,020,414 | |
GreenPoint Mortgage Funding Trust | |||||
36,329 | Series 2006-AR1, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.58% (d) | 6.01% | 02/25/36 | 31,257 | |
3,777,340 | Series 2006-AR6, Class A3A, 1 Mo. CME Term SOFR + CSA + 0.44% (d) | 5.87% | 10/25/46 | 3,435,748 | |
5,097,634 | Series 2007-AR1, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.40% (d) | 5.83% | 03/25/47 | 4,575,504 | |
497,998 | Series 2007-AR2, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.40% (d) | 5.83% | 05/25/37 | 463,221 | |
HarborView Mortgage Loan Trust | |||||
145,596 | Series 2005-9, Class 2A1A, 1 Mo. CME Term SOFR + CSA + 0.68% (d) | 6.11% | 06/20/35 | 132,214 | |
401,198 | Series 2005-9, Class 2A1C, 1 Mo. CME Term SOFR + CSA + 0.90% (d) | 6.33% | 06/20/35 | 364,069 | |
5,500,614 | Series 2007-5, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.19% (d) | 5.62% | 09/19/37 | 4,712,312 | |
634,972 | Series 2007-7, Class 1A1, 1 Mo. CME Term SOFR + CSA + 2.00% (d) | 7.43% | 10/25/37 | 474,383 | |
Headlands Residential LLC | |||||
4,240,000 | Series 2021-RPL1, Class NOTE (b) | 2.49% | 09/25/26 | 4,068,722 | |
HomeBanc Mortgage Trust | |||||
4,057,000 | Series 2005-3, Class M4, 1 Mo. CME Term SOFR + CSA + 1.01% (d) | 6.43% | 07/25/35 | 3,683,890 | |
Impac CMB Trust | |||||
36,809 | Series 2005-1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.52% (d) | 5.95% | 04/25/35 | 33,707 | |
4,275,286 | Series 2005-3, Class A1, 1 Mo. CME Term SOFR + CSA + 0.48% (d) | 5.91% | 08/25/35 | 3,919,341 | |
3,591,873 | Series 2005-5, Class A1, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 6.07% | 08/25/35 | 3,312,572 | |
2,756,380 | Series 2005-8, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.52% (d) | 5.95% | 02/25/36 | 2,505,283 | |
Impac Secured Assets Trust | |||||
4,957,368 | Series 2007-1, Class A3, 1 Mo. CME Term SOFR + CSA + 0.48% (d) | 5.91% | 03/25/37 | 4,172,673 | |
IndyMac INDX Mortgage Loan Trust | |||||
3,248,806 | Series 2006-AR2, Class 1A1B, 1 Mo. CME Term SOFR + CSA + 0.42% (d) | 5.64% | 04/25/46 | 2,891,088 | |
433,210 | Series 2006-AR4, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.42% (d) | 5.85% | 05/25/46 | 381,622 | |
138,723 | Series 2007-FLX2, Class A1C, 1 Mo. CME Term SOFR + CSA + 0.19% (d) | 5.62% | 04/25/37 | 125,606 | |
JP Morgan Alternative Loan Trust | |||||
666,752 | Series 2006-S1, Class 3A4 | 6.18% | 03/25/36 | 561,084 | |
46,096 | Series 2007-S1, Class A2, 1 Mo. CME Term SOFR + CSA + 0.68% (d) | 6.11% | 04/25/47 | 43,541 | |
JP Morgan Mortgage Trust | |||||
5,130,755 | Series 2021-5, Class A4 (b) | 2.50% | 08/25/51 | 4,380,592 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
JP Morgan Resecuritization Trust | |||||
$5,687,326 | Series 2014-6, Class 3A2, 1 Mo. CME Term SOFR + CSA + 0.21% (b) (d) | 3.94% | 07/27/46 | $5,197,182 | |
Legacy Mortgage Asset Trust | |||||
3,552,142 | Series 2020-GS2, Class A1, steps up to 6.75% on 03/25/24 (b) (c) | 5.75% | 03/25/60 | 3,538,731 | |
Lehman Mortgage Trust | |||||
731,847 | Series 2006-1, Class 1A5 | 5.50% | 02/25/36 | 369,259 | |
Lehman XS Trust | |||||
72,211 | Series 2005-5N, Class 3A1A, 1 Mo. CME Term SOFR + CSA + 0.30% (d) | 5.73% | 11/25/35 | 70,771 | |
640,977 | Series 2006-2N, Class 2A1, 12 Mo. Treasury Average + 2.02% (d) | 6.45% | 02/25/36 | 559,504 | |
6,097,930 | Series 2006-4N, Class A1D1, 1 Mo. CME Term SOFR + CSA + 0.66% (d) | 6.09% | 04/25/46 | 5,423,662 | |
494,599 | Series 2007-12N, Class 1A3A, 1 Mo. CME Term SOFR + CSA + 0.40% (d) | 5.83% | 07/25/47 | 476,519 | |
5,603,338 | Series 2007-16N, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.94% (d) | 6.37% | 09/25/47 | 5,141,002 | |
MASTR Adjustable Rate Mortgages Trust | |||||
5,349,747 | Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average + 0.80% (d) | 5.23% | 12/25/46 | 3,922,317 | |
6,082,034 | Series 2007-1, Class I1A, 1 Mo. CME Term SOFR + CSA + 0.39% (d) | 5.82% | 01/25/47 | 2,242,556 | |
1,307,516 | Series 2007-1, Class I2A3, 12 Mo. Treasury Average + 0.74% (d) | 5.17% | 01/25/47 | 1,289,150 | |
4,700,000 | Series 2007-HF2, Class A2, 1 Mo. CME Term SOFR + CSA + 1.10% (d) | 6.53% | 09/25/37 | 2,030,833 | |
Merrill Lynch Mortgage Investors Trust | |||||
66,228 | Series 2003-D, Class A, 1 Mo. CME Term SOFR + CSA + 0.62% (d) | 6.05% | 08/25/28 | 62,940 | |
New Residential Mortgage Loan Trust | |||||
8,100,000 | Series 2019-RPL3, Class M1 (b) | 3.25% | 07/25/59 | 6,808,964 | |
Nomura Resecuritization Trust | |||||
1,696,177 | Series 2014-1R, Class 1A13, 1 Mo. CME Term SOFR + CSA + 0.16% (b) (d) | 1.64% | 10/26/36 | 1,661,846 | |
Opteum Mortgage Acceptance Corp Trust | |||||
5,049,932 | Series 2006-1, Class 1AC1, 1 Mo. CME Term SOFR + CSA + 0.60% (d) | 6.03% | 04/25/36 | 4,495,084 | |
PHH Alternative Mortgage Trust | |||||
916,175 | Series 2007-2, Class 1A4, 1 Mo. CME Term SOFR + CSA + 0.60% (d) | 6.03% | 05/25/37 | 841,340 | |
RALI Trust | |||||
1,297,908 | Series 2005-QO1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.30% (d) | 5.73% | 08/25/35 | 972,264 | |
2,232,194 | Series 2006-QO10, Class A1, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 01/25/37 | 1,919,021 | |
426,638 | Series 2006-QS6, Class 1A15 | 6.00% | 06/25/36 | 337,951 | |
7,602,628 | Series 2007-QA3, Class A1, 1 Mo. CME Term SOFR + CSA + 0.20% (d) | 5.63% | 05/25/37 | 6,847,099 | |
2,660,920 | Series 2007-QA3, Class A2, 1 Mo. CME Term SOFR + CSA + 0.34% (d) | 5.77% | 05/25/37 | 2,368,520 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
RALI Trust (Continued) | |||||
$882,399 | Series 2007-QH4, Class A1, 1 Mo. CME Term SOFR + CSA + 0.38% (d) | 5.81% | 05/25/37 | $784,996 | |
3,885,199 | Series 2007-QH9, Class A1 (a) | 5.65% | 11/25/37 | 3,180,915 | |
2,036,652 | Series 2007-QS9, Class A33 | 6.50% | 07/25/37 | 1,630,431 | |
Structured Adjustable Rate Mortgage Loan Trust | |||||
11,242 | Series 2005-12, Class 3A1 (a) | 5.28% | 06/25/35 | 9,904 | |
294,330 | Series 2006-11, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 12/25/36 | 270,737 | |
499,303 | Series 2007-4, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.48% (d) | 5.91% | 05/25/37 | 432,943 | |
492,733 | Series 2007-4, Class 1A2, 1 Mo. CME Term SOFR + CSA + 0.44% (d) | 5.87% | 05/25/37 | 430,572 | |
Structured Asset Mortgage Investments II Trust | |||||
106,039 | Series 2003-AR3, Class A1, 1 Mo. CME Term SOFR + CSA + 0.68% (d) | 6.11% | 11/19/33 | 100,695 | |
224,797 | Series 2005-AR2, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.46% (d) | 5.89% | 05/25/45 | 202,298 | |
263,185 | Series 2006-AR1, Class 3A1, 1 Mo. CME Term SOFR + CSA + 0.46% (d) | 5.89% | 02/25/36 | 205,977 | |
326,688 | Series 2006-AR3, Class 12A1, 1 Mo. CME Term SOFR + CSA + 0.44% (d) | 5.87% | 05/25/36 | 259,642 | |
390,155 | Series 2006-AR4, Class 3A1, 1 Mo. CME Term SOFR + CSA + 0.38% (d) | 5.81% | 06/25/36 | 332,087 | |
38,759 | Series 2006-AR5, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.42% (d) | 5.85% | 05/25/36 | 25,373 | |
1,533,985 | Series 2006-AR6, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.38% (d) | 5.81% | 07/25/46 | 1,082,430 | |
542,032 | Series 2006-AR8, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.40% (d) | 5.83% | 10/25/36 | 468,372 | |
7,716,127 | Series 2006-AR8, Class A2, 1 Mo. CME Term SOFR + CSA + 0.42% (d) | 5.85% | 10/25/36 | 6,218,847 | |
340,710 | Series 2007-AR1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 01/25/37 | 298,750 | |
144,912 | Series 2007-AR1, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.18% (d) | 5.61% | 01/25/37 | 130,106 | |
565,185 | Series 2007-AR6, Class A1, 12 Mo. Treasury Average + 1.50% (d) | 5.93% | 08/25/47 | 503,069 | |
WaMu Mortgage Pass-Through Certificates Trust | |||||
4,846,187 | Series 2005-AR15, Class A1A2, 1 Mo. CME Term SOFR + CSA + 0.56% (d) | 5.99% | 11/25/45 | 4,387,882 | |
42,125 | Series 2006-AR11, Class 1A, 12 Mo. Treasury Average + 0.96% (d) | 5.39% | 09/25/46 | 33,513 | |
2,169,707 | Series 2006-AR3, Class A1A, 12 Mo. Treasury Average + 1.00% (d) | 3.88% | 02/25/46 | 1,918,865 | |
2,533,753 | Series 2007-OA4, Class 1A, 12 Mo. Treasury Average + 0.77% (d) | 5.20% | 05/25/47 | 2,046,259 | |
733,691 | Series 2007-OA5, Class 1A, 12 Mo. Treasury Average + 0.75% (d) | 5.18% | 06/25/47 | 592,820 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | |||||
$2,013,530 | Series 2006-AR6, Class 2A, 12 Mo. Treasury Average + 0.96% (d) | 5.39% | 08/25/46 | $1,120,117 | |
611,187 | Series 2007-OC1, Class A4, 1 Mo. CME Term SOFR + CSA + 0.64% (d) | 6.07% | 01/25/47 | 560,598 | |
Wells Fargo Mortgage Backed Securities Trust | |||||
178,547 | Series 2007-AR5, Class A1 (a) | 5.23% | 10/25/37 | 150,349 | |
268,729,122 | |||||
Commercial Mortgage-Backed Securities — 6.3% | |||||
BAMLL Commercial Mortgage Securities Trust | |||||
3,150,000 | Series 2018-PARK, Class A (a) (b) | 4.23% | 08/10/38 | 2,808,451 | |
2,975,000 | Series 2020-BHP3, Class A, 1 Mo. CME Term SOFR + CSA + 1.90% (b) (d) | 7.33% | 03/15/37 | 2,957,810 | |
Banc of America Commercial Mortgage Trust | |||||
12,322,829 | Series 2015-UBS7, Class XA, IO (a) | 0.89% | 09/15/48 | 145,989 | |
BANK | |||||
34,072,360 | Series 2020-BN27, Class XA, IO (a) | 1.27% | 04/15/63 | 1,981,563 | |
Bayview Commercial Asset Trust | |||||
580,587 | Series 2005-4A, Class A1, 1 Mo. CME Term SOFR + CSA + 0.45% (b) (d) | 5.88% | 01/25/36 | 529,207 | |
BBCMS Mortgage Trust | |||||
2,445,000 | Series 2020-BID, Class A, 1 Mo. CME Term SOFR + CSA + 2.14% (b) (d) | 7.57% | 10/15/37 | 2,333,234 | |
2,300,000 | Series 2020-BID, Class C, 1 Mo. CME Term SOFR + CSA + 3.64% (b) (d) | 9.07% | 10/15/37 | 2,172,155 | |
BDS Ltd. | |||||
1,847,986 | Series 2021-FL8, Class A, 1 Mo. CME Term SOFR + CSA + 0.92% (b) (d) | 6.35% | 01/18/36 | 1,827,387 | |
Benchmark Mortgage Trust | |||||
2,000,000 | Series 2020-B18, Class AGNE (b) | 3.76% | 07/15/53 | 1,764,641 | |
1,810,000 | Series 2020-IG2, Class UBRD (a) (b) | 3.63% | 09/15/48 | 1,513,311 | |
72,208,715 | Series 2020-IG3, Class XA, IO (a) (b) | 0.82% | 09/15/48 | 1,421,307 | |
BFLD Trust | |||||
2,304,000 | Series 2019-DPLO, Class A, 1 Mo. CME Term SOFR + CSA + 1.09% (b) (d) | 6.54% | 10/15/34 | 2,294,246 | |
2,385,000 | Series 2020-OBRK, Class A, 1 Mo. CME Term SOFR + CSA + 2.05% (b) (d) | 7.47% | 11/15/28 | 2,378,544 | |
BLOX Trust | |||||
1,570,000 | Series 2021-BLOX, Class D, 1 Mo. CME Term SOFR + CSA + 1.75% (b) (d) | 7.18% | 09/15/26 | 1,449,648 | |
BX Commercial Mortgage Trust | |||||
3,420,000 | Series 2020-VIV3, Class B (a) (b) | 3.66% | 03/09/44 | 2,912,322 | |
4,050,000 | Series 2020-VIV4, Class A (b) | 2.84% | 03/09/44 | 3,371,044 | |
2,462,000 | Series 2021-VOLT, Class E, 1 Mo. CME Term SOFR + CSA + 2.00% (b) (d) | 7.42% | 09/15/36 | 2,338,372 | |
3,123,029 | Series 2021-XL2, Class J, 1 Mo. CME Term SOFR + CSA + 3.89% (b) (d) | 9.31% | 10/15/38 | 2,951,567 | |
2,845,000 | Series 2022-AHP, Class AS, 1 Mo. CME Term SOFR + 1.49% (b) (d) | 6.80% | 01/17/39 | 2,795,035 | |
BX Trust | |||||
2,800,000 | Series 2019-OC11, Class A (b) | 3.20% | 12/09/41 | 2,409,831 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
BX Trust (Continued) | |||||
$2,250,000 | Series 2021-VIEW, Class A, 1 Mo. CME Term SOFR + CSA + 1.28% (b) (d) | 6.70% | 06/15/36 | $2,143,392 | |
1,500,000 | Series 2022-VAMF, Class E, 1 Mo. CME Term SOFR + 2.70% (b) (d) | 8.01% | 01/15/39 | 1,433,312 | |
BXMT Ltd. | |||||
2,781,643 | Series 2020-FL3, Class A, 1 Mo. CME Term SOFR + CSA + 1.40% (b) (d) | 6.83% | 11/15/37 | 2,673,854 | |
CAMB Commercial Mortgage Trust | |||||
3,050,000 | Series 2019-LIFE, Class F, 1 Mo. CME Term SOFR + CSA + 2.55% (b) (d) | 7.98% | 12/15/37 | 2,962,249 | |
Citigroup Commercial Mortgage Trust | |||||
50,290,380 | Series 2017-C4, Class XA, IO (a) | 1.17% | 10/12/50 | 1,491,648 | |
COMM Mortgage Trust | |||||
307,887 | Series 2012-CR4, Class XA, IO (a) | 1.29% | 10/15/45 | 3 | |
307,709 | Series 2014-CR14, Class A2 | 3.15% | 02/10/47 | 307,010 | |
4,601,344 | Series 2020-CBM, Class XCP, IO (a) (b) | 0.72% | 02/10/37 | 33,751 | |
21,254,000 | Series 2020-SBX, Class X, IO (a) (b) | 0.66% | 01/10/38 | 256,370 | |
Credit Suisse Mortgage Trust | |||||
3,180,000 | Series 2020-TMIC, Class A, 1 Mo. CME Term SOFR + CSA + 3.50% (b) (d) | 8.93% | 12/15/35 | 3,176,920 | |
2,450,000 | Series 2020-TMIC, Class B, 1 Mo. CME Term SOFR + CSA + 5.50% (b) (d) | 10.93% | 12/15/35 | 2,445,769 | |
25,699,000 | Series 2021-980M, Class X, IO (a) (b) | 1.11% | 07/15/31 | 638,576 | |
Csail Commercial Mortgage Trust | |||||
1,350,000 | Series 2015-C2, Class C (a) | 4.31% | 06/15/57 | 1,024,792 | |
DROP Mortgage Trust | |||||
3,280,000 | Series 2021-FILE, Class B, 1 Mo. CME Term SOFR + CSA + 1.70% (b) (d) | 7.12% | 10/15/43 | 2,861,594 | |
Extended Stay America Trust | |||||
2,338,056 | Series 2021-ESH, Class C, 1 Mo. CME Term SOFR + CSA + 1.70% (b) (d) | 7.12% | 07/15/38 | 2,306,175 | |
FREMF Mortgage Trust | |||||
2,282,949 | Series 2019-KF64, Class B, 30 Day Average SOFR + 2.41% (b) (d) | 7.52% | 06/25/26 | 2,181,274 | |
GS Mortgage Securities Corp Trust | |||||
2,600,000 | Series 2020-UPTN, Class XA, IO (a) (b) | 0.45% | 02/10/37 | 12,157 | |
GS Mortgage Securities Trust | |||||
83,281,742 | Series 2016-GS4, Class XA, IO (a) | 0.69% | 11/10/49 | 1,188,139 | |
JP Morgan Chase Commercial Mortgage Securities Trust | |||||
31,349,084 | Series 2016-JP3, Class XA, IO (a) | 1.46% | 08/15/49 | 980,700 | |
1,757,303 | Series 2022-NLP, Class G, 1 Mo. CME Term SOFR + 4.27% (b) (d) | 9.59% | 04/15/37 | 1,510,043 | |
Life Mortgage Trust | |||||
2,309,980 | Series 2021-BMR, Class G, 1 Mo. CME Term SOFR + CSA + 2.95% (b) (d) | 8.37% | 03/15/38 | 2,195,195 | |
Med Trust | |||||
1,393,313 | Series 2021-MDLN, Class G, 1 Mo. CME Term SOFR + CSA + 5.25% (b) (d) | 10.67% | 11/15/38 | 1,312,669 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
Morgan Stanley Capital I Trust | |||||
$27,707,577 | Series 2018-H4, Class XA, IO (a) | 1.00% | 12/15/51 | $905,182 | |
1,050,000 | Series 2018-MP, Class A (a) (b) | 4.42% | 07/11/40 | 859,959 | |
MSCG Trust | |||||
1,503,319 | Series 2018-SELF, Class E, 1 Mo. CME Term SOFR + CSA + 2.15% (b) (d) | 7.51% | 10/15/37 | 1,471,679 | |
One Bryant Park Trust | |||||
2,800,000 | Series 2019-OBP, Class A (b) | 2.52% | 09/15/54 | 2,280,643 | |
SFAVE Commercial Mortgage Securities Trust | |||||
545,000 | Series 2015-5AVE, Class C (a) (b) | 4.53% | 01/05/43 | 318,581 | |
SLG Office Trust | |||||
2,950,000 | Series 2021-OVA, Class C (b) | 2.85% | 07/15/41 | 2,274,509 | |
SMRT | |||||
2,730,000 | Series 2022-MINI, Class F, 1 Mo. CME Term SOFR + 3.35% (b) (d) | 8.66% | 01/15/39 | 2,535,038 | |
STWD Mortgage Trust | |||||
1,550,000 | Series 2021-LIH, Class AS, 1 Mo. CME Term SOFR + CSA + 1.26% (b) (d) | 6.61% | 11/15/36 | 1,506,412 | |
UBS Commercial Mortgage Trust | |||||
58,227,463 | Series 2017-C4, Class XA, IO (a) | 1.24% | 10/15/50 | 2,010,455 | |
VMC Finance LLC | |||||
779,000 | Series 2021-FL4, Class B, 1 Mo. CME Term SOFR + CSA + 1.80% (b) (d) | 7.23% | 06/16/36 | 741,968 | |
1,800,000 | Series 2021-HT1, Class B, 1 Mo. CME Term SOFR + CSA + 4.50% (b) (d) | 9.93% | 01/18/37 | 1,755,437 | |
Wells Fargo Commercial Mortgage Trust | |||||
32,196,281 | Series 2016-C35, Class XA, IO (a) | 2.04% | 07/15/48 | 1,280,604 | |
975,000 | Series 2019-JWDR, Class E (a) (b) | 3.99% | 09/15/31 | 876,579 | |
94,308,302 | |||||
Total Mortgage-Backed Securities | 363,037,424 | ||||
(Cost $385,685,244) | |||||
ASSET-BACKED SECURITIES — 24.3% | |||||
321 Henderson Receivables LLC | |||||
241,060 | Series 2013-2A, Class A (b) | 4.21% | 03/15/62 | 213,593 | |
ABFC Trust | |||||
62,890 | Series 2007-NC1, Class A2, 1 Mo. CME Term SOFR + CSA + 0.30% (b) (d) | 5.73% | 05/25/37 | 58,027 | |
928,229 | Series 2007-WMC1, Class A1A, 1 Mo. CME Term SOFR + CSA + 1.25% (d) | 6.68% | 06/25/37 | 640,326 | |
ACE Securities Corp. Home Equity Loan Trust | |||||
3,285,161 | Series 2006-ASP6, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 12/25/36 | 1,151,861 | |
785,030 | Series 2006-HE3, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.30% (d) | 5.73% | 06/25/36 | 564,171 | |
2,038,987 | Series 2007-HE1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.30% (d) | 5.73% | 01/25/37 | 1,096,790 | |
2,876,311 | Series 2007-WM2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.21% (d) | 5.64% | 02/25/37 | 1,236,776 | |
AFN ABSPROP001 LLC | |||||
3,620,778 | Series 2019-1A, Class A1 (b) | 3.78% | 05/20/49 | 3,410,459 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
AGL CLO Ltd. | |||||
$3,600,000 | Series 2021-12A, Class A1, 3 Mo. CME Term SOFR + CSA + 1.16% (b) (d) | 6.75% | 07/20/34 | $3,579,342 | |
AIG CLO Ltd. | |||||
1,600,000 | Series 2018-1A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.70% (b) (d) | 7.29% | 04/20/32 | 1,593,418 | |
Aimco CLO Ltd. | |||||
2,600,000 | Series 2015-AA, Class BR2, 3 Mo. CME Term SOFR + CSA + 1.60% (b) (d) | 7.17% | 10/17/34 | 2,568,388 | |
2,100,000 | Series 2020-11A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.13% (b) (d) | 6.70% | 10/17/34 | 2,088,459 | |
Allegro CLO VI Ltd. | |||||
4,000,000 | Series 2017-2A, Class B, 3 Mo. CME Term SOFR + CSA + 1.50% (b) (d) | 7.07% | 01/17/31 | 3,937,566 | |
Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through Certificates | |||||
261,289 | Series 2002-AR1, Class M1, 1 Mo. CME Term SOFR + CSA + 1.07% (d) | 3.50% | 09/25/32 | 270,792 | |
AMMC CLO Ltd. | |||||
2,500,000 | Series 2021-24A, Class B, 3 Mo. CME Term SOFR + CSA + 1.75% (b) (d) | 7.34% | 01/20/35 | 2,441,343 | |
Apidos CLO XXXVII | |||||
1,625,000 | Series 2021-37A, Class B, 3 Mo. CME Term SOFR + CSA + 1.60% (b) (d) | 7.21% | 10/22/34 | 1,599,774 | |
Arbor Realty Commercial Real Estate Notes Ltd. | |||||
2,000,000 | Series 2021-FL1, Class E, 1 Mo. CME Term SOFR + CSA + 3.40% (b) (d) | 8.82% | 12/15/35 | 1,887,005 | |
Ares LXII CLO Ltd. | |||||
2,000,000 | Series 2021-62A, Class B, 3 Mo. CME Term SOFR + CSA + 1.65% (b) (d) | 7.26% | 01/25/34 | 1,961,459 | |
Argent Securities Trust | |||||
1,244,920 | Series 2006-W2, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.38% (d) | 5.81% | 03/25/36 | 680,858 | |
Argent Securities, Inc., Asset-Backed Pass-Through Certificates | |||||
101,957 | Series 2005-W3, Class M1, 1 Mo. CME Term SOFR + CSA + 0.66% (d) | 6.09% | 11/25/35 | 98,021 | |
2,200,000 | Series 2005-W3, Class M2, 1 Mo. CME Term SOFR + CSA + 0.69% (d) | 6.12% | 11/25/35 | 1,881,371 | |
BCMSC Trust | |||||
2,369,065 | Series 2000-A, Class A5 | 8.32% | 06/15/30 | 334,879 | |
BlueMountain CLO XXXI Ltd | |||||
2,500,000 | Series 2021-31A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (b) (d) | 7.28% | 04/19/34 | 2,441,572 | |
BNC Mortgage Loan Trust | |||||
945,440 | Series 2006-2, Class A4, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 11/25/36 | 898,382 | |
CAL Funding IV Ltd. | |||||
2,086,279 | Series 2020-1A, Class A (b) | 2.22% | 09/25/45 | 1,832,981 | |
Carvana Auto Receivables Trust | |||||
5,450 | Series 2020-P1, Class R (b) | (f) | 09/08/27 | 614,729 | |
3,700 | Series 2021-N2, Class R (b) | (f) | 03/10/28 | 630,859 | |
2,500 | Series 2021-P2, Class R (b) | (f) | 05/10/28 | 578,940 | |
2,800 | Series 2021-P4, Class R (b) | (f) | 09/11/28 | 942,720 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Carvana Auto Receivables Trust (Continued) | |||||
$19,300 | Series 2022-N1, Class R (b) | (f) | 12/11/28 | $3,079,992 | |
17,100 | Series 2022-P2, Class R (b) | (f) | 05/10/29 | 3,317,619 | |
8,700 | Series 2023-P3, Class R (b) (g) | (f) | 08/12/30 | 1,818,648 | |
C-BASS Mortgage Loan Trust | |||||
4,767,905 | Series 2007-CB3, Class A1 (c) | 3.31% | 03/25/37 | 1,771,339 | |
1,717,631 | Series 2007-CB3, Class A4, steps up to 6.47% after Redemption (c) | 3.31% | 03/25/37 | 637,827 | |
6,284,197 | Series 2007-CB3, Class A5 (c) | 3.31% | 03/25/37 | 2,334,392 | |
C-BASS TRUST | |||||
2,629,311 | Series 2007-CB1, Class AF2, steps up to 6.22% after Redemption Date (c) | 3.15% | 01/25/37 | 827,766 | |
2,604,424 | Series 2007-CB1, Class AF3, steps up to 6.24% after Redemption Date (c) | 3.15% | 01/25/37 | 819,897 | |
Cedar Funding XIV CLO Ltd. | |||||
1,850,000 | Series 2021-14A, Class A, 3 Mo. CME Term SOFR + CSA + 1.10% (b) (d) | 6.67% | 07/15/33 | 1,841,651 | |
CF Hippolyta Issuer LLC | |||||
3,658,071 | Series 2020-1, Class A1 (b) | 1.69% | 07/15/60 | 3,310,991 | |
Chase Auto Owner Trust | |||||
10,000 | Series 2022-AA, Class R1 (b) | 06/25/30 | 1,444,951 | ||
CIM Trust | |||||
4,605,873 | Series 2021-NR1, Class A1, steps up to 5.00% on 02/25/25 (b) (c) | 2.57% | 07/25/55 | 4,481,838 | |
6,952,547 | Series 2023-NR1, Class A1, steps up to 9.00% on 01/01/26 (b) (c) | 6.00% | 06/25/62 | 6,801,571 | |
CIT Education Loan Trust | |||||
2,359,648 | Series 2005-1, Class A4, 3 Mo. LIBOR + 0.16% (d) | 5.71% | 12/15/33 | 2,287,902 | |
Citigroup Mortgage Loan Trust | |||||
2,661,502 | Series 2006-HE3, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.20% (d) | 5.63% | 12/25/36 | 1,706,759 | |
Citigroup Mortgage Loan Trust, Inc. | |||||
221,835 | Series 2007-WFH3, Class M1, 1 Mo. CME Term SOFR + CSA + 0.39% (d) | 5.82% | 06/25/37 | 217,463 | |
CMFT Net Lease Master Issuer LLC | |||||
2,815,653 | Series 2021-1, Class A1 (b) | 2.09% | 07/20/51 | 2,338,004 | |
Cologix Data Centers US Issuer LLC | |||||
1,960,000 | Series 2021-1A, Class A2 (b) | 3.30% | 12/26/51 | 1,738,984 | |
Conseco Finance Corp. | |||||
1,527,783 | Series 1999-3, Class A8 | 7.06% | 02/01/31 | 1,347,582 | |
CoreVest American Finance Trust | |||||
871,344 | Series 2020-1, Class XA, IO (a) (b) | 2.73% | 03/15/50 | 45,662 | |
1,640,000 | Series 2020-4, Class B (b) | 1.71% | 12/15/52 | 1,459,049 | |
Credit-Based Asset Servicing & Securitization LLC | |||||
677,709 | Series 2006-MH1, Class B1 (b) | 6.75% | 10/25/36 | 653,779 | |
CWABS Asset-Backed Certificates Trust | |||||
1,950,000 | Series 2005-17, Class MV2, 1 Mo. CME Term SOFR + CSA + 0.72% (d) | 6.15% | 05/25/36 | 1,790,339 | |
CWABS Inc Asset-backed Certificates | |||||
9,467,000 | Series 2007-12, Class 2A4, 1 Mo. CME Term SOFR + CSA + 1.35% (d) | 6.78% | 08/25/47 | 8,658,518 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
DataBank Issuer | |||||
$2,245,000 | Series 2021-1A, Class A2 (b) | 2.06% | 02/27/51 | $1,983,867 | |
Dryden CLO Ltd. | |||||
1,600,000 | Series 2018-58A, Class C, 3 Mo. CME Term SOFR + CSA + 1.80% (b) (d) | 7.37% | 07/17/31 | 1,572,927 | |
625,000 | Series 2019-72A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (b) (d) | 7.28% | 05/15/32 | 615,292 | |
Eaton Vance CLO Ltd. | |||||
1,800,000 | Series 2019-1A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.10% (b) (d) | 6.67% | 04/15/31 | 1,790,972 | |
1,750,000 | Series 2020-1A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.17% (b) (d) | 6.74% | 10/15/34 | 1,745,168 | |
ECMC Group Student Loan Trust | |||||
1,179,527 | Series 2021-1A, Class A1B, 30 Day Average SOFR + 0.68% (b) (d) | 5.97% | 11/25/70 | 1,150,095 | |
Elmwood CLO VI Ltd. | |||||
2,600,000 | Series 2020-3A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (b) (d) | 7.24% | 10/20/34 | 2,569,859 | |
Exeter Automobile Receivables Trust | |||||
1,400,000 | Series 2022-6A, Class D | 8.03% | 04/06/29 | 1,451,670 | |
First Franklin Mortgage Loan Trust | |||||
6,881,200 | Series 2006-FF7, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.48% (d) | 5.91% | 05/25/36 | 5,695,961 | |
FirstKey Homes Trust | |||||
4,760,000 | Series 2020-SFR1, Class B (b) | 1.74% | 08/17/37 | 4,368,313 | |
2,893,000 | Series 2020-SFR1, Class F2 (b) | 4.28% | 08/17/37 | 2,713,804 | |
2,420,000 | Series 2020-SFR2, Class F1 (b) | 3.02% | 10/19/37 | 2,206,471 | |
Flatiron CLO Ltd. | |||||
1,000,000 | Series 2021-1A, Class B, 3 Mo. LIBOR + 1.60% (b) (d) | 7.18% | 07/19/34 | 987,979 | |
Fremont Home Loan Trust | |||||
17,960 | Series 2005-D, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.68% (d) | 6.11% | 11/25/35 | 17,629 | |
GCI Funding I LLC | |||||
2,489,911 | Series 2021-1, Class A (b) | 2.38% | 06/18/46 | 2,131,504 | |
Goldentree Loan Management US CLO Ltd. | |||||
1,200,000 | Series 2019-4A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.11% (b) (d) | 6.72% | 04/24/31 | 1,196,244 | |
Golub Capital Partners CLO L.P. | |||||
1,575,000 | Series 2021-54A, Class A, 3 Mo. CME Term SOFR + CSA + 1.53% (b) (d) | 7.16% | 08/05/33 | 1,550,096 | |
GoodLeap Sustainable Home Solutions Trust | |||||
4,496,988 | Series 2023-1GS, Class A (b) | 5.52% | 02/22/55 | 4,274,474 | |
GSAA Home Equity Trust | |||||
3,455,000 | Series 2005-4, Class M2, 1 Mo. CME Term SOFR + CSA + 1.05% (d) | 6.48% | 03/25/35 | 3,365,572 | |
186,488 | Series 2007-8, Class A3, 1 Mo. CME Term SOFR + CSA + 0.90% (d) | 6.33% | 08/25/37 | 180,597 | |
GSAMP Trust | |||||
719,607 | Series 2006-HE4, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.52% (d) | 5.95% | 06/25/36 | 684,819 | |
1,525,610 | Series 2007-FM2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.14% (d) | 5.57% | 01/25/37 | 895,405 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
HPS Loan Management Ltd. | |||||
$1,225,000 | Series 10A-16, Class A1RR, 3 Mo. CME Term SOFR + CSA + 1.14% (b) (d) | 6.73% | 04/20/34 | $1,214,930 | |
3,244,911 | Series 2021-16A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (b) (d) | 7.31% | 01/23/35 | 3,157,372 | |
HSI Asset Securitization Corp Trust | |||||
5,303,568 | Series 2007-OPT1, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.14% (d) | 5.57% | 12/25/36 | 4,405,981 | |
Invitation Homes Trust | |||||
1,091,744 | Series 2018-SFR4, Class A, 1 Mo. CME Term SOFR + CSA + 1.10% (b) (d) | 6.53% | 01/17/38 | 1,091,747 | |
JGWPT XXV LLC | |||||
1,989,930 | Series 2012-1A, Class A (b) | 4.21% | 02/16/65 | 1,785,462 | |
JP Morgan Mortgage Acquisition Trust | |||||
620,107 | Series 2006-CH2, Class AF6, steps up to 6.04% after Redemption Date (c) | 5.54% | 10/25/36 | 384,895 | |
584,121 | Series 2006-WF1, Class A5 | 6.91% | 07/25/36 | 169,457 | |
898,738 | Series 2007-CH2, Class AF6, steps up to 6.05% after Redemption Date (c) | 4.46% | 01/25/37 | 481,258 | |
LAD Auto Receivables Trust | |||||
4,950,000 | Series 2023-1A, Class D (b) | 7.30% | 06/17/30 | 4,987,468 | |
Lehman XS Trust | |||||
1,159,324 | Series 2006-15, Class A4, 1 Mo. CME Term SOFR + CSA + 0.34% (d) | 5.77% | 10/25/36 | 1,043,480 | |
6,309,887 | Series 2006-17, Class 1A3, 1 Mo. CME Term SOFR + CSA + 0.50% (d) | 5.93% | 08/25/46 | 5,518,586 | |
8,117,336 | Series 2006-19, Class A3, 1 Mo. CME Term SOFR + CSA + 0.50% (d) | 5.93% | 12/25/36 | 7,430,471 | |
1,953,127 | Series 2007-11, Class A3, 1 Mo. CME Term SOFR + CSA + 0.52% (d) | 5.95% | 02/25/47 | 1,735,712 | |
Long Beach Mortgage Loan Trust | |||||
6,405,721 | Series 2006-1, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.38% (d) | 5.81% | 02/25/36 | 5,152,006 | |
2,222,998 | Series 2006-8, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 09/25/36 | 620,938 | |
12,923,285 | Series 2006-10, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 11/25/36 | 4,056,615 | |
6,739,449 | Series 2006-10, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.44% (d) | 5.87% | 11/25/36 | 2,116,684 | |
Magnetite XXI Ltd | |||||
2,000,000 | Series 2019-21A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.35% (b) (d) | 6.94% | 04/20/34 | 1,952,917 | |
Mastr Asset Backed Securities Trust | |||||
3,800,036 | Series 2005-NC2, Class A4, 1 Mo. CME Term SOFR + CSA + 0.70% (d) | 6.13% | 11/25/35 | 2,179,256 | |
114,964 | Series 2006-HE5, Class A3, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 11/25/36 | 68,136 | |
1,569,645 | Series 2006-NC2, Class A3, 1 Mo. CME Term SOFR + CSA + 0.22% (d) | 5.65% | 08/25/36 | 606,644 | |
Merrill Lynch First Franklin Mortgage Loan Trust | |||||
1,651,701 | Series 2007-1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.28% (d) | 5.71% | 04/25/37 | 708,215 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Merrill Lynch First Franklin Mortgage Loan Trust (Continued) | |||||
$3,031,191 | Series 2007-5, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.85% (d) | 6.28% | 10/25/37 | $1,872,355 | |
6,647,078 | Series 2007-5, Class 2A2, 1 Mo. CME Term SOFR + CSA + 1.00% (d) | 6.43% | 10/25/37 | 5,379,826 | |
Merrill Lynch Mortgage Investors Trust | |||||
2,814,050 | Series 2006-HE6, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.46% (d) | 5.89% | 11/25/37 | 977,527 | |
Morgan Stanley ABS Capital I, Inc. Trust | |||||
1,788,480 | Series 2006-HE8, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.10% (d) | 5.53% | 10/25/36 | 778,722 | |
1,731,587 | Series 2006-HE8, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.14% (d) | 5.57% | 10/25/36 | 753,972 | |
4,465,317 | Series 2007-HE2, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.09% (d) | 5.52% | 01/25/37 | 2,001,290 | |
1,258,289 | Series 2007-HE4, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.18% (d) | 5.61% | 02/25/37 | 395,607 | |
3,671,019 | Series 2007-NC3, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.26% (d) | 5.69% | 05/25/37 | 2,713,083 | |
Navient Student Loan Trust | |||||
18,354 | Series 2014-1, Class A3, 30 Day Average SOFR + 0.62% (d) | 5.91% | 06/25/31 | 17,627 | |
2,133,945 | Series 2016-2A, Class A3, 30 Day Average SOFR + 1.61% (b) (d) | 6.90% | 06/25/65 | 2,139,506 | |
3,738,124 | Series 2018-2A, Class A3, 30 Day Average SOFR + 0.86% (b) (d) | 6.15% | 03/25/67 | 3,655,341 | |
2,500,000 | Series 2019-3A, Class B, 30 Day Average SOFR + 1.66% (b) (d) | 6.95% | 07/25/68 | 2,381,061 | |
Nelnet Student Loan Trust | |||||
2,025,000 | Series 2015-3A, Class B, 30 Day Average SOFR + 1.61% (b) (d) | 6.90% | 06/25/54 | 1,909,778 | |
Neuberger Berman Loan Advisers CLO Ltd. | |||||
1,500,000 | Series 2017-26A, Class D, 3 Mo. CME Term SOFR + CSA + 2.65% (b) (d) | 8.22% | 10/18/30 | 1,469,601 | |
1,300,000 | Series 2021-43A, Class A, 3 Mo. CME Term SOFR + CSA + 1.13% (b) (d) | 6.70% | 07/17/35 | 1,290,337 | |
NovaStar Mortgage Funding Trust | |||||
515,747 | Series 2007-2, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.20% (d) | 5.63% | 09/25/37 | 501,855 | |
OCP CLO Ltd. | |||||
1,500,000 | Series 2021-21A, Class B, 3 Mo. CME Term SOFR + CSA + 1.70% (b) (d) | 7.29% | 07/20/34 | 1,462,229 | |
Octagon 55 Ltd. | |||||
4,000,000 | Series 2021-1A, Class D, 3 Mo. CME Term SOFR + CSA + 3.10% (b) (d) | 8.69% | 07/20/34 | 3,836,079 | |
Octagon Investment Partners 46 Ltd. | |||||
2,100,000 | Series 2020-2A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.16% (b) (d) | 6.73% | 07/15/36 | 2,083,751 | |
OHA Credit Funding Ltd. | |||||
2,000,000 | Series 2019-3A, Class AR, 3 Mo. CME Term SOFR + CSA + 1.14% (b) (d) | 6.73% | 07/02/35 | 1,993,914 | |
3,000,000 | Series 2020-5A, Class B, 3 Mo. CME Term SOFR + CSA + 1.60% (b) (d) | 7.17% | 04/18/33 | 2,967,745 | |
Palmer Square CLO Ltd. | |||||
3,100,000 | Series 2020-3A, Class A1AR, 3 Mo. CME Term SOFR + CSA + 1.08% (b) (d) | 6.71% | 11/15/31 | 3,093,733 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Park Place Securities Inc Asset-Backed Pass-Through Certificates | |||||
$3,200,000 | Series 2005-WHQ4, Class M3, 1 Mo. CME Term SOFR + CSA + 0.78% (d) | 6.21% | 09/25/35 | $2,756,770 | |
PRET LLC | |||||
3,510,282 | Series 2022-RN2, Class A1, steps up to 9.00% on 07/25/26 (b) (c) | 5.00% | 06/25/52 | 3,486,964 | |
Progress Residential Trust | |||||
1,200,000 | Series 2019-SFR3, Class F (b) | 3.87% | 09/17/36 | 1,155,088 | |
3,887,195 | Series 2020-SFR1, Class G (b) | 4.03% | 04/17/37 | 3,621,226 | |
5,635,000 | Series 2021-SFR2, Class E2 (b) | 2.65% | 04/19/38 | 4,963,705 | |
5,500,000 | Series 2021-SFR6, Class G (b) | 4.00% | 07/17/38 | 4,685,191 | |
6,928,000 | Series 2021-SFR8, Class E1 (b) | 2.38% | 10/17/38 | 6,000,051 | |
8,100,000 | Series 2021-SFR9, Class F (b) | 4.05% | 11/17/40 | 6,731,319 | |
4,101,163 | Series 2021-SFR10, Class F (b) | 4.61% | 12/17/40 | 3,497,852 | |
PRPM LLC | |||||
2,397,266 | Series 2021-6, Class A1, steps up to 5.93% on 07/25/25 (b) (c) | 1.79% | 07/25/26 | 2,274,424 | |
7,768,628 | Series 2021-9, Class A1, steps up to 5.36% on 10/25/24 (b) (c) | 2.36% | 10/25/26 | 7,337,352 | |
7,403,266 | Series 2021-10, Class A1, steps up to 5.49% on 10/25/24 (b) (c) | 2.49% | 10/25/26 | 6,975,388 | |
Regatta XII Funding Ltd. | |||||
3,000,000 | Series 2019-1A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.60% (b) (d) | 7.17% | 10/15/32 | 2,951,639 | |
Regatta XX Funding Ltd | |||||
3,200,000 | Series 2021-2A, Class A, 3 Mo. CME Term SOFR + CSA + 1.16% (b) (d) | 6.73% | 10/15/34 | 3,190,297 | |
Residential Asset Mortgage Products, Inc. | |||||
1,400,000 | Series 2006-NC2, Class M1, 1 Mo. CME Term SOFR + CSA + 0.54% (d) | 5.97% | 02/25/36 | 1,319,349 | |
1,632,629 | Series 2006-RZ2, Class M1, 1 Mo. CME Term SOFR + CSA + 0.33% (d) | 5.92% | 05/25/36 | 1,594,250 | |
Residential Asset Securities Corp. | |||||
21,772 | Series 2005-KS11, Class M2, 1 Mo. CME Term SOFR + CSA + 0.63% (d) | 6.06% | 12/25/35 | 21,595 | |
Rockford Tower CLO Ltd. | |||||
1,325,000 | Series 2019-2A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (b) (d) | 7.29% | 08/20/32 | 1,295,701 | |
1,800,000 | Series 2020-1A, Class B, 3 Mo. CME Term SOFR + CSA + 1.80% (b) (d) | 7.39% | 01/20/32 | 1,764,548 | |
Sabey Data Center Issuer LLC | |||||
1,785,000 | Series 2020-1, Class A2 (b) | 3.81% | 04/20/45 | 1,701,952 | |
Saxon Asset Securities Trust | |||||
1,025,611 | Series 2006-1, Class M1, 1 Mo. CME Term SOFR + CSA + 0.47% (d) | 5.89% | 03/25/36 | 976,274 | |
Securitized Asset Backed Receivables LLC Trust | |||||
2,257,618 | Series 2006-CB5, Class A3, 1 Mo. CME Term SOFR + CSA + 0.28% (d) | 5.71% | 06/25/36 | 1,454,447 | |
Skyline Aircraft Finance LLC | |||||
601,415 | Series 2020-1, Class A (g) (h) | 3.23% | 05/10/38 | 531,170 | |
SLC Student Loan Trust | |||||
733,862 | Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (d) | 7.15% | 12/15/32 | 738,443 | |
SLM Student Loan EDC Repackaging Trust | |||||
1,000 | Series 2013-M1, Class M1R (b) | (f) | 10/28/29 | 515,096 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
SLM Student Loan Trust | |||||
$2,030,332 | Series 2006-2, Class B, 90 Day Average SOFR + 0.48% (d) | 5.54% | 01/25/41 | $1,859,095 | |
6,525 | Series 2006-2, Class R | (f) | 01/25/41 | 598,452 | |
1,887,286 | Series 2007-1, Class B, 90 Day Average SOFR + 0.48% (d) | 5.54% | 01/27/42 | 1,762,924 | |
1,375 | Series 2007-4, Class R | (f) | 01/25/42 | 285,510 | |
1,320,683 | Series 2007-7, Class A4, 90 Day Average SOFR + 0.59% (d) | 5.65% | 01/25/22 | 1,289,758 | |
905,000 | Series 2007-7, Class B, 90 Day Average SOFR + 1.01% (d) | 6.07% | 10/27/70 | 790,723 | |
300,000 | Series 2008-2, Class B, 90 Day Average SOFR + 1.46% (d) | 6.52% | 01/25/83 | 285,479 | |
300,000 | Series 2008-3, Class B, 90 Day Average SOFR + 1.46% (d) | 6.52% | 04/26/83 | 263,254 | |
604,973 | Series 2008-4, Class A4, 90 Day Average SOFR + 1.91% (d) | 6.97% | 07/25/22 | 605,358 | |
650,000 | Series 2008-5, Class B, 90 Day Average SOFR + 2.11% (d) | 7.17% | 07/25/73 | 630,264 | |
340,000 | Series 2008-6, Class B, 90 Day Average SOFR + 2.11% (d) | 7.17% | 07/26/83 | 321,750 | |
100,000 | Series 2012-7, Class B, 30 Day Average SOFR + CSA + 1.8% (d) | 7.20% | 09/25/43 | 93,095 | |
Soundview Home Loan Trust | |||||
1,954,245 | Series 2007-OPT1, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.21% (d) | 5.64% | 06/25/37 | 1,299,405 | |
187,164 | Series 2007-OPT2, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.25% (d) | 5.68% | 07/25/37 | 143,083 | |
Specialty Underwriting & Residential Finance Trust | |||||
2,661,240 | Series 2006-AB3, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.48% (d) | 5.91% | 09/25/37 | 1,845,603 | |
Structured Asset Securities Corp Mortgage Loan Trust | |||||
4,812,094 | Series 2005-2XS, Class M1, 1 Mo. CME Term SOFR + CSA + 0.71% (d) | 6.13% | 02/25/35 | 4,522,788 | |
906,848 | Series 2006-BC3, Class A3, 1 Mo. CME Term SOFR + CSA + 0.32% (d) | 5.75% | 10/25/36 | 745,479 | |
Structured Receivables Finance LLC | |||||
47,948 | Series 2010-B, Class A (b) | 3.73% | 08/15/36 | 46,279 | |
STWD Ltd. | |||||
2,483,000 | Series 2019-FL1, Class AS, 1 Mo. CME Term SOFR + CSA + 1.40% (b) (d) | 6.82% | 07/15/38 | 2,382,508 | |
Symphony CLO XIX Ltd. | |||||
1,500,000 | Series 2018-19A, Class B, 3 Mo. CME Term SOFR + CSA + 1.35% (b) (d) | 6.92% | 04/16/31 | 1,472,798 | |
TAL Advantage VII LLC | |||||
2,487,094 | Series 2020-1A, Class A (b) | 2.05% | 09/20/45 | 2,201,058 | |
Textainer Marine Containers Ltd. | |||||
1,512,000 | Series 2021-3A, Class A (b) | 1.94% | 08/20/46 | 1,260,873 | |
Textainer Marine Containers VII Ltd. | |||||
1,813,609 | Series 2020-2A, Class A (b) | 2.10% | 09/20/45 | 1,602,335 | |
Trestles CLO V Ltd. | |||||
1,900,000 | Series 2021-5A, Class A1, 3 Mo. CME Term SOFR + CSA + 1.17% (b) (d) | 6.76% | 10/20/34 | 1,880,539 | |
Tricon American Homes Trust | |||||
1,400,000 | Series 2017-SFR2, Class E (b) | 4.22% | 01/17/36 | 1,384,595 | |
Tricon Residential Trust | |||||
4,100,000 | Series 2021-SFR1, Class F (b) | 3.69% | 07/17/38 | 3,597,742 | |
Triton Container Finance VIII LLC | |||||
2,888,310 | Series 2021-1A, Class A (b) | 1.86% | 03/20/46 | 2,449,186 | |
TRP LLC | |||||
5,338,279 | Series 2021-1, Class A (b) | 2.07% | 06/19/51 | 4,638,133 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Wachovia Student Loan Trust | |||||
$1,048,765 | Series 2006-1, Class B, 90 Day Average SOFR + 0.50% (b) (d) | 5.56% | 04/25/40 | $967,118 | |
WaMu Asset-Backed Certificates WaMu Trust | |||||
1,566,855 | Series 2007-HE2, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.25% (d) | 5.68% | 04/25/37 | 596,895 | |
644,583 | Series 2007-HE3, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.24% (d) | 5.67% | 05/25/37 | 551,872 | |
4,214,083 | Series 2007-HE3, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.29% (d) | 5.72% | 05/25/37 | 3,613,211 | |
2,026,580 | Series 2007-HE3, Class 2A5, 1 Mo. CME Term SOFR + CSA + 0.25% (d) | 5.68% | 05/25/37 | 1,735,715 | |
Washington Mutual Asset-Backed Certificates WMABS Trust | |||||
393,060 | Series 2006-HE5, Class 1A, 1 Mo. CME Term SOFR + CSA + 0.31% (d) | 4.16% | 10/25/36 | 291,200 | |
Wells Fargo Home Equity Asset-Backed Securities Trust | |||||
3,000,000 | Series 2007-1, Class A3, 1 Mo. CME Term SOFR + CSA + 0.64% (d) | 6.07% | 03/25/37 | 2,620,280 | |
Westlake Automobile Receivables Trust | |||||
5,290,000 | Series 2023-1A, Class D (b) | 6.79% | 11/15/28 | 5,279,865 | |
Total Asset-Backed Securities | 361,113,584 | ||||
(Cost $378,350,820) | |||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 21.3% | |||||
Collateralized Mortgage Obligations — 0.0% | |||||
Federal National Mortgage Association | |||||
750,497 | Series 2011-116, Class SA, IO, 30 Day Average SOFR ×-1+ 5.89% (i) | 0.60% | 11/25/41 | 51,925 | |
106,085 | Series 2012-128, Class UA | 2.50% | 06/25/42 | 90,029 | |
772,988 | Series 2013-18, Class MI, IO | 3.00% | 02/25/33 | 38,993 | |
Government National Mortgage Association | |||||
837,656 | Series 2003-110, Class S, IO, 1 Mo. CME Term SOFR ×-1+ CSA + 6.60% (i) | 1.17% | 10/20/33 | 7,259 | |
877,842 | Series 2018-63, Class IO, IO | 4.00% | 09/20/47 | 139,941 | |
328,147 | |||||
Commercial Mortgage-Backed Securities — 0.5% | |||||
Federal Home Loan Mortgage Corporation Multiclass Certificates | |||||
10,524,361 | Series 2021-P009, Class X, IO (a) | 1.50% | 01/25/31 | 454,417 | |
Federal Home Loan Mortgage Corporation Multifamily PC REMIC Trust | |||||
4,095,000 | Series 2019-P002, Class X, IO (e) | 1.14% | 07/25/33 | 301,005 | |
Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates | |||||
449,297 | Series 2013-K035, Class X3, IO (a) (j) | 2.04% | 12/25/41 | 217 | |
2,500,000 | Series 2014-K037, Class X3, IO (a) | 2.30% | 01/25/42 | 18,218 | |
30,173,138 | Series 2014-K039, Class X1, IO (a) | 0.81% | 07/25/24 | 118,900 | |
2,145,000 | Series 2014-K039, Class X3, IO (a) | 2.18% | 08/25/42 | 55,070 | |
112,882,634 | Series 2015-K043, Class X1, IO (a) | 0.63% | 12/25/24 | 645,147 | |
10,939,186 | Series 2015-K044, Class X1, IO (a) | 0.87% | 01/25/25 | 91,900 | |
20,449,223 | Series 2015-K048, Class X3, IO (a) | 1.54% | 08/25/43 | 475,684 | |
15,433,478 | Series 2015-K051, Class X1, IO (a) | 0.63% | 09/25/25 | 129,274 | |
6,897,149 | Series 2016-K056, Class X3, IO (a) | 2.19% | 06/25/44 | 365,224 | |
1,900,000 | Series 2016-K060, Class X3, IO (a) | 1.96% | 12/25/44 | 101,924 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates (Continued) | |||||
$26,082,170 | Series 2016-K723, Class X3 (a) | 1.88% | 10/25/34 | $37,777 | |
83,845 | Series 2016-KF25, Class A, 30 Day Average SOFR + 0.59% (d) | 5.70% | 10/25/23 | 83,838 | |
3,566,233 | Series 2016-KS06, Class X, IO (a) | 1.17% | 08/25/26 | 69,851 | |
4,752,358 | Series 2016-KS07, Class X, IO (a) | 0.74% | 09/25/25 | 55,143 | |
8,366,040 | Series 2017-K726, Class X1, IO (a) | 1.04% | 04/25/24 | 27,778 | |
2,230,000 | Series 2017-K728, Class X3, IO (a) | 2.02% | 11/25/45 | 45,345 | |
1,344,841 | Series 2019-KC04, Class X1, IO (a) | 1.40% | 12/25/26 | 26,643 | |
6,604,344 | Series 2019-KC05, Class X1, IO (a) | 1.37% | 06/25/27 | 171,506 | |
4,245,998 | Series 2019-KLU1, Class X3, IO (a) | 4.24% | 01/25/31 | 484,294 | |
77,050,000 | Series 2022-Q017, Class X, IO (e) | 1.23% | 04/25/30 | 1,058,083 | |
Federal National Mortgage Association | |||||
22,098 | Series 2016-M2, Class X3, IO (a) | 2.04% | 04/25/36 | 0 | |
1,196,163 | Series 2016-M4, Class X2, IO (a) | 2.70% | 01/25/39 | 16,259 | |
92,031 | Series 2016-M11, Class X2, IO (a) | 3.09% | 07/25/39 | 979 | |
70,192 | Series 2018-M10, Class A1 (a) | 3.47% | 07/25/28 | 69,505 | |
6,100,000 | Series 2019-M29, Class X4, IO | 0.70% | 03/25/29 | 174,917 | |
FREMF | |||||
195,584,528 | Series 2020K-1517, Class X2A, IO (b) | 0.10% | 07/25/35 | 1,390,449 | |
Government National Mortgage Association | |||||
0 | Series 2011-077, Class IO, IO (e) | 4.28% | 04/16/42 | — | |
115,480 | Series 2011-119, Class D | 3.51% | 04/16/45 | 112,176 | |
284,841 | Series 2013-125, Class IO, IO (e) | 0.23% | 10/16/54 | 4,111 | |
642,799 | Series 2014-52, Class D (e) | 3.63% | 05/16/46 | 623,768 | |
707,615 | Series 2014-125, Class IO, IO (e) | 0.91% | 11/16/54 | 17,122 | |
7,226,524 | |||||
Pass-Through Securities — 20.8% | |||||
Federal Home Loan Mortgage Corporation | |||||
552,023 | Pool WN0006 | 3.42% | 07/01/30 | 510,792 | |
Federal National Mortgage Association | |||||
450,308 | Pool AM2974 | 4.10% | 04/01/43 | 409,881 | |
1,466,393 | Pool AM9897 | 3.50% | 09/01/35 | 1,330,479 | |
23,375,000 | Pool TBA (k) | 2.50% | 09/15/53 | 19,368,379 | |
12,750,000 | Pool TBA (k) | 3.00% | 09/15/53 | 10,987,412 | |
5,550,000 | Pool TBA (k) | 4.00% | 09/15/53 | 5,123,344 | |
32,750,000 | Pool TBA (k) | 5.00% | 09/15/53 | 31,757,906 | |
47,500,000 | Pool TBA (k) | 5.50% | 09/15/53 | 46,902,539 | |
57,650,000 | Pool TBA (k) | 2.00% | 10/15/53 | 45,973,623 | |
34,525,000 | Pool TBA (k) | 2.50% | 10/15/53 | 28,646,309 | |
33,525,000 | Pool TBA (k) | 3.00% | 10/15/53 | 28,921,861 | |
14,000,000 | Pool TBA (k) | 4.00% | 10/15/53 | 12,936,875 | |
30,300,000 | Pool TBA (k) | 4.50% | 10/15/53 | 28,749,492 | |
38,375,000 | Pool TBA (k) | 5.00% | 10/15/53 | 37,230,496 | |
Government National Mortgage Association | |||||
7,750,000 | Pool TBA (k) | 4.50% | 09/15/53 | 7,386,113 | |
3,725,000 | Pool TBA (k) | 5.00% | 09/15/53 | 3,624,963 | |
309,860,464 | |||||
Total U.S. Government Agency Mortgage-Backed Securities | 317,415,135 | ||||
(Cost $320,415,894) |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (l) — 19.5% | |||||
Aerospace/Defense — 0.2% | |||||
$635,000 | Boeing (The) Co. | 1.43% | 02/04/24 | $622,845 | |
2,250,000 | TransDigm, Inc. (b) | 6.75% | 08/15/28 | 2,260,700 | |
2,883,545 | |||||
Agriculture — 0.3% | |||||
30,000 | BAT Capital Corp. | 2.73% | 03/25/31 | 23,777 | |
1,250,000 | BAT Capital Corp. | 4.54% | 08/15/47 | 909,743 | |
1,870,000 | BAT Capital Corp. | 4.76% | 09/06/49 | 1,387,962 | |
1,905,000 | BAT Capital Corp. | 5.65% | 03/16/52 | 1,596,126 | |
645,000 | Reynolds American, Inc. | 5.85% | 08/15/45 | 560,743 | |
4,478,351 | |||||
Airlines — 0.1% | |||||
275,841 | American Airlines Pass-Through Trust, Series 2014-1, Class A | 3.70% | 10/01/26 | 252,114 | |
501,845 | JetBlue Pass-Through Trust, Series 2020-1, Class A | 4.00% | 11/15/32 | 462,598 | |
414,939 | United Airlines Pass-Through Trust, Series 2013-1, Class A | 4.30% | 08/15/25 | 398,031 | |
91,864 | US Airways Pass-Through Trust, Series 2012-1, Class A | 5.90% | 10/01/24 | 91,288 | |
1,204,031 | |||||
Auto Manufacturers — 0.1% | |||||
850,000 | Allison Transmission, Inc. (b) | 3.75% | 01/30/31 | 710,740 | |
1,250,000 | Ford Motor Credit Co. LLC | 3.37% | 11/17/23 | 1,240,756 | |
1,951,496 | |||||
Banks — 4.1% | |||||
20,000 | Bank of America Corp. (m) | 2.88% | 10/22/30 | 17,170 | |
455,000 | Bank of America Corp. (m) | 1.90% | 07/23/31 | 359,442 | |
3,510,000 | Bank of America Corp. (m) | 2.30% | 07/21/32 | 2,769,134 | |
1,665,000 | Bank of America Corp. (m) | 2.57% | 10/20/32 | 1,335,147 | |
815,000 | Bank of America Corp., Series N (m) | 1.66% | 03/11/27 | 736,757 | |
570,000 | Bank of America Corp., Series RR (m) | 4.38% | (n) | 490,667 | |
3,490,000 | Bank of America Corp., Medium-Term Note (m) | 2.55% | 02/04/28 | 3,158,143 | |
750,000 | Bank of America Corp., Medium-Term Note (m) | 3.97% | 03/05/29 | 701,160 | |
4,183,000 | Bank of America Corp., Medium-Term Note (m) | 1.92% | 10/24/31 | 3,279,222 | |
500,000 | Citigroup, Inc. (m) | 0.78% | 10/30/24 | 495,494 | |
520,000 | Citigroup, Inc. (m) | 3.07% | 02/24/28 | 477,564 | |
525,000 | Citigroup, Inc. (m) | 2.98% | 11/05/30 | 451,788 | |
2,380,000 | Citigroup, Inc. (m) | 2.57% | 06/03/31 | 1,966,586 | |
1,230,000 | Citigroup, Inc. (m) | 2.56% | 05/01/32 | 991,370 | |
1,540,000 | Citigroup, Inc. (m) | 2.52% | 11/03/32 | 1,222,686 | |
4,610,000 | Citigroup, Inc. (m) | 3.06% | 01/25/33 | 3,804,611 | |
135,000 | Comerica, Inc. (m) | 5.63% | (n) | 124,365 | |
1,615,000 | Goldman Sachs Group (The), Inc. (m) | 0.93% | 10/21/24 | 1,602,402 | |
3,025,000 | Goldman Sachs Group (The), Inc. (m) | 1.99% | 01/27/32 | 2,356,695 | |
3,320,000 | Goldman Sachs Group (The), Inc. (m) | 2.38% | 07/21/32 | 2,625,221 | |
1,170,000 | Goldman Sachs Group (The), Inc. (m) | 2.65% | 10/21/32 | 939,215 | |
715,000 | JPMorgan Chase & Co. (m) | 0.97% | 06/23/25 | 685,625 | |
750,000 | JPMorgan Chase & Co. (m) | 1.04% | 02/04/27 | 671,563 | |
1,660,000 | JPMorgan Chase & Co. (m) | 1.58% | 04/22/27 | 1,491,308 | |
780,000 | JPMorgan Chase & Co. (m) | 1.47% | 09/22/27 | 689,308 | |
425,000 | JPMorgan Chase & Co. (m) | 4.01% | 04/23/29 | 398,884 | |
770,000 | JPMorgan Chase & Co. (m) | 1.95% | 02/04/32 | 607,101 | |
2,725,000 | JPMorgan Chase & Co. (m) | 2.58% | 04/22/32 | 2,231,573 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Banks (Continued) | |||||
$3,605,000 | JPMorgan Chase & Co. (m) | 2.55% | 11/08/32 | $2,913,434 | |
595,000 | JPMorgan Chase & Co., Series KK (m) | 3.65% | (n) | 527,264 | |
865,000 | Morgan Stanley (m) | 2.70% | 01/22/31 | 728,501 | |
4,790,000 | Morgan Stanley (m) | 2.48% | 09/16/36 | 3,614,402 | |
2,730,000 | Morgan Stanley, Global Medium-Term Note (m) | 2.24% | 07/21/32 | 2,148,295 | |
1,245,000 | PNC Financial Services Group (The), Inc. (m) | 6.04% | 10/28/33 | 1,265,389 | |
1,090,000 | PNC Financial Services Group (The), Inc. (m) | 5.07% | 01/24/34 | 1,033,058 | |
555,000 | US Bancorp (m) | 3.70% | (n) | 419,452 | |
1,255,000 | US Bancorp (m) | 5.85% | 10/21/33 | 1,250,687 | |
2,875,000 | US Bancorp (m) | 4.84% | 02/01/34 | 2,668,097 | |
855,000 | US Bancorp (m) | 5.84% | 06/12/34 | 854,586 | |
1,485,000 | Wells Fargo & Co., Medium-Term Note (m) | 2.39% | 06/02/28 | 1,322,179 | |
5,555,000 | Wells Fargo & Co., Medium-Term Note (m) | 3.35% | 03/02/33 | 4,680,132 | |
1,220,000 | Wells Fargo & Co., Medium-Term Note (m) | 4.90% | 07/25/33 | 1,148,449 | |
385,000 | Wells Fargo & Co., Medium-Term Note (m) | 5.01% | 04/04/51 | 347,976 | |
61,602,102 | |||||
Beverages — 0.2% | |||||
720,000 | Primo Water Holdings, Inc. (b) | 4.38% | 04/30/29 | 632,448 | |
2,867,000 | Triton Water Holdings, Inc. (b) | 6.25% | 04/01/29 | 2,439,686 | |
3,072,134 | |||||
Biotechnology — 0.2% | |||||
750,000 | Amgen, Inc. | 5.25% | 03/02/33 | 746,415 | |
1,350,000 | Amgen, Inc. | 4.88% | 03/01/53 | 1,199,310 | |
320,000 | Amgen, Inc. | 5.65% | 03/02/53 | 317,456 | |
1,000,000 | Illumina, Inc. | 2.55% | 03/23/31 | 803,480 | |
3,066,661 | |||||
Chemicals — 0.4% | |||||
475,000 | International Flavors & Fragrances, Inc. (b) | 1.23% | 10/01/25 | 425,512 | |
300,000 | International Flavors & Fragrances, Inc. (EUR) | 1.80% | 09/25/26 | 294,557 | |
3,575,000 | International Flavors & Fragrances, Inc. (b) | 2.30% | 11/01/30 | 2,776,694 | |
60,000 | International Flavors & Fragrances, Inc. (b) | 3.27% | 11/15/40 | 39,992 | |
360,000 | International Flavors & Fragrances, Inc. | 4.38% | 06/01/47 | 257,263 | |
30,000 | International Flavors & Fragrances, Inc. | 5.00% | 09/26/48 | 23,871 | |
235,000 | International Flavors & Fragrances, Inc. (b) | 3.47% | 12/01/50 | 146,325 | |
175,000 | Unifrax Escrow Issuer Corp. (b) | 5.25% | 09/30/28 | 118,511 | |
625,000 | Unifrax Escrow Issuer Corp. (b) | 7.50% | 09/30/29 | 325,929 | |
1,819,000 | Valvoline, Inc. (b) | 3.63% | 06/15/31 | 1,453,763 | |
5,862,417 | |||||
Commercial Services — 0.6% | |||||
189,000 | Adtalem Global Education, Inc. (b) | 5.50% | 03/01/28 | 176,318 | |
375,000 | Carriage Services, Inc. (b) | 4.25% | 05/15/29 | 325,762 | |
720,000 | Global Payments, Inc. (EUR) | 4.88% | 03/17/31 | 783,221 | |
520,000 | Global Payments, Inc. | 5.40% | 08/15/32 | 510,130 | |
958,000 | Global Payments, Inc. | 5.95% | 08/15/52 | 915,151 | |
2,515,000 | Hertz (The) Corp. (b) | 5.00% | 12/01/29 | 2,070,194 | |
1,475,000 | Prime Security Services Borrower LLC / Prime Finance, Inc. (b) | 3.38% | 08/31/27 | 1,313,233 | |
1,250,000 | Rent-A-Center, Inc. (b) | 6.38% | 02/15/29 | 1,136,750 | |
61,000 | Service Corp. International | 4.63% | 12/15/27 | 57,395 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Commercial Services (Continued) | |||||
$750,000 | VT Topco, Inc. (b) | 8.50% | 08/15/30 | $762,004 | |
1,250,000 | WASH Multifamily Acquisition, Inc. (b) | 5.75% | 04/15/26 | 1,160,367 | |
9,210,525 | |||||
Computers — 0.0% | |||||
448,000 | NCR Corp. (b) | 5.13% | 04/15/29 | 407,854 | |
Cosmetics/Personal Care — 0.0% | |||||
243,000 | Edgewell Personal Care Co. (b) | 5.50% | 06/01/28 | 229,249 | |
Diversified Financial Services — 0.4% | |||||
300,000 | Air Lease Corp. | 2.88% | 01/15/26 | 280,620 | |
1,390,000 | Air Lease Corp. | 2.20% | 01/15/27 | 1,242,994 | |
605,000 | American Express Co. (m) | 3.55% | (n) | 505,175 | |
1,505,000 | Capital One Financial Corp. (m) | 1.88% | 11/02/27 | 1,320,181 | |
540,000 | Charles Schwab Corp. (The), Series K (m) | 5.00% | (n) | 473,548 | |
1,750,000 | Jane Street Group/JSG Finance, Inc. (b) | 4.50% | 11/15/29 | 1,537,611 | |
5,360,129 | |||||
Electric — 1.1% | |||||
2,045,000 | Alliant Energy Finance LLC (b) | 3.60% | 03/01/32 | 1,767,098 | |
1,285,000 | American Electric Power Co., Inc. | 2.03% | 03/15/24 | 1,257,589 | |
365,000 | Appalachian Power Co., Series X | 3.30% | 06/01/27 | 339,981 | |
3,000,000 | Arizona Public Service Co. | 6.35% | 12/15/32 | 3,161,002 | |
540,000 | Duke Energy Carolinas LLC | 3.55% | 03/15/52 | 393,436 | |
1,000,000 | Duke Energy Corp. | 3.75% | 04/15/24 | 987,717 | |
600,000 | Duke Energy Corp. (EUR) | 3.85% | 06/15/34 | 597,939 | |
750,000 | Duke Energy Corp. | 3.75% | 09/01/46 | 549,549 | |
100,000 | Evergy Metro, Inc. | 4.20% | 06/15/47 | 81,103 | |
1,254,000 | FirstEnergy Corp., Series C | 3.40% | 03/01/50 | 831,122 | |
750,000 | Jersey Central Power & Light Co. (b) | 4.70% | 04/01/24 | 743,010 | |
750,000 | MidAmerican Energy Co. | 3.95% | 08/01/47 | 589,058 | |
1,395,000 | New England Power Co. (b) | 5.94% | 11/25/52 | 1,408,272 | |
1,910,000 | Niagara Mohawk Power Corp. (b) | 5.78% | 09/16/52 | 1,876,418 | |
500,000 | Pennsylvania Electric Co. (b) | 4.15% | 04/15/25 | 483,781 | |
750,000 | Pike Corp. (b) | 5.50% | 09/01/28 | 675,714 | |
100,000 | Puget Sound Energy, Inc. | 4.22% | 06/15/48 | 81,393 | |
450,000 | Southwestern Electric Power Co., Series M | 4.10% | 09/15/28 | 426,719 | |
16,250,901 | |||||
Engineering & Construction — 0.1% | |||||
1,113,000 | Artera Services LLC (b) | 9.03% | 12/04/25 | 1,036,651 | |
Entertainment — 0.7% | |||||
515,000 | Churchill Downs, Inc. (b) | 5.50% | 04/01/27 | 496,634 | |
14,000 | Cinemark USA, Inc. (b) | 5.25% | 07/15/28 | 12,448 | |
1,220,000 | Everi Holdings, Inc. (b) | 5.00% | 07/15/29 | 1,089,765 | |
590,000 | Live Nation Entertainment, Inc. (b) | 4.75% | 10/15/27 | 550,175 | |
1,580,000 | Penn Entertainment, Inc. (b) | 4.13% | 07/01/29 | 1,293,593 | |
110,000 | Warnermedia Holdings, Inc. | 4.28% | 03/15/32 | 97,114 | |
2,715,000 | Warnermedia Holdings, Inc. | 5.05% | 03/15/42 | 2,234,370 | |
5,131,000 | Warnermedia Holdings, Inc. | 5.14% | 03/15/52 | 4,093,061 | |
9,867,160 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Environmental Control — 0.2% | |||||
$200,000 | Clean Harbors, Inc. (b) | 4.88% | 07/15/27 | $191,295 | |
2,453,000 | Waste Pro USA, Inc. (b) | 5.50% | 02/15/26 | 2,314,692 | |
2,505,987 | |||||
Food — 0.5% | |||||
708,000 | B&G Foods, Inc. | 5.25% | 04/01/25 | 693,116 | |
1,420,000 | H-Food Holdings LLC / Hearthside Finance Co., Inc. (b) | 8.50% | 06/01/26 | 564,514 | |
300,000 | Kraft Heinz Foods Co. | 3.75% | 04/01/30 | 275,070 | |
186,000 | Kraft Heinz Foods Co. | 4.25% | 03/01/31 | 174,380 | |
1,020,000 | Pilgrim’s Pride Corp. (b) | 5.88% | 09/30/27 | 1,009,877 | |
286,000 | Pilgrim’s Pride Corp. | 4.25% | 04/15/31 | 247,688 | |
1,395,000 | Pilgrim’s Pride Corp. | 3.50% | 03/01/32 | 1,124,663 | |
835,000 | Pilgrim’s Pride Corp. | 6.25% | 07/01/33 | 829,653 | |
1,600,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed (b) | 4.63% | 03/01/29 | 1,333,023 | |
387,000 | Smithfield Foods, Inc. (b) | 5.20% | 04/01/29 | 359,707 | |
561,000 | TreeHouse Foods, Inc. | 4.00% | 09/01/28 | 480,808 | |
7,092,499 | |||||
Gas — 0.0% | |||||
155,000 | Southern Co. Gas Capital Corp. | 5.88% | 03/15/41 | 153,539 | |
Healthcare-Products — 0.4% | |||||
1,600,000 | Alcon Finance Corp. (b) | 3.00% | 09/23/29 | 1,404,243 | |
1,425,000 | DENTSPLY SIRONA, Inc. | 3.25% | 06/01/30 | 1,225,171 | |
1,997,000 | Embecta Corp. (b) | 5.00% | 02/15/30 | 1,624,470 | |
208,000 | Hologic, Inc. (b) | 4.63% | 02/01/28 | 194,809 | |
1,387,000 | Medline Borrower L.P. (b) | 3.88% | 04/01/29 | 1,212,134 | |
770,000 | PerkinElmer, Inc. | 2.25% | 09/15/31 | 606,924 | |
185,000 | Revvity, Inc. | 2.55% | 03/15/31 | 151,928 | |
6,419,679 | |||||
Healthcare-Services — 1.4% | |||||
635,000 | Barnabas Health, Inc., Series 2012 | 4.00% | 07/01/28 | 599,269 | |
429,000 | Cano Health LLC (b) | 6.25% | 10/01/28 | 146,246 | |
900,000 | Catalent Pharma Solutions, Inc. (b) | 5.00% | 07/15/27 | 841,243 | |
400,000 | Catalent Pharma Solutions, Inc. (b) | 3.13% | 02/15/29 | 336,992 | |
1,125,000 | Centene Corp. | 4.25% | 12/15/27 | 1,053,437 | |
1,778,000 | Centene Corp. | 2.45% | 07/15/28 | 1,524,214 | |
1,396,000 | Centene Corp. | 3.00% | 10/15/30 | 1,162,484 | |
500,000 | Centene Corp. | 2.50% | 03/01/31 | 398,627 | |
250,000 | CommonSpirit Health | 3.35% | 10/01/29 | 222,974 | |
90,000 | HCA, Inc. | 5.25% | 04/15/25 | 89,204 | |
365,000 | HCA, Inc. | 7.58% | 09/15/25 | 375,357 | |
380,000 | HCA, Inc. | 5.38% | 09/01/26 | 377,347 | |
360,000 | HCA, Inc. | 7.05% | 12/01/27 | 374,674 | |
417,000 | HCA, Inc. | 4.13% | 06/15/29 | 385,381 | |
2,870,000 | HCA, Inc. | 3.50% | 09/01/30 | 2,507,887 | |
2,093,000 | HCA, Inc. | 3.63% | 03/15/32 | 1,800,846 | |
1,830,000 | HCA, Inc. | 5.50% | 06/15/47 | 1,667,480 | |
470,000 | HCA, Inc. | 5.25% | 06/15/49 | 410,603 | |
3,000,000 | ModivCare Escrow Issuer, Inc. (b) | 5.00% | 10/01/29 | 2,215,200 | |
749,000 | Molina Healthcare, Inc. (b) | 3.88% | 11/15/30 | 639,767 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Healthcare-Services (Continued) | |||||
$2,325,000 | Molina Healthcare, Inc. (b) | 3.88% | 05/15/32 | $1,931,310 | |
1,350,000 | Prime Healthcare Services, Inc. (b) | 7.25% | 11/01/25 | 1,266,350 | |
1,350,000 | Universal Health Services, Inc. | 1.65% | 09/01/26 | 1,199,600 | |
21,526,492 | |||||
Household Products/Wares — 0.1% | |||||
120,000 | Central Garden & Pet Co. | 4.13% | 10/15/30 | 103,390 | |
952,000 | Spectrum Brands, Inc. (b) | 5.50% | 07/15/30 | 886,419 | |
989,809 | |||||
Housewares — 0.1% | |||||
1,270,000 | Newell Brands, Inc. | 6.63% | 09/15/29 | 1,259,255 | |
Insurance — 0.8% | |||||
437,000 | Acrisure LLC / Acrisure Finance, Inc. (b) | 4.25% | 02/15/29 | 378,342 | |
700,000 | Acrisure LLC / Acrisure Finance, Inc. (b) | 6.00% | 08/01/29 | 608,812 | |
1,060,000 | Aon Corp. / Aon Global Holdings PLC | 3.90% | 02/28/52 | 814,531 | |
1,115,000 | Athene Global Funding (b) | 3.21% | 03/08/27 | 1,005,880 | |
1,560,000 | Athene Global Funding (b) | 1.99% | 08/19/28 | 1,293,135 | |
675,000 | Athene Global Funding (b) | 2.72% | 01/07/29 | 564,036 | |
810,000 | Brown & Brown, Inc. | 4.95% | 03/17/52 | 684,773 | |
250,000 | Farmers Exchange Capital III (b) (m) | 5.45% | 10/15/54 | 216,618 | |
775,000 | Farmers Insurance Exchange (b) | 8.63% | 05/01/24 | 779,583 | |
465,000 | Farmers Insurance Exchange (b) (m) | 4.75% | 11/01/57 | 362,179 | |
750,000 | MassMutual Global Funding II (b) | 3.40% | 03/08/26 | 715,599 | |
965,000 | Metropolitan Life Global Funding I (b) | 5.15% | 03/28/33 | 944,311 | |
1,360,000 | Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (b) (d) | 7.84% | 12/15/24 | 1,358,661 | |
50,000 | Teachers Insurance & Annuity Association of America (b) | 4.27% | 05/15/47 | 40,501 | |
220,000 | Teachers Insurance & Annuity Association of America (b) | 3.30% | 05/15/50 | 149,127 | |
1,260,000 | Teachers Insurance & Annuity Association of America (b) (m) | 4.38% | 09/15/54 | 1,225,988 | |
11,142,076 | |||||
Internet — 0.4% | |||||
1,250,000 | Gen Digital, Inc. (b) | 6.75% | 09/30/27 | 1,254,507 | |
2,205,000 | Meta Platforms, Inc. | 5.60% | 05/15/53 | 2,215,652 | |
1,775,000 | Netflix, Inc. | 5.88% | 02/15/25 | 1,785,109 | |
850,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc. (b) | 4.75% | 04/30/27 | 748,577 | |
6,003,845 | |||||
Investment Companies — 0.1% | |||||
150,000 | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. | 6.25% | 05/15/26 | 139,144 | |
1,537,000 | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. | 5.25% | 05/15/27 | 1,350,378 | |
500,000 | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. | 4.38% | 02/01/29 | 395,389 | |
1,884,911 | |||||
Iron/Steel — 0.0% | |||||
700,000 | ATI, Inc. | 7.25% | 08/15/30 | 706,951 | |
Lodging — 0.1% | |||||
569,000 | Boyd Gaming Corp. (b) | 4.75% | 06/15/31 | 501,678 | |
1,626,000 | Hilton Domestic Operating Co., Inc. (b) | 3.63% | 02/15/32 | 1,361,280 | |
1,862,958 | |||||
Machinery-Diversified — 0.1% | |||||
2,900,000 | OT Merger Corp. (b) | 7.88% | 10/15/29 | 1,906,134 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Media — 1.1% | |||||
$2,729,000 | Cable One, Inc. (b) | 4.00% | 11/15/30 | $2,131,124 | |
295,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 2.30% | 02/01/32 | 222,829 | |
370,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.38% | 05/01/47 | 295,864 | |
325,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.75% | 04/01/48 | 273,998 | |
542,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.13% | 07/01/49 | 417,466 | |
1,000,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 4.80% | 03/01/50 | 741,603 | |
690,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 5.25% | 04/01/53 | 546,686 | |
173,000 | Cox Communications, Inc. (b) | 3.15% | 08/15/24 | 168,478 | |
680,000 | Cox Communications, Inc. (b) | 2.60% | 06/15/31 | 549,893 | |
900,000 | Cox Enterprises, Inc. (b) | 7.38% | 07/15/27 | 940,626 | |
700,000 | CSC Holdings LLC (b) | 5.38% | 02/01/28 | 574,551 | |
700,000 | CSC Holdings LLC (b) | 7.50% | 04/01/28 | 445,666 | |
2,190,000 | CSC Holdings LLC (b) | 6.50% | 02/01/29 | 1,812,516 | |
600,000 | CSC Holdings LLC (b) | 4.63% | 12/01/30 | 314,491 | |
855,000 | Diamond Sports Group LLC / Diamond Sports Finance Co. (b) (o) | 5.38% | 08/15/26 | 21,213 | |
1,032,000 | Directv Financing LLC / Directv Financing Co-Obligor, Inc. (b) | 5.88% | 08/15/27 | 915,506 | |
1,205,000 | Gray Escrow II, Inc. (b) | 5.38% | 11/15/31 | 842,352 | |
816,000 | Scripps Escrow II, Inc. (b) | 5.38% | 01/15/31 | 583,665 | |
750,000 | Scripps Escrow, Inc. (b) | 5.88% | 07/15/27 | 606,742 | |
1,165,000 | Sirius XM Radio, Inc. (b) | 3.88% | 09/01/31 | 907,779 | |
630,000 | Time Warner Cable LLC | 5.88% | 11/15/40 | 548,589 | |
1,885,000 | Time Warner Cable LLC | 5.50% | 09/01/41 | 1,549,899 | |
390,000 | Walt Disney (The) Co. | 4.00% | 10/01/23 | 389,471 | |
15,801,007 | |||||
Oil & Gas — 0.1% | |||||
800,000 | Sunoco L.P. / Sunoco Finance Corp. | 4.50% | 05/15/29 | 724,276 | |
Oil & Gas Services — 0.0% | |||||
750,000 | Archrock Partners L.P. / Archrock Partners Finance Corp. (b) | 6.25% | 04/01/28 | 716,661 | |
Packaging & Containers — 0.3% | |||||
58,000 | Ball Corp. | 4.00% | 11/15/23 | 57,733 | |
1,830,000 | Berry Global, Inc. (b) | 4.88% | 07/15/26 | 1,768,006 | |
295,000 | Berry Global, Inc. | 1.65% | 01/15/27 | 255,945 | |
1,500,000 | Berry Global, Inc. (b) | 5.50% | 04/15/28 | 1,475,532 | |
755,000 | Clearwater Paper Corp. (b) | 4.75% | 08/15/28 | 660,044 | |
728,000 | Graphic Packaging International LLC | 4.13% | 08/15/24 | 713,609 | |
60,000 | Sealed Air Corp. (b) | 5.50% | 09/15/25 | 59,400 | |
4,990,269 | |||||
Pharmaceuticals — 0.7% | |||||
810,000 | Bayer US Finance II LLC (b) | 2.85% | 04/15/25 | 766,903 | |
180,000 | Bayer US Finance II LLC (b) | 4.25% | 12/15/25 | 174,392 | |
880,000 | Bayer US Finance II LLC (b) | 4.38% | 12/15/28 | 836,348 | |
265,000 | Bayer US Finance II LLC (b) | 4.63% | 06/25/38 | 228,762 | |
1,960,000 | Bayer US Finance II LLC (b) | 4.40% | 07/15/44 | 1,547,749 | |
400,000 | Bayer US Finance II LLC (b) | 4.88% | 06/25/48 | 341,218 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Pharmaceuticals (Continued) | |||||
$1,495,000 | Becton Dickinson & Co. | 2.82% | 05/20/30 | $1,293,862 | |
330,000 | Cigna Group (The) | 4.38% | 10/15/28 | 317,983 | |
400,000 | Cigna Group (The) | 4.90% | 12/15/48 | 357,020 | |
1,205,000 | CVS Health Corp. | 5.05% | 03/25/48 | 1,057,618 | |
946,000 | Option Care Health, Inc. (b) | 4.38% | 10/31/29 | 833,147 | |
842,000 | Organon & Co. / Organon Foreign Debt Co-Issuer B.V. (b) | 5.13% | 04/30/31 | 718,145 | |
550,000 | Prestige Brands, Inc. (b) | 5.13% | 01/15/28 | 521,803 | |
1,721,000 | Prestige Brands, Inc. (b) | 3.75% | 04/01/31 | 1,425,676 | |
10,420,626 | |||||
Pipelines — 0.7% | |||||
1,535,000 | Energy Transfer L.P. | 5.40% | 10/01/47 | 1,323,487 | |
3,380,000 | Energy Transfer L.P. | 5.00% | 05/15/50 | 2,785,400 | |
594,000 | Energy Transfer L.P., Series B (m) | 6.63% | (n) | 479,138 | |
765,000 | Global Partners L.P. / GLP Finance Corp | 6.88% | 01/15/29 | 723,621 | |
250,000 | Kinder Morgan, Inc. | 5.55% | 06/01/45 | 226,148 | |
607,000 | NGL Energy Operating LLC / NGL Energy Finance Corp. (b) | 7.50% | 02/01/26 | 604,861 | |
845,000 | Plains All American Pipeline L.P. / PAA Finance Corp. | 3.55% | 12/15/29 | 743,749 | |
350,000 | Rockies Express Pipeline LLC (b) | 4.95% | 07/15/29 | 320,704 | |
100,000 | Rockies Express Pipeline LLC (b) | 6.88% | 04/15/40 | 90,381 | |
80,000 | Sabine Pass Liquefaction LLC | 4.50% | 05/15/30 | 75,327 | |
1,274,000 | TransMontaigne Partners L.P. / TLP Finance Corp. | 6.13% | 02/15/26 | 1,095,423 | |
2,605,000 | Venture Global Calcasieu Pass LLC (b) | 4.13% | 08/15/31 | 2,212,352 | |
10,680,591 | |||||
Real Estate — 0.0% | |||||
463,000 | Greystar Real Estate Partners LLC (b) | 7.75% | 09/01/30 | 468,209 | |
Real Estate Investment Trusts — 2.2% | |||||
75,000 | Alexandria Real Estate Equities, Inc. | 3.45% | 04/30/25 | 72,428 | |
1,310,000 | American Assets Trust L.P. | 3.38% | 02/01/31 | 1,018,608 | |
150,000 | American Homes 4 Rent L.P. | 3.63% | 04/15/32 | 128,616 | |
1,885,000 | American Homes 4 Rent L.P. | 4.30% | 04/15/52 | 1,460,005 | |
330,000 | American Tower Corp. | 2.70% | 04/15/31 | 270,176 | |
250,000 | American Tower Corp. (EUR) | 1.00% | 01/15/32 | 206,069 | |
1,430,000 | American Tower Corp. | 5.65% | 03/15/33 | 1,425,414 | |
2,356,000 | American Tower Corp. | 5.55% | 07/15/33 | 2,334,186 | |
250,000 | Boston Properties L.P. | 2.75% | 10/01/26 | 225,624 | |
200,000 | Boston Properties L.P. | 3.40% | 06/21/29 | 171,328 | |
415,000 | Crown Castle, Inc. | 5.10% | 05/01/33 | 399,651 | |
500,000 | CubeSmart L.P. | 4.38% | 02/15/29 | 468,770 | |
1,135,000 | CubeSmart L.P. | 2.50% | 02/15/32 | 895,698 | |
281,000 | Extra Space Storage L.P. | 3.90% | 04/01/29 | 257,607 | |
975,000 | Extra Space Storage L.P. | 2.55% | 06/01/31 | 783,631 | |
1,978,000 | Extra Space Storage L.P. | 2.40% | 10/15/31 | 1,554,910 | |
1,450,000 | Extra Space Storage L.P. | 2.35% | 03/15/32 | 1,129,025 | |
2,500,000 | GLP Capital L.P. / GLP Financing II, Inc. | 5.38% | 04/15/26 | 2,450,152 | |
175,000 | GLP Capital L.P. / GLP Financing II, Inc. | 5.75% | 06/01/28 | 170,216 | |
1,460,000 | GLP Capital L.P. / GLP Financing II, Inc. | 4.00% | 01/15/30 | 1,275,096 | |
30,000 | GLP Capital L.P. / GLP Financing II, Inc. | 4.00% | 01/15/31 | 25,760 | |
208,000 | GLP Capital L.P. / GLP Financing II, Inc. | 3.25% | 01/15/32 | 167,894 | |
490,000 | Healthcare Realty Holdings L.P. | 3.63% | 01/15/28 | 442,769 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Real Estate Investment Trusts (Continued) | |||||
$595,000 | Healthcare Realty Holdings L.P. | 3.10% | 02/15/30 | $507,714 | |
1,597,000 | Healthcare Realty Holdings L.P. | 2.40% | 03/15/30 | 1,264,691 | |
690,000 | Healthcare Realty Holdings L.P. | 2.00% | 03/15/31 | 532,131 | |
190,000 | Healthcare Realty Holdings L.P. | 2.05% | 03/15/31 | 141,986 | |
770,000 | Hudson Pacific Properties L.P. | 3.95% | 11/01/27 | 606,075 | |
520,000 | Hudson Pacific Properties L.P. | 5.95% | 02/15/28 | 440,157 | |
615,000 | Hudson Pacific Properties L.P. | 4.65% | 04/01/29 | 469,170 | |
915,000 | Hudson Pacific Properties L.P. | 3.25% | 01/15/30 | 620,826 | |
1,210,000 | Invitation Homes Operating Partnership L.P. | 2.00% | 08/15/31 | 927,122 | |
1,385,000 | Invitation Homes Operating Partnership L.P. | 2.70% | 01/15/34 | 1,054,471 | |
163,000 | Iron Mountain, Inc. (b) | 5.63% | 07/15/32 | 146,424 | |
173,000 | Kilroy Realty L.P. | 4.25% | 08/15/29 | 150,038 | |
400,000 | Kilroy Realty L.P. | 2.50% | 11/15/32 | 282,070 | |
505,000 | LXP Industrial Trust | 2.70% | 09/15/30 | 400,790 | |
830,000 | Physicians Realty L.P. | 2.63% | 11/01/31 | 645,904 | |
1,440,000 | Prologis Euro Finance LLC, Medium-Term Note (EUR) | 4.25% | 01/31/43 | 1,427,639 | |
675,000 | Realty Income Corp. (EUR) | 5.13% | 07/06/34 | 736,960 | |
200,000 | Rexford Industrial Realty L.P. | 2.15% | 09/01/31 | 154,595 | |
250,000 | Ventas Realty L.P. | 2.65% | 01/15/25 | 238,339 | |
35,000 | VICI Properties L.P. | 4.95% | 02/15/30 | 32,954 | |
2,110,000 | VICI Properties L.P. | 5.13% | 05/15/32 | 1,957,488 | |
343,000 | VICI Properties L.P. | 5.63% | 05/15/52 | 302,089 | |
399,000 | VICI Properties L.P. / VICI Note Co., Inc. (b) | 4.63% | 06/15/25 | 386,540 | |
290,000 | VICI Properties L.P. / VICI Note Co., Inc. (b) | 4.50% | 09/01/26 | 274,753 | |
690,000 | VICI Properties L.P. / VICI Note Co., Inc. (b) | 3.75% | 02/15/27 | 634,057 | |
270,000 | VICI Properties L.P. / VICI Note Co., Inc. (b) | 4.50% | 01/15/28 | 250,799 | |
452,000 | VICI Properties L.P. / VICI Note Co., Inc. (b) | 3.88% | 02/15/29 | 399,482 | |
256,000 | VICI Properties L.P. / VICI Note Co., Inc. (b) | 4.13% | 08/15/30 | 224,380 | |
32,543,277 | |||||
Retail — 0.4% | |||||
792,000 | Ferrellgas Escrow LLC / FG Operating Finance Escrow Corp. (b) | 5.88% | 04/01/29 | 699,498 | |
2,387,000 | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. (b) | 6.75% | 01/15/30 | 1,973,273 | |
788,000 | FirstCash, Inc. (b) | 5.63% | 01/01/30 | 716,262 | |
2,170,000 | Michaels (The) Cos., Inc. (b) | 7.88% | 05/01/29 | 1,506,197 | |
1,400,000 | Papa John's International, Inc. (b) | 3.88% | 09/15/29 | 1,178,863 | |
6,074,093 | |||||
Semiconductors — 0.1% | |||||
75,000 | Broadcom, Inc. | 3.63% | 10/15/24 | 73,347 | |
316,000 | Broadcom, Inc. (b) | 2.60% | 02/15/33 | 244,435 | |
660,000 | Broadcom, Inc. (b) | 3.42% | 04/15/33 | 547,178 | |
415,000 | Intel Corp. | 3.73% | 12/08/47 | 315,165 | |
1,180,125 | |||||
Software — 0.5% | |||||
225,000 | Central Parent, Inc. / CDK Global, Inc. (b) | 7.25% | 06/15/29 | 222,144 | |
1,755,000 | Oracle Corp. | 3.80% | 11/15/37 | 1,416,128 | |
895,000 | Oracle Corp. | 6.50% | 04/15/38 | 944,737 | |
1,640,000 | Oracle Corp. | 4.00% | 11/15/47 | 1,224,216 | |
1,880,000 | Oracle Corp. | 3.60% | 04/01/50 | 1,300,351 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Software (Continued) | |||||
$1,585,000 | Oracle Corp. | 3.95% | 03/25/51 | $1,159,527 | |
615,000 | Oracle Corp. | 6.90% | 11/09/52 | 670,316 | |
6,937,419 | |||||
Telecommunications — 0.7% | |||||
1,450,000 | AT&T, Inc. | 4.50% | 05/15/35 | 1,289,328 | |
670,000 | AT&T, Inc. | 3.80% | 12/01/57 | 452,253 | |
162,000 | CommScope, Inc. (b) | 6.00% | 03/01/26 | 147,374 | |
1,750,000 | CommScope, Inc. (b) | 4.75% | 09/01/29 | 1,302,067 | |
1,706,000 | Frontier Communications Holdings LLC (b) | 5.00% | 05/01/28 | 1,463,396 | |
925,000 | Frontier Communications Holdings LLC (b) | 6.75% | 05/01/29 | 718,873 | |
1,160,000 | Frontier Communications Holdings LLC (b) | 8.63% | 03/15/31 | 1,118,182 | |
342,000 | Qwest Corp. | 7.25% | 09/15/25 | 325,630 | |
335,000 | SES GLOBAL Americas Holdings, Inc. (b) | 5.30% | 03/25/44 | 239,355 | |
859,686 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (b) | 4.74% | 03/20/25 | 851,251 | |
266,000 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (b) | 5.15% | 03/20/28 | 263,788 | |
74,000 | T-Mobile USA, Inc. | 4.75% | 02/01/28 | 71,930 | |
1,000,000 | T-Mobile USA, Inc. | 2.63% | 02/15/29 | 866,852 | |
1,660,000 | Zayo Group Holdings, Inc. (b) | 4.00% | 03/01/27 | 1,245,560 | |
10,355,839 | |||||
Total Corporate Bonds and Notes | 290,829,733 | ||||
(Cost $313,253,454) | |||||
FOREIGN CORPORATE BONDS AND NOTES (l) — 7.3% | |||||
Agriculture — 0.2% | |||||
2,555,000 | BAT International Finance PLC, Medium-Term Note (GBP) (p) | 2.25% | 09/09/52 | 1,315,833 | |
1,200,000 | Imperial Brands Finance PLC (b) | 6.13% | 07/27/27 | 1,213,769 | |
2,529,602 | |||||
Banks — 2.9% | |||||
1,025,000 | ABN AMRO Bank N.V. (b) (m) | 2.47% | 12/13/29 | 865,160 | |
955,000 | DNB Bank ASA (b) (m) | 0.86% | 09/30/25 | 905,073 | |
505,000 | HSBC Holdings PLC (m) | 1.59% | 05/24/27 | 448,936 | |
3,180,000 | HSBC Holdings PLC (m) | 4.76% | 06/09/28 | 3,052,086 | |
1,440,000 | HSBC Holdings PLC (m) | 2.21% | 08/17/29 | 1,206,989 | |
565,000 | HSBC Holdings PLC (m) | 2.36% | 08/18/31 | 447,865 | |
3,662,000 | HSBC Holdings PLC (m) | 2.80% | 05/24/32 | 2,925,990 | |
1,485,000 | HSBC Holdings PLC (m) | 6.33% | 03/09/44 | 1,498,820 | |
200,000 | Lloyds Banking Group PLC | 3.90% | 03/12/24 | 197,822 | |
1,005,000 | Lloyds Banking Group PLC (m) | 3.57% | 11/07/28 | 913,767 | |
1,575,000 | Lloyds Banking Group PLC (m) | 4.98% | 08/11/33 | 1,459,516 | |
565,000 | Macquarie Group Ltd. (b) (m) | 1.34% | 01/12/27 | 507,055 | |
785,000 | Macquarie Group Ltd. (b) (m) | 2.69% | 06/23/32 | 615,978 | |
1,070,000 | Macquarie Group Ltd. (b) (m) | 2.87% | 01/14/33 | 839,505 | |
1,515,000 | NatWest Group PLC (m) | 4.27% | 03/22/25 | 1,498,296 | |
2,005,000 | Santander UK Group Holdings PLC (m) | 1.09% | 03/15/25 | 1,944,167 | |
2,390,000 | Santander UK Group Holdings PLC (m) | 1.67% | 06/14/27 | 2,105,225 | |
430,000 | Santander UK Group Holdings PLC (m) | 2.47% | 01/11/28 | 378,640 | |
505,000 | UBS Group AG (b) (m) | 2.59% | 09/11/25 | 487,158 | |
2,160,000 | UBS Group AG (b) (m) | 1.31% | 02/02/27 | 1,925,779 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Banks (Continued) | |||||
$7,595,000 | UBS Group AG (b) (m) | 4.19% | 04/01/31 | $6,844,102 | |
5,550,000 | UBS Group AG (b) (m) | 3.09% | 05/14/32 | 4,575,745 | |
6,465,000 | UBS Group AG (b) (m) | 9.02% | 11/15/33 | 7,832,609 | |
43,476,283 | |||||
Beverages — 0.2% | |||||
505,000 | Bacardi Ltd. (b) | 2.75% | 07/15/26 | 465,757 | |
670,000 | Bacardi Ltd. (b) | 4.70% | 05/15/28 | 647,654 | |
1,000,000 | Becle SAB de C.V. (b) | 2.50% | 10/14/31 | 788,078 | |
1,895,000 | JDE Peet's N.V. (b) | 2.25% | 09/24/31 | 1,458,808 | |
3,360,297 | |||||
Building Materials — 0.0% | |||||
40,000 | Ingersoll-Rand Luxembourg Finance S.A. | 3.55% | 11/01/24 | 39,130 | |
Chemicals — 0.2% | |||||
700,000 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B B.V. (b) | 4.75% | 06/15/27 | 659,361 | |
1,675,000 | EverArc Escrow Sarl (b) | 5.00% | 10/30/29 | 1,377,637 | |
275,000 | Herens Holdco Sarl (b) | 4.75% | 05/15/28 | 211,498 | |
2,248,496 | |||||
Diversified Financial Services — 0.7% | |||||
115,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.88% | 01/23/28 | 105,858 | |
1,650,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.00% | 10/29/28 | 1,431,118 | |
2,720,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.30% | 01/30/32 | 2,211,454 | |
100,000 | Avolon Holdings Funding Ltd. (b) | 3.95% | 07/01/24 | 97,586 | |
325,000 | Avolon Holdings Funding Ltd. (b) | 2.88% | 02/15/25 | 306,891 | |
4,645,000 | Avolon Holdings Funding Ltd. (b) | 2.53% | 11/18/27 | 3,969,358 | |
1,480,000 | GGAM Finance Ltd. (b) | 8.00% | 06/15/28 | 1,502,141 | |
82,000 | Park Aerospace Holdings Ltd. (b) | 5.50% | 02/15/24 | 81,472 | |
9,705,878 | |||||
Electric — 0.2% | |||||
500,000 | Comision Federal de Electricidad (b) | 4.69% | 05/15/29 | 454,754 | |
250,000 | Mong Duong Finance Holdings B.V. (p) | 5.13% | 05/07/29 | 226,770 | |
1,460,000 | TenneT Holding B.V., Medium-Term Note (EUR) (p) | 4.50% | 10/28/34 | 1,679,935 | |
945,000 | TenneT Holding B.V., Medium-Term Note (EUR) (p) | 2.75% | 05/17/42 | 895,232 | |
280,000 | TenneT Holding B.V., Medium-Term Note (EUR) (p) | 4.75% | 10/28/42 | 330,891 | |
3,587,582 | |||||
Engineering & Construction — 0.0% | |||||
500,000 | Cellnex Finance Co., S.A., Medium-Term Note (EUR) (p) | 2.00% | 09/15/32 | 431,840 | |
Entertainment — 0.2% | |||||
1,500,000 | Banijay Entertainment SASU (b) | 5.38% | 03/01/25 | 1,462,951 | |
700,000 | Ontario Gaming GTA, L.P. (b) | 8.00% | 08/01/30 | 708,239 | |
2,171,190 | |||||
Environmental Control — 0.1% | |||||
1,400,000 | GFL Environmental, Inc. (b) | 4.00% | 08/01/28 | 1,251,065 | |
750,000 | GFL Environmental, Inc. (b) | 3.50% | 09/01/28 | 663,236 | |
1,914,301 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Food — 0.2% | |||||
$1,700,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 3.75% | 12/01/31 | $1,414,506 | |
1,285,000 | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | 6.50% | 12/01/52 | 1,232,516 | |
2,647,022 | |||||
Gas — 0.1% | |||||
680,000 | National Gas Transmission PLC, Medium-Term Note (EUR) (p) | 4.25% | 04/05/30 | 736,878 | |
Healthcare-Services — 0.1% | |||||
2,150,000 | Kedrion S.p.A. (b) | 6.50% | 09/01/29 | 1,838,250 | |
Internet — 0.0% | |||||
200,000 | Tencent Holdings Ltd. (b) | 3.68% | 04/22/41 | 146,466 | |
200,000 | Tencent Holdings Ltd. (b) | 3.84% | 04/22/51 | 137,362 | |
283,828 | |||||
Investment Companies — 0.1% | |||||
1,140,000 | Gaci First Investment Co. (p) | 5.25% | 10/13/32 | 1,142,758 | |
Machinery-Diversified — 0.0% | |||||
222,000 | Titan Acquisition Ltd. / Titan Co-Borrower LLC (b) | 7.75% | 04/15/26 | 216,009 | |
Media — 0.2% | |||||
910,000 | Tele Columbus AG (EUR) (p) | 3.88% | 05/02/25 | 634,240 | |
2,500,000 | VZ Secured Financing B.V. (b) | 5.00% | 01/15/32 | 2,040,389 | |
2,674,629 | |||||
Mining — 0.1% | |||||
800,000 | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT | 5.45% | 05/15/30 | 771,872 | |
Oil & Gas — 0.4% | |||||
570,000 | Ecopetrol S.A. | 8.88% | 01/13/33 | 578,308 | |
1,100,000 | KazMunayGas National Co. JSC (p) | 5.38% | 04/24/30 | 1,002,728 | |
1,000,000 | KazMunayGas National Co. JSC (p) | 3.50% | 04/14/33 | 754,502 | |
1,100,000 | Pertamina Persero PT (b) | 3.10% | 08/27/30 | 951,427 | |
554,000 | Petroleos Mexicanos | 5.95% | 01/28/31 | 401,347 | |
170,000 | Petroleos Mexicanos | 6.35% | 02/12/48 | 102,342 | |
110,000 | Petroleos Mexicanos | 6.95% | 01/28/60 | 68,150 | |
2,650,000 | Qatar Energy (p) | 2.25% | 07/12/31 | 2,184,723 | |
200,000 | Saudi Arabian Oil Co. (b) | 2.25% | 11/24/30 | 164,945 | |
6,208,472 | |||||
Packaging & Containers — 0.1% | |||||
2,000,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (b) | 5.25% | 08/15/27 | 1,715,571 | |
Pharmaceuticals — 0.3% | |||||
1,500,000 | 1375209 BC Ltd. (b) | 9.00% | 01/30/28 | 1,503,257 | |
150,000 | Bayer AG, Medium-Term Note (EUR) (p) | 4.63% | 05/26/33 | 165,293 | |
2,161,000 | Grifols S.A. (b) | 4.75% | 10/15/28 | 1,897,941 | |
365,000 | Jazz Securities DAC (b) | 4.38% | 01/15/29 | 327,379 | |
850,000 | Teva Pharmaceutical Finance Netherlands III B.V. | 8.13% | 09/15/31 | 901,615 | |
4,795,485 | |||||
Pipelines — 0.3% | |||||
2,572,590 | Galaxy Pipeline Assets Bidco Ltd. (b) | 2.16% | 03/31/34 | 2,166,023 | |
400,000 | QazaqGaz NC JSC (p) | 4.38% | 09/26/27 | 368,740 | |
2,380,000 | TMS Issuer Sarl (p) | 5.78% | 08/23/32 | 2,424,549 | |
4,959,312 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (l) (Continued) | |||||
Real Estate — 0.2% | |||||
415,000 | Annington Funding PLC, Medium-Term Note (GBP) (p) | 3.18% | 07/12/29 | $434,604 | |
380,000 | Annington Funding PLC, Medium-Term Note (GBP) (p) | 2.31% | 10/06/32 | 345,041 | |
400,000 | Annington Funding PLC, Medium-Term Note (GBP) (p) | 3.69% | 07/12/34 | 391,437 | |
600,000 | Blackstone Property Partners Europe Holdings Sarl, Medium-Term Note (EUR) (p) | 1.75% | 03/12/29 | 510,463 | |
1,000,000 | Blackstone Property Partners Europe Holdings Sarl, Medium-Term Note (EUR) (p) | 1.63% | 04/20/30 | 809,116 | |
$605,000 | China Aoyuan Group Ltd. (p) | 6.35% | 02/08/24 | 19,221 | |
200,000 | China SCE Group Holdings Ltd. (p) | 7.00% | 05/02/25 | 20,250 | |
400,000 | Sunac China Holdings Ltd. (p) | 6.50% | 01/10/25 | 45,000 | |
200,000 | Times China Holdings Ltd. (o) (p) | 6.75% | 07/08/25 | 6,500 | |
100,000 | Vonovia Finance B.V. (EUR) (p) | 2.25% | 04/07/30 | 91,312 | |
100,000 | Vonovia SE, Medium-Term Note (EUR) (p) | 5.00% | 11/23/30 | 106,606 | |
800,000 | Vonovia SE (EUR) (p) | 1.50% | 06/14/41 | 481,445 | |
415,000 | Zhenro Properties Group Ltd. (o) (p) | 6.63% | 01/07/26 | 5,366 | |
3,266,361 | |||||
Real Estate Investment Trusts — 0.1% | |||||
510,000 | CapitaLand Ascendas REIT, Medium-Term Note (EUR) (p) | 0.75% | 06/23/28 | 452,849 | |
1,945,000 | Digital Intrepid Holding B.V. (EUR) (p) | 0.63% | 07/15/31 | 1,527,589 | |
1,980,438 | |||||
Retail — 0.0% | |||||
345,000 | 1011778 BC ULC / New Red Finance, Inc. (b) | 3.50% | 02/15/29 | 302,371 | |
Savings & Loans — 0.1% | |||||
1,520,000 | Nationwide Building Society (b) (m) | 2.97% | 02/16/28 | 1,374,902 | |
Software — 0.0% | |||||
625,000 | Open Text Corp. (b) | 6.90% | 12/01/27 | 633,816 | |
Telecommunications — 0.3% | |||||
200,000 | C&W Senior Financing DAC (b) | 6.88% | 09/15/27 | 185,808 | |
1,500,000 | Global Switch Finance B.V., Medium-Term Note (EUR) (p) | 1.38% | 10/07/30 | 1,343,331 | |
750,000 | Intelsat Jackson Holdings S.A. (g) (h) (o) (q) | 8.50% | 10/15/24 | 0 | |
303,000 | Intelsat Jackson Holdings S.A. (g) (h) (o) (q) | 9.75% | 07/15/25 | 0 | |
600,000 | Intelsat Jackson Holdings S.A. (g) (h) (j) (o) | 5.50% | 08/01/28 | 0 | |
1,929,000 | Intelsat Jackson Holdings S.A. (b) (o) | 6.50% | 03/15/30 | 1,773,546 | |
580,000 | Vodafone Group PLC | 4.25% | 09/17/50 | 447,488 | |
3,750,173 | |||||
Total Foreign Corporate Bonds and Notes | 108,762,746 | ||||
(Cost $112,975,169) | |||||
U.S. GOVERNMENT BONDS AND NOTES — 7.2% | |||||
70,000 | U.S. Treasury Bond | 4.13% | 08/15/53 | 69,076 | |
10,161,828 | U.S. Treasury Inflation Indexed Bond | 1.25% | 04/15/28 | 9,786,310 | |
95,204,000 | U.S. Treasury Note | 5.00% | 08/31/25 | 95,479,198 | |
1,805,000 | U.S. Treasury Note | 4.38% | 08/31/28 | 1,816,211 | |
215,000 | U.S. Treasury Note | 3.88% | 08/15/33 | 211,187 | |
Total U.S. Government Bonds and Notes | 107,361,982 | ||||
(Cost $107,699,426) |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (l) — 3.3% | |||||
Brazil — 0.2% | |||||
$1,850,000 | Brazilian Government International Bond | 3.88% | 06/12/30 | $1,642,401 | |
1,200,000 | Brazilian Government International Bond | 6.00% | 10/20/33 | 1,169,549 | |
2,811,950 | |||||
Chile — 0.1% | |||||
1,352,000 | Chile Government International Bond | 2.55% | 01/27/32 | 1,137,509 | |
500,000 | Chile Government International Bond | 2.55% | 07/27/33 | 402,644 | |
750,000 | Chile Government International Bond | 3.50% | 01/31/34 | 651,083 | |
2,191,236 | |||||
Colombia — 0.2% | |||||
978,000 | Colombia Government International Bond | 4.50% | 03/15/29 | 872,661 | |
1,450,000 | Colombia Government International Bond | 3.00% | 01/30/30 | 1,155,410 | |
200,000 | Colombia Government International Bond | 3.13% | 04/15/31 | 154,596 | |
200,000 | Colombia Government International Bond | 8.00% | 04/20/33 | 207,118 | |
2,389,785 | |||||
Dominican Republic — 0.2% | |||||
3,150,000 | Dominican Republic International Bond (b) | 4.50% | 01/30/30 | 2,755,295 | |
Guatemala — 0.2% | |||||
800,000 | Guatemala Government Bond (p) | 5.25% | 08/10/29 | 761,074 | |
700,000 | Guatemala Government Bond (p) | 4.90% | 06/01/30 | 657,770 | |
1,717,000 | Guatemala Government Bond (p) | 3.70% | 10/07/33 | 1,389,041 | |
2,807,885 | |||||
Hungary — 0.2% | |||||
550,000 | Hungary Government International Bond (b) | 6.13% | 05/22/28 | 558,691 | |
3,200,000 | Hungary Government International Bond (b) | 2.13% | 09/22/31 | 2,468,067 | |
3,026,758 | |||||
Indonesia — 0.3% | |||||
1,000,000 | Indonesia Government International Bond | 4.85% | 01/11/33 | 981,706 | |
4,050,000 | Perusahaan Penerbit SBSN Indonesia III (b) | 2.80% | 06/23/30 | 3,511,241 | |
4,492,947 | |||||
Mexico — 0.4% | |||||
1,960,000 | Mexico Government International Bond | 2.66% | 05/24/31 | 1,626,522 | |
3,750,000 | Mexico Government International Bond | 4.88% | 05/19/33 | 3,559,713 | |
700,000 | Mexico Government International Bond | 3.50% | 02/12/34 | 581,867 | |
700,000 | Mexico Government International Bond | 6.35% | 02/09/35 | 727,775 | |
6,495,877 | |||||
Oman — 0.2% | |||||
600,000 | Oman Government International Bond (p) | 6.75% | 10/28/27 | 619,125 | |
2,450,000 | Oman Government International Bond (p) | 5.63% | 01/17/28 | 2,423,606 | |
3,042,731 | |||||
Panama — 0.4% | |||||
3,700,000 | Panama Government International Bond | 3.16% | 01/23/30 | 3,231,193 | |
2,603,000 | Panama Government International Bond | 2.25% | 09/29/32 | 1,981,883 | |
5,213,076 | |||||
Paraguay — 0.1% | |||||
1,920,000 | Paraguay Government International Bond (p) | 4.95% | 04/28/31 | 1,817,696 | |
Peru — 0.2% | |||||
643,000 | Peruvian Government International Bond | 2.84% | 06/20/30 | 557,673 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (l) (Continued) | |||||
Peru (Continued) | |||||
$2,370,000 | Peruvian Government International Bond | 2.78% | 01/23/31 | $2,014,727 | |
550,000 | Peruvian Government International Bond | 1.86% | 12/01/32 | 416,580 | |
2,988,980 | |||||
Philippines — 0.1% | |||||
1,950,000 | Philippine Government International Bond | 2.46% | 05/05/30 | 1,664,045 | |
Poland — 0.1% | |||||
750,000 | Republic of Poland Government International Bond | 5.50% | 11/16/27 | 764,100 | |
1,169,000 | Republic of Poland Government International Bond | 5.75% | 11/16/32 | 1,216,802 | |
100,000 | Republic of Poland Government International Bond | 4.88% | 10/04/33 | 97,233 | |
2,078,135 | |||||
Romania — 0.2% | |||||
1,000,000 | Romanian Government International Bond (b) | 6.63% | 02/17/28 | 1,034,977 | |
2,350,000 | Romanian Government International Bond (p) | 3.00% | 02/14/31 | 1,949,647 | |
2,984,624 | |||||
Saudi Arabia — 0.0% | |||||
200,000 | Saudi Government International Bond (p) | 3.25% | 10/22/30 | 180,092 | |
South Africa — 0.2% | |||||
1,693,000 | Republic of South Africa Government International Bond | 4.30% | 10/12/28 | 1,497,819 | |
200,000 | Republic of South Africa Government International Bond | 4.85% | 09/30/29 | 176,626 | |
583,000 | Republic of South Africa Government International Bond | 5.88% | 06/22/30 | 531,877 | |
400,000 | Republic of South Africa Government International Bond | 5.88% | 04/20/32 | 354,714 | |
2,561,036 | |||||
United Arab Emirates — 0.0% | |||||
200,000 | Finance Department Government of Sharjah (b) | 6.50% | 11/23/32 | 204,660 | |
Total Foreign Sovereign Bonds and Notes | 49,706,808 | ||||
(Cost $52,195,198) | |||||
U.S. GOVERNMENT AGENCY SECURITIES — 2.0% | |||||
30,000,000 | Federal Home Loan Bank Discount Notes | (f) | 10/18/23 | 29,799,520 | |
(Cost $29,801,853) | |||||
MUNICIPAL BONDS — 0.0% | |||||
Colorado — 0.0% | |||||
220,000 | City & Cnty of Denver Cnty Arpt Rev | 2.24% | 11/15/30 | 184,331 | |
New York — 0.0% | |||||
50,000 | Metro Transprtn Auth NY Rev Txbl Green Bond, Ser C2 | 5.18% | 11/15/49 | 46,319 | |
Total Municipal Bonds | 230,650 | ||||
(Cost $270,000) |
Shares | Description | Value | |||
COMMON STOCKS — 0.0% | |||||
Wireless Telecommunication Services — 0.0% | |||||
15,769 | Intelsat Jackson Emergence S.A. (g) (h) (j) (r) | 0 | |||
(Cost $527,847) |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
RIGHTS — 0.0% | |||||
Wireless Telecommunication Services — 0.0% | |||||
1,648 | Intelsat Jackson Holdings S.A., Series A (g) (h) (j) (r) | $0 | |||
1,648 | Intelsat Jackson Holdings S.A., Series B (g) (h) (j) (r) | 0 | |||
Total Rights | 0 | ||||
(Cost $23) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. TREASURY BILLS — 9.1% | |||||
$55,935,000 | U.S. Treasury Bill | (f) | 10/12/23 | 55,597,530 | |
71,995,000 | U.S. Treasury Bill | (f) | 10/19/23 | 71,487,075 | |
3,695,000 | U.S. Treasury Bill | (f) | 11/21/23 | 3,651,166 | |
4,065,000 | U.S. Treasury Bill | (f) | 11/28/23 | 4,012,460 | |
Total U.S. Treasury Bills | 134,748,231 | ||||
(Cost $134,786,964) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 3.3% | |||||
49,427,050 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (s) | 49,427,050 | |||
(Cost $49,427,050) | |||||
Total Investments — 121.7% | 1,812,432,863 | ||||
(Cost $1,885,388,942) | |||||
Net Other Assets and Liabilities — (21.7)% | (323,535,680 ) | ||||
Net Assets — 100.0% | $1,488,897,183 |
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 8/31/2023 | Sale Value as of 8/31/2023 | Unrealized Appreciation (Depreciation) | ||
10/13/2023 | Citi | USD | 167,578 | EUR | 152,000 | $167,578 | $165,169 | $2,409 |
10/13/2023 | Citi | USD | 219,426 | EUR | 199,000 | 219,426 | 216,241 | 3,185 |
10/13/2023 | Citi | USD | 574,340 | EUR | 527,000 | 574,340 | 572,659 | 1,681 |
10/13/2023 | Citi | USD | 290,418 | EUR | 267,000 | 290,418 | 290,133 | 285 |
10/13/2023 | Citi | USD | 12,666,004 | EUR | 11,599,000 | 12,666,004 | 12,603,931 | 62,073 |
10/13/2023 | Citi | USD | 459,799 | EUR | 420,000 | 459,799 | 456,389 | 3,410 |
10/13/2023 | Citi | USD | 2,249,594 | GBP | 1,752,000 | 2,249,594 | 2,219,769 | 29,825 |
10/13/2023 | Citi | USD | 269,036 | GBP | 210,000 | 269,036 | 266,068 | 2,968 |
Net Unrealized Appreciation (Depreciation) | $105,836 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
U.S. 2-Year Treasury Notes | Long | 453 | Dec-2023 | $92,323,524 | $229,822 |
U.S. 5-Year Treasury Notes | Long | 2,226 | Dec-2023 | 238,008,094 | 1,760,841 |
Euro-Bobl Futures | Short | 8 | Dec-2023 | (1,019,030 ) | (4,662 ) |
Portfolio of Investments (Continued)
August 31, 2023
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
Euro-Bund Futures | Short | 24 | Dec-2023 | $(3,451,622 ) | $(550 ) |
Euro-Buxl 30 Year Bonds Futures | Short | 12 | Dec-2023 | (1,740,515 ) | (2,619 ) |
Ultra 10-Year U.S. Treasury Notes | Short | 1,426 | Dec-2023 | (165,571,969 ) | (1,929,780 ) |
Ultra U.S. Treasury Bond Futures | Short | 470 | Dec-2023 | (60,850,312 ) | (932,096 ) |
$97,698,170 | $(879,044 ) |
Counterparty | Floating Rate | Expiration Date | Notional Value | Fixed Rate | Unrealized Appreciation (Depreciation)/ Value |
Barclay Bank PLC | SOFR(1) | 12/20/2053 | $3,279,000 | 3.520 %(1) | $(17,155 ) |
(1) | The Fund pays the fixed rate and receives the floating rate. The floating rate is not effective until 12/20/2023 and no interest is being accrued until that date. |
(a) | Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At August 31, 2023, securities noted as such amounted to $617,855,390 or 41.5% of net assets. |
(c) | Step-up security. A security where the coupon increases or steps up at a predetermined date. The coupon rate is determined based on the underlying investments. The coupon rate resets periodically. |
(d) | Floating or variable rate security. |
(e) | Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have different coupons. The coupon may change in any period. |
(f) | Zero coupon security. |
(g) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At August 31, 2023, securities noted as such are valued at $2,349,818 or 0.2% of net assets. |
(h) | This security’s value was determined using significant unobservable inputs (see Note2A- Portfolio Valuation in the Notes to Financial Statements). |
(i) | Inverse floating rate security. |
(j) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(k) | All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2J - Mortgage Dollar Rolls in the Notes to Financial Statements). |
(l) | Principal Value is in U.S. dollars unless otherwise indicated in the security description. |
(m) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at August 31, 2023. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(n) | Perpetual maturity. |
(o) | This issuer is in default. |
(p) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(q) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note2K - Restricted Securities in the Notes to Financial Statements). |
Portfolio of Investments (Continued)
August 31, 2023
(r) | Non-income producing security. |
(s) | Rate shown reflects yield as of August 31, 2023. |
Abbreviations throughout the Portfolio of Investments: | |
Citi | – Citibank N.A. |
CME | – Chicago Mercantile Exchange |
CSA | – Credit Spread Adjustment |
EUR | – Euro |
GBP | – British Pound Sterling |
IO | – Interest-Only Security - Principal amount shown represents par value on which interest payments are based |
LIBOR | – London Interbank Offered Rate |
REMIC | – Real Estate Mortgage Investment Conduit |
SOFR | – Secured Overnight Financing Rate |
TBA | – To-Be-Announced Security |
USD | – United States Dollar |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Mortgage-Backed Securities | $363,037,424 | $— | $363,037,424 | $— |
Asset-Backed Securities | 361,113,584 | — | 360,582,414 | 531,170 |
U.S. Government Agency Mortgage-Backed Securities | 317,415,135 | — | 317,415,135 | — |
Corporate Bonds and Notes* | 290,829,733 | — | 290,829,733 | — |
Foreign Corporate Bonds and Notes: | ||||
Telecommunications | 3,750,173 | — | 3,750,173 | — ** |
Other Industry Categories* | 105,012,573 | — | 105,012,573 | — |
U.S. Government Bonds and Notes | 107,361,982 | — | 107,361,982 | — |
Foreign Sovereign Bonds and Notes*** | 49,706,808 | — | 49,706,808 | — |
U.S. Government Agency Securities | 29,799,520 | — | 29,799,520 | — |
Municipal Bonds**** | 230,650 | — | 230,650 | — |
Common Stocks* | — ** | — | — | — ** |
Rights* | — ** | — | — | — ** |
U.S. Treasury Bills | 134,748,231 | — | 134,748,231 | — |
Money Market Funds | 49,427,050 | 49,427,050 | — | — |
Total Investments | 1,812,432,863 | 49,427,050 | 1,762,474,643 | 531,170 |
Forward Foreign Currency Contracts | 105,836 | — | 105,836 | — |
Futures Contracts***** | 1,990,663 | 1,990,663 | — | — |
Total | $1,814,529,362 | $51,417,713 | $1,762,580,479 | $531,170 |
Portfolio of Investments (Continued)
August 31, 2023
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts***** | $(2,869,707 ) | $(2,869,707 ) | $— | $— |
Interest Rate Swap Agreements | (17,155 ) | — | (17,155 ) | — |
Total | $(2,886,862 ) | $(2,869,707 ) | $(17,155 ) | $— |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
*** | See Portfolio of Investments for country breakout. |
**** | See Portfolio of Investments for state breakout. |
***** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Portfolio of Investments
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 70.0% | |||||
Collateralized Mortgage Obligations — 4.8% | |||||
Federal Home Loan Mortgage Corporation | |||||
$17,934 | Series 2005-3071, Class TF, 30 Day Average SOFR + 0.41% (a) | 5.60% | 04/15/35 | $17,876 | |
32,908 | Series 2010-3778, Class L | 3.50% | 12/15/25 | 32,118 | |
91,096 | Series 2017-360, Class 250 | 2.50% | 11/15/47 | 81,464 | |
40,711 | Series 2020-4993, Class OP, PO | (b) | 10/25/58 | 37,046 | |
925,000 | Series 2022-5210, Class LB | 3.00% | 08/25/50 | 687,868 | |
Federal Home Loan Mortgage Corporation STACR REMIC Trust | |||||
652,685 | Series 2021-HQA1, Class M2, 30 Day Average SOFR + 2.25% (a) (c) | 7.54% | 08/25/33 | 645,868 | |
550,000 | Series 2022-DNA1, Class M1B, 30 Day Average SOFR + 1.85% (a) (c) | 7.14% | 01/25/42 | 540,615 | |
Federal National Mortgage Association | |||||
103,339 | Series 2006-56, Class FE, 30 Day Average SOFR + 0.54% (a) | 5.83% | 07/25/36 | 102,085 | |
81,478 | Series 2011-47, Class GF, 30 Day Average SOFR + 0.68% (a) | 5.97% | 06/25/41 | 80,261 | |
106,270 | Series 2018-50, Class BA | 3.00% | 07/25/48 | 93,827 | |
4,323 | Series 2018-86, Class JA | 4.00% | 05/25/47 | 4,131 | |
75,174 | Series 2019-67, Class FE, 30 Day Average SOFR + 0.56% (a) | 5.85% | 11/25/49 | 72,205 | |
1,452,431 | Series 2019-68, Class US, IO, 30 Day Average SOFR ×-1+ 5.89% (d) | 0.60% | 11/25/49 | 150,583 | |
Government National Mortgage Association | |||||
1,210,153 | Series 2012-34, Class SA, IO, (1 Mo. CME Term SOFR + CSA) x -1 + 6.05% (d) | 0.62% | 03/20/42 | 117,207 | |
1,784,765 | Series 2013-25, Class SA, IO, (1 Mo. CME Term SOFR + CSA) x -1 + 6.20% (d) | 0.77% | 02/20/43 | 177,167 | |
757,577 | Series 2014-57, Class PS, IO, (1 Mo. CME Term SOFR + CSA) x -1 + 6.20% (d) | 0.77% | 04/20/44 | 77,859 | |
400,000 | Series 2023-113, Class FD, 30 Day Average SOFR + 1.35% (a) | 6.42% | 08/20/53 | 401,011 | |
400,000 | Series 2023-116, Class FL, 30 Day Average SOFR + 1.15% (a) | 6.33% | 08/20/53 | 400,665 | |
3,719,856 | |||||
Commercial Mortgage-Backed Securities — 0.1% | |||||
Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates | |||||
1,000,000 | Series 2018-K732, Class X3, IO (e) | 2.24% | 05/25/46 | 36,232 | |
FREMF Mortgage Trust | |||||
21,686,166 | Series 2017-K726, Class X2B, IO (c) | 0.10% | 07/25/49 | 12,318 | |
48,550 | |||||
Pass-Through Securities — 65.1% | |||||
Federal Home Loan Mortgage Corporation | |||||
48,851 | Pool G08681 | 3.50% | 12/01/45 | 44,578 | |
25,321 | Pool G08792 | 3.50% | 12/01/47 | 23,002 | |
91,370 | Pool G60659 | 3.50% | 08/01/46 | 83,343 | |
109,420 | Pool G61748 | 3.50% | 11/01/48 | 99,860 | |
124,988 | Pool G67706 | 3.50% | 12/01/47 | 114,170 | |
159,763 | Pool G67710 | 3.50% | 03/01/48 | 145,478 | |
1,040,614 | Pool QC8921 | 2.50% | 10/01/51 | 864,885 | |
1,488,148 | Pool QD7088 | 2.00% | 02/01/52 | 1,188,934 | |
695,082 | Pool QD8010 | 2.00% | 03/01/52 | 555,053 | |
579,826 | Pool QE8999 | 4.00% | 08/01/52 | 535,960 | |
303,688 | Pool RA5552 | 3.00% | 07/01/51 | 263,435 | |
1,771,732 | Pool RA5855 | 2.50% | 09/01/51 | 1,472,010 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal Home Loan Mortgage Corporation (Continued) | |||||
$1,033,614 | Pool RA7659 | 3.50% | 07/01/52 | $924,914 | |
717,720 | Pool RA7773 | 4.00% | 08/01/52 | 663,198 | |
108,881 | Pool SD0499 | 3.00% | 08/01/50 | 95,316 | |
1,018,253 | Pool SD0956 | 2.50% | 04/01/52 | 845,448 | |
491,727 | Pool SD1382 | 4.00% | 08/01/52 | 454,321 | |
432,173 | Pool SD2190 | 4.50% | 10/01/52 | 410,032 | |
55,496 | Pool SD7502 | 3.50% | 07/01/49 | 50,804 | |
114,485 | Pool SD7511 | 3.50% | 01/01/50 | 104,182 | |
71,125 | Pool SD7513 | 3.50% | 04/01/50 | 64,768 | |
72,225 | Pool ZM1779 | 3.00% | 09/01/46 | 63,604 | |
Federal National Mortgage Association | |||||
25,939 | Pool BE3619 | 4.00% | 05/01/47 | 24,410 | |
294,420 | Pool BQ1163 | 2.00% | 08/01/50 | 236,015 | |
589,392 | Pool BQ1226 | 2.00% | 09/01/50 | 472,199 | |
691,969 | Pool BU9074 | 2.00% | 01/01/52 | 553,685 | |
68,686 | Pool BV4119 | 2.50% | 03/01/52 | 57,031 | |
1,322,287 | Pool BV8463 | 2.50% | 04/01/52 | 1,097,669 | |
987,107 | Pool BV8464 | 3.00% | 04/01/52 | 851,847 | |
1,360,358 | Pool BV8477 | 3.00% | 05/01/52 | 1,173,980 | |
1,379,673 | Pool BV8515 | 3.00% | 05/01/52 | 1,190,743 | |
666,918 | Pool BV9960 | 4.00% | 06/01/52 | 617,669 | |
356,145 | Pool BW1478 | 4.50% | 06/01/52 | 337,937 | |
324,515 | Pool BW6293 | 4.50% | 08/01/52 | 307,890 | |
554,633 | Pool BW9886 | 4.50% | 10/01/52 | 526,221 | |
213,339 | Pool BW9888 | 4.00% | 10/01/52 | 197,057 | |
50,123 | Pool CA0995 | 3.50% | 01/01/48 | 45,666 | |
550,249 | Pool CA5689 | 3.00% | 05/01/50 | 482,041 | |
1,150,793 | Pool CB2411 | 2.50% | 12/01/51 | 955,745 | |
504,714 | Pool CB2430 | 3.00% | 12/01/51 | 435,651 | |
830,059 | Pool CB2610 | 2.00% | 01/01/52 | 663,182 | |
551,078 | Pool CB2802 | 2.00% | 02/01/52 | 440,215 | |
1,200,286 | Pool CB3151 | 2.00% | 03/01/52 | 958,719 | |
1,075,902 | Pool CB3486 | 3.50% | 05/01/52 | 963,038 | |
118,127 | Pool CB4365 | 3.50% | 08/01/52 | 105,730 | |
63,469 | Pool FM2870 | 3.00% | 03/01/50 | 55,603 | |
1,385,751 | Pool FS0139 | 2.50% | 01/01/52 | 1,156,599 | |
418,921 | Pool FS3160 | 3.00% | 06/01/52 | 361,574 | |
959,824 | Pool FS3781 | 2.00% | 11/01/51 | 768,254 | |
59,850 | Pool MA4093 | 2.00% | 08/01/40 | 50,278 | |
87,568 | Pool MA4152 | 2.00% | 10/01/40 | 73,432 | |
133,969 | Pool MA4176 | 2.00% | 11/01/40 | 112,766 | |
140,754 | Pool MA4204 | 2.00% | 12/01/40 | 118,487 | |
181,921 | Pool MA4333 | 2.00% | 05/01/41 | 152,752 | |
3,625,000 | Pool TBA (f) | 2.50% | 09/15/53 | 3,003,652 | |
900,000 | Pool TBA (f) | 3.00% | 09/15/53 | 775,582 | |
1,150,000 | Pool TBA (f) | 3.50% | 09/15/53 | 1,028,037 | |
1,000,000 | Pool TBA (f) | 4.00% | 09/15/53 | 923,125 | |
1,875,000 | Pool TBA (f) | 5.00% | 09/15/53 | 1,818,201 | |
3,025,000 | Pool TBA (f) | 5.50% | 09/15/53 | 2,986,951 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | |||||
Pass-Through Securities (Continued) | |||||
Federal National Mortgage Association (Continued) | |||||
$3,650,000 | Pool TBA (f) | 2.00% | 10/15/53 | $2,910,732 | |
300,000 | Pool TBA (f) | 3.00% | 10/15/53 | 258,809 | |
300,000 | Pool TBA (f) | 4.00% | 10/15/53 | 277,219 | |
1,800,000 | Pool TBA (f) | 4.50% | 10/15/53 | 1,707,891 | |
2,200,000 | Pool TBA (f) | 5.00% | 10/15/53 | 2,134,387 | |
Government National Mortgage Association | |||||
43,271 | Pool MA3873 | 3.00% | 08/20/46 | 38,719 | |
53,839 | Pool MA4382 | 3.50% | 04/20/47 | 49,651 | |
40,224 | Pool MA4778 | 3.50% | 10/20/47 | 37,047 | |
28,216 | Pool MA4779 | 4.00% | 10/20/47 | 26,717 | |
1,028,594 | Pool MA7418 | 2.50% | 06/20/51 | 876,439 | |
193,796 | Pool MA7705 | 2.50% | 11/20/51 | 165,140 | |
5,450,000 | Pool TBA (f) | 2.50% | 09/15/53 | 4,637,609 | |
1,925,000 | Pool TBA (f) | 4.50% | 09/15/53 | 1,834,615 | |
925,000 | Pool TBA (f) | 5.00% | 09/15/53 | 900,159 | |
51,002,062 | |||||
Total U.S. Government Agency Mortgage-Backed Securities | 54,770,468 | ||||
(Cost $57,129,656) | |||||
MORTGAGE-BACKED SECURITIES (g) — 31.2% | |||||
Collateralized Mortgage Obligations — 19.6% | |||||
Alternative Loan Trust | |||||
203,016 | Series 2005-16, Class A4, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.91% | 06/25/35 | 177,987 | |
129,557 | Series 2007-5CB, Class 1A11 | 6.00% | 04/25/37 | 73,208 | |
111,565 | Series 2007-15CB, Class A5 | 5.75% | 07/25/37 | 64,105 | |
313,734 | Series 2007-HY8C, Class A1, 1 Mo. CME Term SOFR + CSA + 0.32% (a) | 5.75% | 09/25/47 | 274,408 | |
143,820 | Series 2007-OA7, Class A1A, 1 Mo. CME Term SOFR + CSA + 0.36% (a) | 5.79% | 05/25/47 | 122,792 | |
American Home Mortgage Assets Trust | |||||
98,645 | Series 2006-3, Class 1A1, 12 Mo. Treasury Average + 0.97% (a) | 5.40% | 10/25/46 | 82,503 | |
Banc of America Funding Trust | |||||
111,443 | Series 2007-C, Class 7A1, 1 Mo. CME Term SOFR + CSA + 0.42% (a) | 5.85% | 05/20/47 | 99,389 | |
BCAP LLC Trust | |||||
83,694 | Series 2006-AA2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.34% (a) | 5.77% | 01/25/37 | 78,022 | |
Bear Stearns ALT-A Trust | |||||
520,724 | Series 2005-1, Class M2, 1 Mo. CME Term SOFR + CSA + 1.13% (a) | 6.55% | 01/25/35 | 485,643 | |
498,593 | Series 2006-1, Class 21A2 (e) | 4.13% | 02/25/36 | 351,219 | |
Bear Stearns ARM Trust | |||||
134,282 | Series 2005-1, Class 2A1 (e) | 4.24% | 03/25/35 | 122,273 | |
CHL Mortgage Pass-Through Trust | |||||
191,073 | Series 2004-25, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.68% (a) | 6.11% | 02/25/35 | 161,391 | |
102,051 | Series 2007-20, Class A1 | 6.50% | 01/25/38 | 49,214 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (g) (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
CIM Trust | |||||
$204,512 | Series 2021-R3, Class A1A (c) | 1.95% | 06/25/57 | $180,035 | |
450,000 | Series 2023-R3, Class A1B (c) | 4.50% | 01/25/63 | 296,335 | |
Citigroup Mortgage Loan Trust | |||||
249,289 | Series 2009-10, Class 2A2 (c) | 7.00% | 12/25/35 | 181,158 | |
Connecticut Avenue Securities Trust | |||||
500,000 | Series 2021-R03, Class 1B2, 30 Day Average SOFR + 5.50% (a) (c) | 10.79% | 12/25/41 | 494,377 | |
750,000 | Series 2021-R03, Class 1M2, 30 Day Average SOFR + 1.65% (a) (c) | 6.94% | 12/25/41 | 731,953 | |
Credit Suisse Mortgage Trust | |||||
530,137 | Series 2014-8R, Class 3A2 (c) (e) | 4.64% | 02/27/36 | 526,446 | |
264,682 | Series 2020-RPL2, Class A12 (c) | 3.51% | 02/25/60 | 267,250 | |
712,032 | Series 2021-RP11 (c) | 3.78% | 10/25/61 | 519,211 | |
451,375 | Series 2021-RPL4, Class A1 (c) | 1.80% | 12/27/60 | 427,029 | |
CSMCM Trust | |||||
25,736 | Series 2021-RP11 (c) | 3.78% | 10/27/61 | 18,995 | |
Deutsche Alt-A Securities Mortgage Loan Trust | |||||
182,133 | Series 2007-3, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.75% (a) | 6.18% | 10/25/47 | 141,440 | |
GreenPoint Mortgage Funding Trust | |||||
152,303 | Series 2005-AR4, Class G41B, 1 Mo. CME Term SOFR + CSA + 0.20% (a) | 5.63% | 10/25/45 | 137,843 | |
GSR Mortgage Loan Trust | |||||
230,538 | Series 2006-OA1, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.52% (a) | 5.95% | 08/25/46 | 57,926 | |
IndyMac INDX Mortgage Loan Trust | |||||
121,835 | Series 2005-AR29, Class A1 (e) | 3.58% | 01/25/36 | 100,015 | |
65,945 | Series 2006-AR3, Class 2A1A (e) | 3.49% | 03/25/36 | 48,198 | |
560,451 | Series 2006-AR13, Class A3 (e) | 3.83% | 07/25/36 | 406,940 | |
134,070 | Series 2006-AR19, Class 5A2 (e) | 3.92% | 08/25/36 | 104,530 | |
454,629 | Series 2006-AR31, Class A3 (e) | 3.43% | 11/25/36 | 419,652 | |
730,538 | Series 2007-AR21, Class 6A1 (e) | 3.47% | 09/25/37 | 546,825 | |
Lehman XS Trust | |||||
483,498 | Series 2006-10N, Class 1A4A, 1 Mo. CME Term SOFR + CSA + 0.60% (a) | 6.03% | 07/25/46 | 333,787 | |
169,205 | Series 2007-12N, Class 1A3A, 1 Mo. CME Term SOFR + CSA + 0.40% (a) | 5.83% | 07/25/47 | 163,020 | |
LHOME Mortgage Trust | |||||
1,275,000 | Series 2021-RTL3, Class A1, steps up to 3.36% on 04/25/24 (c) (h) | 2.36% | 09/25/26 | 1,234,165 | |
Luminent Mortgage Trust | |||||
882,633 | Series 2007-1, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.32% (a) | 5.75% | 11/25/36 | 804,615 | |
MASTR Adjustable Rate Mortgages Trust | |||||
1,055,871 | Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average + 0.80% (a) | 5.23% | 12/25/46 | 774,141 | |
800,000 | Series 2007-HF2, Class A2, 1 Mo. CME Term SOFR + CSA + 1.10% (a) | 6.53% | 09/25/37 | 345,674 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (g) (Continued) | |||||
Collateralized Mortgage Obligations (Continued) | |||||
RALI Trust | |||||
$405,512 | Series 2005-QO1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.30% (a) | 5.73% | 08/25/35 | $303,769 | |
3,222,305 | Series 2006-QO2, Class A1, 1 Mo. CME Term SOFR + CSA + 0.44% (a) | 5.87% | 02/25/46 | 651,386 | |
184,804 | Series 2006-QS7, Class A2 | 6.00% | 06/25/36 | 142,355 | |
292,105 | Series 2007-QH4, Class A1, 1 Mo. CME Term SOFR + CSA + 0.38% (a) | 5.81% | 05/25/37 | 259,861 | |
90,749 | Series 2007-QS1, Class 1A4 | 6.00% | 01/25/37 | 69,707 | |
151,173 | Series 2007-QS2, Class A4 | 6.25% | 01/25/37 | 121,515 | |
RFMSI Trust | |||||
541,970 | Series 2006-S10, Class 1A1 | 6.00% | 10/25/36 | 411,738 | |
Structured Asset Mortgage Investments II Trust | |||||
136,063 | Series 2005-AR8, Class A2, 12 Mo. Treasury Average + 1.48% (a) | 3.91% | 02/25/36 | 116,215 | |
584,375 | Series 2006-AR6, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.38% (a) | 5.81% | 07/25/46 | 412,355 | |
100,235 | Series 2006-AR7, Class A1BG, 1 Mo. CME Term SOFR + CSA + 0.12% (a) | 5.55% | 08/25/36 | 86,042 | |
384,544 | Series 2007-AR1, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.18% (a) | 5.61% | 01/25/37 | 345,254 | |
27,674 | Series 2007-AR3, Class 2A1, 1 Mo. CME Term SOFR + CSA + 0.19% (a) | 5.62% | 09/25/47 | 24,728 | |
WaMu Mortgage Pass-Through Certificates Trust | |||||
49,527 | Series 2006-AR3, Class A1A, 12 Mo. Treasury Average + 1.00% (a) | 3.88% | 02/25/46 | 43,801 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | |||||
604,059 | Series 2006-AR6, Class 2A, 12 Mo. Treasury Average + 0.96% (a) | 5.39% | 08/25/46 | 336,035 | |
735,561 | Series 2006-AR10, Class A2A, 1 Mo. CME Term SOFR + CSA + 0.34% (a) | 5.77% | 12/25/36 | 602,869 | |
15,331,344 | |||||
Commercial Mortgage-Backed Securities — 11.6% | |||||
BBCMS Mortgage Trust | |||||
545,000 | Series 2020-BID, Class D, 1 Mo. CME Term SOFR + CSA + 4.63% (a) (c) | 10.06% | 10/15/37 | 515,351 | |
Benchmark Mortgage Trust | |||||
117,000 | Series 2020-B18, Class AGNF (c) | 4.14% | 07/15/53 | 101,907 | |
BWAY Mortgage Trust | |||||
17,489,337 | Series 2013-1515, Class XA, IO (c) (e) | 0.67% | 03/10/33 | 95,565 | |
BX Commercial Mortgage Trust | |||||
195,483 | Series 2021-XL2, Class J, 1 Mo. CME Term SOFR + CSA + 3.89% (a) (c) | 9.31% | 10/15/38 | 184,750 | |
BX Trust | |||||
605,000 | Series 2021-VIEW, Class B, 1 Mo. CME Term SOFR + CSA + 1.80% (a) (c) | 7.22% | 06/15/36 | 566,491 | |
CAMB Commercial Mortgage Trust | |||||
215,000 | Series 2019-LIFE, Class G, 1 Mo. CME Term SOFR + CSA + 3.32% (a) (c) | 8.68% | 12/15/37 | 208,552 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (g) (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
Citigroup Commercial Mortgage Trust | |||||
$50,067 | Series 2013-GC15, Class XA, IO (e) | 0.73% | 09/10/46 | $1 | |
4,384,843 | Series 2016-P3, Class XA, IO (e) | 1.82% | 04/15/49 | 121,112 | |
COMM Mortgage Trust | |||||
938,014 | Series 2012-CR4, Class XA, IO (e) | 1.29% | 10/15/45 | 9 | |
127,446 | Series 2013-LC13, Class XA, IO (e) | 0.82% | 08/10/46 | 1 | |
21,159,096 | Series 2014-CR14, Class XA, IO (e) | 0.65% | 02/10/47 | 4,281 | |
31,159,505 | Series 2014-CR16, Class XA, IO (e) | 1.09% | 04/10/47 | 89,004 | |
1,250,689 | Series 2014-UBS2, Class XA, IO (e) | 1.19% | 03/10/47 | 1,062 | |
20,315,859 | Series 2014-UBS3, Class XA, IO (e) | 1.21% | 06/10/47 | 60,765 | |
11,151,000 | Series 2014-UBS3, Class XB, IO (c) (e) | 0.42% | 06/10/47 | 16,436 | |
7,000,000 | Series 2015-LC21, Class XE, IO (c) (e) | 1.22% | 07/10/48 | 124,891 | |
35,000 | Series 2020-CX, Class E (c) (e) | 2.77% | 11/10/46 | 22,563 | |
Credit Suisse Mortgage Trust | |||||
182,000 | Series 2019-UVIL, Class B (c) (e) | 3.39% | 12/15/41 | 148,361 | |
801,000 | Series 2021-BPNY, Class A, 1 Mo. CME Term SOFR + CSA + 3.71% (a) (c) | 9.14% | 08/15/26 | 701,457 | |
CSAIL Commercial Mortgage Trust | |||||
2,624,677 | Series 2016-C5, Class XA, IO (e) | 1.05% | 11/15/48 | 40,426 | |
DBUBS Mortgage Trust | |||||
120,000 | Series 2017-BRBK, Class A (c) | 3.45% | 10/10/34 | 109,591 | |
DROP Mortgage Trust | |||||
386,000 | Series 2021-FILE, Class B, 1 Mo. CME Term SOFR + CSA + 1.70% (a) (c) | 7.12% | 10/15/43 | 336,761 | |
European Loan Conduit DAC | |||||
568,576 | Series 36A, Class E, 3 Mo. EURIBOR + 3.35% (EUR) (a) (c) | 7.15% | 02/17/30 | 584,526 | |
Frost CMBS DAC | |||||
794,145 | Series 2021-1A, Class GBB, SONIA + 1.65% (GBP) (a) (i) | 6.87% | 11/20/33 | 957,421 | |
Grace Trust | |||||
1,000,000 | Series 2020-GRCE, Class X, IO (c) (e) | 0.30% | 12/10/40 | 18,004 | |
GS Mortgage Securities Trust | |||||
113,297 | Series 2011-GC5, Class AS (c) | 5.21% | 08/10/44 | 106,581 | |
1,402,478 | Series 2011-GC5, Class XA, IO (e) (j) | 0.09% | 08/10/44 | 14 | |
28,000,181 | Series 2015-GC28, Class XA, IO (e) | 1.11% | 02/10/48 | 251,013 | |
JP Morgan Chase Commercial Mortgage Securities Trust | |||||
1,425,781 | Series 2013-C16, Class XA, IO (e) | 0.84% | 12/15/46 | 14 | |
152,004 | Series 2013-LC11, Class XA, IO (e) | 1.09% | 04/15/46 | 2 | |
12,456,430 | Series 2014-C20, Class XA, IO (e) | 1.29% | 07/15/47 | 19,648 | |
JPMBB Commercial Mortgage Securities Trust | |||||
801,546 | Series 2015-C32, Class XA, IO (e) | 1.26% | 11/15/48 | 10,225 | |
JPMCC Commercial Mortgage Securities Trust | |||||
9,975,974 | Series 2017-JP5, Class XA, IO (e) | 0.96% | 03/15/50 | 209,952 | |
JPMDB Commercial Mortgage Securities Trust | |||||
5,402,804 | Series 2016-C2, Class XA, IO (e) | 1.63% | 06/15/49 | 157,191 | |
Last Mile Logistics Pan Euro Finance DAC | |||||
706,936 | Series 1A, Class E, 3 Mo. EURIBOR + 2.70% (EUR) (a) (c) | 6.49% | 08/17/33 | 693,354 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||||
1,278,565 | Series 2013-C13, Class XA, IO (e) | 1.02% | 11/15/46 | 13 | |
3,292,262 | Series 2014-C14, Class XA, IO (e) (k) | 1.05% | 02/15/47 | 33 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MORTGAGE-BACKED SECURITIES (g) (Continued) | |||||
Commercial Mortgage-Backed Securities (Continued) | |||||
Morgan Stanley Bank of America Merrill Lynch Trust (Continued) | |||||
$9,126,653 | Series 2015-C20, Class XA, IO (e) | 1.38% | 02/15/48 | $91,162 | |
29,011,034 | Series 2015-C25, Class XA, IO (e) | 1.18% | 10/15/48 | 401,057 | |
MSCG Trust | |||||
320,769 | Series 2018-SELF, Class F, 1 Mo. CME Term SOFR + CSA + 3.05% (a) (c) | 8.41% | 10/15/37 | 314,829 | |
SFAVE Commercial Mortgage Securities Trust | |||||
690,000 | Series 2015-5AVE, Class A2A (c) (e) | 3.66% | 01/05/43 | 488,374 | |
340,000 | Series 2015-5AVE, Class A2B (c) (e) | 4.14% | 01/05/43 | 232,739 | |
SLG Office Trust | |||||
385,000 | Series 2021-OVA, Class G (c) | 2.85% | 07/15/41 | 239,357 | |
SMRT | |||||
105,000,000 | Series 2022-MINI, Class XCP, IO (e) (j) | 0.00% | 01/15/39 | 110 | |
UBS-Barclays Commercial Mortgage Trust | |||||
451,167 | Series 2012-C2, Class XA, IO (c) (e) | 0.71% | 05/10/63 | 5 | |
Wells Fargo Commercial Mortgage Trust | |||||
7,918,641 | Series 2015-C26, Class XA, IO (e) | 1.32% | 02/15/48 | 96,975 | |
13,853,465 | Series 2015-C27, Class XA, IO (e) | 0.98% | 02/15/48 | 119,658 | |
27,245,721 | Series 2015-C28, Class XA, IO (e) | 0.71% | 05/15/48 | 188,633 | |
1,817,171 | Series 2015-LC22, Class XA, IO (e) | 0.90% | 09/15/58 | 21,700 | |
3,573,081 | Series 2016-C33, Class XA, IO (e) | 1.73% | 03/15/59 | 107,837 | |
5,823,000 | Series 2016-C37, Class XEF, IO (c) (e) | 1.60% | 12/15/49 | 248,617 | |
WFRBS Commercial Mortgage Trust | |||||
898,221 | Series 2014-C22, Class XA, IO (e) | 0.92% | 09/15/57 | 4,196 | |
4,799,882 | Series 2014-C24, Class XA, IO (e) | 0.98% | 11/15/47 | 29,342 | |
24,230,512 | Series 2014-LC14, Class XA, IO (e) | 1.40% | 03/15/47 | 11,156 | |
9,053,075 | |||||
Total Mortgage-Backed Securities | 24,384,419 | ||||
(Cost $28,979,525) | |||||
ASSET-BACKED SECURITIES — 29.0% | |||||
AMSR Trust | |||||
572,000 | Series 2020-SFR1, Class F (c) | 3.57% | 04/17/37 | 535,714 | |
605,000 | Series 2020-SFR3, Class G (c) | 4.99% | 09/17/37 | 566,559 | |
Ares LXII CLO Ltd. | |||||
700,000 | Series 2021-62A, Class B, 3 Mo. CME Term SOFR + CSA + 1.65% (a) (c) | 7.26% | 01/25/34 | 686,511 | |
Argent Securities Trust | |||||
737,760 | Series 2006-M1, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.30% (a) | 5.73% | 07/25/36 | 190,042 | |
Argent Securities, Inc., Asset-Backed Pass-Through Certificates | |||||
600,000 | Series 2005-W3, Class M2, 1 Mo. CME Term SOFR + CSA + 0.69% (a) | 6.12% | 11/25/35 | 513,101 | |
Boyce Park CLO Ltd. | |||||
1,178,571 | Series 2022-1A, Class M2, IO (c) | 0.00% | 04/21/35 | 52,367 | |
1,100,000 | Series 2022-1A, Class SUB (c) | 0.00% | 04/21/35 | 810,909 | |
C-BASS Mortgage Loan Trust | |||||
817,920 | Series 2007-CB3, Class A3, steps up to 6.23% after Redemption (h) | 3.31% | 03/25/37 | 303,892 | |
940,607 | Series 2007-CB3, Class A4, steps up to 6.47% after Redemption (h) | 3.31% | 03/25/37 | 349,286 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
CIFC Funding Ltd. | |||||
$700,000 | Series 2022-2A, Class INCB (c) | 0.00% | 04/19/35 | $582,089 | |
CIM Trust | |||||
67,535 | Series 2021-NR3, Class A1, steps up to 5.57% on 04/01/24 (c) (h) | 2.57% | 06/25/57 | 65,658 | |
Cologix Data Centers US Issuer LLC | |||||
190,000 | Series 2021-1A, Class A2 (c) | 3.30% | 12/26/51 | 168,575 | |
CoreVest American Finance Trust | |||||
2,464,430 | Series 2021-2, Class XA, IO (c) (e) | 3.14% | 07/15/54 | 194,082 | |
Credit-Based Asset Servicing and Securitization LLC | |||||
130,142 | Series 2007-CB6, Class A1, 1 Mo. CME Term SOFR + CSA + 0.12% (a) (c) | 5.55% | 07/25/37 | 83,597 | |
Dryden CLO Ltd. | |||||
315,000 | Series 2019-72A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (a) (c) | 7.28% | 05/15/32 | 310,107 | |
Elmwood CLO VI Ltd. | |||||
600,000 | Series 2020-3A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.65% (a) (c) | 7.24% | 10/20/34 | 593,045 | |
First Franklin Mortgage Loan Trust | |||||
565,000 | Series 2006-FF7, Class 2A4, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.91% | 05/25/36 | 467,683 | |
Flexential Issuer | |||||
610,000 | Series 2021-1A, Class A2 (c) | 3.25% | 11/27/51 | 533,848 | |
Golub Capital Partners CLO L.P. | |||||
1,100,000 | Series 2021-54A, Class A, 3 Mo. CME Term SOFR + CSA + 1.53% (a) (c) | 7.16% | 08/05/33 | 1,082,607 | |
HSI Asset Securitization Corp. Trust | |||||
202,891 | Series 2006-WMC1, Class A4, 1 Mo. CME Term SOFR + CSA + 0.50% (a) | 5.93% | 07/25/36 | 89,004 | |
JP Morgan Mortgage Acquisition Trust | |||||
1,368,602 | Series 2006-WMC2, Class A4, 1 Mo. CME Term SOFR + CSA + 0.30% (a) | 5.73% | 07/25/36 | 585,048 | |
Long Beach Mortgage Loan Trust | |||||
288,381 | Series 2006-10, Class 2A3, 1 Mo. CME Term SOFR + CSA + 0.32% (a) | 5.75% | 11/25/36 | 90,523 | |
Madison Park Funding XLV Ltd. | |||||
825,000 | Series 2020-45A, Class BR, 3 Mo. CME Term SOFR + CSA + 1.70% (a) (c) | 7.27% | 07/15/34 | 814,749 | |
Mastr Asset Backed Securities Trust | |||||
1,535,500 | Series 2007-HE1, Class A4, 1 Mo. CME Term SOFR + CSA + 0.28% (a) | 5.71% | 05/25/37 | 1,185,489 | |
Merrill Lynch First Franklin Mortgage Loan Trust | |||||
326,262 | Series 2007-1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.28% (a) | 5.71% | 04/25/37 | 139,894 | |
620,186 | Series 2007-3, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.26% (a) | 5.69% | 06/25/37 | 473,954 | |
Merrill Lynch Mortgage Investors Trust | |||||
1,115,399 | Series 2006-HE6, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.30% (a) | 5.73% | 11/25/37 | 385,939 | |
1,000,000 | Series 2006-OPT1, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.91% | 08/25/37 | 778,109 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Morgan Stanley Capital I, Inc., Trust | |||||
$15,699 | Series 2006-NC2, Class A2D, 1 Mo. CME Term SOFR + CSA + 0.58% (a) | 6.01% | 02/25/36 | $15,382 | |
Navient Student Loan Trust | |||||
320,000 | Series 2015-3, Class B, 30 Day Average SOFR + 1.61% (a) | 6.90% | 10/25/58 | 300,202 | |
975,000 | Series 2019-3A, Class B, 30 Day Average SOFR + 1.66% (a) (c) | 6.95% | 07/25/68 | 928,614 | |
Nelnet Student Loan Trust | |||||
353,604 | Series 2005-4, Class B, 90 Day Average SOFR + 0.54% (a) | 5.51% | 09/22/35 | 309,777 | |
Oakwood Mortgage Investors, Inc. | |||||
659,157 | Series 1999-C, Class A2 | 7.48% | 08/15/27 | 534,338 | |
582,662 | Series 2001-C, Class A2 | 5.92% | 06/15/31 | 58,957 | |
Ownit Mortgage Loan Trust | |||||
627,911 | Series 2006-6, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.32% (a) | 5.75% | 09/25/37 | 291,410 | |
Park Avenue Institutional Advisers CLO Ltd. | |||||
150,000 | Series 2018-1A, Class A2R, 3 Mo. CME Term SOFR + CSA + 1.60% (a) (c) | 7.19% | 10/20/31 | 147,663 | |
PRET LLC | |||||
1,023,607 | Series 2022-RN1, Class A1, steps up to 6.72% on 02/25/25 (c) (h) | 3.72% | 07/25/51 | 992,298 | |
Progress Residential | |||||
1,060,000 | Series 2021-SFR1, Class H (c) | 5.00% | 04/17/38 | 950,046 | |
PRPM LLC | |||||
1,085,113 | Series 2021-11, Class A1, steps up to 5.49% on 11/25/24 (c) (h) | 2.49% | 11/25/26 | 1,038,812 | |
995,188 | Series 2021-3, Class A1, steps up to 4.87% on 04/25/24 (c) (h) | 1.87% | 04/25/26 | 940,444 | |
Sabey Data Center Issuer LLC | |||||
650,000 | Series 2020-1, Class A2 (c) | 3.81% | 04/20/45 | 619,759 | |
Saxon Asset Securities Trust | |||||
61,804 | Series 2005-1, Class M2, 1 Mo. CME Term SOFR + CSA + 0.72% (a) | 1.87% | 05/25/35 | 57,814 | |
Securitized Asset Backed Receivables LLC Trust | |||||
47,062 | Series 2006-NC2, Class A3, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.91% | 03/25/36 | 45,928 | |
330,177 | Series 2007-NC2, Class A2B, 1 Mo. CME Term SOFR + CSA + 0.28% (a) | 5.71% | 01/25/37 | 284,858 | |
SLM Student Loan Trust | |||||
65,000 | Series 2008-4, Class B, 90 Day Average SOFR + 2.11% (a) | 7.17% | 04/25/73 | 62,811 | |
65,000 | Series 2008-5, Class B, 90 Day Average SOFR + 2.11% (a) | 7.17% | 07/25/73 | 63,026 | |
Soundview Home Loan Trust | |||||
318,133 | Series 2007-OPT1, Class 2A2, 1 Mo. CME Term SOFR + CSA + 0.15% (a) | 5.58% | 06/25/37 | 211,534 | |
179,997 | Series 2007-OPT3, Class 1A1, 1 Mo. CME Term SOFR + CSA + 0.17% (a) | 5.60% | 08/25/37 | 151,792 | |
Specialty Underwriting & Residential Finance Trust | |||||
1,143,004 | Series 2006-AB3, Class A2C, 1 Mo. CME Term SOFR + CSA + 0.48% (a) | 5.91% | 09/25/37 | 792,688 | |
Stratus CLO Ltd. | |||||
925,000 | Series 2021-3A, Class SUB (c) | 0.00% | 12/29/29 | 518,675 | |
Structured Asset Securities Corp. Mortgage Loan Trust | |||||
41,822 | Series 2006-OPT1, Class A1, 1 Mo. CME Term SOFR + CSA + 0.18% (a) | 5.61% | 04/25/36 | 40,687 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
ASSET-BACKED SECURITIES (Continued) | |||||
Textainer Marine Containers VII Ltd. | |||||
$73,458 | Series 2020-3A, Class A (c) | 2.11% | 09/20/45 | $64,575 | |
VOYA CLO | |||||
175,000 | Series 2017-2A, Class A2AR, 3 Mo. CME Term SOFR + CSA + 1.65% (a) (c) | 7.22% | 06/07/30 | 173,618 | |
Wachovia Student Loan Trust | |||||
548,613 | Series 2006-1, Class B, 90 Day Average SOFR + 0.50% (a) (c) | 5.56% | 04/25/40 | 505,903 | |
Total Asset-Backed Securities | 22,733,992 | ||||
(Cost $26,050,443) | |||||
U.S. GOVERNMENT BONDS AND NOTES — 0.0% | |||||
5,000 | U.S. Treasury Note | 3.88% | 08/15/33 | 4,911 | |
(Cost $4,912) |
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
648,279 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (l) | 648,279 | |||
(Cost $648,279) | |||||
Total Investments — 131.0% | 102,542,069 | ||||
(Cost $112,812,815) | |||||
Net Other Assets and Liabilities — (31.0)% | (24,244,339 ) | ||||
Net Assets — 100.0% | $78,297,730 |
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 8/31/2023 | Sale Value as of 8/31/2023 | Unrealized Appreciation (Depreciation) | ||
10/13/2023 | Citi | USD | 925,775 | GBP | 721,000 | $925,775 | $913,501 | $12,274 |
10/13/2023 | GSIL | EUR | 63,000 | USD | 68,537 | 68,458 | 68,537 | (79 ) |
10/13/2023 | GSIL | USD | 1,316,541 | EUR | 1,206,000 | 1,316,541 | 1,310,487 | 6,054 |
Net Unrealized Appreciation (Depreciation) | $18,249 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
U.S. 2-Year Treasury Notes | Long | 62 | Dec-2023 | $12,635,891 | $24,117 |
U.S. 5-Year Treasury Notes | Long | 62 | Dec-2023 | 6,629,156 | 43,720 |
Ultra 10-Year U.S. Treasury Notes | Long | 65 | Dec-2023 | 7,547,109 | 67,060 |
Ultra U.S. Treasury Bond Futures | Long | 9 | Dec-2023 | 1,165,219 | 34,977 |
$27,977,375 | $169,874 |
(a) | Floating or variable rate security. |
(b) | Zero coupon security. |
Portfolio of Investments (Continued)
August 31, 2023
(c) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At August 31, 2023, securities noted as such amounted to $26,095,641 or 33.3% of net assets. |
(d) | Inverse floating rate security. |
(e) | Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically. |
(f) | All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2J - Mortgage Dollar Rolls in the Notes to Financial Statements). |
(g) | Principal Value is in U.S. dollars unless otherwise indicated in the security description. |
(h) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(i) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(j) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note2K - Restricted Securities in the Notes to Financial Statements). |
(k) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(l) | Rate shown reflects yield as of August 31, 2023. |
Abbreviations throughout the Portfolio of Investments: | |
Citi | – Citibank N.A. |
CME | – Chicago Mercantile Exchange |
CSA | – Credit Spread Adjustment |
EUR | – Euro |
EURIBOR | – Euro Interbank Offered Rate |
GBP | – British Pound Sterling |
GSIL | – Goldman Sachs International, London |
IO | – Interest-Only Security - Principal amount shown represents par value on which interest payments are based |
PO | – Principal-Only Security |
REMIC | – Real Estate Mortgage Investment Conduit |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Index Average |
TBA | – To-Be-Announced Security |
USD | – United States Dollar |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Government Agency Mortgage-Backed Securities | $54,770,468 | $— | $54,770,468 | $— |
Mortgage-Backed Securities | 24,384,419 | — | 24,384,419 | — |
Asset-Backed Securities | 22,733,992 | — | 22,733,992 | — |
U.S. Government Bonds and Notes | 4,911 | — | 4,911 | — |
Money Market Funds | 648,279 | 648,279 | — | — |
Total Investments | 102,542,069 | 648,279 | 101,893,790 | — |
Forward Foreign Currency Contracts | 18,328 | — | 18,328 | — |
Futures Contracts* | 169,874 | 169,874 | — | — |
Total | $102,730,271 | $818,153 | $101,912,118 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts | $(79 ) | $— | $(79 ) | $— |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Portfolio of Investments
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (a) — 64.8% | |||||
Angola — 1.7% | |||||
$200,000 | Angolan Government International Bond (b) | 8.25% | 05/09/28 | $175,426 | |
200,000 | Angolan Government International Bond (c) | 8.00% | 11/26/29 | 165,557 | |
220,000 | Angolan Government International Bond (c) | 8.75% | 04/14/32 | 181,354 | |
522,337 | |||||
Argentina — 1.6% | |||||
605,626 | Argentine Republic Government International Bond, steps up to 4.13% on 07/10/2024 (d) | 3.63% | 07/09/35 | 179,987 | |
374,969 | Argentine Republic Government International Bond, steps up to 5.00% on 07/10/2024 (d) | 4.25% | 01/09/38 | 132,133 | |
607,464 | Argentine Republic Government International Bond, steps up to 4.88% on 07/10/2029 (d) | 3.50% | 07/09/41 | 189,042 | |
501,162 | |||||
Bahrain — 2.5% | |||||
200,000 | Bahrain Government International Bond (c) | 6.75% | 09/20/29 | 200,260 | |
200,000 | Bahrain Government International Bond (c) | 5.63% | 05/18/34 | 176,498 | |
400,000 | Bahrain Government International Bond (b) | 7.75% | 04/18/35 | 411,040 | |
787,798 | |||||
Brazil — 1.3% | |||||
200,000 | Brazilian Government International Bond | 3.75% | 09/12/31 | 172,365 | |
250,000 | Brazilian Government International Bond | 6.00% | 10/20/33 | 243,656 | |
416,021 | |||||
Chile — 1.8% | |||||
200,000 | Chile Government International Bond | 2.75% | 01/31/27 | 186,147 | |
200,000 | Chile Government International Bond | 4.95% | 01/05/36 | 193,262 | |
199,000 | Chile Government International Bond | 5.33% | 01/05/54 | 192,288 | |
571,697 | |||||
Colombia — 2.6% | |||||
400,000 | Colombia Government International Bond | 7.50% | 02/02/34 | 398,064 | |
415,000 | Colombia Government International Bond | 7.38% | 09/18/37 | 403,070 | |
801,134 | |||||
Costa Rica — 0.7% | |||||
200,000 | Costa Rica Government International Bond (b) | 6.55% | 04/03/34 | 201,956 | |
Dominican Republic — 2.6% | |||||
150,000 | Dominican Republic International Bond (b) | 5.50% | 02/22/29 | 140,612 | |
375,000 | Dominican Republic International Bond (b) | 4.50% | 01/30/30 | 328,011 | |
250,000 | Dominican Republic International Bond (b) | 4.88% | 09/23/32 | 212,747 | |
150,000 | Dominican Republic International Bond (c) | 6.85% | 01/27/45 | 134,784 | |
816,154 | |||||
Ecuador — 1.3% | |||||
173,773 | Ecuador Government International Bond, steps up to 6.90% on 08/01/2024 (c) (d) | 6.00% | 07/31/30 | 85,462 | |
537,746 | Ecuador Government International Bond, steps up to 5.50% on 08/01/2024 (b) (d) | 3.50% | 07/31/35 | 199,185 | |
340,000 | Ecuador Government International Bond, steps up to 5.00% on 07/31/2024 (c) (d) | 2.50% | 07/31/40 | 112,478 | |
397,125 | |||||
Egypt — 2.4% | |||||
300,000 | Egypt Government International Bond (c) | 7.60% | 03/01/29 | 193,836 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued) | |||||
Egypt (Continued) | |||||
$200,000 | Egypt Government International Bond (c) | 5.88% | 02/16/31 | $109,468 | |
200,000 | Egypt Government International Bond (b) | 7.05% | 01/15/32 | 114,581 | |
616,000 | Egypt Government International Bond (c) | 7.30% | 09/30/33 | 341,947 | |
759,832 | |||||
El Salvador — 1.3% | |||||
250,000 | El Salvador Government International Bond (c) | 6.38% | 01/18/27 | 196,385 | |
140,000 | El Salvador Government International Bond (c) | 8.25% | 04/10/32 | 107,872 | |
170,000 | El Salvador Government International Bond (c) | 7.12% | 01/20/50 | 114,750 | |
419,007 | |||||
Gabon — 0.5% | |||||
200,000 | Gabon Government International Bond (c) | 6.63% | 02/06/31 | 145,925 | |
Ghana — 1.8% | |||||
460,000 | Ghana Government International Bond (c) | 6.38% | 02/11/27 | 201,227 | |
200,000 | Ghana Government International Bond (c) | 7.75% | 04/07/29 | 86,943 | |
250,000 | Ghana Government International Bond (c) | 7.63% | 05/16/29 | 108,523 | |
200,000 | Ghana Government International Bond (c) | 8.63% | 04/07/34 | 88,803 | |
200,000 | Ghana Government International Bond (c) | 8.88% | 05/07/42 | 83,793 | |
569,289 | |||||
Guatemala — 0.6% | |||||
200,000 | Guatemala Government Bond (c) | 5.25% | 08/10/29 | 190,269 | |
Hungary — 2.8% | |||||
499,000 | Hungary Government International Bond (b) | 5.25% | 06/16/29 | 489,032 | |
200,000 | Hungary Government International Bond (b) | 6.75% | 09/25/52 | 203,449 | |
200,000 | Magyar Export-Import Bank Zrt (b) | 6.13% | 12/04/27 | 199,056 | |
891,537 | |||||
Indonesia — 1.3% | |||||
200,000 | Indonesia Government International Bond (c) | 5.25% | 01/17/42 | 198,206 | |
240,000 | Perusahaan Penerbit SBSN Indonesia III (c) | 2.55% | 06/09/31 | 201,997 | |
400,203 | |||||
Ivory Coast (Cote d'Ivoire) — 0.5% | |||||
190,000 | Ivory Coast Government International Bond (EUR) (b) | 4.88% | 01/30/32 | 159,211 | |
Jordan — 1.3% | |||||
200,000 | Jordan Government International Bond (b) | 7.75% | 01/15/28 | 205,650 | |
200,000 | Jordan Government International Bond (b) | 7.50% | 01/13/29 | 203,404 | |
409,054 | |||||
Kenya — 1.1% | |||||
200,000 | Republic of Kenya Government International Bond (c) | 6.88% | 06/24/24 | 190,452 | |
200,000 | Republic of Kenya Government International Bond (c) | 6.30% | 01/23/34 | 145,347 | |
335,799 | |||||
Mexico — 3.7% | |||||
600,000 | Mexico Government International Bond | 6.35% | 02/09/35 | 623,807 | |
550,000 | Mexico Government International Bond | 6.34% | 05/04/53 | 550,389 | |
1,174,196 | |||||
Morocco — 0.6% | |||||
200,000 | Morocco Government International Bond (b) | 5.95% | 03/08/28 | 200,750 | |
Nigeria — 2.5% | |||||
200,000 | Nigeria Government International Bond (b) | 6.13% | 09/28/28 | 165,570 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued) | |||||
Nigeria (Continued) | |||||
$370,000 | Nigeria Government International Bond (c) | 8.38% | 03/24/29 | $327,335 | |
400,000 | Nigeria Government International Bond (b) | 7.70% | 02/23/38 | 292,128 | |
785,033 | |||||
Oman — 3.2% | |||||
400,000 | Oman Government International Bond (c) | 6.00% | 08/01/29 | 403,163 | |
393,000 | Oman Government International Bond (c) | 6.25% | 01/25/31 | 398,584 | |
200,000 | Oman Government International Bond (c) | 6.75% | 01/17/48 | 194,573 | |
996,320 | |||||
Pakistan — 1.3% | |||||
600,000 | Pakistan Government International Bond (b) | 6.00% | 04/08/26 | 312,913 | |
200,000 | Pakistan Government International Bond (c) | 6.88% | 12/05/27 | 102,730 | |
415,643 | |||||
Panama — 2.5% | |||||
200,000 | Panama Government International Bond | 3.16% | 01/23/30 | 174,659 | |
550,000 | Panama Government International Bond | 2.25% | 09/29/32 | 418,761 | |
250,000 | Panama Government International Bond | 4.50% | 04/16/50 | 187,770 | |
781,190 | |||||
Paraguay — 0.7% | |||||
255,000 | Paraguay Government International Bond (c) | 3.85% | 06/28/33 | 218,125 | |
Peru — 2.5% | |||||
478,000 | Peruvian Government International Bond | 2.78% | 01/23/31 | 406,346 | |
474,000 | Peruvian Government International Bond | 3.00% | 01/15/34 | 386,643 | |
792,989 | |||||
Philippines — 2.3% | |||||
250,000 | Philippine Government International Bond | 3.56% | 09/29/32 | 224,223 | |
200,000 | Philippine Government International Bond | 5.00% | 07/17/33 | 199,750 | |
200,000 | Philippine Government International Bond | 2.95% | 05/05/45 | 137,537 | |
200,000 | Philippine Government International Bond | 3.20% | 07/06/46 | 143,118 | |
704,628 | |||||
Poland — 2.4% | |||||
220,000 | Republic of Poland Government International Bond | 5.50% | 11/16/27 | 224,136 | |
335,000 | Republic of Poland Government International Bond | 4.88% | 10/04/33 | 325,730 | |
197,000 | Republic of Poland Government International Bond | 5.50% | 04/04/53 | 191,932 | |
741,798 | |||||
Romania — 2.5% | |||||
468,000 | Romanian Government International Bond (b) | 6.63% | 02/17/28 | 484,369 | |
80,000 | Romanian Government International Bond (b) | 7.13% | 01/17/33 | 84,260 | |
196,000 | Romanian Government International Bond (b) | 7.63% | 01/17/53 | 211,304 | |
779,933 | |||||
Senegal — 0.4% | |||||
190,000 | Senegal Government International Bond (EUR) (b) | 5.38% | 06/08/37 | 138,116 | |
South Africa — 1.0% | |||||
200,000 | Republic of South Africa Government International Bond | 5.88% | 06/22/30 | 182,462 | |
200,000 | Republic of South Africa Government International Bond | 5.65% | 09/27/47 | 142,329 | |
324,791 | |||||
Turkey — 4.4% | |||||
200,000 | Turkey Government International Bond | 4.25% | 04/14/26 | 185,040 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued) | |||||
Turkey (Continued) | |||||
$200,000 | Turkey Government International Bond | 9.38% | 03/14/29 | $207,975 | |
600,000 | Turkey Government International Bond | 9.38% | 01/19/33 | 628,089 | |
500,000 | Turkey Government International Bond | 5.75% | 05/11/47 | 357,175 | |
1,378,279 | |||||
Ukraine — 0.7% | |||||
200,000 | Ukraine Government International Bond (c) | 7.75% | 09/01/27 | 57,302 | |
600,000 | Ukraine Government International Bond (c) | 7.25% | 03/15/35 | 161,034 | |
218,336 | |||||
United Arab Emirates — 2.0% | |||||
600,000 | Finance Department Government of Sharjah (b) | 6.50% | 11/23/32 | 613,979 | |
Uruguay — 2.0% | |||||
663,000 | Uruguay Government International Bond | 5.10% | 06/18/50 | 639,530 | |
Zambia — 0.4% | |||||
250,000 | Zambia Government International Bond (c) | 5.38% | 09/20/22 | 123,250 | |
Total Foreign Sovereign Bonds and Notes | 20,322,396 | ||||
(Cost $20,405,782) | |||||
FOREIGN CORPORATE BONDS AND NOTES (a) — 29.8% | |||||
Banks — 1.2% | |||||
200,000 | BBVA Bancomer S.A. (c) (e) | 5.13% | 01/18/33 | 174,123 | |
200,000 | Multibank, Inc. (b) | 7.75% | 02/03/28 | 203,306 | |
377,429 | |||||
Building Materials — 0.6% | |||||
200,000 | Cemex SAB de C.V. (b) (e) | 5.13% | (f) | 185,733 | |
Electric — 3.9% | |||||
200,000 | AES Andes S.A. (c) (e) | 7.13% | 03/26/79 | 191,464 | |
260,000 | Eskom Holdings SOC Ltd. (c) | 6.35% | 08/10/28 | 244,075 | |
200,000 | Eskom Holdings SOC Ltd. (c) | 8.45% | 08/10/28 | 194,355 | |
200,000 | MVM Energetika Zrt | 7.50% | 06/09/28 | 203,750 | |
200,000 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (c) | 5.25% | 05/15/47 | 170,551 | |
285,000 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (c) | 4.88% | 07/17/49 | 226,355 | |
1,230,550 | |||||
Energy-Alternate Sources — 0.7% | |||||
250,000 | India Green Power Holdings (c) | 4.00% | 02/22/27 | 221,531 | |
Investment Companies — 1.8% | |||||
270,000 | Gaci First Investment Co. (c) | 4.88% | 02/14/35 | 255,522 | |
200,000 | Gaci First Investment Co. (c) | 5.13% | 02/14/53 | 173,851 | |
200,000 | MDGH GMTN RSC Ltd., Medium-Term Note (c) | 3.40% | 06/07/51 | 143,250 | |
572,623 | |||||
Iron/Steel — 1.1% | |||||
200,000 | CSN Resources S.A. (c) | 4.63% | 06/10/31 | 152,063 | |
200,000 | POSCO (b) | 5.75% | 01/17/28 | 201,606 | |
353,669 | |||||
Lodging — 0.6% | |||||
200,000 | MGM China Holdings Ltd. (c) | 4.75% | 02/01/27 | 181,156 | |
Mining — 3.0% | |||||
200,000 | First Quantum Minerals Ltd. (b) | 8.63% | 06/01/31 | 203,774 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
FOREIGN CORPORATE BONDS AND NOTES (a) (Continued) | |||||
Mining (Continued) | |||||
$300,000 | Freeport Indonesia PT (b) | 5.32% | 04/14/32 | $280,067 | |
475,000 | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT (b) | 5.45% | 05/15/30 | 455,826 | |
939,667 | |||||
Oil & Gas — 11.5% | |||||
285,000 | Ecopetrol S.A. | 8.63% | 01/19/29 | 290,916 | |
135,000 | Ecopetrol S.A. | 8.88% | 01/13/33 | 136,968 | |
200,000 | Empresa Nacional del Petroleo (b) | 6.15% | 05/10/33 | 197,796 | |
300,000 | Energean Israel Finance Ltd. (b) (c) | 5.38% | 03/30/28 | 273,522 | |
1,000,000 | KazMunayGas National Co. JSC (b) | 4.75% | 04/19/27 | 942,500 | |
115,000 | Leviathan Bond Ltd. (b) (c) | 6.75% | 06/30/30 | 108,114 | |
200,000 | Oil and Gas Holding (The) Co. BSCC (c) | 7.50% | 10/25/27 | 204,087 | |
170,000 | Petroleos Mexicanos | 6.88% | 08/04/26 | 155,367 | |
598,000 | Petroleos Mexicanos | 6.49% | 01/23/27 | 524,273 | |
200,000 | Qatar Energy (c) | 2.25% | 07/12/31 | 164,885 | |
850,000 | Qatar Energy (c) | 3.30% | 07/12/51 | 597,395 | |
3,595,823 | |||||
Pipelines — 4.8% | |||||
245,405 | Acu Petroleo Luxembourg Sarl (b) | 7.50% | 01/13/32 | 223,522 | |
290,000 | Galaxy Pipeline Assets Bidco Ltd. (b) | 2.63% | 03/31/36 | 230,142 | |
189,970 | Galaxy Pipeline Assets Bidco Ltd. (b) | 2.94% | 09/30/40 | 150,081 | |
490,000 | Greensaif Pipelines Bidco Sarl (b) | 6.13% | 02/23/38 | 492,388 | |
400,000 | Greensaif Pipelines Bidco Sarl (b) | 6.51% | 02/23/42 | 405,800 | |
1,501,933 | |||||
Semiconductors — 0.6% | |||||
200,000 | SK Hynix, Inc. (b) | 6.38% | 01/17/28 | 202,761 | |
Total Foreign Corporate Bonds and Notes | 9,362,875 | ||||
(Cost $9,494,142) | |||||
CORPORATE BONDS AND NOTES — 3.2% | |||||
Auto Manufacturers — 2.1% | |||||
140,000 | Hyundai Capital America (b) | 5.50% | 03/30/26 | 139,461 | |
170,000 | Hyundai Capital America (b) | 5.60% | 03/30/28 | 169,227 | |
338,000 | Hyundai Capital America (b) | 5.70% | 06/26/30 | 332,862 | |
641,550 | |||||
Chemicals — 0.6% | |||||
200,000 | Sasol Financing USA LLC (b) | 8.75% | 05/03/29 | 195,453 | |
Oil & Gas — 0.5% | |||||
200,000 | Gran Tierra Energy, Inc. (c) | 7.75% | 05/23/27 | 159,147 | |
Total Corporate Bonds and Notes | 996,150 | ||||
(Cost $1,031,815) |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
216,018 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (g) | $216,018 | |||
(Cost $216,018) | |||||
Total Investments — 98.5% | 30,897,439 | ||||
(Cost $31,147,757) | |||||
Net Other Assets and Liabilities — 1.5% | 467,201 | ||||
Net Assets — 100.0% | $31,364,640 |
Reference Entity | Protection | Buy/Sell Counterparty | Notional Value | Pay/Receive Fixed Rate | Expiration Date | Value |
Markit CDX Emerging Markets Index * | Buy | Barclays Bank PLC | $725,000 | 1.00 % | 06/20/2028 | $28,823 |
* | Cost of $36,615 |
(a) | Principal Value is in U.S. dollars unless otherwise indicated in the security description. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At August 31, 2023, securities noted as such amounted to $11,340,690 or 36.2% of net assets. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(d) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(e) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at August 31, 2023. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(f) | Perpetual maturity. |
(g) | Rate shown reflects yield as of August 31, 2023. |
Abbreviations throughout the Portfolio of Investments: | |
EUR | – Euro |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Foreign Sovereign Bonds and Notes* | $20,322,396 | $— | $20,322,396 | $— |
Foreign Corporate Bonds and Notes** | 9,362,875 | — | 9,362,875 | — |
Corporate Bonds and Notes** | 996,150 | — | 996,150 | — |
Money Market Funds | 216,018 | 216,018 | — | — |
Total Investments | 30,897,439 | 216,018 | 30,681,421 | — |
Credit Default Swap Agreements | 28,823 | — | 28,823 | — |
Total | $30,926,262 | $216,018 | $30,710,244 | $— |
* | See Portfolio of Investments for country breakout. |
** | See Portfolio of Investments for industry breakout. |
Statements of Assets and Liabilities
August 31, 2023
First Trust TCW Opportunistic Fixed Income ETF (FIXD) | First Trust TCW Unconstrained Plus Bond ETF (UCON) | First Trust TCW Securitized Plus ETF (DEED) | First Trust TCW Emerging Markets Debt ETF (EFIX) | |
ASSETS: | ||||
Investments, at value | $5,429,938,355 | $1,812,432,863 | $102,542,069 | $30,897,439 |
Swap contracts, at value | — | — | — | 28,823 |
Cash | 763,736 | 222,655 | 167 | — |
Cash segregated as collateral for open swap contracts | 2,876,061 | 323,780 | — | — |
Cash segregated as collateral for open futures contracts | 15,001,552 | 6,824,450 | 774,998 | — |
Unrealized appreciation on forward foreign currency contracts | 225,254 | 105,836 | 18,328 | — |
Receivables: | ||||
Investment securities sold | 618,785,733 | 251,048,426 | 10,285,382 | — |
Interest | 23,514,378 | 9,236,546 | 517,118 | 462,548 |
Capital shares sold | 19,580,782 | 4,855,481 | — | — |
Dividends | 703,954 | 150,683 | 4,997 | 1,210 |
Variation margin | 401,217 | — | 34,125 | — |
Reclaims | 6,736 | 1,981 | 4,970 | — |
Total Assets | 6,111,797,758 | 2,085,202,701 | 114,182,154 | 31,390,020 |
LIABILITIES: | ||||
Swap contracts, at value | 144,715 | 17,155 | — | — |
Unrealized depreciation on forward foreign currency contracts | 990 | — | 79 | — |
Payables: | ||||
Investment securities purchased | 1,569,742,917 | 594,890,389 | 35,833,553 | — |
Investment advisory fees | 2,415,807 | 1,053,618 | 50,792 | 25,380 |
Variation margin | — | 342,749 | — | — |
Other liabilities | — | 1,607 | — | — |
Total Liabilities | 1,572,304,429 | 596,305,518 | 35,884,424 | 25,380 |
NET ASSETS | $4,539,493,329 | $1,488,897,183 | $78,297,730 | $31,364,640 |
NET ASSETS consist of: | ||||
Paid-in capital | $5,509,679,008 | $1,587,876,948 | $121,560,785 | $34,749,734 |
Par value | 1,045,500 | 615,500 | 37,500 | 20,500 |
Accumulated distributable earnings (loss) | (971,231,179 ) | (99,595,265 ) | (43,300,555 ) | (3,405,594 ) |
NET ASSETS | $4,539,493,329 | $1,488,897,183 | $78,297,730 | $31,364,640 |
NET ASSET VALUE, per share | $43.42 | $24.19 | $20.88 | $15.30 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 104,550,002 | 61,550,002 | 3,750,002 | 2,050,002 |
Investments, at cost | $5,709,825,720 | $1,885,388,942 | $112,812,815 | $31,147,757 |
Swap contracts, at cost | $— | $— | $— | $36,615 |
Statements of Operations
For the Year Ended August 31, 2023
First Trust TCW Opportunistic Fixed Income ETF (FIXD) | First Trust TCW Unconstrained Plus Bond ETF (UCON) | First Trust TCW Securitized Plus ETF (DEED) | First Trust TCW Emerging Markets Debt ETF (EFIX) | |
INVESTMENT INCOME: | ||||
Interest | $153,825,778 | $75,567,266 | $6,536,549 | $1,677,080 |
Dividends | 5,426,260 | 1,253,315 | 119,348 | 21,207 |
Total investment income | 159,252,038 | 76,820,581 | 6,655,897 | 1,698,287 |
EXPENSES: | ||||
Investment advisory fees | 23,729,487 | 12,043,308 | 823,820 | 216,423 |
Total expenses | 23,729,487 | 12,043,308 | 823,820 | 216,423 |
Less fees waived by the investment advisor | (1,072,857 ) | (434,101 ) | (46,874 ) | (5,784 ) |
Net expenses | 22,656,630 | 11,609,207 | 776,946 | 210,639 |
NET INVESTMENT INCOME (LOSS) | 136,595,408 | 65,211,374 | 5,878,951 | 1,487,648 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (249,355,246 ) | (38,115,814 ) | (14,203,405 ) | (1,087,167 ) |
Purchased options contracts | (1,113,442 ) | — | — | — |
Written options contracts | 1,053,959 | — | — | — |
Futures contracts | (40,655,259 ) | 17,808,623 | (1,792,659 ) | — |
Forward foreign currency contracts | (282,080 ) | (104,978 ) | 34,398 | (41,004 ) |
Swap contracts | (19,753,156 ) | (3,303,626 ) | — | 342 |
Foreign currency transactions | 25,058 | 17,870 | (51,883 ) | (1,813 ) |
Net realized gain (loss) | (310,080,166 ) | (23,697,925 ) | (16,013,549 ) | (1,129,642 ) |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 37,958,481 | 2,819,206 | 2,381,446 | 784,972 |
Purchased options contracts | 1,100,623 | — | — | — |
Written options contracts | (1,034,052 ) | — | — | — |
Futures contracts | 4,013,457 | (1,717,442 ) | 304,162 | — |
Forward foreign currency contracts | (38,366 ) | (28,157 ) | (134,064 ) | — |
Swap contracts | 17,131,761 | 2,709,615 | — | (7,792 ) |
Foreign currency translation | (358 ) | 1,673 | 671 | (36 ) |
Net change in unrealized appreciation (depreciation) | 59,131,546 | 3,784,895 | 2,552,215 | 777,144 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (250,948,620 ) | (19,913,030 ) | (13,461,334 ) | (352,498 ) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(114,353,212 ) | $45,298,344 | $(7,582,383 ) | $1,135,150 |
Statements of Changes in Net Assets
First Trust TCW Opportunistic Fixed Income ETF (FIXD) | First Trust TCW Unconstrained Plus Bond ETF (UCON) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $136,595,408 | $80,469,634 | $65,211,374 | $23,333,968 |
Net realized gain (loss) | (310,080,166 ) | (340,923,588 ) | (23,697,925 ) | (3,190,864 ) |
Net change in unrealized appreciation (depreciation) | 59,131,546 | (392,335,084 ) | 3,784,895 | (83,166,440 ) |
Net increase (decrease) in net assets resulting from operations | (114,353,212 ) | (652,789,038 ) | 45,298,344 | (63,023,336 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (145,560,753 ) | (82,614,627 ) | (66,620,002 ) | (21,248,341 ) |
Return of capital | — | — | — | — |
Total distributions to shareholders | (145,560,753 ) | (82,614,627 ) | (66,620,002 ) | (21,248,341 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 1,725,247,082 | 394,188,882 | 328,149,848 | 775,430,197 |
Cost of shares redeemed | (474,282,766 ) | (1,408,009,711 ) | (86,745,545 ) | (30,661,288 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 1,250,964,316 | (1,013,820,829 ) | 241,404,303 | 744,768,909 |
Total increase (decrease) in net assets | 991,050,351 | (1,749,224,494 ) | 220,082,645 | 660,497,232 |
NET ASSETS: | ||||
Beginning of period | 3,548,442,978 | 5,297,667,472 | 1,268,814,538 | 608,317,306 |
End of period | $4,539,493,329 | $3,548,442,978 | $1,488,897,183 | $1,268,814,538 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 76,850,002 | 98,150,002 | 51,650,002 | 22,900,002 |
Shares sold | 38,500,000 | 7,900,000 | 13,500,000 | 30,000,000 |
Shares redeemed | (10,800,000 ) | (29,200,000 ) | (3,600,000 ) | (1,250,000 ) |
Shares outstanding, end of period | 104,550,002 | 76,850,002 | 61,550,002 | 51,650,002 |
First Trust TCW Securitized Plus ETF (DEED) | First Trust TCW Emerging Markets Debt ETF (EFIX) | ||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 |
$5,878,951 | $4,606,690 | $1,487,648 | $515,474 |
(16,013,549 ) | (19,754,427 ) | (1,129,642 ) | (1,842,757 ) |
2,552,215 | (13,529,922 ) | 777,144 | (1,096,210 ) |
(7,582,383 ) | (28,677,659 ) | 1,135,150 | (2,423,493 ) |
(4,231,827 ) | (4,631,176 ) | (1,483,502 ) | (549,502 ) |
(816,175 ) | — | — | — |
(5,048,002 ) | (4,631,176 ) | (1,483,502 ) | (549,502 ) |
9,991,372 | 84,294,818 | 23,931,095 | — |
(104,570,582 ) | (93,022,828 ) | — | (9,194,901 ) |
(94,579,210 ) | 8,728,010 | 23,931,095 | (9,194,901 ) |
(107,209,595 ) | (42,036,845 ) | 23,582,743 | (12,167,896 ) |
185,507,325 | 227,544,170 | 7,781,897 | 19,949,793 |
$78,297,730 | $185,507,325 | $31,364,640 | $7,781,897 |
8,150,002 | 8,750,002 | 500,002 | 1,000,002 |
450,000 | 3,250,000 | 1,550,000 | — |
(4,850,000 ) | (3,850,000 ) | — | (500,000 ) |
3,750,002 | 8,150,002 | 2,050,002 | 500,002 |
Financial Highlights
For a share outstanding throughout each period
Year Ended August 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $46.17 | $53.98 | $55.16 | $52.97 | $49.40 |
Income from investment operations: | |||||
Net investment income (loss) | 1.64 (a) | 0.88 | 0.76 | 1.06 | 1.39 |
Net realized and unrealized gain (loss) | (2.64 ) | (7.76 ) | (0.34 ) | 2.85 | 3.63 |
Total from investment operations | (1.00 ) | (6.88 ) | 0.42 | 3.91 | 5.02 |
Distributions paid to shareholders from: | |||||
Net investment income | (1.75 ) | (0.93 ) | (0.81 ) | (1.12 ) | (1.45 ) |
Net realized gain | — | — | (0.75 ) | (0.60 ) | — |
Return of capital | — | — | (0.04 ) | — | — |
Total distributions | (1.75 ) | (0.93 ) | (1.60 ) | (1.72 ) | (1.45 ) |
Net asset value, end of period | $43.42 | $46.17 | $53.98 | $55.16 | $52.97 |
Total return (b) | (2.15 )% | (12.84 )% | 0.77 % | 7.57 % | 10.33 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $4,539,493 | $3,548,443 | $5,297,667 | $3,640,505 | $900,459 |
Ratio of total expenses to average net assets | 0.65 % | 0.65 % | 0.65 % | 0.65 % | 0.65 % |
Ratio of net expenses to average net assets | 0.62 % | 0.55 % | 0.55 % | 0.55 % | 0.55 % |
Ratio of net investment income (loss) to average net assets | 3.72 % | 1.74 % | 1.34 % | 1.61 % | 2.69 % |
Portfolio turnover rate (c) (d) | 456 % | 445 % | 497 % | 431 % | 246 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
(d) | The portfolio turnover rate not including mortgage dollar rolls was 290%, 271%, 282%, 270% and 223% for the years ending August 31, 2023, August 31, 2022, August 31, 2021, August 31, 2020 and August 31, 2019, respectively. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $24.57 | $26.56 | $26.19 | $25.79 | $25.12 |
Income from investment operations: | |||||
Net investment income (loss) | 1.11 (a) | 0.55 | 0.53 | 0.75 | 0.77 |
Net realized and unrealized gain (loss) | (0.35 ) | (2.01 ) | 0.52 | 0.50 | 0.75 |
Total from investment operations | 0.76 | (1.46 ) | 1.05 | 1.25 | 1.52 |
Distributions paid to shareholders from: | |||||
Net investment income | (1.14 ) | (0.52 ) | (0.51 ) | (0.85 ) | (0.81 ) |
Net realized gain | — | (0.01 ) | (0.17 ) | — | (0.04 ) |
Total distributions | (1.14 ) | (0.53 ) | (0.68 ) | (0.85 ) | (0.85 ) |
Net asset value, end of period | $24.19 | $24.57 | $26.56 | $26.19 | $25.79 |
Total return (b) | 3.18 % | (5.55 )% | 4.04 % | 4.97 % | 6.15 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,488,897 | $1,268,815 | $608,317 | $204,295 | $207,606 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % | 0.85 % |
Ratio of net expenses to average net assets | 0.82 % | 0.75 % | 0.75 % | 0.75 % | 0.75 % |
Ratio of net investment income (loss) to average net assets | 4.60 % | 2.35 % | 1.90 % | 2.88 % | 3.16 % |
Portfolio turnover rate (c) (d) | 257 % | 208 % | 190 % | 111 % | 40 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
(d) | The portfolio turnover rate not including mortgage dollar rolls was 33%, 43%, 40%, 67% and 39% for the years ending August 31, 2023, August 31, 2022, August 31, 2021, August 31, 2020, and August 31, 2019, respectively. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $22.76 | $26.01 | $25.88 | $25.00 |
Income from investment operations: | ||||
Net investment income (loss) | 1.16 (b) | 0.49 | 0.28 | 0.08 |
Net realized and unrealized gain (loss) | (1.98 ) | (3.28 ) | 0.47 | 0.87 |
Total from investment operations | (0.82 ) | (2.79 ) | 0.75 | 0.95 |
Distributions paid to shareholders from: | ||||
Net investment income | (0.89 ) | (0.39 ) | (0.29 ) | (0.07 ) |
Net realized gain | — | (0.07 ) | (0.33 ) | — |
Return of capital | (0.17 ) | — | — | — |
Total distributions | (1.06 ) | (0.46 ) | (0.62 ) | (0.07 ) |
Net asset value, end of period | $20.88 | $22.76 | $26.01 | $25.88 |
Total return (c) | (3.62 )% | (10.87 )% | 2.93 % | 3.80 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $78,298 | $185,507 | $227,544 | $25,877 |
Ratio of total expenses to average net assets | 0.75 % | 0.75 % | 0.75 % | 0.75 % (d) |
Ratio of net expenses to average net assets | 0.71 % | 0.65 % | 0.65 % | 0.65 % (d) |
Ratio of net investment income (loss) to average net assets | 5.35 % | 1.90 % | 0.98 % | 0.94 % (d) |
Portfolio turnover rate (e) (f) | 405 % | 678 % | 678 % | 186 % |
(a) | Inception date is April 29, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
(f) | The portfolio turnover rate not including mortgage dollar rolls was 93%, 272%, 299% and 21% for the periods ending August 31, 2023, August 31, 2022, August 31, 2021 and August 31, 2020, respectively. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $15.56 | $19.95 | $20.00 |
Income from investment operations: | |||
Net investment income (loss) | 0.99 (b) | 0.70 | 0.40 |
Net realized and unrealized gain (loss) | (0.29 ) | (4.33 ) | (0.02 ) |
Total from investment operations | 0.70 | (3.63 ) | 0.38 |
Distributions paid to shareholders from: | |||
Net investment income | (0.96 ) | (0.76 ) | (0.43 ) |
Net asset value, end of period | $15.30 | $15.56 | $19.95 |
Total return (c) | 4.67 % | (18.52 )% | 1.93 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $31,365 | $7,782 | $19,950 |
Ratio of total expenses to average net assets | 0.95 % | 0.95 % | 0.95 % (d) |
Ratio of net expenses to average net assets | 0.92 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | 6.53 % | 4.00 % | 3.75 % (d) |
Portfolio turnover rate (e) | 151 % | 125 % | 100 % |
(a) | Inception date is February 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
August 31, 2023
First Trust TCW Opportunistic Fixed Income ETF – (The Nasdaq Stock Market LLC (“Nasdaq”) ticker “FIXD”) |
First Trust TCW Unconstrained Plus Bond ETF – (NYSE Arca, Inc. (“NYSE Arca”) ticker “UCON”) |
First Trust TCW Securitized Plus ETF – (NYSE Arca ticker “DEED”) |
First Trust TCW Emerging Markets Debt ETF – (NYSE Arca ticker “EFIX”) |
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets |
FIXD | ||||||
Intelsat Jackson Holdings S.A., 8.50%, 10/15/2024 | 2/25/2022 | $3,860,000 | $0.00 | $0 | $0 | 0.00 % |
Intelsat Jackson Holdings S.A., 9.75%, 07/15/2025 | 2/25/2022 | 390,000 | 0.00 | 0 | 0 | 0.00 |
$0 | $0 | 0.00 % | ||||
UCON | ||||||
Intelsat Jackson Holdings S.A., 8.50%, 10/15/2024 | 2/25/2022 | 750,000 | 0.00 | 0 | 0 | 0.00 |
Intelsat Jackson Holdings S.A., 9.75%, 07/15/2025 | 2/25/2022 | 303,000 | 0.00 | 0 | 0 | 0.00 |
$0 | $0 | 0.00 % | ||||
DEED | ||||||
GS Mortgage Securities Trust, Series 2011-GC5, Class XA, IO, 0.09%, 08/10/2044 | 5/19/2020 | 1,402,478 | 0.00 * | 0 | 14 | 0.00 ** |
SMRT, Series 2022-MINI, Class XCP, IO, 0.00%, 01/15/2039 | 1/24/2022 | 105,000,000 | 0.00 * | 0 | 110 | 0.00 ** |
$0 | $124 | 0.00 %** |
* | Amount is less than $0.01. |
** | Amount is less than 0.01%. |
August 31, 2023
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust TCW Opportunistic Fixed Income ETF | $145,560,753 | $— | $— |
First Trust TCW Unconstrained Plus Bond ETF | 66,620,002 | — | — |
First Trust TCW Securitized Plus ETF | 4,231,827 | — | 816,175 |
First Trust TCW Emerging Markets Debt ETF | 1,483,502 | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust TCW Opportunistic Fixed Income ETF | $88,246,752 | $— | $— |
First Trust TCW Unconstrained Plus Bond ETF | 21,039,193 | 209,148 | — |
First Trust TCW Securitized Plus ETF | 4,631,176 | — | — |
First Trust TCW Emerging Markets Debt ETF | 549,502 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust TCW Opportunistic Fixed Income ETF | $3,532,151 | $(679,160,951 ) | $(295,602,379 ) |
First Trust TCW Unconstrained Plus Bond ETF | 2,786,750 | (28,758,103 ) | (73,623,912 ) |
First Trust TCW Securitized Plus ETF | — | (35,512,224 ) | (7,788,331 ) |
First Trust TCW Emerging Markets Debt ETF | (49,295 ) | (2,989,368 ) | (366,931 ) |
August 31, 2023
Non-Expiring Capital Loss Carryforwards | |
First Trust TCW Opportunistic Fixed Income ETF | $679,160,951 |
First Trust TCW Unconstrained Plus Bond ETF | 28,758,103 |
First Trust TCW Securitized Plus ETF | 35,512,224 |
First Trust TCW Emerging Markets Debt ETF | 2,989,368 |
Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | |
First Trust TCW Opportunistic Fixed Income ETF | $— | $— |
First Trust TCW Unconstrained Plus Bond ETF | — | — |
First Trust TCW Securitized Plus ETF | — | — |
First Trust TCW Emerging Markets Debt ETF | 38,096 | — |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
First Trust TCW Opportunistic Fixed Income ETF | $11,973,580 | $(11,973,580 ) | $— |
First Trust TCW Unconstrained Plus Bond ETF | 2,947,481 | (2,947,481 ) | — |
First Trust TCW Securitized Plus ETF | (694,715 ) | 694,715 | — |
First Trust TCW Emerging Markets Debt ETF | (26,614 ) | 26,614 | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust TCW Opportunistic Fixed Income ETF | $5,729,148,242 | $24,917,613 | $(320,518,168 ) | $(295,600,555 ) |
First Trust TCW Unconstrained Plus Bond ETF | 1,885,267,091 | 15,219,387 | (88,843,978 ) | (73,624,591 ) |
First Trust TCW Securitized Plus ETF | 110,518,397 | 421,033 | (8,209,238 ) | (7,788,205 ) |
First Trust TCW Emerging Markets Debt ETF | 31,256,542 | 504,704 | (871,599 ) | (366,895 ) |
August 31, 2023
Breakpoints | FIXD | UCON | DEED | EFIX |
Fund net assets up to and including $2.5 billion | 0.65000 % | 0.85000 % | 0.75000 % | 0.95000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.63375 % | 0.82875 % | 0.73125 % | 0.92625 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.61750 % | 0.80750 % | 0.71250 % | 0.90250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.60125 % | 0.78625 % | 0.69375 % | 0.87875 % |
Fund net assets greater than $10 billion | 0.58500 % | 0.76500 % | 0.67500 % | 0.85500 % |
August 31, 2023
Purchases | Sales | |
First Trust TCW Opportunistic Fixed Income ETF | ||
U.S. Government securities | $19,973,652,487 | $18,851,462,776 |
Non-U.S. Government securities | 793,726,233 | 647,334,694 |
First Trust TCW Unconstrained Plus Bond ETF | ||
U.S. Government securities | 3,437,639,949 | 3,190,778,007 |
Non-U.S. Government securities | 580,954,659 | 363,330,450 |
First Trust TCW Securitized Plus ETF | ||
U.S. Government securities | 599,554,770 | 683,650,071 |
Non-U.S. Government securities | 507,670 | 48,803,845 |
First Trust TCW Emerging Markets Debt ETF | ||
U.S. Government securities | — | — |
Non-U.S. Government securities | 57,583,843 | 34,300,602 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
FIXD | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $225,254 | Unrealized depreciation on forward foreign currency contracts | $990 |
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | 4,038,971 | Unrealized depreciation on futures contracts* | 509,188 |
Swap contracts | Interest Rate Risk | Swap contracts, at value | — | Swap contracts, at value | 144,715 |
UCON | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | 105,836 | Unrealized depreciation on forward foreign currency contracts | — |
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | 1,990,663 | Unrealized depreciation on futures contracts* | 2,869,707 |
Swap contracts | Interest Rate Risk | Swap contracts, at value | — | Swap contracts, at value | 17,155 |
DEED | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | 18,328 | Unrealized depreciation on forward foreign currency contracts | 79 |
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | 169,874 | Unrealized depreciation on futures contracts* | — |
August 31, 2023
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
EFIX | |||||
Swap contracts | Credit Risk | Swap contracts, at value | $28,823 | Swap contracts, at value | $— |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in each Fund’s Portfolio of Investments. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Statements of Operations Location | FIXD | UCON | DEED | EFIX |
Credit Risk Exposure | ||||
Net realized gain (loss) on swap contracts | $— | $— | $— | $342 |
Net change in unrealized appreciation (depreciation) on swap contracts | — | — | — | (7,792 ) |
Currency Risk Exposure | ||||
Net realized gain (loss) on forward foreign currency contracts | (282,080 ) | (104,978 ) | 34,398 | (41,004 ) |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | (38,366 ) | (28,157 ) | (134,064 ) | — |
Interest Rate Risk Exposure | ||||
Net realized gain (loss) on: | ||||
Purchased options contracts | (1,113,442 ) | — | — | — |
Written options contracts | 1,053,959 | — | — | — |
Futures contracts | (40,655,259 ) | 17,808,623 | (1,792,659 ) | — |
Swap contracts | (19,753,156 ) | (3,303,626 ) | — | — |
Net change in unrealized appreciation (depreciation) on: | ||||
Purchased options contracts | 1,100,623 | — | — | — |
Written options contracts | (1,034,052 ) | — | — | — |
Futures contracts | 4,013,457 | (1,717,442 ) | 304,162 | — |
Swap contracts | 17,131,761 | 2,709,615 | — | — |
August 31, 2023
August 31, 2023
Individual Funds Included in the Trust | Financial Highlights | |
First Trust TCW Opportunistic Fixed Income ETF | For the years ended August 31, 2023, 2022, 2021, 2020, and 2019 | |
First Trust TCW Unconstrained Plus Bond ETF | For the years ended August 31, 2023, 2022, 2021, 2020, and 2019 | |
First Trust TCW Securitized Plus ETF | For the years ended August 31, 2023, 2022, 2021 and for the period from April 29, 2020 (commencement of investment operations) through August 31, 2020 | |
First Trust TCW Emerging Markets Debt ETF | For the years ended August 31, 2023, 2022 and for the period from February 17, 2021 (commencement of investment operations) through August 31, 2021 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img5fc258287.jpg)
October 25, 2023
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
First Trust TCW Opportunistic Fixed Income ETF (FIXD) |
First Trust TCW Unconstrained Plus Bond ETF (UCON) |
First Trust TCW Securitized Plus ETF (DEED) |
First Trust TCW Emerging Markets Debt ETF (EFIX) |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img327245438.gif)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
865 South Figueroa Street
Los Angeles, CA 90017
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgac25fa601.gif)
FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN) |
FT Cboe Vest U.S. Equity Buffer ETF - February (FFEB) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February (DFEB) |
FT Cboe Vest U.S. Equity Buffer ETF - March (FMAR) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March (DMAR) |
FT Cboe Vest U.S. Equity Buffer ETF - April (FAPR) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April (DAPR) |
FT Cboe Vest U.S. Equity Buffer ETF - May (FMAY) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May (DMAY) |
FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN) |
FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL) |
FT Cboe Vest U.S. Equity Buffer ETF - August (FAUG) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August (DAUG) |
FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP) |
FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT) |
FT Cboe Vest U.S. Equity Buffer ETF - November (FNOV) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November (DNOV) |
FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC) |
FT Cboe Vest Buffered Allocation Defensive ETF (BUFT) |
FT Cboe Vest Buffered Allocation Growth ETF (BUFG) |
Annual Report
August 31, 2023
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Annual Report
August 31, 2023
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Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgf8f195242.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (1/15/21) to 8/31/23 | Inception (1/15/21) to 8/31/23 | |
Fund Performance | |||
NAV | 16.45% | 8.98% | 25.32% |
Market Price | 16.55% | 8.98% | 25.32% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 7.06% | 19.62% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to January 23, 2023, the Fund’s investment objective included an upside cap of 14.20% (before fees, expenses and taxes) and 13.35% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of January 24, 2022 to January 20, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (1/15/21) to 8/31/23 | Inception (1/15/21) to 8/31/23 | |
Fund Performance | |||
NAV | 7.97% | 3.85% | 10.41% |
Market Price | 7.67% | 3.76% | 10.18% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 7.06% | 19.62% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to January 23, 2023, the Fund’s investment objective included an upside cap of 9.03% (before fees, expenses and taxes) and 8.18% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of January 24, 2022 to January 20, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (2/21/20) to 8/31/23 | Inception (2/21/20) to 8/31/23 | |
Fund Performance | |||
NAV | 13.79% | 8.07% | 31.49% |
Market Price | 13.99% | 8.07% | 31.49% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 8.90% | 35.05% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to February 21, 2023, the Fund’s investment objective included an upside cap of 14.25% (before fees, expenses and taxes) and 13.40% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of February 22, 2022 to February 17, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (2/21/20) to 8/31/23 | Inception (2/21/20) to 8/31/23 | |
Fund Performance | |||
NAV | 5.68% | 4.55% | 16.98% |
Market Price | 5.58% | 4.47% | 16.66% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 8.90% | 35.05% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to February 21, 2023, the Fund’s investment objective included an upside cap of 9.30% (before fees, expenses and taxes) and 8.45% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of February 22, 2022 to February 17, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (3/19/21) to 8/31/23 | Inception (3/19/21) to 8/31/23 | |
Fund Performance | |||
NAV | 15.28% | 8.38% | 21.82% |
Market Price | 15.50% | 8.40% | 21.86% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 5.94% | 15.19% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to March 20, 2023, the Fund’s investment objective included an upside cap of 14.78% (before fees and expenses) and 13.93% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of March 21, 2022 to March 17, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (3/19/21) to 8/31/23 | Inception (3/19/21) to 8/31/23 | |
Fund Performance | |||
NAV | 7.74% | 4.16% | 10.51% |
Market Price | 7.41% | 4.05% | 10.24% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 5.94% | 15.19% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to March 20, 2023, the Fund’s investment objective included an upside cap of 10.02% (before fees and expenses) and 9.17% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of March 21, 2022 to March 17, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (4/16/21) to 8/31/23 | Inception (4/16/21) to 8/31/23 | |
Fund Performance | |||
NAV | 13.10% | 4.37% | 10.69% |
Market Price | 13.25% | 4.35% | 10.65% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 3.17% | 7.70% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to April 24, 2023, the Fund’s investment objective included an upside cap of 16.35% (before fees and expenses) and 15.48% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of April 18, 2022 to April 21, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (4/16/21) to 8/31/23 | Inception (4/16/21) to 8/31/23 | |
Fund Performance | |||
NAV | 4.18% | 1.50% | 3.60% |
Market Price | 4.06% | 1.39% | 3.33% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 3.17% | 7.70% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to April 24, 2023, the Fund’s investment objective included an upside cap of 10.96% (before fees and expenses) and 10.09% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of April 18, 2022 to April 21, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (5/15/20) to 8/31/23 | Inception (5/15/20) to 8/31/23 | |
Fund Performance | |||
NAV | 10.49% | 8.26% | 29.89% |
Market Price | 10.73% | 8.26% | 29.89% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 14.76% | 57.41% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to May 22, 2023, the Fund’s investment objective included an upside cap of 20.45% (before fees, expenses and taxes) and 19.60% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of May 23, 2022 to May 19, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (5/15/20) to 8/31/23 | Inception (5/15/20) to 8/31/23 | |
Fund Performance | |||
NAV | 9.90% | 4.18% | 14.46% |
Market Price | 9.77% | 4.07% | 14.07% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 14.76% | 57.41% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to May 22, 2023, the Fund’s investment objective included an upside cap of 13.93% (before fees, expenses and taxes) and 13.08% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of May 23, 2022 to May 19, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (6/19/20) to 8/31/23 | Inception (6/19/20) to 8/31/23 | |
Fund Performance | |||
NAV | 15.71% | 10.90% | 39.24% |
Market Price | 15.67% | 10.79% | 38.81% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 12.44% | 45.51% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 22.20% (before fees, expenses and taxes) and 21.35% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of June 21, 2022 to June 16, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (6/19/20) to 8/31/23 | Inception (6/19/20) to 8/31/23 | |
Fund Performance | |||
NAV | 12.15% | 5.94% | 20.26% |
Market Price | 12.56% | 5.94% | 20.30% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 12.44% | 45.51% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 15.59% (before fees, expenses and taxes) and 14.74% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of June 21, 2022 to June 16, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (7/17/20) to 8/31/23 | Inception (7/17/20) to 8/31/23 | |
Fund Performance | |||
NAV | 14.05% | 9.04% | 31.02% |
Market Price | 14.47% | 9.04% | 31.05% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 11.32% | 39.78% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to July 24, 2023, the Fund’s investment objective included an upside cap of 21.30% (before fees, expenses and taxes) and 20.44% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of July 18, 2022 to July 21, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (7/17/20) to 8/31/23 | Inception (7/17/20) to 8/31/23 | |
Fund Performance | |||
NAV | 12.34% | 4.75% | 15.61% |
Market Price | 12.79% | 4.79% | 15.74% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 11.32% | 39.78% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to July 24, 2023, the Fund’s investment objective included an upside cap of 15.02% (before fees, expenses and taxes) and 14.16% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of July 18, 2022 to July 21, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (11/6/19) to 8/31/23 | Inception (11/6/19) to 8/31/23 | |
Fund Performance | |||
NAV | 9.41% | 6.74% | 28.31% |
Market Price | 9.90% | 6.76% | 28.37% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 10.52% | 46.51% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to August 21, 2023, the Fund’s investment objective included an upside cap of 20.46% (before fees, expenses and taxes) and 19.61% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of August 22, 2022 to August 18, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (11/6/19) to 8/31/23 | Inception (11/6/19) to 8/31/23 | |
Fund Performance | |||
NAV | 7.76% | 3.27% | 13.09% |
Market Price | 7.85% | 3.19% | 12.76% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 10.52% | 46.51% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to August 21, 2023, the Fund’s investment objective included an upside cap of 14.47% (before fees, expenses and taxes) and 13.62% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of August 22, 2022 to August 18, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (9/18/20) to 8/31/23 | Inception (9/18/20) to 8/31/23 | |
Fund Performance | |||
NAV | 15.34% | 9.11% | 29.33% |
Market Price | 15.17% | 9.11% | 29.33% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 10.93% | 35.79% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to September 19, 2022, the Fund’s investment objective included an upside cap of 12.20% (before fees, expenses and taxes) and 11.35% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of September 20, 2021 to September 16, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (9/18/20) to 8/31/23 | Inception (9/18/20) to 8/31/23 | |
Fund Performance | |||
NAV | 14.79% | 5.58% | 17.37% |
Market Price | 14.72% | 5.56% | 17.31% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 10.93% | 35.79% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to September 19, 2022, the Fund’s investment objective included an upside cap of 7.43% (before fees, expenses and taxes) and 6.58% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of September 20, 2021 to September 16, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (10/16/20) to 8/31/23 | Inception (10/16/20) to 8/31/23 | |
Fund Performance | |||
NAV | 16.39% | 9.02% | 28.16% |
Market Price | 16.42% | 9.02% | 28.16% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 9.38% | 29.39% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to October 24, 2022, the Fund’s investment objective included an upside cap of 11.70% (before fees, expenses and taxes) and 10.84% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of October 18, 2021 to October 21, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (10/16/20) to 8/31/23 | Inception (10/16/20) to 8/31/23 | |
Fund Performance | |||
NAV | 16.05% | 6.20% | 18.88% |
Market Price | 15.99% | 6.17% | 18.78% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 9.38% | 29.39% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to October 24, 2022, the Fund’s investment objective included an upside cap of 7.22% (before fees, expenses and taxes) and 6.36% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of October 18, 2021 to October 21, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (11/15/19) to 8/31/23 | Inception (11/15/19) to 8/31/23 | |
Fund Performance | |||
NAV | 15.01% | 7.95% | 33.67% |
Market Price | 14.78% | 7.89% | 33.38% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 10.19% | 44.45% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to November 21, 2022, the Fund’s investment objective included an upside cap of 12.10% (before fees, expenses and taxes) and 11.25% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of November 22, 2021 to November 18, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (11/15/19) to 8/31/23 | Inception (11/15/19) to 8/31/23 | |
Fund Performance | |||
NAV | 12.62% | 5.13% | 20.92% |
Market Price | 12.44% | 5.09% | 20.72% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 10.19% | 44.45% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to November 21, 2022, the Fund’s investment objective included an upside cap of 7.60% (before fees, expenses and taxes) and 6.75% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of November 22, 2021 to November 18, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (12/18/20) to 8/31/23 | Inception (12/18/20) to 8/31/23 | |
Fund Performance | |||
NAV | 15.40% | 7.25% | 20.81% |
Market Price | 15.37% | 7.23% | 20.75% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 7.48% | 21.52% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to December 19, 2022, the Fund’s investment objective included an upside cap of 13.10% (before fees, expenses and taxes) and 12.25% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of December 20, 2021 to December 16, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (12/18/20) to 8/31/23 | Inception (12/18/20) to 8/31/23 | |
Fund Performance | |||
NAV | 12.60% | 4.66% | 13.08% |
Market Price | 12.59% | 4.67% | 13.12% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 7.48% | 21.52% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to December 19, 2022, the Fund’s investment objective included an upside cap of 8.10% (before fees, expenses and taxes) and 7.25% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of December 20, 2021 to December 16, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (10/26/21) to 8/31/23 | Inception (10/26/21) to 8/31/23 | |
Fund Performance | |||
NAV | 7.66% | 0.22% | 0.40% |
Market Price | 7.83% | 0.24% | 0.45% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | -0.80% | -1.47% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (10/26/21) to 8/31/23 | Inception (10/26/21) to 8/31/23 | |
Fund Performance | |||
NAV | 12.28% | 1.02% | 1.90% |
Market Price | 12.33% | 1.05% | 1.95% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | -0.80% | -1.47% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Fund Ticker | FJAN | DJAN | FFEB | DFEB | FMAR | DMAR | FAPR |
Annual Expense Ratio | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% |
Reporting Period Start Date | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 |
Reporting Period End Date | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 |
CAP INFORMATION: | |||||||
Cap Prior to Annual Reset (pre-expenses) | 14.20% | 9.03% | 14.25% | 9.30% | 14.78% | 10.02% | 16.35% |
Cap Prior to Annual Reset (post-expenses) | 13.35% | 8.18% | 13.40% | 8.45% | 13.93% | 9.17% | 15.48% |
Reset Date (prior to 8/31/23) | 1/20/23 | 1/20/23 | 2/17/23 | 2/17/23 | 3/17/23 | 3/17/23 | 4/21/23 |
New Cap on Annual Reset Date (pre-expenses) | 19.04% | 14.70% | 19.25% | 14.97% | 19.35% | 14.36% | 18.48% |
New Cap on Annual Reset Date (post-expenses) | 18.19% | 13.85% | 18.40% | 14.12% | 18.50% | 13.51% | 17.63% |
PERFORMANCE (8/31/22 to 8/31/23): | |||||||
Fund Performance (using NAVs) | 16.45% | 7.97% | 13.79% | 5.68% | 15.28% | 7.74% | 13.10% |
Fund Performance (using Market Price) | 16.55% | 7.67% | 13.99% | 5.58% | 15.50% | 7.41% | 13.25% |
Reference Asset Price Return | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% |
Fund Ticker | DAPR | FMAY | DMAY | FJUN | DJUN | FJUL | DJUL |
Annual Expense Ratio | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% |
Reporting Period Start Date | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 |
Reporting Period End Date | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 |
CAP INFORMATION: | |||||||
Cap Prior to Annual Reset (pre-expenses) | 10.96% | 20.45% | 13.93% | 22.20% | 15.59% | 21.30% | 15.02% |
Cap Prior to Annual Reset (post-expenses) | 10.09% | 19.60% | 13.08% | 21.35% | 14.74% | 20.44% | 14.16% |
Reset Date (prior to 8/31/23) | 4/21/23 | 5/19/23 | 5/19/23 | 6/16/23 | 6/16/23 | 7/21/23 | 7/21/23 |
New Cap on Annual Reset Date (pre-expenses) | 14.05% | 17.65% | 13.67% | 18.25% | 14.70% | 17.46% | 14.79% |
New Cap on Annual Reset Date (post-expenses) | 13.20% | 16.80% | 12.82% | 17.39% | 13.84% | 16.61% | 13.94% |
PERFORMANCE (8/31/22 to 8/31/23): | |||||||
Fund Performance (using NAVs) | 4.18% | 10.49% | 9.90% | 15.71% | 12.15% | 14.05% | 12.34% |
Fund Performance (using Market Price) | 4.06% | 10.73% | 9.77% | 15.67% | 12.56% | 14.47% | 12.79% |
Reference Asset Price Return | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% |
Annual Report
August 31, 2023 (Unaudited)
Fund Ticker | FAUG | DAUG | FSEP | DSEP | FOCT | DOCT | FNOV |
Annual Expense Ratio | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% |
Reporting Period Start Date | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 |
Reporting Period End Date | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 |
CAP INFORMATION: | |||||||
Cap Prior to Annual Reset (pre-expenses) | 20.46% | 14.47% | 12.20% | 7.43% | 11.70% | 7.22% | 12.10% |
Cap Prior to Annual Reset (post-expenses) | 19.61% | 13.62% | 11.35% | 6.58% | 10.84% | 6.36% | 11.25% |
Reset Date (prior to 8/31/23) | 8/18/23 | 8/18/23 | 9/16/22 | 9/16/22 | 10/21/22 | 10/21/22 | 11/18/22 |
New Cap on Annual Reset Date (pre-expenses) | 18.70% | 15.24% | 23.41% | 16.98% | 27.12% | 19.20% | 23.77% |
New Cap on Annual Reset Date (post-expenses) | 17.85% | 14.39% | 22.56% | 16.13% | 26.27% | 18.35% | 22.92% |
PERFORMANCE (8/31/22 to 8/31/23): | |||||||
Fund Performance (using NAVs) | 9.41% | 7.76% | 15.34% | 14.79% | 16.39% | 16.05% | 15.01% |
Fund Performance (using Market Price) | 9.90% | 7.85% | 15.17% | 14.72% | 16.42% | 15.99% | 14.78% |
Reference Asset Price Return | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% |
Fund Ticker | DNOV | FDEC | DDEC | BUFT | BUFG |
Annual Expense Ratio (includes any Acquired Fund Fees and Expenses) | 0.85% | 0.85% | 0.85% | 1.05% | 1.05% |
Reporting Period Start Date | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 | 8/31/22 |
Reporting Period End Date | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 |
CAP INFORMATION: | |||||
Cap Prior to Annual Reset (pre-expenses) | 7.60% | 13.10% | 8.10% | N/A | N/A |
Cap Prior to Annual Reset (post-expenses) | 6.75% | 12.25% | 7.25% | N/A | N/A |
Reset Date (prior to 8/31/23) | 11/18/22 | 12/16/22 | 12/16/22 | N/A | N/A |
New Cap on Annual Reset Date (pre-expenses) | 17.19% | 23.10% | 16.68% | N/A | N/A |
New Cap on Annual Reset Date (post-expenses) | 16.34% | 22.25% | 15.83% | N/A | N/A |
PERFORMANCE (8/31/22 to 8/31/23): | |||||
Fund Performance (using NAVs) | 12.62% | 15.40% | 12.60% | 7.66% | 12.28% |
Fund Performance (using Market Price) | 12.44% | 15.37% | 12.59% | 7.83% | 12.33% |
Reference Asset Price Return | 13.96% | 13.96% | 13.96% | 13.96% | 13.96% |
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN) | ||||
Actual | $1,000.00 | $1,107.90 | 0.85% | $4.52 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN) | ||||
Actual | $1,000.00 | $1,089.30 | 0.85% | $4.48 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - February (FFEB) | ||||
Actual | $1,000.00 | $1,108.90 | 0.85% | $4.52 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February (DFEB) | ||||
Actual | $1,000.00 | $1,091.20 | 0.85% | $4.48 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Understanding Your Fund Expenses (Continued)
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Cboe Vest U.S. Equity Buffer ETF - March (FMAR) | ||||
Actual | $1,000.00 | $1,109.20 | 0.85% | $4.52 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March (DMAR) | ||||
Actual | $1,000.00 | $1,082.00 | 0.85% | $4.46 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - April (FAPR) | ||||
Actual | $1,000.00 | $1,100.60 | 0.85% | $4.50 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April (DAPR) | ||||
Actual | $1,000.00 | $1,053.80 | 0.85% | $4.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - May (FMAY) | ||||
Actual | $1,000.00 | $1,096.20 | 0.85% | $4.49 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May (DMAY) | ||||
Actual | $1,000.00 | $1,093.10 | 0.85% | $4.48 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN) | ||||
Actual | $1,000.00 | $1,134.40 | 0.85% | $4.57 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN) | ||||
Actual | $1,000.00 | $1,095.80 | 0.85% | $4.49 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL) | ||||
Actual | $1,000.00 | $1,122.10 | 0.85% | $4.55 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL) | ||||
Actual | $1,000.00 | $1,108.10 | 0.85% | $4.52 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - August (FAUG) | ||||
Actual | $1,000.00 | $1,083.90 | 0.85% | $4.46 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August (DAUG) | ||||
Actual | $1,000.00 | $1,081.00 | 0.85% | $4.46 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP) | ||||
Actual | $1,000.00 | $1,119.50 | 0.85% | $4.54 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP) | ||||
Actual | $1,000.00 | $1,116.30 | 0.85% | $4.53 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT) | ||||
Actual | $1,000.00 | $1,122.60 | 0.85% | $4.55 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Understanding Your Fund Expenses (Continued)
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT) | ||||
Actual | $1,000.00 | $1,105.50 | 0.85% | $4.51 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - November (FNOV) | ||||
Actual | $1,000.00 | $1,117.30 | 0.85% | $4.54 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November (DNOV) | ||||
Actual | $1,000.00 | $1,104.00 | 0.85% | $4.51 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC) | ||||
Actual | $1,000.00 | $1,116.00 | 0.85% | $4.53 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC) | ||||
Actual | $1,000.00 | $1,092.20 | 0.85% | $4.48 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest Buffered Allocation Defensive ETF (BUFT) (b) | ||||
Actual | $1,000.00 | $1,074.90 | 0.20% | $1.05 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,024.20 | 0.20% | $1.02 |
FT Cboe Vest Buffered Allocation Growth ETF (BUFG) (b) | ||||
Actual | $1,000.00 | $1,101.60 | 0.20% | $1.06 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,024.20 | 0.20% | $1.02 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
(b) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
2,033,626 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,033,626 | |||
(Cost $2,033,626) | |||||
Total Investments — 0.6% | 2,033,626 | ||||
(Cost $2,033,626) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.6% | |||||
Call Options Purchased — 100.8% | |||||
7,668 | SPDR® S&P 500® ETF Trust | $345,328,380 | $3.96 | 01/19/24 | 339,669,396 |
(Cost $302,458,201) | |||||
Put Options Purchased — 0.8% | |||||
7,668 | SPDR® S&P 500® ETF Trust | 345,328,380 | 395.88 | 01/19/24 | 2,668,464 |
(Cost $17,961,866) | |||||
Total Purchased Options | 342,337,860 | ||||
(Cost $320,420,067) | |||||
WRITTEN OPTIONS — (2.1)% | |||||
Call Options Written — (1.7)% | |||||
(7,668 ) | SPDR® S&P 500® ETF Trust | (345,328,380 ) | 471.26 | 01/19/24 | (5,827,680 ) |
(Premiums received $4,367,561) | |||||
Put Options Written — (0.4)% | |||||
(7,668 ) | SPDR® S&P 500® ETF Trust | (345,328,380 ) | 356.29 | 01/19/24 | (1,234,548 ) |
(Premiums received $9,431,999) | |||||
Total Written Options | (7,062,228 ) | ||||
(Premiums received $13,799,560) | |||||
Net Other Assets and Liabilities — (0.1)% | (189,947 ) | ||||
Net Assets — 100.0% | $337,119,311 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 101.6 |
Written Options | (2.1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,033,626 | $2,033,626 | $— | $— |
Purchased Options | 342,337,860 | — | 342,337,860 | — |
Total | $344,371,486 | $2,033,626 | $342,337,860 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(7,062,228 ) | $— | $(7,062,228 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
1,127,282 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,127,282 | |||
(Cost $1,127,282) | |||||
Total Investments — 0.6% | 1,127,282 | ||||
(Cost $1,127,282) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.5% | |||||
Call Options Purchased — 103.0% | |||||
4,284 | SPDR® S&P 500® ETF Trust | $192,929,940 | $3.95 | 01/19/24 | 190,501,878 |
(Cost $168,810,545) | |||||
Put Options Purchased — 0.5% | |||||
4,284 | SPDR® S&P 500® ETF Trust | 192,929,940 | 376.09 | 01/19/24 | 950,151 |
(Cost $7,778,499) | |||||
Total Purchased Options | 191,452,029 | ||||
(Cost $176,589,044) | |||||
WRITTEN OPTIONS — (4.0)% | |||||
Call Options Written — (4.0)% | |||||
(4,284 ) | SPDR® S&P 500® ETF Trust | (192,929,940 ) | 454.07 | 01/19/24 | (7,350,416 ) |
(Premiums received $4,548,121) | |||||
Put Options Written — (0.0)% | |||||
(4,284 ) | SPDR® S&P 500® ETF Trust | (192,929,940 ) | 277.12 | 01/19/24 | (86,383 ) |
(Premiums received $1,474,328) | |||||
Total Written Options | (7,436,799 ) | ||||
(Premiums received $6,022,449) | |||||
Net Other Assets and Liabilities — (0.1)% | (114,122 ) | ||||
Net Assets — 100.0% | $185,028,390 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 103.5 |
Written Options | (4.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,127,282 | $1,127,282 | $— | $— |
Purchased Options | 191,452,029 | — | 191,452,029 | — |
Total | $192,579,311 | $1,127,282 | $191,452,029 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(7,436,799 ) | $— | $(7,436,799 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
2,649,806 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,649,806 | |||
(Cost $2,649,806) | |||||
Total Investments — 0.7% | 2,649,806 | ||||
(Cost $2,649,806) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.1% | |||||
Call Options Purchased — 99.9% | |||||
8,710 | SPDR® S&P 500® ETF Trust | $392,254,850 | $4.07 | 02/16/24 | 385,757,190 |
(Cost $348,643,672) | |||||
Put Options Purchased — 1.2% | |||||
8,710 | SPDR® S&P 500® ETF Trust | 392,254,850 | 407.26 | 02/16/24 | 4,685,980 |
(Cost $22,084,700) | |||||
Total Purchased Options | 390,443,170 | ||||
(Cost $370,728,372) | |||||
WRITTEN OPTIONS — (1.7)% | |||||
Call Options Written — (1.1)% | |||||
(8,710 ) | SPDR® S&P 500® ETF Trust | (392,254,850 ) | 485.66 | 02/16/24 | (4,389,840 ) |
(Premiums received $4,321,712) | |||||
Put Options Written — (0.6)% | |||||
(8,710 ) | SPDR® S&P 500® ETF Trust | (392,254,850 ) | 366.53 | 02/16/24 | (2,203,630 ) |
(Premiums received $11,420,436) | |||||
Total Written Options | (6,593,470 ) | ||||
(Premiums received $15,742,148) | |||||
Net Other Assets and Liabilities — (0.1)% | (265,353 ) | ||||
Net Assets — 100.0% | $386,234,153 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 101.1 |
Written Options | (1.7) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,649,806 | $2,649,806 | $— | $— |
Purchased Options | 390,443,170 | — | 390,443,170 | — |
Total | $393,092,976 | $2,649,806 | $390,443,170 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(6,593,470 ) | $— | $(6,593,470 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
1,417,769 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,417,769 | |||
(Cost $1,417,769) | |||||
Total Investments — 0.7% | 1,417,769 | ||||
(Cost $1,417,769) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.3% | |||||
Call Options Purchased — 101.5% | |||||
4,710 | SPDR® S&P 500® ETF Trust | $212,114,850 | $4.06 | 02/16/24 | 209,493,296 |
(Cost $187,632,623) | |||||
Put Options Purchased — 0.8% | |||||
4,710 | SPDR® S&P 500® ETF Trust | 212,114,850 | 386.90 | 02/16/24 | 1,606,186 |
(Cost $9,081,597) | |||||
Total Purchased Options | 211,099,482 | ||||
(Cost $196,714,220) | |||||
WRITTEN OPTIONS — (2.9)% | |||||
Call Options Written — (2.8)% | |||||
(4,710 ) | SPDR® S&P 500® ETF Trust | (212,114,850 ) | 468.23 | 02/16/24 | (5,778,437 ) |
(Premiums received $4,221,668) | |||||
Put Options Written — (0.1)% | |||||
(4,710 ) | SPDR® S&P 500® ETF Trust | (212,114,850 ) | 285.08 | 02/16/24 | (261,888 ) |
(Premiums received $1,947,565) | |||||
Total Written Options | (6,040,325 ) | ||||
(Premiums received $6,169,233) | |||||
Net Other Assets and Liabilities — (0.1)% | (134,156 ) | ||||
Net Assets — 100.0% | $206,342,770 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 102.3 |
Written Options | (2.9) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,417,769 | $1,417,769 | $— | $— |
Purchased Options | 211,099,482 | — | 211,099,482 | — |
Total | $212,517,251 | $1,417,769 | $211,099,482 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(6,040,325 ) | $— | $(6,040,325 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
2,295,493 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,295,493 | |||
(Cost $2,295,493) | |||||
Total Investments — 0.7% | 2,295,493 | ||||
(Cost $2,295,493) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.4% | |||||
Call Options Purchased — 102.3% | |||||
7,429 | SPDR® S&P 500® ETF Trust | $334,565,015 | $3.90 | 03/15/24 | 328,213,220 |
(Cost $292,982,105) | |||||
Put Options Purchased — 1.1% | |||||
7,429 | SPDR® S&P 500® ETF Trust | 334,565,015 | 389.99 | 03/15/24 | 3,565,920 |
(Cost $14,008,500) | |||||
Total Purchased Options | 331,779,140 | ||||
(Cost $306,990,605) | |||||
WRITTEN OPTIONS — (4.0)% | |||||
Call Options Written — (3.5)% | |||||
(7,429 ) | SPDR® S&P 500® ETF Trust | (334,565,015 ) | 465.45 | 03/15/24 | (11,188,074 ) |
(Premiums received $7,402,486) | |||||
Put Options Written — (0.5)% | |||||
(7,429 ) | SPDR® S&P 500® ETF Trust | (334,565,015 ) | 350.99 | 03/15/24 | (1,820,105 ) |
(Premiums received $6,954,085) | |||||
Total Written Options | (13,008,179 ) | ||||
(Premiums received $14,356,571) | |||||
Net Other Assets and Liabilities — (0.1)% | (165,215 ) | ||||
Net Assets — 100.0% | $320,901,239 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 103.4 |
Written Options | (4.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,295,493 | $2,295,493 | $— | $— |
Purchased Options | 331,779,140 | — | 331,779,140 | — |
Total | $334,074,633 | $2,295,493 | $331,779,140 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(13,008,179 ) | $— | $(13,008,179 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
1,489,116 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,489,116 | |||
(Cost $1,489,116) | |||||
Total Investments — 0.8% | 1,489,116 | ||||
(Cost $1,489,116) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 106.1% | |||||
Call Options Purchased — 105.3% | |||||
4,775 | SPDR® S&P 500® ETF Trust | $215,042,125 | $3.89 | 03/15/24 | 211,924,889 |
(Cost $183,724,775) | |||||
Put Options Purchased — 0.8% | |||||
4,775 | SPDR® S&P 500® ETF Trust | 215,042,125 | 370.49 | 03/15/24 | 1,551,781 |
(Cost $10,310,186) | |||||
Total Purchased Options | 213,476,670 | ||||
(Cost $194,034,961) | |||||
WRITTEN OPTIONS — (6.8)% | |||||
Call Options Written — (6.6)% | |||||
(4,775 ) | SPDR® S&P 500® ETF Trust | (215,042,125 ) | 445.99 | 03/15/24 | (13,301,106 ) |
(Premiums received $5,470,247) | |||||
Put Options Written — (0.2)% | |||||
(4,775 ) | SPDR® S&P 500® ETF Trust | (215,042,125 ) | 272.99 | 03/15/24 | (372,265 ) |
(Premiums received $2,535,866) | |||||
Total Written Options | (13,673,371 ) | ||||
(Premiums received $8,006,113) | |||||
Net Other Assets and Liabilities — (0.1)% | (133,621 ) | ||||
Net Assets — 100.0% | $201,158,794 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 106.1 |
Written Options | (6.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,489,116 | $1,489,116 | $— | $— |
Purchased Options | 213,476,670 | — | 213,476,670 | — |
Total | $214,965,786 | $1,489,116 | $213,476,670 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(13,673,371 ) | $— | $(13,673,371 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
3,351,874 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,351,874 | |||
(Cost $3,351,874) | |||||
Total Investments — 0.8% | 3,351,874 | ||||
(Cost $3,351,874) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.0% | |||||
Call Options Purchased — 100.1% | |||||
9,195 | SPDR® S&P 500® ETF Trust | $414,096,825 | $4.12 | 04/19/24 | 406,014,420 |
(Cost $373,174,543) | |||||
Put Options Purchased — 1.9% | |||||
9,195 | SPDR® S&P 500® ETF Trust | 414,096,825 | 412.20 | 04/19/24 | 7,751,385 |
(Cost $24,063,804) | |||||
Total Purchased Options | 413,765,805 | ||||
(Cost $397,238,347) | |||||
WRITTEN OPTIONS — (2.7)% | |||||
Call Options Written — (1.8)% | |||||
(9,195 ) | SPDR® S&P 500® ETF Trust | (414,096,825 ) | 488.37 | 04/19/24 | (7,356,000 ) |
(Premiums received $5,437,162) | |||||
Put Options Written — (0.9)% | |||||
(9,195 ) | SPDR® S&P 500® ETF Trust | (414,096,825 ) | 370.98 | 04/19/24 | (3,843,510 ) |
(Premiums received $12,679,444) | |||||
Total Written Options | (11,199,510 ) | ||||
(Premiums received $18,116,606) | |||||
Net Other Assets and Liabilities — (0.1)% | (225,037 ) | ||||
Net Assets — 100.0% | $405,693,132 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 102.0 |
Written Options | (2.7) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,351,874 | $3,351,874 | $— | $— |
Purchased Options | 413,765,805 | — | 413,765,805 | — |
Total | $417,117,679 | $3,351,874 | $413,765,805 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(11,199,510 ) | $— | $(11,199,510 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.2% | |||||
2,741,864 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,741,864 | |||
(Cost $2,741,864) | |||||
Total Investments — 1.2% | 2,741,864 | ||||
(Cost $2,741,864) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.3% | |||||
Call Options Purchased — 102.0% | |||||
5,403 | SPDR® S&P 500® ETF Trust | $243,324,105 | $4.11 | 04/19/24 | 239,775,391 |
(Cost $217,388,847) | |||||
Put Options Purchased — 1.3% | |||||
5,403 | SPDR® S&P 500® ETF Trust | 243,324,105 | 391.59 | 04/19/24 | 3,008,614 |
(Cost $11,278,486) | |||||
Total Purchased Options | 242,784,005 | ||||
(Cost $228,667,333) | |||||
WRITTEN OPTIONS — (4.1)% | |||||
Call Options Written — (3.8)% | |||||
(5,403 ) | SPDR® S&P 500® ETF Trust | (243,324,105 ) | 470.11 | 04/19/24 | (9,034,775 ) |
(Premiums received $5,788,763) | |||||
Put Options Written — (0.3)% | |||||
(5,403 ) | SPDR® S&P 500® ETF Trust | (243,324,105 ) | 288.54 | 04/19/24 | (633,343 ) |
(Premiums received $2,228,680) | |||||
Total Written Options | (9,668,118 ) | ||||
(Premiums received $8,017,443) | |||||
Net Other Assets and Liabilities — (0.4)% | (936,760 ) | ||||
Net Assets — 100.0% | $234,920,991 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.2% |
Purchased Options | 103.3 |
Written Options | (4.1) |
Net Other Assets and Liabilities | (0.4) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,741,864 | $2,741,864 | $— | $— |
Purchased Options | 242,784,005 | — | 242,784,005 | — |
Total | $245,525,869 | $2,741,864 | $242,784,005 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(9,668,118 ) | $— | $(9,668,118 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
4,739,946 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $4,739,946 | |||
(Cost $4,739,946) | |||||
Total Investments — 0.9% | 4,739,946 | ||||
(Cost $4,739,946) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.3% | |||||
Call Options Purchased — 100.0% | |||||
11,870 | SPDR® S&P 500® ETF Trust | $534,565,450 | $4.19 | 05/17/24 | 524,060,500 |
(Cost $493,337,393) | |||||
Put Options Purchased — 2.3% | |||||
11,870 | SPDR® S&P 500® ETF Trust | 534,565,450 | 418.62 | 05/17/24 | 12,273,580 |
(Cost $28,980,549) | |||||
Total Purchased Options | 536,334,080 | ||||
(Cost $522,317,942) | |||||
WRITTEN OPTIONS — (3.1)% | |||||
Call Options Written — (1.9)% | |||||
(11,870 ) | SPDR® S&P 500® ETF Trust | (534,565,450 ) | 492.51 | 05/17/24 | (10,267,550 ) |
(Premiums received $7,984,464) | |||||
Put Options Written — (1.2)% | |||||
(11,870 ) | SPDR® S&P 500® ETF Trust | (534,565,450 ) | 376.76 | 05/17/24 | (6,314,840 ) |
(Premiums received $15,395,872) | |||||
Total Written Options | (16,582,390 ) | ||||
(Premiums received $23,380,336) | |||||
Net Other Assets and Liabilities — (0.1)% | (350,913 ) | ||||
Net Assets — 100.0% | $524,140,723 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 102.3 |
Written Options | (3.1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $4,739,946 | $4,739,946 | $— | $— |
Purchased Options | 536,334,080 | — | 536,334,080 | — |
Total | $541,074,026 | $4,739,946 | $536,334,080 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(16,582,390 ) | $— | $(16,582,390 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
1,559,053 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,559,053 | |||
(Cost $1,559,053) | |||||
Total Investments — 0.9% | 1,559,053 | ||||
(Cost $1,559,053) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.3% | |||||
Call Options Purchased — 101.7% | |||||
3,957 | SPDR® S&P 500® ETF Trust | $178,203,495 | $4.18 | 05/17/24 | 175,646,783 |
(Cost $162,361,350) | |||||
Put Options Purchased — 1.6% | |||||
3,957 | SPDR® S&P 500® ETF Trust | 178,203,495 | 397.69 | 05/17/24 | 2,756,223 |
(Cost $8,344,489) | |||||
Total Purchased Options | 178,403,006 | ||||
(Cost $170,705,839) | |||||
WRITTEN OPTIONS — (4.1)% | |||||
Call Options Written — (3.7)% | |||||
(3,957 ) | SPDR® S&P 500® ETF Trust | (178,203,495 ) | 475.85 | 05/17/24 | (6,440,531 ) |
(Premiums received $4,209,746) | |||||
Put Options Written — (0.4)% | |||||
(3,957 ) | SPDR® S&P 500® ETF Trust | (178,203,495 ) | 293.03 | 05/17/24 | (586,172 ) |
(Premiums received $1,605,486) | |||||
Total Written Options | (7,026,703 ) | ||||
(Premiums received $5,815,232) | |||||
Net Other Assets and Liabilities — (0.1)% | (125,932 ) | ||||
Net Assets — 100.0% | $172,809,424 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 103.3 |
Written Options | (4.1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,559,053 | $1,559,053 | $— | $— |
Purchased Options | 178,403,006 | — | 178,403,006 | — |
Total | $179,962,059 | $1,559,053 | $178,403,006 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(7,026,703 ) | $— | $(7,026,703 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
5,381,119 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $5,381,119 | |||
(Cost $5,381,119) | |||||
Total Investments — 1.0% | 5,381,119 | ||||
(Cost $5,381,119) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.6% | |||||
Call Options Purchased — 98.2% | |||||
11,861 | SPDR® S&P 500® ETF Trust | $534,160,135 | $4.39 | 06/21/24 | 524,426,139 |
(Cost $513,478,717) | |||||
Put Options Purchased — 3.4% | |||||
11,861 | SPDR® S&P 500® ETF Trust | 534,160,135 | 439.46 | 06/21/24 | 18,072,525 |
(Cost $23,797,409) | |||||
Total Purchased Options | 542,498,664 | ||||
(Cost $537,276,126) | |||||
WRITTEN OPTIONS — (2.5)% | |||||
Call Options Written — (0.8)% | |||||
(11,861 ) | SPDR® S&P 500® ETF Trust | (534,160,135 ) | 519.66 | 06/21/24 | (4,356,710 ) |
(Premiums received $8,516,645) | |||||
Put Options Written — (1.7)% | |||||
(11,861 ) | SPDR® S&P 500® ETF Trust | (534,160,135 ) | 395.51 | 06/21/24 | (9,291,085 ) |
(Premiums received $12,289,692) | |||||
Total Written Options | (13,647,795 ) | ||||
(Premiums received $20,806,337) | |||||
Net Other Assets and Liabilities — (0.1)% | (339,344 ) | ||||
Net Assets — 100.0% | $533,892,644 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 101.6 |
Written Options | (2.5) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $5,381,119 | $5,381,119 | $— | $— |
Purchased Options | 542,498,664 | — | 542,498,664 | — |
Total | $547,879,783 | $5,381,119 | $542,498,664 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(13,647,795 ) | $— | $(13,647,795 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
1,748,754 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,748,754 | |||
(Cost $1,748,754) | |||||
Total Investments — 1.0% | 1,748,754 | ||||
(Cost $1,748,754) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.1% | |||||
Call Options Purchased — 98.5% | |||||
3,933 | SPDR® S&P 500® ETF Trust | $177,122,655 | $4.38 | 06/21/24 | 172,941,876 |
(Cost $170,518,302) | |||||
Put Options Purchased — 2.6% | |||||
3,933 | SPDR® S&P 500® ETF Trust | 177,122,655 | 417.49 | 06/21/24 | 4,538,682 |
(Cost $7,102,334) | |||||
Total Purchased Options | 177,480,558 | ||||
(Cost $177,620,636) | |||||
WRITTEN OPTIONS — (2.0)% | |||||
Call Options Written — (1.5)% | |||||
(3,933 ) | SPDR® S&P 500® ETF Trust | (177,122,655 ) | 504.06 | 06/21/24 | (2,662,641 ) |
(Premiums received $3,451,612) | |||||
Put Options Written — (0.5)% | |||||
(3,933 ) | SPDR® S&P 500® ETF Trust | (177,122,655 ) | 307.62 | 06/21/24 | (947,853 ) |
(Premiums received $2,954,374) | |||||
Total Written Options | (3,610,494 ) | ||||
(Premiums received $6,405,986) | |||||
Net Other Assets and Liabilities — (0.1)% | (106,344 ) | ||||
Net Assets — 100.0% | $175,512,474 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 101.1 |
Written Options | (2.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,748,754 | $1,748,754 | $— | $— |
Purchased Options | 177,480,558 | — | 177,480,558 | — |
Total | $179,229,312 | $1,748,754 | $177,480,558 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(3,610,494 ) | $— | $(3,610,494 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
5,431,115 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $5,431,115 | |||
(Cost $5,431,115) | |||||
Total Investments — 1.1% | 5,431,115 | ||||
(Cost $5,431,115) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.0% | |||||
Call Options Purchased — 97.5% | |||||
11,150 | SPDR® S&P 500® ETF Trust | $502,140,250 | $4.52 | 07/19/24 | 490,377,000 |
(Cost $491,995,742) | |||||
Put Options Purchased — 4.5% | |||||
11,150 | SPDR® S&P 500® ETF Trust | 502,140,250 | 452.18 | 07/19/24 | 22,645,650 |
(Cost $23,952,859) | |||||
Total Purchased Options | 513,022,650 | ||||
(Cost $515,948,601) | |||||
WRITTEN OPTIONS — (3.0)% | |||||
Call Options Written — (0.7)% | |||||
(11,150 ) | SPDR® S&P 500® ETF Trust | (502,140,250 ) | 531.13 | 07/19/24 | (3,222,350 ) |
(Premiums received $4,893,310) | |||||
Put Options Written — (2.3)% | |||||
(11,150 ) | SPDR® S&P 500® ETF Trust | (502,140,250 ) | 406.96 | 07/19/24 | (11,729,800 ) |
(Premiums received $12,601,917) | |||||
Total Written Options | (14,952,150 ) | ||||
(Premiums received $17,495,227) | |||||
Net Other Assets and Liabilities — (0.1)% | (289,702 ) | ||||
Net Assets — 100.0% | $503,211,913 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 102.0 |
Written Options | (3.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $5,431,115 | $5,431,115 | $— | $— |
Purchased Options | 513,022,650 | — | 513,022,650 | — |
Total | $518,453,765 | $5,431,115 | $513,022,650 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(14,952,150 ) | $— | $(14,952,150 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.1% | |||||
3,124,882 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,124,882 | |||
(Cost $3,124,882) | |||||
Total Investments — 1.1% | 3,124,882 | ||||
(Cost $3,124,882) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 100.7% | |||||
Call Options Purchased — 97.5% | |||||
6,354 | SPDR® S&P 500® ETF Trust | $286,152,390 | $4.51 | 07/19/24 | 279,404,442 |
(Cost $280,651,750) | |||||
Put Options Purchased — 3.2% | |||||
6,354 | SPDR® S&P 500® ETF Trust | 286,152,390 | 429.57 | 07/19/24 | 9,276,840 |
(Cost $9,980,835) | |||||
Total Purchased Options | 288,681,282 | ||||
(Cost $290,632,585) | |||||
WRITTEN OPTIONS — (1.7)% | |||||
Call Options Written — (1.0)% | |||||
(6,354 ) | SPDR® S&P 500® ETF Trust | (286,152,390 ) | 519.06 | 07/19/24 | (3,037,212 ) |
(Premiums received $4,148,218) | |||||
Put Options Written — (0.7)% | |||||
(6,354 ) | SPDR® S&P 500® ETF Trust | (286,152,390 ) | 316.53 | 07/19/24 | (1,912,554 ) |
(Premiums received $2,211,287) | |||||
Total Written Options | (4,949,766 ) | ||||
(Premiums received $6,359,505) | |||||
Net Other Assets and Liabilities — (0.1)% | (218,875 ) | ||||
Net Assets — 100.0% | $286,637,523 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.1% |
Purchased Options | 100.7 |
Written Options | (1.7) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,124,882 | $3,124,882 | $— | $— |
Purchased Options | 288,681,282 | — | 288,681,282 | — |
Total | $291,806,164 | $3,124,882 | $288,681,282 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(4,949,766 ) | $— | $(4,949,766 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.2% | |||||
6,356,050 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $6,356,050 | |||
(Cost $6,356,050) | |||||
Total Investments — 1.2% | 6,356,050 | ||||
(Cost $6,356,050) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.4% | |||||
Call Options Purchased — 98.6% | |||||
12,593 | SPDR® S&P 500® ETF Trust | $567,125,755 | $4.37 | 08/16/24 | 553,940,884 |
(Cost $537,012,390) | |||||
Put Options Purchased — 3.8% | |||||
12,593 | SPDR® S&P 500® ETF Trust | 567,125,755 | 436.50 | 08/16/24 | 21,559,216 |
(Cost $26,461,846) | |||||
Total Purchased Options | 575,500,100 | ||||
(Cost $563,474,236) | |||||
WRITTEN OPTIONS — (3.5)% | |||||
Call Options Written — (1.4)% | |||||
(12,593 ) | SPDR® S&P 500® ETF Trust | (567,125,755 ) | 518.13 | 08/16/24 | (7,870,625 ) |
(Premiums received $5,758,275) | |||||
Put Options Written — (2.1)% | |||||
(12,593 ) | SPDR® S&P 500® ETF Trust | (567,125,755 ) | 392.85 | 08/16/24 | (11,749,269 ) |
(Premiums received $13,687,377) | |||||
Total Written Options | (19,619,894 ) | ||||
(Premiums received $19,445,652) | |||||
Net Other Assets and Liabilities — (0.1)% | (304,510 ) | ||||
Net Assets — 100.0% | $561,931,746 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.2% |
Purchased Options | 102.4 |
Written Options | (3.5) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $6,356,050 | $6,356,050 | $— | $— |
Purchased Options | 575,500,100 | — | 575,500,100 | — |
Total | $581,856,150 | $6,356,050 | $575,500,100 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(19,619,894 ) | $— | $(19,619,894 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.3% | |||||
5,105,567 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $5,105,567 | |||
(Cost $5,105,567) | |||||
Total Investments — 1.3% | 5,105,567 | ||||
(Cost $5,105,567) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.1% | |||||
Call Options Purchased — 99.4% | |||||
8,484 | SPDR® S&P 500® ETF Trust | $382,076,940 | $4.36 | 08/16/24 | 375,413,142 |
(Cost $361,442,331) | |||||
Put Options Purchased — 2.7% | |||||
8,484 | SPDR® S&P 500® ETF Trust | 382,076,940 | 414.68 | 08/16/24 | 10,200,646 |
(Cost $13,267,381) | |||||
Total Purchased Options | 385,613,788 | ||||
(Cost $374,709,712) | |||||
WRITTEN OPTIONS — (3.1)% | |||||
Call Options Written — (2.5)% | |||||
(8,484 ) | SPDR® S&P 500® ETF Trust | (382,076,940 ) | 503.02 | 08/16/24 | (9,526,964 ) |
(Premiums received $5,402,554) | |||||
Put Options Written — (0.6)% | |||||
(8,484 ) | SPDR® S&P 500® ETF Trust | (382,076,940 ) | 305.55 | 08/16/24 | (2,205,281 ) |
(Premiums received $2,991,102) | |||||
Total Written Options | (11,732,245 ) | ||||
(Premiums received $8,393,656) | |||||
Net Other Assets and Liabilities — (0.3)% | (1,135,924 ) | ||||
Net Assets — 100.0% | $377,851,186 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.3% |
Purchased Options | 102.1 |
Written Options | (3.1) |
Net Other Assets and Liabilities | (0.3) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $5,105,567 | $5,105,567 | $— | $— |
Purchased Options | 385,613,788 | — | 385,613,788 | — |
Total | $390,719,355 | $5,105,567 | $385,613,788 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(11,732,245 ) | $— | $(11,732,245 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.4% | |||||
1,105,382 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,105,382 | |||
(Cost $1,105,382) | |||||
Total Investments — 0.4% | 1,105,382 | ||||
(Cost $1,105,382) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 99.7% | |||||
Call Options Purchased — 99.7% | |||||
7,270 | SPDR® S&P 500® ETF Trust | $327,404,450 | $3.86 | 09/15/23 | 323,289,630 |
(Cost $285,022,447) | |||||
Put Options Purchased — 0.0% | |||||
7,270 | SPDR® S&P 500® ETF Trust | 327,404,450 | 385.56 | 09/15/23 | 101,780 |
(Cost $16,858,942) | |||||
Total Purchased Options | 323,391,410 | ||||
(Cost $301,881,389) | |||||
WRITTEN OPTIONS — (0.0)% | |||||
Call Options Written — (0.0)% | |||||
(7,270 ) | SPDR® S&P 500® ETF Trust | (327,404,450 ) | 475.82 | 09/15/23 | (7,270 ) |
(Premiums received $3,605,605) | |||||
Put Options Written — (0.0)% | |||||
(7,270 ) | SPDR® S&P 500® ETF Trust | (327,404,450 ) | 347.00 | 09/15/23 | (7,270 ) |
(Premiums received $6,573,879) | |||||
Total Written Options | (14,540 ) | ||||
(Premiums received $10,179,484) | |||||
Net Other Assets and Liabilities — (0.1)% | (175,525 ) | ||||
Net Assets — 100.0% | $324,306,727 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.4% |
Purchased Options | 99.7 |
Written Options | (0.0)(1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,105,382 | $1,105,382 | $— | $— |
Purchased Options | 323,391,410 | — | 323,391,410 | — |
Total | $324,496,792 | $1,105,382 | $323,391,410 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(14,540 ) | $— | $(14,540 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.3% | |||||
442,485 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $442,485 | |||
(Cost $442,485) | |||||
Total Investments — 0.3% | 442,485 | ||||
(Cost $442,485) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 100.6% | |||||
Call Options Purchased — 100.6% | |||||
3,137 | SPDR® S&P 500® ETF Trust | $141,274,795 | $3.85 | 09/15/23 | 139,607,274 |
(Cost $119,337,522) | |||||
Put Options Purchased — 0.0% | |||||
3,137 | SPDR® S&P 500® ETF Trust | 141,274,795 | 366.28 | 09/15/23 | 20,741 |
(Cost $9,726,207) | |||||
Total Purchased Options | 139,628,015 | ||||
(Cost $129,063,729) | |||||
WRITTEN OPTIONS — (0.8)% | |||||
Call Options Written — (0.8)% | |||||
(3,137 ) | SPDR® S&P 500® ETF Trust | (141,274,795 ) | 451.03 | 09/15/23 | (1,138,952 ) |
(Premiums received $2,406,789) | |||||
Put Options Written — (0.0)% | |||||
(3,137 ) | SPDR® S&P 500® ETF Trust | (141,274,795 ) | 269.89 | 09/15/23 | (1,902 ) |
(Premiums received $1,730,073) | |||||
Total Written Options | (1,140,854 ) | ||||
(Premiums received $4,136,862) | |||||
Net Other Assets and Liabilities — (0.1)% | (94,385 ) | ||||
Net Assets — 100.0% | $138,835,261 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.3% |
Purchased Options | 100.6 |
Written Options | (0.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $442,485 | $442,485 | $— | $— |
Purchased Options | 139,628,015 | — | 139,628,015 | — |
Total | $140,070,500 | $442,485 | $139,628,015 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(1,140,854 ) | $— | $(1,140,854 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.4% | |||||
1,121,199 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,121,199 | |||
(Cost $1,121,199) | |||||
Total Investments — 0.4% | 1,121,199 | ||||
(Cost $1,121,199) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 99.9% | |||||
Call Options Purchased — 99.8% | |||||
6,247 | SPDR® S&P 500® ETF Trust | $281,333,645 | $3.74 | 10/20/23 | 277,804,090 |
(Cost $234,316,830) | |||||
Put Options Purchased — 0.1% | |||||
6,247 | SPDR® S&P 500® ETF Trust | 281,333,645 | 374.29 | 10/20/23 | 231,139 |
(Cost $18,883,161) | |||||
Total Purchased Options | 278,035,229 | ||||
(Cost $253,199,991) | |||||
WRITTEN OPTIONS — (0.2)% | |||||
Call Options Written — (0.2)% | |||||
(6,247 ) | SPDR® S&P 500® ETF Trust | (281,333,645 ) | 475.80 | 10/20/23 | (412,302 ) |
(Premiums received $3,689,339) | |||||
Put Options Written — (0.0)% | |||||
(6,247 ) | SPDR® S&P 500® ETF Trust | (281,333,645 ) | 336.86 | 10/20/23 | (74,964 ) |
(Premiums received $10,507,377) | |||||
Total Written Options | (487,266 ) | ||||
(Premiums received $14,196,716) | |||||
Net Other Assets and Liabilities — (0.1)% | (208,676 ) | ||||
Net Assets — 100.0% | $278,460,486 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.4% |
Purchased Options | 99.9 |
Written Options | (0.2) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,121,199 | $1,121,199 | $— | $— |
Purchased Options | 278,035,229 | — | 278,035,229 | — |
Total | $279,156,428 | $1,121,199 | $278,035,229 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(487,266 ) | $— | $(487,266 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.4% | |||||
653,073 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $653,073 | |||
(Cost $653,073) | |||||
Total Investments — 0.4% | 653,073 | ||||
(Cost $653,073) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.5% | |||||
Call Options Purchased — 102.4% | |||||
3,673 | SPDR® S&P 500® ETF Trust | $165,413,555 | $3.73 | 10/20/23 | 163,672,318 |
(Cost $141,455,227) | |||||
Put Options Purchased — 0.1% | |||||
3,673 | SPDR® S&P 500® ETF Trust | 165,413,555 | 355.58 | 10/20/23 | 78,457 |
(Cost $8,825,939) | |||||
Total Purchased Options | 163,750,775 | ||||
(Cost $150,281,166) | |||||
WRITTEN OPTIONS — (2.8)% | |||||
Call Options Written — (2.8)% | |||||
(3,673 ) | SPDR® S&P 500® ETF Trust | (165,413,555 ) | 446.15 | 10/20/23 | (4,495,854 ) |
(Premiums received $4,877,486) | |||||
Put Options Written — (0.0)% | |||||
(3,673 ) | SPDR® S&P 500® ETF Trust | (165,413,555 ) | 262.00 | 10/20/23 | (5,748 ) |
(Premiums received $1,743,812) | |||||
Total Written Options | (4,501,602 ) | ||||
(Premiums received $6,621,298) | |||||
Net Other Assets and Liabilities — (0.1)% | (113,218 ) | ||||
Net Assets — 100.0% | $159,789,028 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.4% |
Purchased Options | 102.5 |
Written Options | (2.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $653,073 | $653,073 | $— | $— |
Purchased Options | 163,750,775 | — | 163,750,775 | — |
Total | $164,403,848 | $653,073 | $163,750,775 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(4,501,602 ) | $— | $(4,501,602 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
1,957,458 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,957,458 | |||
(Cost $1,957,458) | |||||
Total Investments — 0.5% | 1,957,458 | ||||
(Cost $1,957,458) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 99.8% | |||||
Call Options Purchased — 99.5% | |||||
8,779 | SPDR® S&P 500® ETF Trust | $395,362,265 | $3.96 | 11/17/23 | 391,246,451 |
(Cost $343,114,730) | |||||
Put Options Purchased — 0.3% | |||||
8,779 | SPDR® S&P 500® ETF Trust | 395,362,265 | 396.03 | 11/17/23 | 1,202,898 |
(Cost $27,425,881) | |||||
Total Purchased Options | 392,449,349 | ||||
(Cost $370,540,611) | |||||
WRITTEN OPTIONS — (0.2)% | |||||
Call Options Written — (0.1)% | |||||
(8,779 ) | SPDR® S&P 500® ETF Trust | (395,362,265 ) | 490.17 | 11/17/23 | (525,630 ) |
(Premiums received $4,142,132) | |||||
Put Options Written — (0.1)% | |||||
(8,779 ) | SPDR® S&P 500® ETF Trust | (395,362,265 ) | 356.43 | 11/17/23 | (435,524 ) |
(Premiums received $13,764,212) | |||||
Total Written Options | (961,154 ) | ||||
(Premiums received $17,906,344) | |||||
Net Other Assets and Liabilities — (0.1)% | (266,634 ) | ||||
Net Assets — 100.0% | $393,179,019 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 99.8 |
Written Options | (0.2) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,957,458 | $1,957,458 | $— | $— |
Purchased Options | 392,449,349 | — | 392,449,349 | — |
Total | $394,406,807 | $1,957,458 | $392,449,349 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(961,154 ) | $— | $(961,154 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.2% | |||||
3,012,574 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,012,574 | |||
(Cost $3,012,574) | |||||
Total Investments — 1.2% | 3,012,574 | ||||
(Cost $3,012,574) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 100.9% | |||||
Call Options Purchased — 100.7% | |||||
5,447 | SPDR® S&P 500® ETF Trust | $245,305,645 | $3.95 | 11/17/23 | 242,757,337 |
(Cost $209,464,331) | |||||
Put Options Purchased — 0.2% | |||||
5,447 | SPDR® S&P 500® ETF Trust | 245,305,645 | 376.23 | 11/17/23 | 451,580 |
(Cost $13,778,687) | |||||
Total Purchased Options | 243,208,917 | ||||
(Cost $223,243,018) | |||||
WRITTEN OPTIONS — (1.3)% | |||||
Call Options Written — (1.3)% | |||||
(5,447 ) | SPDR® S&P 500® ETF Trust | (245,305,645 ) | 464.11 | 11/17/23 | (3,139,402 ) |
(Premiums received $6,065,084) | |||||
Put Options Written — (0.0)% | |||||
(5,447 ) | SPDR® S&P 500® ETF Trust | (245,305,645 ) | 277.22 | 11/17/23 | (26,621 ) |
(Premiums received $2,927,576) | |||||
Total Written Options | (3,166,023 ) | ||||
(Premiums received $8,992,660) | |||||
Net Other Assets and Liabilities — (0.8)% | (2,011,059 ) | ||||
Net Assets — 100.0% | $241,044,409 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.2% |
Purchased Options | 100.9 |
Written Options | (1.3) |
Net Other Assets and Liabilities | (0.8) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,012,574 | $3,012,574 | $— | $— |
Purchased Options | 243,208,917 | — | 243,208,917 | — |
Total | $246,221,491 | $3,012,574 | $243,208,917 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(3,166,023 ) | $— | $(3,166,023 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
1,562,128 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,562,128 | |||
(Cost $1,562,128) | |||||
Total Investments — 0.5% | 1,562,128 | ||||
(Cost $1,562,128) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 100.8% | |||||
Call Options Purchased — 100.4% | |||||
6,729 | SPDR® S&P 500® ETF Trust | $303,040,515 | $3.83 | 12/15/23 | 298,128,345 |
(Cost $260,752,299) | |||||
Put Options Purchased — 0.4% | |||||
6,729 | SPDR® S&P 500® ETF Trust | 303,040,515 | 383.27 | 12/15/23 | 1,251,594 |
(Cost $13,910,617) | |||||
Total Purchased Options | 299,379,939 | ||||
(Cost $274,662,916) | |||||
WRITTEN OPTIONS — (1.2)% | |||||
Call Options Written — (1.0)% | |||||
(6,729 ) | SPDR® S&P 500® ETF Trust | (303,040,515 ) | 471.81 | 12/15/23 | (3,095,340 ) |
(Premiums received $5,052,241) | |||||
Put Options Written — (0.2)% | |||||
(6,729 ) | SPDR® S&P 500® ETF Trust | (303,040,515 ) | 344.94 | 12/15/23 | (538,320 ) |
(Premiums received $6,091,562) | |||||
Total Written Options | (3,633,660 ) | ||||
(Premiums received $11,143,803) | |||||
Net Other Assets and Liabilities — (0.1)% | (176,916 ) | ||||
Net Assets — 100.0% | $297,131,491 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 100.8 |
Written Options | (1.2) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,562,128 | $1,562,128 | $— | $— |
Purchased Options | 299,379,939 | — | 299,379,939 | — |
Total | $300,942,067 | $1,562,128 | $299,379,939 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(3,633,660 ) | $— | $(3,633,660 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
1,448,367 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,448,367 | |||
(Cost $1,448,367) | |||||
Total Investments — 0.5% | 1,448,367 | ||||
(Cost $1,448,367) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.6% | |||||
Call Options Purchased — 103.3% | |||||
6,505 | SPDR® S&P 500® ETF Trust | $292,952,675 | $3.82 | 12/15/23 | 288,093,440 |
(Cost $248,255,005) | |||||
Put Options Purchased — 0.3% | |||||
6,505 | SPDR® S&P 500® ETF Trust | 292,952,675 | 364.11 | 12/15/23 | 806,620 |
(Cost $13,426,081) | |||||
Total Purchased Options | 288,900,060 | ||||
(Cost $261,681,086) | |||||
WRITTEN OPTIONS — (4.0)% | |||||
Call Options Written — (4.0)% | |||||
(6,505 ) | SPDR® S&P 500® ETF Trust | (292,952,675 ) | 447.20 | 12/15/23 | (11,058,500 ) |
(Premiums received $6,653,234) | |||||
Put Options Written — (0.0)% | |||||
(6,505 ) | SPDR® S&P 500® ETF Trust | (292,952,675 ) | 268.29 | 12/15/23 | (110,585 ) |
(Premiums received $4,790,297) | |||||
Total Written Options | (11,169,085 ) | ||||
(Premiums received $11,443,531) | |||||
Net Other Assets and Liabilities — (0.1)% | (196,290 ) | ||||
Net Assets — 100.0% | $278,983,052 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 103.6 |
Written Options | (4.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,448,367 | $1,448,367 | $— | $— |
Purchased Options | 288,900,060 | — | 288,900,060 | — |
Total | $290,348,427 | $1,448,367 | $288,900,060 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(11,169,085 ) | $— | $(11,169,085 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets (a) — 100.0% | |||||
547,320 | FT Cboe Vest U.S. Equity Deep Buffer ETF - January (b) | $18,127,786 | |||
685,348 | FT Cboe Vest U.S. Equity Deep Buffer ETF - March (b) | 22,342,345 | |||
560,142 | FT Cboe Vest U.S. Equity Deep Buffer ETF - April (b) | 17,375,605 | |||
521,154 | FT Cboe Vest U.S. Equity Deep Buffer ETF - October (b) | 18,495,286 | |||
557,839 | FT Cboe Vest U.S. Equity Deep Buffer ETF - December (b) | 19,083,672 | |||
Total Investments — 100.0% | 95,424,694 | ||||
(Cost $91,334,713) | |||||
Net Other Assets and Liabilities — 0.0% | 5,750 | ||||
Net Assets — 100.0% | $95,430,444 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Net Other Assets and Liabilities | 0.0(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $95,424,694 | $95,424,694 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets (a) — 100.0% | |||||
701,095 | FT Cboe Vest U.S. Equity Buffer ETF - May (b) | $27,665,209 | |||
847,539 | FT Cboe Vest U.S. Equity Buffer ETF - June (b) | 35,562,736 | |||
897,446 | FT Cboe Vest U.S. Equity Buffer ETF - July (b) | 35,601,683 | |||
907,290 | FT Cboe Vest U.S. Equity Buffer ETF - August (b) | 35,066,758 | |||
785,210 | FT Cboe Vest U.S. Equity Buffer ETF - September (b) | 30,243,934 | |||
Total Investments — 100.0% | 164,140,320 | ||||
(Cost $160,164,823) | |||||
Net Other Assets and Liabilities — 0.0% | 7,491 | ||||
Net Assets — 100.0% | $164,147,811 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Net Other Assets and Liabilities | 0.0(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $164,140,320 | $164,140,320 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Statements of Assets and Liabilities
August 31, 2023
FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN) | FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN) | FT Cboe Vest U.S. Equity Buffer ETF - February (FFEB) | FT Cboe Vest U.S. Equity Deep Buffer ETF - February (DFEB) | |
ASSETS: | ||||
Investments, at value - Unaffiliated | $2,033,626 | $1,127,282 | $2,649,806 | $1,417,769 |
Investments, at value - Affiliated | — | — | — | — |
Total investments, at value | 2,033,626 | 1,127,282 | 2,649,806 | 1,417,769 |
Options contracts purchased, at value | 342,337,860 | 191,452,029 | 390,443,170 | 211,099,482 |
Cash | — | — | — | — |
Due from broker | 727 | 1,318 | 153 | 7,274 |
Due from authorized participant | — | — | — | — |
Receivables: | ||||
Capital shares sold | 6,592,498 | — | 1,008,564 | — |
Investment securities sold | 137,759 | — | 17,351 | — |
Dividends | 9,252 | 5,045 | 13,332 | 7,207 |
Total Assets | 351,111,722 | 192,585,674 | 394,132,376 | 212,531,732 |
LIABILITIES: | ||||
Options contracts written, at value | 7,062,228 | 7,436,799 | 6,593,470 | 6,040,325 |
Due to custodian | — | — | — | — |
Due to broker | — | — | — | — |
Payables: | ||||
Investment securities purchased | 6,697,140 | — | 1,031,081 | — |
Investment advisory fees | 233,043 | 120,485 | 273,672 | 148,637 |
Capital shares purchased | — | — | — | — |
Total Liabilities | 13,992,411 | 7,557,284 | 7,898,223 | 6,188,962 |
NET ASSETS | $337,119,311 | $185,028,390 | $386,234,153 | $206,342,770 |
NET ASSETS consist of: | ||||
Paid-in capital | $336,352,536 | $187,712,263 | $389,465,675 | $233,744,505 |
Par value | 89,500 | 55,750 | 95,750 | 57,500 |
Accumulated distributable earnings (loss) | 677,275 | (2,739,623 ) | (3,327,272 ) | (27,459,235 ) |
NET ASSETS | $337,119,311 | $185,028,390 | $386,234,153 | $206,342,770 |
NET ASSET VALUE, per share | $37.67 | $33.19 | $40.34 | $35.89 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 8,950,002 | 5,575,002 | 9,575,002 | 5,750,002 |
Investments, at cost - Unaffiliated | $2,033,626 | $1,127,282 | $2,649,806 | $1,417,769 |
Investments, at cost - Affiliated | $— | $— | $— | $— |
Total investments, at cost | $2,033,626 | $1,127,282 | $2,649,806 | $1,417,769 |
Premiums paid on options contracts purchased | $320,420,067 | $176,589,044 | $370,728,372 | $196,714,220 |
Premiums received on options contracts written | $13,799,560 | $6,022,449 | $15,742,148 | $6,169,233 |
FT Cboe Vest U.S. Equity Buffer ETF - March (FMAR) | FT Cboe Vest U.S. Equity Deep Buffer ETF - March (DMAR) | FT Cboe Vest U.S. Equity Buffer ETF - April (FAPR) | FT Cboe Vest U.S. Equity Deep Buffer ETF - April (DAPR) | FT Cboe Vest U.S. Equity Buffer ETF - May (FMAY) | FT Cboe Vest U.S. Equity Deep Buffer ETF - May (DMAY) |
$2,295,493 | $1,489,116 | $3,351,874 | $2,741,864 | $4,739,946 | $1,559,053 |
— | — | — | — | — | — |
2,295,493 | 1,489,116 | 3,351,874 | 2,741,864 | 4,739,946 | 1,559,053 |
331,779,140 | 213,476,670 | 413,765,805 | 242,784,005 | 536,334,080 | 178,403,006 |
— | — | — | — | — | — |
346 | 1,755 | — | 128 | 1,311 | 774 |
— | — | — | — | — | — |
3,606,064 | — | 831,432 | 100 | 985,346 | — |
145,116 | — | 21,877 | — | 32,071 | — |
10,209 | 6,690 | 14,941 | 10,993 | 20,208 | 9,257 |
337,836,368 | 214,974,231 | 417,985,929 | 245,537,090 | 542,112,962 | 179,972,090 |
13,008,179 | 13,673,371 | 11,199,510 | 9,668,118 | 16,582,390 | 7,026,703 |
— | — | — | — | — | — |
— | — | 163 | — | — | — |
3,706,996 | — | 810,029 | — | 1,039,292 | — |
219,954 | 142,066 | 283,095 | 171,666 | 350,557 | 135,963 |
— | — | — | 776,315 | — | — |
16,935,129 | 13,815,437 | 12,292,797 | 10,616,099 | 17,972,239 | 7,162,666 |
$320,901,239 | $201,158,794 | $405,693,132 | $234,920,991 | $524,140,723 | $172,809,424 |
$316,004,781 | $212,042,364 | $415,224,267 | $255,323,512 | $547,704,518 | $182,269,641 |
89,000 | 61,500 | 122,000 | 75,500 | 133,000 | 49,750 |
4,807,458 | (10,945,070 ) | (9,653,135 ) | (20,478,021 ) | (23,696,795 ) | (9,509,967 ) |
$320,901,239 | $201,158,794 | $405,693,132 | $234,920,991 | $524,140,723 | $172,809,424 |
$36.06 | $32.71 | $33.25 | $31.12 | $39.41 | $34.74 |
8,900,002 | 6,150,002 | 12,200,002 | 7,550,002 | 13,300,002 | 4,975,002 |
$2,295,493 | $1,489,116 | $3,351,874 | $2,741,864 | $4,739,946 | $1,559,053 |
$— | $— | $— | $— | $— | $— |
$2,295,493 | $1,489,116 | $3,351,874 | $2,741,864 | $4,739,946 | $1,559,053 |
$306,990,605 | $194,034,961 | $397,238,347 | $228,667,333 | $522,317,942 | $170,705,839 |
$14,356,571 | $8,006,113 | $18,116,606 | $8,017,443 | $23,380,336 | $5,815,232 |
Statements of Assets and Liabilities (Continued)
August 31, 2023
FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN) | FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN) | FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL) | FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL) | |
ASSETS: | ||||
Investments, at value - Unaffiliated | $5,381,119 | $1,748,754 | $5,431,115 | $3,124,882 |
Investments, at value - Affiliated | — | — | — | — |
Total investments, at value | 5,381,119 | 1,748,754 | 5,431,115 | 3,124,882 |
Options contracts purchased, at value | 542,498,664 | 177,480,558 | 513,022,650 | 288,681,282 |
Cash | — | — | — | — |
Due from broker | 904 | 1,351 | 362 | 105 |
Due from authorized participant | — | — | — | — |
Receivables: | ||||
Capital shares sold | — | 1,818,995 | 2,972,067 | 323 |
Investment securities sold | — | 37,531 | 88,334 | 2,634,942 |
Dividends | 23,806 | 8,576 | 23,190 | 17,039 |
Total Assets | 547,904,493 | 181,095,765 | 521,537,718 | 294,458,573 |
LIABILITIES: | ||||
Options contracts written, at value | 13,647,795 | 3,610,494 | 14,952,150 | 4,949,766 |
Due to custodian | — | — | — | — |
Due to broker | — | — | — | — |
Payables: | ||||
Investment securities purchased | — | 1,850,273 | 3,036,898 | 45,333 |
Investment advisory fees | 364,054 | 122,524 | 336,757 | 204,267 |
Capital shares purchased | — | — | — | 2,621,684 |
Total Liabilities | 14,011,849 | 5,583,291 | 18,325,805 | 7,821,050 |
NET ASSETS | $533,892,644 | $175,512,474 | $503,211,913 | $286,637,523 |
NET ASSETS consist of: | ||||
Paid-in capital | $557,508,849 | $184,626,846 | $532,722,402 | $299,009,355 |
Par value | 126,750 | 48,250 | 127,000 | 82,000 |
Accumulated distributable earnings (loss) | (23,742,955 ) | (9,162,622 ) | (29,637,489 ) | (12,453,832 ) |
NET ASSETS | $533,892,644 | $175,512,474 | $503,211,913 | $286,637,523 |
NET ASSET VALUE, per share | $42.12 | $36.38 | $39.62 | $34.96 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 12,675,002 | 4,825,002 | 12,700,002 | 8,200,002 |
Investments, at cost - Unaffiliated | $5,381,119 | $1,748,754 | $5,431,115 | $3,124,882 |
Investments, at cost - Affiliated | $— | $— | $— | $— |
Total investments, at cost | $5,381,119 | $1,748,754 | $5,431,115 | $3,124,882 |
Premiums paid on options contracts purchased | $537,276,126 | $177,620,636 | $515,948,601 | $290,632,585 |
Premiums received on options contracts written | $20,806,337 | $6,405,986 | $17,495,227 | $6,359,505 |
FT Cboe Vest U.S. Equity Buffer ETF - August (FAUG) | FT Cboe Vest U.S. Equity Deep Buffer ETF - August (DAUG) | FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP) | FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP) | FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT) | FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT) |
$6,356,050 | $5,105,567 | $1,105,382 | $442,485 | $1,121,199 | $653,073 |
— | — | — | — | — | — |
6,356,050 | 5,105,567 | 1,105,382 | 442,485 | 1,121,199 | 653,073 |
575,500,100 | 385,613,788 | 323,391,410 | 139,628,015 | 278,035,229 | 163,750,775 |
— | — | — | — | — | — |
7,791 | — | 1,395 | 4,293 | — | 265 |
— | — | — | 1,747,287 | — | 4,436,162 |
2,896,888 | — | 3,849,784 | — | 957,023 | — |
99,545 | — | 172 | — | 1,659 | — |
17,096 | 17,231 | 4,987 | 2,597 | 4,966 | 3,511 |
584,877,470 | 390,736,586 | 328,353,130 | 141,824,677 | 280,120,076 | 168,843,786 |
19,619,894 | 11,732,245 | 14,540 | 1,140,854 | 487,266 | 4,501,602 |
593 | — | — | — | — | — |
— | 179 | — | — | 630 | — |
2,924,966 | — | 3,825,873 | — | 979,211 | — |
400,271 | 304,273 | 205,990 | 101,275 | 192,483 | 116,994 |
— | 848,703 | — | 1,747,287 | — | 4,436,162 |
22,945,724 | 12,885,400 | 4,046,403 | 2,989,416 | 1,659,590 | 9,054,758 |
$561,931,746 | $377,851,186 | $324,306,727 | $138,835,261 | $278,460,486 | $159,789,028 |
$635,199,090 | $428,579,307 | $300,090,127 | $119,378,061 | $259,106,453 | $151,200,569 |
145,500 | 111,000 | 84,250 | 39,750 | 72,750 | 45,000 |
(73,412,844 ) | (50,839,121 ) | 24,132,350 | 19,417,450 | 19,281,283 | 8,543,459 |
$561,931,746 | $377,851,186 | $324,306,727 | $138,835,261 | $278,460,486 | $159,789,028 |
$38.62 | $34.04 | $38.49 | $34.93 | $38.28 | $35.51 |
14,550,002 | 11,100,002 | 8,425,002 | 3,975,002 | 7,275,002 | 4,500,002 |
$6,356,050 | $5,105,567 | $1,105,382 | $442,485 | $1,121,199 | $653,073 |
$— | $— | $— | $— | $— | $— |
$6,356,050 | $5,105,567 | $1,105,382 | $442,485 | $1,121,199 | $653,073 |
$563,474,236 | $374,709,712 | $301,881,389 | $129,063,729 | $253,199,991 | $150,281,166 |
$19,445,652 | $8,393,656 | $10,179,484 | $4,136,862 | $14,196,716 | $6,621,298 |
Statements of Assets and Liabilities (Continued)
August 31, 2023
FT Cboe Vest U.S. Equity Buffer ETF - November (FNOV) | FT Cboe Vest U.S. Equity Deep Buffer ETF - November (DNOV) | FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC) | FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC) | |
ASSETS: | ||||
Investments, at value - Unaffiliated | $1,957,458 | $3,012,574 | $1,562,128 | $1,448,367 |
Investments, at value - Affiliated | — | — | — | — |
Total investments, at value | 1,957,458 | 3,012,574 | 1,562,128 | 1,448,367 |
Options contracts purchased, at value | 392,449,349 | 243,208,917 | 299,379,939 | 288,900,060 |
Cash | — | — | — | — |
Due from broker | 200 | 3,021 | 1,447 | 15 |
Due from authorized participant | — | — | — | — |
Receivables: | ||||
Capital shares sold | — | 233 | 2,743,074 | 855,880 |
Investment securities sold | — | — | 33,319 | 34,288 |
Dividends | 9,936 | 6,235 | 7,165 | 9,665 |
Total Assets | 394,416,943 | 246,230,980 | 303,727,072 | 291,248,275 |
LIABILITIES: | ||||
Options contracts written, at value | 961,154 | 3,166,023 | 3,633,660 | 11,169,085 |
Due to custodian | — | — | — | — |
Due to broker | — | — | — | — |
Payables: | ||||
Investment securities purchased | — | — | 2,758,604 | 888,292 |
Investment advisory fees | 276,770 | 175,421 | 203,317 | 207,846 |
Capital shares purchased | — | 1,845,127 | — | — |
Total Liabilities | 1,237,924 | 5,186,571 | 6,595,581 | 12,265,223 |
NET ASSETS | $393,179,019 | $241,044,409 | $297,131,491 | $278,983,052 |
NET ASSETS consist of: | ||||
Paid-in capital | $398,384,902 | $256,829,555 | $297,798,235 | $272,555,293 |
Par value | 96,250 | 65,250 | 81,250 | 81,500 |
Accumulated distributable earnings (loss) | (5,302,133 ) | (15,850,396 ) | (747,994 ) | 6,346,259 |
NET ASSETS | $393,179,019 | $241,044,409 | $297,131,491 | $278,983,052 |
NET ASSET VALUE, per share | $40.85 | $36.94 | $36.57 | $34.23 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 9,625,002 | 6,525,002 | 8,125,002 | 8,150,002 |
Investments, at cost - Unaffiliated | $1,957,458 | $3,012,574 | $1,562,128 | $1,448,367 |
Investments, at cost - Affiliated | $— | $— | $— | $— |
Total investments, at cost | $1,957,458 | $3,012,574 | $1,562,128 | $1,448,367 |
Premiums paid on options contracts purchased | $370,540,611 | $223,243,018 | $274,662,916 | $261,681,086 |
Premiums received on options contracts written | $17,906,344 | $8,992,660 | $11,143,803 | $11,443,531 |
FT Cboe Vest Buffered Allocation Defensive ETF (BUFT) | FT Cboe Vest Buffered Allocation Growth ETF (BUFG) |
$— | $— |
95,424,694 | 164,140,320 |
95,424,694 | 164,140,320 |
— | — |
— | 26,928,966 |
— | — |
— | — |
— | — |
59,983 | 99,999 |
304 | 44 |
95,484,981 | 191,169,329 |
— | — |
38,378 | — |
— | — |
— | 26,996,170 |
16,159 | 25,348 |
— | — |
54,537 | 27,021,518 |
$95,430,444 | $164,147,811 |
$98,062,901 | $174,561,464 |
47,500 | 80,500 |
(2,679,957 ) | (10,494,153 ) |
$95,430,444 | $164,147,811 |
$20.09 | $20.39 |
4,750,002 | 8,050,002 |
$— | $— |
$91,334,713 | $160,164,823 |
$91,334,713 | $160,164,823 |
$— | $— |
$— | $— |
Statements of Operations
For the Year Ended August 31, 2023
FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN) | FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN) | FT Cboe Vest U.S. Equity Buffer ETF - February (FFEB) | FT Cboe Vest U.S. Equity Deep Buffer ETF - February (DFEB) | |
INVESTMENT INCOME: | ||||
Dividends | $70,060 | $53,416 | $92,509 | $79,925 |
Total investment income | 70,060 | 53,416 | 92,509 | 79,925 |
EXPENSES: | ||||
Investment advisory fees | 2,062,362 | 1,525,810 | 2,751,749 | 2,311,004 |
Total expenses | 2,062,362 | 1,525,810 | 2,751,749 | 2,311,004 |
NET INVESTMENT INCOME (LOSS) | (1,992,302 ) | (1,472,394 ) | (2,659,240 ) | (2,231,079 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments - Affiliated | — | — | — | — |
In-kind redemptions - Affiliated | — | — | — | — |
Purchased options contracts | (15,888,129 ) | (14,269,357 ) | (23,104,590 ) | (32,674,666 ) |
Written options contracts | 1,808,038 | 909,244 | 16,934,251 | 14,032,154 |
In-kind redemptions - Purchased options contracts | 4,146,583 | 4,946,117 | 5,636,385 | 4,088,984 |
In-kind redemptions - Written options contracts | 10,205,847 | 5,481,577 | 4,555,615 | 3,063,650 |
Net realized gain (loss) | 272,339 | (2,932,419 ) | 4,021,661 | (11,489,878 ) |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments - Affiliated | — | — | — | — |
Purchased options contracts | 35,914,365 | 26,160,702 | 41,182,970 | 39,005,678 |
Written options contracts | 3,747,865 | (6,303,424 ) | 2,917,166 | (12,206,475 ) |
Net change in unrealized appreciation (depreciation) | 39,662,230 | 19,857,278 | 44,100,136 | 26,799,203 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 39,934,569 | 16,924,859 | 48,121,797 | 15,309,325 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $37,942,267 | $15,452,465 | $45,462,557 | $13,078,246 |
FT Cboe Vest U.S. Equity Buffer ETF - March (FMAR) | FT Cboe Vest U.S. Equity Deep Buffer ETF - March (DMAR) | FT Cboe Vest U.S. Equity Buffer ETF - April (FAPR) | FT Cboe Vest U.S. Equity Deep Buffer ETF - April (DAPR) | FT Cboe Vest U.S. Equity Buffer ETF - May (FMAY) | FT Cboe Vest U.S. Equity Deep Buffer ETF - May (DMAY) |
$63,733 | $57,062 | $92,537 | $91,484 | $118,837 | $57,363 |
63,733 | 57,062 | 92,537 | 91,484 | 118,837 | 57,363 |
1,934,474 | 1,906,143 | 2,602,148 | 2,480,095 | 3,272,067 | 1,505,174 |
1,934,474 | 1,906,143 | 2,602,148 | 2,480,095 | 3,272,067 | 1,505,174 |
(1,870,741 ) | (1,849,081 ) | (2,509,611 ) | (2,388,611 ) | (3,153,230 ) | (1,447,811 ) |
— | — | — | — | — | — |
— | — | — | — | — | — |
(21,439,158 ) | (22,083,108 ) | (19,818,739 ) | (28,305,406 ) | (22,126,201 ) | (6,639,182 ) |
2,353,611 | 1,836,799 | 632,456 | 130,703 | 1,772,868 | 4,095,966 |
9,461,778 | 5,971,044 | 7,508,213 | 13,613,327 | 21,660,494 | 5,256,927 |
11,568,862 | 7,553,576 | 19,155,884 | 10,230,759 | 25,643,255 | 7,424,317 |
1,945,093 | (6,721,689 ) | 7,477,814 | (4,330,617 ) | 26,950,416 | 10,138,028 |
— | — | — | — | — | — |
38,304,248 | 35,185,868 | 30,010,175 | 26,363,344 | 19,812,439 | 12,291,713 |
(779,182 ) | (10,907,737 ) | 5,595,421 | (6,784,943 ) | (1,240,747 ) | (4,704,225 ) |
37,525,066 | 24,278,131 | 35,605,596 | 19,578,401 | 18,571,692 | 7,587,488 |
39,470,159 | 17,556,442 | 43,083,410 | 15,247,784 | 45,522,108 | 17,725,516 |
$37,599,418 | $15,707,361 | $40,573,799 | $12,859,173 | $42,368,878 | $16,277,705 |
Statements of Operations (Continued)
For the Year Ended August 31, 2023
FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN) | FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN) | FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL) | FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL) | |
INVESTMENT INCOME: | ||||
Dividends | $105,999 | $45,318 | $75,921 | $50,948 |
Total investment income | 105,999 | 45,318 | 75,921 | 50,948 |
EXPENSES: | ||||
Investment advisory fees | 2,780,643 | 1,353,315 | 2,164,809 | 1,344,974 |
Total expenses | 2,780,643 | 1,353,315 | 2,164,809 | 1,344,974 |
NET INVESTMENT INCOME (LOSS) | (2,674,644 ) | (1,307,997 ) | (2,088,888 ) | (1,294,026 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments - Affiliated | — | — | — | — |
In-kind redemptions - Affiliated | — | — | — | — |
Purchased options contracts | (10,991,418 ) | 5,456,062 | (13,972,984 ) | (4,752,224 ) |
Written options contracts | 2,557,368 | 335,768 | 343,056 | 1,310,464 |
In-kind redemptions - Purchased options contracts | 42,051,119 | 9,613,648 | 37,229,791 | 14,748,502 |
In-kind redemptions - Written options contracts | 18,034,240 | 4,491,213 | 15,004,381 | 5,058,436 |
Net realized gain (loss) | 51,651,309 | 19,896,691 | 38,604,244 | 16,365,178 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments - Affiliated | — | — | — | — |
Purchased options contracts | (5,718,158 ) | (7,170,214 ) | (4,258,777 ) | (1,778,541 ) |
Written options contracts | 5,273,408 | 4,577,404 | 1,221,940 | 750,379 |
Net change in unrealized appreciation (depreciation) | (444,750 ) | (2,592,810 ) | (3,036,837 ) | (1,028,162 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 51,206,559 | 17,303,881 | 35,567,407 | 15,337,016 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $48,531,915 | $15,995,884 | $33,478,519 | $14,042,990 |
FT Cboe Vest U.S. Equity Buffer ETF - August (FAUG) | FT Cboe Vest U.S. Equity Deep Buffer ETF - August (DAUG) | FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP) | FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP) | FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT) | FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT) |
$100,480 | $104,773 | $76,324 | $79,272 | $80,794 | $58,959 |
100,480 | 104,773 | 76,324 | 79,272 | 80,794 | 58,959 |
3,104,399 | 3,363,485 | 2,241,478 | 1,665,858 | 2,228,326 | 1,482,474 |
3,104,399 | 3,363,485 | 2,241,478 | 1,665,858 | 2,228,326 | 1,482,474 |
(3,003,919 ) | (3,258,712 ) | (2,165,154 ) | (1,586,586 ) | (2,147,532 ) | (1,423,515 ) |
— | — | — | — | — | — |
— | — | — | — | — | — |
(48,998,949 ) | (31,827,861 ) | (13,725,780 ) | (8,087,958 ) | (16,279,044 ) | (15,107,518 ) |
(276,363 ) | 650,786 | (1,010,551 ) | 1,974,326 | (406,744 ) | 4,685,499 |
30,694,490 | 48,946,578 | 9,264,317 | 10,935,806 | 8,685,184 | 7,851,211 |
24,387,465 | 14,127,975 | 10,028,303 | 5,371,776 | 4,586,319 | 4,125,143 |
5,806,643 | 31,897,478 | 4,556,289 | 10,193,950 | (3,414,285 ) | 1,554,335 |
— | — | — | — | — | — |
26,200,751 | 17,685,484 | 33,845,491 | 19,742,969 | 38,108,430 | 27,304,399 |
(2,335,476 ) | (5,875,183 ) | 6,339,569 | 1,409,427 | 10,437,026 | (2,366,266 ) |
23,865,275 | 11,810,301 | 40,185,060 | 21,152,396 | 48,545,456 | 24,938,133 |
29,671,918 | 43,707,779 | 44,741,349 | 31,346,346 | 45,131,171 | 26,492,468 |
$26,667,999 | $40,449,067 | $42,576,195 | $29,759,760 | $42,983,639 | $25,068,953 |
Statements of Operations (Continued)
For the Year Ended August 31, 2023
FT Cboe Vest U.S. Equity Buffer ETF - November (FNOV) | FT Cboe Vest U.S. Equity Deep Buffer ETF - November (DNOV) | FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC) | FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC) | |
INVESTMENT INCOME: | ||||
Dividends | $110,970 | $95,844 | $69,853 | $85,781 |
Total investment income | 110,970 | 95,844 | 69,853 | 85,781 |
EXPENSES: | ||||
Investment advisory fees | 3,063,702 | 2,584,623 | 2,002,992 | 2,480,190 |
Total expenses | 3,063,702 | 2,584,623 | 2,002,992 | 2,480,190 |
NET INVESTMENT INCOME (LOSS) | (2,952,732 ) | (2,488,779 ) | (1,933,139 ) | (2,394,409 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments - Affiliated | — | — | — | — |
In-kind redemptions - Affiliated | — | — | — | — |
Purchased options contracts | (27,480,004 ) | (34,052,972 ) | (23,972,872 ) | (19,195,737 ) |
Written options contracts | 1,260,873 | 2,390,510 | (5,581,671 ) | 476,424 |
In-kind redemptions - Purchased options contracts | 15,208,444 | 11,986,453 | 11,515,483 | 10,848,558 |
In-kind redemptions - Written options contracts | 7,482,937 | 13,031,530 | 8,893,178 | 10,265,023 |
Net realized gain (loss) | (3,527,750 ) | (6,644,479 ) | (9,145,882 ) | 2,394,268 |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments - Affiliated | — | — | — | — |
Purchased options contracts | 43,644,617 | 46,743,960 | 42,324,627 | 42,678,473 |
Written options contracts | 17,349,823 | (4,521,643 ) | 7,274,414 | (6,730,435 ) |
Net change in unrealized appreciation (depreciation) | 60,994,440 | 42,222,317 | 49,599,041 | 35,948,038 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 57,466,690 | 35,577,838 | 40,453,159 | 38,342,306 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $54,513,958 | $33,089,059 | $38,520,020 | $35,947,897 |
FT Cboe Vest Buffered Allocation Defensive ETF (BUFT) | FT Cboe Vest Buffered Allocation Growth ETF (BUFG) |
$3,556 | $2,539 |
3,556 | 2,539 |
250,217 | 301,891 |
250,217 | 301,891 |
(246,661 ) | (299,352 ) |
(527,060 ) | (3,022,309 ) |
3,973,656 | 14,577,234 |
— | — |
— | — |
— | — |
— | — |
3,446,596 | 11,554,925 |
4,773,322 | 5,644,353 |
— | — |
— | — |
4,773,322 | 5,644,353 |
8,219,918 | 17,199,278 |
$7,973,257 | $16,899,926 |
Statements of Changes in Net Assets
FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN) | FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $(1,992,302 ) | $(1,391,171 ) | $(1,472,394 ) | $(753,767 ) |
Net realized gain (loss) | 272,339 | 14,262,964 | (2,932,419 ) | 3,109,306 |
Net change in unrealized appreciation (depreciation) | 39,662,230 | (20,809,090 ) | 19,857,278 | (7,850,906 ) |
Net increase (decrease) in net assets resulting from operations | 37,942,267 | (7,937,297 ) | 15,452,465 | (5,495,367 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 406,801,786 | 328,102,017 | 258,344,193 | 159,018,136 |
Cost of shares redeemed | (296,858,003 ) | (257,742,698 ) | (221,699,055 ) | (70,102,594 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 109,943,783 | 70,359,319 | 36,645,138 | 88,915,542 |
Total increase (decrease) in net assets | 147,886,050 | 62,422,022 | 52,097,603 | 83,420,175 |
NET ASSETS: | ||||
Beginning of period | 189,233,261 | 126,811,239 | 132,930,787 | 49,510,612 |
End of period | $337,119,311 | $189,233,261 | $185,028,390 | $132,930,787 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 5,850,002 | 3,800,002 | 4,325,002 | 1,550,002 |
Shares sold | 11,950,000 | 9,675,000 | 8,425,000 | 4,975,000 |
Shares redeemed | (8,850,000 ) | (7,625,000 ) | (7,175,000 ) | (2,200,000 ) |
Shares outstanding, end of period | 8,950,002 | 5,850,002 | 5,575,002 | 4,325,002 |
FT Cboe Vest U.S. Equity Buffer ETF - February (FFEB) | FT Cboe Vest U.S. Equity Deep Buffer ETF - February (DFEB) | FT Cboe Vest U.S. Equity Buffer ETF - March (FMAR) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 |
$(2,659,240 ) | $(2,252,096 ) | $(2,231,079 ) | $(2,397,117 ) | $(1,870,741 ) | $(1,156,015 ) |
4,021,661 | 21,810,047 | (11,489,878 ) | 23,889,502 | 1,945,093 | 9,014,209 |
44,100,136 | (38,316,344 ) | 26,799,203 | (29,241,578 ) | 37,525,066 | (16,742,715 ) |
45,462,557 | (18,758,393 ) | 13,078,246 | (7,749,193 ) | 37,599,418 | (8,884,521 ) |
243,479,786 | 352,535,376 | 130,634,777 | 165,534,703 | 404,646,429 | 312,117,345 |
(205,787,010 ) | (289,151,113 ) | (240,475,793 ) | (137,313,869 ) | (318,408,317 ) | (188,778,497 ) |
37,692,776 | 63,384,263 | (109,841,016 ) | 28,220,834 | 86,238,112 | 123,338,848 |
83,155,333 | 44,625,870 | (96,762,770 ) | 20,471,641 | 123,837,530 | 114,454,327 |
303,078,820 | 258,452,950 | 303,105,540 | 282,633,899 | 197,063,709 | 82,609,382 |
$386,234,153 | $303,078,820 | $206,342,770 | $303,105,540 | $320,901,239 | $197,063,709 |
8,550,002 | 6,900,002 | 8,925,002 | 8,150,002 | 6,300,002 | 2,550,002 |
6,550,000 | 9,425,000 | 3,925,000 | 4,725,000 | 12,450,000 | 9,650,000 |
(5,525,000 ) | (7,775,000 ) | (7,100,000 ) | (3,950,000 ) | (9,850,000 ) | (5,900,000 ) |
9,575,002 | 8,550,002 | 5,750,002 | 8,925,002 | 8,900,002 | 6,300,002 |
Statements of Changes in Net Assets (Continued)
FT Cboe Vest U.S. Equity Deep Buffer ETF - March (DMAR) | FT Cboe Vest U.S. Equity Buffer ETF - April (FAPR) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $(1,849,081 ) | $(958,983 ) | $(2,509,611 ) | $(1,510,112 ) |
Net realized gain (loss) | (6,721,689 ) | 5,408,208 | 7,477,814 | 4,651,169 |
Net change in unrealized appreciation (depreciation) | 24,278,131 | (10,843,530 ) | 35,605,596 | (19,147,024 ) |
Net increase (decrease) in net assets resulting from operations | 15,707,361 | (6,394,305 ) | 40,573,799 | (16,005,967 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 225,304,811 | 264,607,946 | 472,382,047 | 416,433,966 |
Cost of shares redeemed | (232,646,017 ) | (131,473,973 ) | (388,773,781 ) | (253,668,242 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (7,341,206 ) | 133,133,973 | 83,608,266 | 162,765,724 |
Total increase (decrease) in net assets | 8,366,155 | 126,739,668 | 124,182,065 | 146,759,757 |
NET ASSETS: | ||||
Beginning of period | 192,792,639 | 66,052,971 | 281,511,067 | 134,751,310 |
End of period | $201,158,794 | $192,792,639 | $405,693,132 | $281,511,067 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 6,350,002 | 2,100,002 | 9,575,002 | 4,250,002 |
Shares sold | 7,425,000 | 8,425,000 | 15,175,000 | 13,375,000 |
Shares redeemed | (7,625,000 ) | (4,175,000 ) | (12,550,000 ) | (8,050,000 ) |
Shares outstanding, end of period | 6,150,002 | 6,350,002 | 12,200,002 | 9,575,002 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April (DAPR) | FT Cboe Vest U.S. Equity Buffer ETF - May (FMAY) | FT Cboe Vest U.S. Equity Deep Buffer ETF - May (DMAY) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 |
$(2,388,611 ) | $(1,197,189 ) | $(3,153,230 ) | $(1,544,625 ) | $(1,447,811 ) | $(976,308 ) |
(4,330,617 ) | 6,280,511 | 26,950,416 | (595,333 ) | 10,138,028 | (1,890,896 ) |
19,578,401 | (9,301,745 ) | 18,571,692 | (3,022,511 ) | 7,587,488 | (2,975,092 ) |
12,859,173 | (4,218,423 ) | 42,368,878 | (5,162,469 ) | 16,277,705 | (5,842,296 ) |
396,673,654 | 345,991,375 | 625,530,976 | 466,357,686 | 170,656,279 | 335,159,808 |
(440,445,298 ) | (169,165,052 ) | (507,606,893 ) | (209,223,301 ) | (240,142,974 ) | (166,669,713 ) |
(43,771,644 ) | 176,826,323 | 117,924,083 | 257,134,385 | (69,486,695 ) | 168,490,095 |
(30,912,471 ) | 172,607,900 | 160,292,961 | 251,971,916 | (53,208,990 ) | 162,647,799 |
265,833,462 | 93,225,562 | 363,847,762 | 111,875,846 | 226,018,414 | 63,370,615 |
$234,920,991 | $265,833,462 | $524,140,723 | $363,847,762 | $172,809,424 | $226,018,414 |
8,900,002 | 3,000,002 | 10,200,002 | 3,000,002 | 7,150,002 | 1,850,002 |
13,400,000 | 11,300,000 | 16,850,000 | 13,125,000 | 5,250,000 | 10,500,000 |
(14,750,000 ) | (5,400,000 ) | (13,750,000 ) | (5,925,000 ) | (7,425,000 ) | (5,200,000 ) |
7,550,002 | 8,900,002 | 13,300,002 | 10,200,002 | 4,975,002 | 7,150,002 |
Statements of Changes in Net Assets (Continued)
FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN) | FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $(2,674,644 ) | $(1,307,676 ) | $(1,307,997 ) | $(782,365 ) |
Net realized gain (loss) | 51,651,309 | (2,682,145 ) | 19,896,691 | (5,967,985 ) |
Net change in unrealized appreciation (depreciation) | (444,750 ) | 8,294,071 | (2,592,810 ) | 4,257,627 |
Net increase (decrease) in net assets resulting from operations | 48,531,915 | 4,304,250 | 15,995,884 | (2,492,723 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 538,441,639 | 334,243,119 | 111,081,853 | 265,756,218 |
Cost of shares redeemed | (351,578,773 ) | (153,124,271 ) | (131,629,473 ) | (129,150,213 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 186,862,866 | 181,118,848 | (20,547,620 ) | 136,606,005 |
Total increase (decrease) in net assets | 235,394,781 | 185,423,098 | (4,551,736 ) | 134,113,282 |
NET ASSETS: | ||||
Beginning of period | 298,497,863 | 113,074,765 | 180,064,210 | 45,950,928 |
End of period | $533,892,644 | $298,497,863 | $175,512,474 | $180,064,210 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 8,200,002 | 3,050,002 | 5,550,002 | 1,350,002 |
Shares sold | 13,375,000 | 9,450,000 | 3,150,000 | 8,275,000 |
Shares redeemed | (8,900,000 ) | (4,300,000 ) | (3,875,000 ) | (4,075,000 ) |
Shares outstanding, end of period | 12,675,002 | 8,200,002 | 4,825,002 | 5,550,002 |
FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL) | FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL) | FT Cboe Vest U.S. Equity Buffer ETF - August (FAUG) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 |
$(2,088,888 ) | $(1,310,125 ) | $(1,294,026 ) | $(649,564 ) | $(3,003,919 ) | $(1,741,152 ) |
38,604,244 | (1,608,324 ) | 16,365,178 | (4,058,404 ) | 5,806,643 | 314,717 |
(3,036,837 ) | (276,815 ) | (1,028,162 ) | (408,532 ) | 23,865,275 | (13,578,659 ) |
33,478,519 | (3,195,264 ) | 14,042,990 | (5,116,500 ) | 26,667,999 | (15,005,094 ) |
538,570,165 | 256,049,793 | 329,544,964 | 138,113,236 | 864,196,916 | 505,209,564 |
(289,430,146 ) | (156,983,382 ) | (214,085,902 ) | (30,595,982 ) | (651,916,272 ) | (322,863,018 ) |
249,140,019 | 99,066,411 | 115,459,062 | 107,517,254 | 212,280,644 | 182,346,546 |
282,618,538 | 95,871,147 | 129,502,052 | 102,400,754 | 238,948,643 | 167,341,452 |
220,593,375 | 124,722,228 | 157,135,471 | 54,734,717 | 322,983,103 | 155,641,651 |
$503,211,913 | $220,593,375 | $286,637,523 | $157,135,471 | $561,931,746 | $322,983,103 |
6,350,002 | 3,500,002 | 5,050,002 | 1,650,002 | 9,150,002 | 4,150,002 |
13,800,000 | 7,450,000 | 9,550,000 | 4,375,000 | 22,750,000 | 13,750,000 |
(7,450,000 ) | (4,600,000 ) | (6,400,000 ) | (975,000 ) | (17,350,000 ) | (8,750,000 ) |
12,700,002 | 6,350,002 | 8,200,002 | 5,050,002 | 14,550,002 | 9,150,002 |
Statements of Changes in Net Assets (Continued)
FT Cboe Vest U.S. Equity Deep Buffer ETF - August (DAUG) | FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $(3,258,712 ) | $(1,203,464 ) | $(2,165,154 ) | $(1,050,145 ) |
Net realized gain (loss) | 31,897,478 | (7,582,194 ) | 4,556,289 | 3,504,356 |
Net change in unrealized appreciation (depreciation) | 11,810,301 | (5,122,796 ) | 40,185,060 | (6,645,284 ) |
Net increase (decrease) in net assets resulting from operations | 40,449,067 | (13,908,454 ) | 42,576,195 | (4,191,073 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 804,513,065 | 139,069,655 | 395,959,039 | 170,863,306 |
Cost of shares redeemed | (624,260,248 ) | (58,381,894 ) | (239,350,219 ) | (82,894,617 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 180,252,817 | 80,687,761 | 156,608,820 | 87,968,689 |
Total increase (decrease) in net assets | 220,701,884 | 66,779,307 | 199,185,015 | 83,777,616 |
NET ASSETS: | ||||
Beginning of period | 157,149,302 | 90,369,995 | 125,121,712 | 41,344,096 |
End of period | $377,851,186 | $157,149,302 | $324,306,727 | $125,121,712 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 4,975,002 | 2,600,002 | 3,750,002 | 1,200,002 |
Shares sold | 24,750,000 | 4,150,000 | 11,600,000 | 5,000,000 |
Shares redeemed | (18,625,000 ) | (1,775,000 ) | (6,925,000 ) | (2,450,000 ) |
Shares outstanding, end of period | 11,100,002 | 4,975,002 | 8,425,002 | 3,750,002 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP) | FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT) | FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 |
$(1,586,586 ) | $(616,042 ) | $(2,147,532 ) | $(1,246,010 ) | $(1,423,515 ) | $(876,082 ) |
10,193,950 | 2,114,847 | (3,414,285 ) | 8,127,411 | 1,554,335 | 5,993,732 |
21,152,396 | (6,219,566 ) | 48,545,456 | (16,678,598 ) | 24,938,133 | (12,307,775 ) |
29,759,760 | (4,720,761 ) | 42,983,639 | (9,797,197 ) | 25,068,953 | (7,190,125 ) |
301,664,319 | 123,483,254 | 296,029,591 | 221,146,291 | 204,061,583 | 157,311,288 |
(291,488,077 ) | (45,704,144 ) | (206,921,003 ) | (135,510,246 ) | (193,274,484 ) | (66,698,871 ) |
10,176,242 | 77,779,110 | 89,108,588 | 85,636,045 | 10,787,099 | 90,612,417 |
39,936,002 | 73,058,349 | 132,092,227 | 75,838,848 | 35,856,052 | 83,422,292 |
98,899,259 | 25,840,910 | 146,368,259 | 70,529,411 | 123,932,976 | 40,510,684 |
$138,835,261 | $98,899,259 | $278,460,486 | $146,368,259 | $159,789,028 | $123,932,976 |
3,250,002 | 800,002 | 4,450,002 | 2,050,002 | 4,050,002 | 1,250,002 |
9,950,000 | 3,925,000 | 8,950,000 | 6,400,000 | 6,475,000 | 4,900,000 |
(9,225,000 ) | (1,475,000 ) | (6,125,000 ) | (4,000,000 ) | (6,025,000 ) | (2,100,000 ) |
3,975,002 | 3,250,002 | 7,275,002 | 4,450,002 | 4,500,002 | 4,050,002 |
Statements of Changes in Net Assets (Continued)
FT Cboe Vest U.S. Equity Buffer ETF - November (FNOV) | FT Cboe Vest U.S. Equity Deep Buffer ETF - November (DNOV) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $(2,952,732 ) | $(2,195,397 ) | $(2,488,779 ) | $(1,948,255 ) |
Net realized gain (loss) | (3,527,750 ) | 15,244,224 | (6,644,479 ) | 6,967,268 |
Net change in unrealized appreciation (depreciation) | 60,994,440 | (35,203,791 ) | 42,222,317 | (20,288,492 ) |
Net increase (decrease) in net assets resulting from operations | 54,513,958 | (22,154,964 ) | 33,089,059 | (15,269,479 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 319,979,614 | 371,618,707 | 337,167,210 | 419,849,301 |
Cost of shares redeemed | (242,372,424 ) | (232,021,535 ) | (529,405,035 ) | (95,354,206 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 77,607,190 | 139,597,172 | (192,237,825 ) | 324,495,095 |
Total increase (decrease) in net assets | 132,121,148 | 117,442,208 | (159,148,766 ) | 309,225,616 |
NET ASSETS: | ||||
Beginning of period | 261,057,871 | 143,615,663 | 400,193,175 | 90,967,559 |
End of period | $393,179,019 | $261,057,871 | $241,044,409 | $400,193,175 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 7,350,002 | 3,750,002 | 12,200,002 | 2,600,002 |
Shares sold | 8,775,000 | 9,775,000 | 10,200,000 | 12,425,000 |
Shares redeemed | (6,500,000 ) | (6,175,000 ) | (15,875,000 ) | (2,825,000 ) |
Shares outstanding, end of period | 9,625,002 | 7,350,002 | 6,525,002 | 12,200,002 |
(a) | Inception date is October 26, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC) | FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC) | FT Cboe Vest Buffered Allocation Defensive ETF (BUFT) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) |
$(1,933,139 ) | $(1,466,254 ) | $(2,394,409 ) | $(1,055,125 ) | $(246,661 ) | $(153,311 ) |
(9,145,882 ) | 10,469,127 | 2,394,268 | 4,410,378 | 3,446,596 | (7,182,794 ) |
49,599,041 | (23,910,741 ) | 35,948,038 | (11,616,669 ) | 4,773,322 | (683,341 ) |
38,520,020 | (14,907,868 ) | 35,947,897 | (8,261,416 ) | 7,973,257 | (8,019,446 ) |
391,728,791 | 309,044,897 | 397,801,826 | 293,161,831 | 63,344,481 | 184,494,161 |
(323,259,505 ) | (174,937,879 ) | (406,358,710 ) | (92,853,883 ) | (130,727,007 ) | (21,635,002 ) |
68,469,286 | 134,107,018 | (8,556,884 ) | 200,307,948 | (67,382,526 ) | 162,859,159 |
106,989,306 | 119,199,150 | 27,391,013 | 192,046,532 | (59,409,269 ) | 154,839,713 |
190,142,185 | 70,943,035 | 251,592,039 | 59,545,507 | 154,839,713 | — |
$297,131,491 | $190,142,185 | $278,983,052 | $251,592,039 | $95,430,444 | $154,839,713 |
6,000,002 | 2,100,002 | 8,275,002 | 1,850,002 | 8,300,002 | — |
11,975,000 | 9,175,000 | 12,950,000 | 9,325,000 | 3,250,000 | 9,400,002 |
(9,850,000 ) | (5,275,000 ) | (13,075,000 ) | (2,900,000 ) | (6,800,000 ) | (1,100,000 ) |
8,125,002 | 6,000,002 | 8,150,002 | 8,275,002 | 4,750,002 | 8,300,002 |
Statements of Changes in Net Assets (Continued)
FT Cboe Vest Buffered Allocation Growth ETF (BUFG) | ||
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
OPERATIONS: | ||
Net investment income (loss) | $(299,352 ) | $(196,551 ) |
Net realized gain (loss) | 11,554,925 | (11,328,800 ) |
Net change in unrealized appreciation (depreciation) | 5,644,353 | (1,668,856 ) |
Net increase (decrease) in net assets resulting from operations | 16,899,926 | (13,194,207 ) |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | 288,555,492 | 402,524,414 |
Cost of shares redeemed | (304,725,396 ) | (225,912,418 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (16,169,904 ) | 176,611,996 |
Total increase (decrease) in net assets | 730,022 | 163,417,789 |
NET ASSETS: | ||
Beginning of period | 163,417,789 | — |
End of period | $164,147,811 | $163,417,789 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 9,000,002 | — |
Shares sold | 14,900,000 | 21,000,002 |
Shares redeemed | (15,850,000 ) | (12,000,000 ) |
Shares outstanding, end of period | 8,050,002 | 9,000,002 |
(a) | Inception date is October 26, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
Financial Highlights
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $32.35 | $33.37 | $30.06 |
Income from investment operations: | |||
Net investment income (loss) | (0.29 ) (b) | (0.19 ) | (0.14 ) |
Net realized and unrealized gain (loss) | 5.61 | (0.83 ) | 3.45 |
Total from investment operations | 5.32 | (1.02 ) | 3.31 |
Net asset value, end of period | $37.67 | $32.35 | $33.37 |
Total return (c) | 16.45 % | (3.06 )% | 11.01 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $337,119 | $189,233 | $126,811 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is January 15, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $30.74 | $31.94 | $30.06 |
Income from investment operations: | |||
Net investment income (loss) | (0.26 ) (b) | (0.04 ) | (0.22 ) |
Net realized and unrealized gain (loss) | 2.71 | (1.16 ) | 2.10 |
Total from investment operations | 2.45 | (1.20 ) | 1.88 |
Net asset value, end of period | $33.19 | $30.74 | $31.94 |
Total return (c) | 7.97 % | (3.76 )% | 6.25 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $185,028 | $132,931 | $49,511 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is January 15, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $35.45 | $37.46 | $31.48 | $30.68 |
Income from investment operations: | ||||
Net investment income (loss) | (0.31 ) (b) | (0.22 ) | (0.30 ) | (0.08 ) |
Net realized and unrealized gain (loss) | 5.20 | (1.79 ) | 6.28 | 0.88 |
Total from investment operations | 4.89 | (2.01 ) | 5.98 | 0.80 |
Net asset value, end of period | $40.34 | $35.45 | $37.46 | $31.48 |
Total return (c) | 13.79 % | (5.37 )% | 19.00 % | 2.61 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $386,234 | $303,079 | $258,453 | $210,925 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is February 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $33.96 | $34.68 | $31.24 | $30.68 |
Income from investment operations: | ||||
Net investment income (loss) | (0.28 ) (b) | (0.25 ) | (0.52 ) | (0.11 ) |
Net realized and unrealized gain (loss) | 2.21 | (0.47 ) | 3.96 | 0.67 |
Total from investment operations | 1.93 | (0.72 ) | 3.44 | 0.56 |
Net asset value, end of period | $35.89 | $33.96 | $34.68 | $31.24 |
Total return (c) | 5.68 % | (2.08 )% | 11.01 % | 1.83 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $206,343 | $303,106 | $282,634 | $534,276 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.85 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is February 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $31.28 | $32.40 | $29.60 |
Income from investment operations: | |||
Net investment income (loss) | (0.27 ) (b) | (0.13 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 5.05 | (0.99 ) | 2.90 |
Total from investment operations | 4.78 | (1.12 ) | 2.80 |
Net asset value, end of period | $36.06 | $31.28 | $32.40 |
Total return (c) | 15.28 % | (3.46 )% | 9.46 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $320,901 | $197,064 | $82,609 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is March 19, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $30.36 | $31.45 | $29.60 |
Income from investment operations: | |||
Net investment income (loss) | (0.25 ) (b) | (0.09 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 2.60 | (1.00 ) | 1.95 |
Total from investment operations | 2.35 | (1.09 ) | 1.85 |
Net asset value, end of period | $32.71 | $30.36 | $31.45 |
Total return (c) | 7.74 % | (3.47 )% | 6.25 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $201,159 | $192,793 | $66,053 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is March 19, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $29.40 | $31.71 | $30.04 |
Income from investment operations: | |||
Net investment income (loss) | (0.25 ) (b) | (0.12 ) | (0.08 ) |
Net realized and unrealized gain (loss) | 4.10 | (2.19 ) | 1.75 |
Total from investment operations | 3.85 | (2.31 ) | 1.67 |
Net asset value, end of period | $33.25 | $29.40 | $31.71 |
Total return (c) | 13.10 % | (7.28 )% | 5.56 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $405,693 | $281,511 | $134,751 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is April 16, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $29.87 | $31.08 | $30.04 |
Income from investment operations: | |||
Net investment income (loss) | (0.24 ) (b) | (0.07 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 1.49 | (1.14 ) | 1.14 |
Total from investment operations | 1.25 | (1.21 ) | 1.04 |
Net asset value, end of period | $31.12 | $29.87 | $31.08 |
Total return (c) | 4.18 % | (3.89 )% | 3.46 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $234,921 | $265,833 | $93,226 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is April 16, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $35.67 | $37.29 | $33.47 | $30.34 |
Income from investment operations: | ||||
Net investment income (loss) | (0.30 ) (b) | (0.05 ) | (0.16 ) | (0.07 ) |
Net realized and unrealized gain (loss) | 4.04 | (1.57 ) | 3.98 | 3.20 |
Total from investment operations | 3.74 | (1.62 ) | 3.82 | 3.13 |
Net asset value, end of period | $39.41 | $35.67 | $37.29 | $33.47 |
Total return (c) | 10.49 % | (4.34 )% | 11.41 % | 10.32 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $524,141 | $363,848 | $111,876 | $38,487 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is May 15, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $31.61 | $34.25 | $32.16 | $30.35 |
Income from investment operations: | ||||
Net investment income (loss) | (0.27 ) (b) | (0.05 ) | (0.08 ) | (0.07 ) |
Net realized and unrealized gain (loss) | 3.40 | (2.59 ) | 2.17 | 1.88 |
Total from investment operations | 3.13 | (2.64 ) | 2.09 | 1.81 |
Net asset value, end of period | $34.74 | $31.61 | $34.25 | $32.16 |
Total return (c) | 9.90 % | (7.71 )% | 6.50 % | 5.96 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $172,809 | $226,018 | $63,371 | $11,255 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is May 15, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $36.40 | $37.07 | $32.56 | $30.25 |
Income from investment operations: | ||||
Net investment income (loss) | (0.31 ) (b) | (0.08 ) | (0.15 ) | (0.05 ) |
Net realized and unrealized gain (loss) | 6.03 | (0.59 ) (c) | 4.66 | 2.36 |
Total from investment operations | 5.72 | (0.67 ) | 4.51 | 2.31 |
Net asset value, end of period | $42.12 | $36.40 | $37.07 | $32.56 |
Total return (d) | 15.71 % | (1.81 )% | 13.85 % | 7.64 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $533,893 | $298,498 | $113,075 | $48,845 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (e) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (e) |
Portfolio turnover rate (f) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is June 19, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $32.44 | $34.04 | $31.62 | $30.25 |
Income from investment operations: | ||||
Net investment income (loss) | (0.28 ) (b) | (0.07 ) | (0.13 ) | (0.04 ) |
Net realized and unrealized gain (loss) | 4.22 | (1.53 ) | 2.55 | 1.41 |
Total from investment operations | 3.94 | (1.60 ) | 2.42 | 1.37 |
Net asset value, end of period | $36.38 | $32.44 | $34.04 | $31.62 |
Total return (c) | 12.15 % | (4.70 )% | 7.65 % | 4.53 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $175,512 | $180,064 | $45,951 | $20,551 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is June 19, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $34.74 | $35.63 | $31.61 | $30.24 |
Income from investment operations: | ||||
Net investment income (loss) | (0.30 ) (b) | (0.17 ) | (0.09 ) | (0.02 ) |
Net realized and unrealized gain (loss) | 5.18 | (0.72 ) | 4.11 | 1.39 |
Total from investment operations | 4.88 | (0.89 ) | 4.02 | 1.37 |
Net asset value, end of period | $39.62 | $34.74 | $35.63 | $31.61 |
Total return (c) | 14.05 % | (2.50 )% | 12.72 % | 4.53 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $503,212 | $220,593 | $124,722 | $33,194 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is July 17, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $31.12 | $33.17 | $30.96 | $30.24 |
Income from investment operations: | ||||
Net investment income (loss) | (0.26 ) (b) | (0.08 ) | (0.09 ) | (0.02 ) |
Net realized and unrealized gain (loss) | 4.10 | (1.97 ) | 2.30 | 0.74 |
Total from investment operations | 3.84 | (2.05 ) | 2.21 | 0.72 |
Net asset value, end of period | $34.96 | $31.12 | $33.17 | $30.96 |
Total return (c) | 12.34 % | (6.18 )% | 7.14 % | 2.38 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $286,638 | $157,135 | $54,735 | $12,384 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is July 17, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $35.30 | $37.50 | $32.95 | $30.10 |
Income from investment operations: | ||||
Net investment income (loss) | (0.30 ) (b) | (0.12 ) | (0.13 ) | (0.08 ) |
Net realized and unrealized gain (loss) | 3.62 | (2.08 ) | 4.68 | 2.93 |
Total from investment operations | 3.32 | (2.20 ) | 4.55 | 2.85 |
Net asset value, end of period | $38.62 | $35.30 | $37.50 | $32.95 |
Total return (c) | 9.41 % | (5.87 )% | 13.81 % | 9.47 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $561,932 | $322,983 | $155,642 | $36,246 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is November 6, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $31.59 | $34.76 | $32.15 | $30.10 |
Income from investment operations: | ||||
Net investment income (loss) | (0.26 ) (b) | (0.14 ) | (0.49 ) | (0.19 ) |
Net realized and unrealized gain (loss) | 2.71 | (3.03 ) | 3.10 | 2.24 |
Total from investment operations | 2.45 | (3.17 ) | 2.61 | 2.05 |
Net asset value, end of period | $34.04 | $31.59 | $34.76 | $32.15 |
Total return (c) | 7.76 % | (9.12 )% | 8.12 % | 6.81 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $377,851 | $157,149 | $90,370 | $133,431 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.85 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is November 6, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $33.37 | $34.45 | $29.76 |
Income from investment operations: | |||
Net investment income (loss) | (0.29 ) (b) | (0.17 ) | (0.16 ) |
Net realized and unrealized gain (loss) | 5.41 | (0.91 ) | 4.85 |
Total from investment operations | 5.12 | (1.08 ) | 4.69 |
Net asset value, end of period | $38.49 | $33.37 | $34.45 |
Total return (c) | 15.34 % | (3.13 )% | 15.76 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $324,307 | $125,122 | $41,344 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is September 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $30.43 | $32.30 | $29.76 |
Income from investment operations: | |||
Net investment income (loss) | (0.26 ) (b) | (0.27 ) (b) | (0.25 ) |
Net realized and unrealized gain (loss) | 4.76 | (1.60 ) | 2.79 |
Total from investment operations | 4.50 | (1.87 ) | 2.54 |
Net asset value, end of period | $34.93 | $30.43 | $32.30 |
Total return (c) | 14.79 % | (5.79 )% | 8.53 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $138,835 | $98,899 | $25,841 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.81 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is September 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $32.89 | $34.40 | $29.87 |
Income from investment operations: | |||
Net investment income (loss) | (0.28 ) (b) | (0.17 ) | (0.21 ) |
Net realized and unrealized gain (loss) | 5.67 | (1.34 ) | 4.74 |
Total from investment operations | 5.39 | (1.51 ) | 4.53 |
Net asset value, end of period | $38.28 | $32.89 | $34.40 |
Total return (c) | 16.39 % | (4.39 )% | 15.17 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $278,460 | $146,368 | $70,529 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is October 16, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $30.60 | $32.41 | $29.87 |
Income from investment operations: | |||
Net investment income (loss) | (0.27 ) (b) | (0.08 ) | (0.21 ) |
Net realized and unrealized gain (loss) | 5.18 | (1.73 ) | 2.75 |
Total from investment operations | 4.91 | (1.81 ) | 2.54 |
Net asset value, end of period | $35.51 | $30.60 | $32.41 |
Total return (c) | 16.05 % | (5.58 )% | 8.50 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $159,789 | $123,933 | $40,511 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is October 16, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $35.52 | $38.30 | $32.89 | $30.56 |
Income from investment operations: | ||||
Net investment income (loss) | (0.31 ) (b) | (0.05 ) | (0.40 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 5.64 | (2.73 ) | 5.81 | 2.43 |
Total from investment operations | 5.33 | (2.78 ) | 5.41 | 2.33 |
Net asset value, end of period | $40.85 | $35.52 | $38.30 | $32.89 |
Total return (c) | 15.01 % | (7.26 )% | 16.45 % | 7.62 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $393,179 | $261,058 | $143,616 | $138,133 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.85 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is November 15, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $32.80 | $34.99 | $32.09 | $30.55 |
Income from investment operations: | ||||
Net investment income (loss) | (0.28 ) (b) | (0.28 ) (b) | (0.43 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 4.42 | (1.91 ) | 3.33 | 1.64 |
Total from investment operations | 4.14 | (2.19 ) | 2.90 | 1.54 |
Net asset value, end of period | $36.94 | $32.80 | $34.99 | $32.09 |
Total return (c) | 12.62 % | (6.26 )% | 9.04 % | 5.04 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $241,044 | $400,193 | $90,968 | $146,012 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % | 0 % |
(a) | Inception date is November 15, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $31.69 | $33.78 | $30.27 |
Income from investment operations: | |||
Net investment income (loss) | (0.27 ) (b) | (0.28 ) (b) | (0.17 ) |
Net realized and unrealized gain (loss) | 5.15 | (1.81 ) | 3.68 |
Total from investment operations | 4.88 | (2.09 ) | 3.51 |
Net asset value, end of period | $36.57 | $31.69 | $33.78 |
Total return (c) | 15.40 % | (6.19 )% | 11.60 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $297,131 | $190,142 | $70,943 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $30.40 | $32.19 | $30.27 |
Income from investment operations: | |||
Net investment income (loss) | (0.26 ) (b) | (0.26 ) (b) | (0.18 ) |
Net realized and unrealized gain (loss) | 4.09 | (1.53 ) | 2.10 |
Total from investment operations | 3.83 | (1.79 ) | 1.92 |
Net asset value, end of period | $34.23 | $30.40 | $32.19 |
Total return (c) | 12.60 % | (5.56 )% | 6.34 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $278,983 | $251,592 | $59,546 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $18.66 | $20.01 |
Income from investment operations: | ||
Net investment income (loss) | (0.04 ) (b) | (0.02 ) |
Net realized and unrealized gain (loss) | 1.47 | (1.33 ) |
Total from investment operations | 1.43 | (1.35 ) |
Net asset value, end of period | $20.09 | $18.66 |
Total return (c) | 7.66 % | (6.75 )% |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $95,430 | $154,840 |
Ratio of total expenses to average net assets (d) | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | (0.20 )% | (0.20 )% (e) |
Portfolio turnover rate (f) | 372 % | 445 % |
(a) | Inception date is October 26, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $18.16 | $20.01 |
Income from investment operations: | ||
Net investment income (loss) | (0.04 ) (b) | (0.02 ) |
Net realized and unrealized gain (loss) | 2.27 | (1.83 ) |
Total from investment operations | 2.23 | (1.85 ) |
Net asset value, end of period | $20.39 | $18.16 |
Total return (c) | 12.28 % | (9.25 )% |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $164,148 | $163,418 |
Ratio of total expenses to average net assets (d) | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | (0.20 )% | (0.20 )% (e) |
Portfolio turnover rate (f) | 475 % | 411 % |
(a) | Inception date is October 26, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
August 31, 2023
FT Cboe Vest U.S. Equity Buffer ETF - January – (ticker “FJAN”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January – (ticker “DJAN”) |
FT Cboe Vest U.S. Equity Buffer ETF - February – (ticker “FFEB”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February – (ticker “DFEB”) |
FT Cboe Vest U.S. Equity Buffer ETF - March – (ticker “FMAR”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March – (ticker “DMAR”) |
FT Cboe Vest U.S. Equity Buffer ETF - April – (ticker “FAPR”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April – (ticker “DAPR”) |
FT Cboe Vest U.S. Equity Buffer ETF - May – (ticker “FMAY”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May – (ticker “DMAY”) |
FT Cboe Vest U.S. Equity Buffer ETF - June – (ticker “FJUN”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June – (ticker “DJUN”) |
FT Cboe Vest U.S. Equity Buffer ETF - July – (ticker “FJUL”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July – (ticker “DJUL”) |
FT Cboe Vest U.S. Equity Buffer ETF - August – (ticker “FAUG”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August – (ticker “DAUG”) |
FT Cboe Vest U.S. Equity Buffer ETF - September – (ticker “FSEP”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September – (ticker “DSEP”) |
FT Cboe Vest U.S. Equity Buffer ETF - October – (ticker “FOCT”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October – (ticker “DOCT”) |
FT Cboe Vest U.S. Equity Buffer ETF - November – (ticker “FNOV”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November – (ticker “DNOV”) |
FT Cboe Vest U.S. Equity Buffer ETF - December – (ticker “FDEC”) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December – (ticker “DDEC”) |
FT Cboe Vest Buffered Allocation Defensive ETF – (ticker “BUFT”) |
FT Cboe Vest Buffered Allocation Growth ETF – (ticker “BUFG”) |
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
Security Name | Shares at 8/31/2023 | Value at 8/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 8/31/2023 | Dividend Income |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January | 547,320 | $— | $86,465,736 | $(70,051,863 ) | $137,378 | $1,576,535 | $18,127,786 | $— |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February | — | — | 56,260,032 | (56,694,535 ) | — | 434,503 | — | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March | 685,348 | — | 79,300,799 | (58,504,023 ) | 1,175,199 | 370,370 | 22,342,345 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April | 560,142 | — | 61,794,653 | (45,467,986 ) | 955,915 | 93,023 | 17,375,605 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May | — | 27,695,088 | 57,520,542 | (86,194,739 ) | 561,439 | 417,670 | — | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | — | 33,229,031 | 10,055,926 | (44,028,485 ) | (510,511 ) | 1,254,039 | — | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | — | 28,339,734 | 5,544,834 | (33,881,133 ) | 557,155 | (560,590 ) | — | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | — | — | 27,016,803 | (27,085,825 ) | — | 69,022 | — | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October | 521,154 | — | 54,362,291 | (35,491,841 ) | 110,675 | (485,839 ) | 18,495,286 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November | — | 36,265,081 | 37,699,934 | (73,636,580 ) | 26,079 | (354,514 ) | — | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December | 557,839 | 29,300,856 | 52,321,569 | (64,931,123 ) | 1,759,993 | 632,377 | 19,083,672 | — |
$154,829,790 | $528,343,119 | $(595,968,133 ) | $4,773,322 | $3,446,596 | $95,424,694 | $— |
August 31, 2023
Security Name | Shares at 8/31/2023 | Value at 8/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 8/31/2023 | Dividend Income |
FT Cboe Vest U.S. Equity Buffer ETF - January | — | $30,494,147 | $113,357,655 | $(145,429,986 ) | $868,883 | $709,301 | $— | $— |
FT Cboe Vest U.S. Equity Buffer ETF - February | — | 31,696,575 | 92,768,715 | (126,488,836 ) | 1,004,478 | 1,019,068 | — | — |
FT Cboe Vest U.S. Equity Buffer ETF - March | — | 32,415,210 | 81,872,458 | (116,058,885 ) | 22,462 | 1,748,755 | — | — |
FT Cboe Vest U.S. Equity Buffer ETF - April | — | 34,030,426 | 78,712,525 | (114,276,084 ) | 87,382 | 1,445,751 | — | — |
FT Cboe Vest U.S. Equity Buffer ETF - May | 701,095 | — | 106,442,528 | (80,059,681 ) | 345,719 | 936,643 | 27,665,209 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May | — | — | 31,200,697 | (31,830,933 ) | — | 630,236 | — | — |
FT Cboe Vest U.S. Equity Buffer ETF - June | 847,539 | — | 49,596,386 | (14,921,590 ) | 701,947 | 185,993 | 35,562,736 | — |
FT Cboe Vest U.S. Equity Buffer ETF - July | 897,446 | — | 35,627,882 | (849,577 ) | 823,117 | 261 | 35,601,683 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | — | — | 22,627,997 | (22,240,200 ) | — | (387,797 ) | — | — |
August 31, 2023
Security Name | Shares at 8/31/2023 | Value at 8/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 8/31/2023 | Dividend Income |
FT Cboe Vest U.S. Equity Buffer ETF - August | 907,290 | $34,782,628 | $87,501,356 | $(87,753,851 ) | $1,277,788 | $(741,163 ) | $35,066,758 | $— |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | — | — | 44,794,883 | (44,954,888 ) | — | 160,005 | — | — |
FT Cboe Vest U.S. Equity Buffer ETF - September | 785,210 | — | 60,157,434 | (30,647,185 ) | 512,577 | 221,108 | 30,243,934 | — |
FT Cboe Vest U.S. Equity Buffer ETF - October | — | — | 35,534,534 | (35,526,482 ) | — | (8,052 ) | — | — |
FT Cboe Vest U.S. Equity Buffer ETF - November | — | — | 116,075,213 | (121,202,449 ) | — | 5,127,236 | — | — |
FT Cboe Vest U.S. Equity Buffer ETF - December | — | — | 52,295,996 | (52,803,576 ) | — | 507,580 | — | — |
$163,418,986 | $1,008,566,259 | $(1,025,044,203 ) | $5,644,353 | $11,554,925 | $164,140,320 | $— |
August 31, 2023
Taxable Year-End | Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
FT Cboe Vest U.S. Equity Buffer ETF - January | 31-Jan-23 | $(137,306 ) | $(29,982,842 ) | $3,635,636 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January | 31-Jan-23 | (111,263 ) | (19,422,414 ) | 2,022,145 |
FT Cboe Vest U.S. Equity Buffer ETF - February | 28-Feb-23 | (359,202 ) | (38,466,409 ) | (4,874,419 ) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February | 28-Feb-23 | (385,824 ) | (44,870,121 ) | (3,539,050 ) |
FT Cboe Vest U.S. Equity Buffer ETF - March | 31-Mar-23 | (420,703 ) | (21,718,387 ) | 7,287,362 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March | 31-Mar-23 | (531,328 ) | (25,784,617 ) | 3,881,233 |
FT Cboe Vest U.S. Equity Buffer ETF - April | 30-Apr-23 | (728,333 ) | (35,503,195 ) | 3,283,226 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April | 30-Apr-23 | (845,872 ) | (36,358,995 ) | 2,284,725 |
FT Cboe Vest U.S. Equity Buffer ETF - May | 31-May-23 | (1,243,191 ) | (45,808,011 ) | (485,840 ) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May | 31-May-23 | (517,523 ) | (16,485,725 ) | (519,741 ) |
FT Cboe Vest U.S. Equity Buffer ETF - June | 30-Jun-23 | (1,184,523 ) | (34,693,385 ) | 4,319,551 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | 30-Jun-23 | (597,215 ) | (10,997,219 ) | 956,237 |
FT Cboe Vest U.S. Equity Buffer ETF - July | 31-Jul-23 | (1,179,058 ) | (27,762,019 ) | 3,048,348 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | 31-Jul-23 | (653,040 ) | (10,936,953 ) | 1,730,127 |
FT Cboe Vest U.S. Equity Buffer ETF - August | 31-Aug-23 | (2,196,559 ) | (83,067,907 ) | 11,851,622 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | 31-Aug-23 | (2,544,081 ) | (55,860,527 ) | 7,565,487 |
FT Cboe Vest U.S. Equity Buffer ETF - September | 30-Sep-22 | (855,077 ) | (17,454,328 ) | (8,870,272 ) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September | 30-Sep-22 | (550,054 ) | (9,825,475 ) | (4,979,997 ) |
FT Cboe Vest U.S. Equity Buffer ETF - October | 31-Oct-22 | (1,170,635 ) | (25,935,068 ) | 4,939,509 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October | 31-Oct-22 | (866,505 ) | (15,859,109 ) | 2,287,446 |
FT Cboe Vest U.S. Equity Buffer ETF - November | 30-Nov-22 | (2,295,294 ) | (50,685,759 ) | 6,018,153 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November | 30-Nov-22 | (2,456,082 ) | (43,706,762 ) | 4,082,331 |
FT Cboe Vest U.S. Equity Buffer ETF - December | 31-Dec-22 | — | (35,037,567 ) | (1,156,060 ) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December | 31-Dec-22 | — | (28,144,288 ) | 64,468 |
FT Cboe Vest Buffered Allocation Defensive ETF | 31-Aug-23 | (144,145 ) | (6,580,754 ) | 4,044,942 |
FT Cboe Vest Buffered Allocation Growth ETF | 31-Aug-23 | (194,496 ) | (14,114,916 ) | 3,815,259 |
August 31, 2023
Taxable Year End | Non-Expiring Capital Loss Carryforwards | |
FT Cboe Vest U.S. Equity Buffer ETF - January | 31-Jan-23 | $29,982,842 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January | 31-Jan-23 | 19,422,414 |
FT Cboe Vest U.S. Equity Buffer ETF - February | 28-Feb-23 | 38,466,409 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February | 28-Feb-23 | 44,870,121 |
FT Cboe Vest U.S. Equity Buffer ETF - March | 31-Mar-23 | 21,718,387 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March | 31-Mar-23 | 25,784,617 |
FT Cboe Vest U.S. Equity Buffer ETF - April | 30-Apr-23 | 35,503,195 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April | 30-Apr-23 | 36,358,995 |
FT Cboe Vest U.S. Equity Buffer ETF - May | 31-May-23 | 45,808,011 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May | 31-May-23 | 16,485,725 |
FT Cboe Vest U.S. Equity Buffer ETF - June | 30-Jun-23 | 34,693,385 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | 30-Jun-23 | 10,997,219 |
FT Cboe Vest U.S. Equity Buffer ETF - July | 31-Jul-23 | 27,762,019 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | 31-Jul-23 | 10,936,953 |
FT Cboe Vest U.S. Equity Buffer ETF - August | 31-Aug-23 | 83,067,907 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | 31-Aug-23 | 55,860,527 |
FT Cboe Vest U.S. Equity Buffer ETF - September | 30-Sep-22 | 17,454,328 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September | 30-Sep-22 | 9,825,475 |
FT Cboe Vest U.S. Equity Buffer ETF - October | 31-Oct-22 | 25,935,068 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October | 31-Oct-22 | 15,859,109 |
FT Cboe Vest U.S. Equity Buffer ETF - November | 30-Nov-22 | 50,685,759 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November | 30-Nov-22 | 43,706,762 |
FT Cboe Vest U.S. Equity Buffer ETF - December | 31-Dec-22 | 35,037,567 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December | 31-Dec-22 | 28,144,288 |
FT Cboe Vest Buffered Allocation Defensive ETF | 31-Aug-23 | 6,580,754 |
FT Cboe Vest Buffered Allocation Growth ETF | 31-Aug-23 | 14,114,916 |
Capital Loss Utilized | |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | $5,879,702 |
Taxable Year End | Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | ||
FT Cboe Vest U.S. Equity Buffer ETF - January | 31-Jan-23 | $137,306 | $— |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January | 31-Jan-23 | 111,263 | — |
FT Cboe Vest U.S. Equity Buffer ETF - February | 28-Feb-23 | 359,202 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February | 28-Feb-23 | 385,824 | — |
FT Cboe Vest U.S. Equity Buffer ETF - March | 31-Mar-23 | 420,703 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March | 31-Mar-23 | 531,328 | — |
FT Cboe Vest U.S. Equity Buffer ETF - April | 30-Apr-23 | 728,333 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April | 30-Apr-23 | 845,872 | — |
FT Cboe Vest U.S. Equity Buffer ETF - May | 31-May-23 | 1,243,191 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May | 31-May-23 | 517,523 | — |
FT Cboe Vest U.S. Equity Buffer ETF - June | 30-Jun-23 | 1,184,523 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | 30-Jun-23 | 597,215 | — |
August 31, 2023
Taxable Year End | Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | ||
FT Cboe Vest U.S. Equity Buffer ETF - July | 31-Jul-23 | $1,179,058 | $— |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | 31-Jul-23 | 653,040 | — |
FT Cboe Vest U.S. Equity Buffer ETF - August | 31-Aug-23 | 2,196,559 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | 31-Aug-23 | 2,544,081 | — |
FT Cboe Vest U.S. Equity Buffer ETF - September | 30-Sep-22 | 855,077 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September | 30-Sep-22 | 550,054 | — |
FT Cboe Vest U.S. Equity Buffer ETF - October | 31-Oct-22 | 1,170,635 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October | 31-Oct-22 | 866,505 | — |
FT Cboe Vest U.S. Equity Buffer ETF - November | 30-Nov-22 | 2,295,294 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November | 30-Nov-22 | 2,456,082 | — |
FT Cboe Vest U.S. Equity Buffer ETF - December | 31-Dec-22 | — | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December | 31-Dec-22 | — | — |
FT Cboe Vest Buffered Allocation Defensive ETF | 31-Aug-23 | 144,145 | — |
FT Cboe Vest Buffered Allocation Growth ETF | 31-Aug-23 | 194,496 | — |
Taxable Year End | Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
FT Cboe Vest U.S. Equity Buffer ETF - January | 31-Jan-23 | $1,442,186 | $(11,785,983 ) | $10,343,797 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January | 31-Jan-23 | 1,051,044 | (8,183,990 ) | 7,132,946 |
FT Cboe Vest U.S. Equity Buffer ETF - February | 28-Feb-23 | 2,245,811 | (4,588,854 ) | 2,343,043 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February | 28-Feb-23 | 2,500,553 | (4,856,709 ) | 2,356,156 |
FT Cboe Vest U.S. Equity Buffer ETF - March | 31-Mar-23 | 1,388,758 | (19,783,156 ) | 18,394,398 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March | 31-Mar-23 | 1,377,164 | (13,249,994 ) | 11,872,830 |
FT Cboe Vest U.S. Equity Buffer ETF - April | 30-Apr-23 | 1,842,454 | (23,109,911 ) | 21,267,457 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April | 30-Apr-23 | 1,668,111 | (24,417,953 ) | 22,749,842 |
FT Cboe Vest U.S. Equity Buffer ETF - May | 31-May-23 | 2,211,845 | (45,461,103 ) | 43,249,258 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May | 31-May-23 | 1,327,677 | (14,746,251 ) | 13,418,574 |
FT Cboe Vest U.S. Equity Buffer ETF - June | 30-Jun-23 | 1,797,084 | (60,408,412 ) | 58,611,328 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | 30-Jun-23 | 1,121,227 | (15,047,748 ) | 13,926,521 |
FT Cboe Vest U.S. Equity Buffer ETF - July | 31-Jul-23 | 1,509,345 | (52,573,528 ) | 51,064,183 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | 31-Jul-23 | 927,373 | (20,255,396 ) | 19,328,023 |
FT Cboe Vest U.S. Equity Buffer ETF - August | 31-Aug-23 | 1,988,085 | (54,420,928 ) | 52,432,843 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | 31-Aug-23 | 1,557,849 | (63,013,496 ) | 61,455,647 |
FT Cboe Vest U.S. Equity Buffer ETF - September | 30-Sep-22 | 452,639 | (12,894,065 ) | 12,441,426 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September | 30-Sep-22 | 277,125 | (5,256,484 ) | 4,979,359 |
FT Cboe Vest U.S. Equity Buffer ETF - October | 31-Oct-22 | 659,218 | (7,054,936 ) | 6,395,718 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October | 31-Oct-22 | 399,483 | (6,352,069 ) | 5,952,586 |
FT Cboe Vest U.S. Equity Buffer ETF - November | 30-Nov-22 | 1,541,552 | (13,540,887 ) | 11,999,335 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November | 30-Nov-22 | 829,100 | (23,892,132 ) | 23,063,032 |
FT Cboe Vest U.S. Equity Buffer ETF - December | 31-Dec-22 | 1,802,449 | (19,037,214 ) | 17,234,765 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December | 31-Dec-22 | 1,605,464 | (15,383,985 ) | 13,778,521 |
FT Cboe Vest Buffered Allocation Defensive ETF | 31-Aug-23 | 247,880 | (2,903,955 ) | 2,656,075 |
August 31, 2023
Taxable Year End | Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
FT Cboe Vest Buffered Allocation Growth ETF | 31-Aug-23 | $290,532 | $(14,180,118 ) | $13,889,586 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Cboe Vest U.S. Equity Buffer ETF - January | $308,654,133 | $45,445,324 | $(16,790,199 ) | $28,655,125 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January | 171,693,877 | 23,079,278 | (9,630,643 ) | 13,448,635 |
FT Cboe Vest U.S. Equity Buffer ETF - February | 357,642,669 | 46,890,507 | (18,033,670 ) | 28,856,837 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February | 192,138,270 | 23,486,638 | (9,147,982 ) | 14,338,656 |
FT Cboe Vest U.S. Equity Buffer ETF - March | 294,929,527 | 40,605,878 | (14,468,951 ) | 26,136,927 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March | 187,518,097 | 30,392,543 | (16,618,225 ) | 13,774,318 |
FT Cboe Vest U.S. Equity Buffer ETF - April | 382,475,482 | 41,694,828 | (18,252,141 ) | 23,442,687 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April | 223,396,164 | 23,987,571 | (11,525,984 ) | 12,461,587 |
FT Cboe Vest U.S. Equity Buffer ETF - May | 503,677,552 | 40,180,819 | (19,366,735 ) | 20,814,084 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May | 166,458,705 | 14,325,543 | (7,848,892 ) | 6,476,651 |
FT Cboe Vest U.S. Equity Buffer ETF - June | 521,858,178 | 18,400,080 | (6,026,270 ) | 12,373,810 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | 172,969,515 | 5,403,683 | (2,754,380 ) | 2,649,303 |
FT Cboe Vest U.S. Equity Buffer ETF - July | 503,884,489 | 3,804,560 | (4,187,434 ) | (382,874 ) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | 287,537,054 | 1,860,842 | (2,541,498 ) | (680,656 ) |
FT Cboe Vest U.S. Equity Buffer ETF - August | 550,384,634 | 18,884,058 | (7,032,436 ) | 11,851,622 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | 371,421,623 | 14,756,632 | (7,191,145 ) | 7,565,487 |
FT Cboe Vest U.S. Equity Buffer ETF - September | 292,824,109 | 48,418,053 | (16,759,910 ) | 31,658,143 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September | 125,398,557 | 23,252,147 | (9,721,058 ) | 13,531,089 |
FT Cboe Vest U.S. Equity Buffer ETF - October | 240,196,805 | 57,176,312 | (18,703,955 ) | 38,472,357 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October | 144,377,318 | 24,477,740 | (8,952,812 ) | 15,524,928 |
FT Cboe Vest U.S. Equity Buffer ETF - November | 354,602,169 | 65,070,587 | (26,227,103 ) | 38,843,484 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November | 217,322,708 | 39,091,284 | (13,358,524 ) | 25,732,760 |
FT Cboe Vest U.S. Equity Buffer ETF - December | 265,096,117 | 45,078,239 | (12,865,949 ) | 32,212,290 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December | 251,686,066 | 44,565,007 | (17,071,731 ) | 27,493,276 |
FT Cboe Vest Buffered Allocation Defensive ETF | 91,379,752 | 4,044,942 | — | 4,044,942 |
FT Cboe Vest Buffered Allocation Growth ETF | 160,325,061 | 3,990,250 | (174,991 ) | 3,815,259 |
August 31, 2023
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion | 0.76500 % |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.200 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.195 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.190 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.185 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.180 % |
Fund net assets greater than $15 billion | 0.170 % |
August 31, 2023
Purchases | Sales | |
FT Cboe Vest Buffered Allocation Defensive ETF | $465,041,756 | $465,299,696 |
FT Cboe Vest Buffered Allocation Growth ETF | 720,130,745 | 720,448,676 |
Purchases | Sales | |
FT Cboe Vest U.S. Equity Buffer ETF - January | $— | $210,388,633 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January | — | 161,312,245 |
FT Cboe Vest U.S. Equity Buffer ETF - February | — | 120,614,787 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February | — | 101,451,979 |
FT Cboe Vest U.S. Equity Buffer ETF - March | — | 266,194,515 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March | — | 178,722,280 |
FT Cboe Vest U.S. Equity Buffer ETF - April | — | 359,253,018 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April | — | 346,033,672 |
FT Cboe Vest U.S. Equity Buffer ETF - May | — | 436,766,198 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May | — | 178,132,457 |
FT Cboe Vest U.S. Equity Buffer ETF - June | — | 311,645,428 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | — | 107,235,057 |
FT Cboe Vest U.S. Equity Buffer ETF - July | — | 255,814,731 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | — | 152,182,347 |
FT Cboe Vest U.S. Equity Buffer ETF - August | — | 539,224,281 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | — | 547,447,505 |
FT Cboe Vest U.S. Equity Buffer ETF - September | — | 201,850,040 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September | — | 189,689,999 |
FT Cboe Vest U.S. Equity Buffer ETF - October | — | 111,401,054 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October | — | 115,117,223 |
FT Cboe Vest U.S. Equity Buffer ETF - November | — | 184,798,269 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November | — | 380,859,749 |
FT Cboe Vest U.S. Equity Buffer ETF - December | — | 279,399,377 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December | — | 346,582,157 |
FT Cboe Vest Buffered Allocation Defensive ETF | 63,301,363 | 130,668,437 |
FT Cboe Vest Buffered Allocation Growth ETF | 288,435,514 | 304,595,527 |
August 31, 2023
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
FJAN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $342,337,860 | Options contracts written, at value | $7,062,228 |
DJAN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 191,452,029 | Options contracts written, at value | 7,436,799 |
FFEB | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 390,443,170 | Options contracts written, at value | 6,593,470 |
DFEB | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 211,099,482 | Options contracts written, at value | 6,040,325 |
FMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 331,779,140 | Options contracts written, at value | 13,008,179 |
DMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 213,476,670 | Options contracts written, at value | 13,673,371 |
FAPR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 413,765,805 | Options contracts written, at value | 11,199,510 |
DAPR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 242,784,005 | Options contracts written, at value | 9,668,118 |
FMAY | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 536,334,080 | Options contracts written, at value | 16,582,390 |
DMAY | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 178,403,006 | Options contracts written, at value | 7,026,703 |
FJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 542,498,664 | Options contracts written, at value | 13,647,795 |
DJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 177,480,558 | Options contracts written, at value | 3,610,494 |
FJUL | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 513,022,650 | Options contracts written, at value | 14,952,150 |
DJUL | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 288,681,282 | Options contracts written, at value | 4,949,766 |
August 31, 2023
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
FAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $575,500,100 | Options contracts written, at value | $19,619,894 |
DAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 385,613,788 | Options contracts written, at value | 11,732,245 |
FSEP | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 323,391,410 | Options contracts written, at value | 14,540 |
DSEP | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 139,628,015 | Options contracts written, at value | 1,140,854 |
FOCT | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 278,035,229 | Options contracts written, at value | 487,266 |
DOCT | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 163,750,775 | Options contracts written, at value | 4,501,602 |
FNOV | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 392,449,349 | Options contracts written, at value | 961,154 |
DNOV | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 243,208,917 | Options contracts written, at value | 3,166,023 |
FDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 299,379,939 | Options contracts written, at value | 3,633,660 |
DDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 288,900,060 | Options contracts written, at value | 11,169,085 |
Statements of Operations Location | FJAN | DJAN | FFEB | DFEB | FMAR | DMAR |
Equity Risk Exposure | ||||||
Net realized gain (loss) on: | ||||||
Purchased options contracts | $(11,741,546 ) | $(9,323,240 ) | $(17,468,205 ) | $(28,585,682 ) | $(11,977,380 ) | $(16,112,064 ) |
Written options contracts | 12,013,885 | 6,390,821 | 21,489,866 | 17,095,804 | 13,922,473 | 9,390,375 |
Net change in unrealized appreciation (depreciation) on: | ||||||
Purchased options contracts | 35,914,365 | 26,160,702 | 41,182,970 | 39,005,678 | 38,304,248 | 35,185,868 |
Written options contracts | 3,747,865 | (6,303,424 ) | 2,917,166 | (12,206,475 ) | (779,182 ) | (10,907,737 ) |
August 31, 2023
Statements of Operations Location | FAPR | DAPR | FMAY | DMAY | FJUN | DJUN |
Equity Risk Exposure | ||||||
Net realized gain (loss) on: | ||||||
Purchased options contracts | $(12,310,526 ) | $(14,692,079 ) | $(465,707 ) | $(1,382,255 ) | $31,059,701 | $15,069,710 |
Written options contracts | 19,788,340 | 10,361,462 | 27,416,123 | 11,520,283 | 20,591,608 | 4,826,981 |
Net change in unrealized appreciation (depreciation) on: | ||||||
Purchased options contracts | 30,010,175 | 26,363,344 | 19,812,439 | 12,291,713 | (5,718,158 ) | (7,170,214 ) |
Written options contracts | 5,595,421 | (6,784,943 ) | (1,240,747 ) | (4,704,225 ) | 5,273,408 | 4,577,404 |
Statements of Operations Location | FJUL | DJUL | FAUG | DAUG | FSEP | DSEP |
Equity Risk Exposure | ||||||
Net realized gain (loss) on: | ||||||
Purchased options contracts | $23,256,807 | $9,996,278 | $(18,304,459 ) | $17,118,717 | $(4,461,463 ) | $2,847,848 |
Written options contracts | 15,347,437 | 6,368,900 | 24,111,102 | 14,778,761 | 9,017,752 | 7,346,102 |
Net change in unrealized appreciation (depreciation) on: | ||||||
Purchased options contracts | (4,258,777 ) | (1,778,541 ) | 26,200,751 | 17,685,484 | 33,845,491 | 19,742,969 |
Written options contracts | 1,221,940 | 750,379 | (2,335,476 ) | (5,875,183 ) | 6,339,569 | 1,409,427 |
Statements of Operations Location | FOCT | DOCT | FNOV | DNOV | FDEC | DDEC |
Equity Risk Exposure | ||||||
Net realized gain (loss) on: | ||||||
Purchased options contracts | $(7,593,860 ) | $(7,256,307 ) | $(12,271,560 ) | $(22,066,519 ) | $(12,457,389 ) | $(8,347,179 ) |
Written options contracts | 4,179,575 | 8,810,642 | 8,743,810 | 15,422,040 | 3,311,507 | 10,741,447 |
Net change in unrealized appreciation (depreciation) on: | ||||||
Purchased options contracts | 38,108,430 | 27,304,399 | 43,644,617 | 46,743,960 | 42,324,627 | 42,678,473 |
Written options contracts | 10,437,026 | (2,366,266 ) | 17,349,823 | (4,521,643 ) | 7,274,414 | (6,730,435 ) |
Premiums for purchased options contracts opened | Premiums for purchased options contracts closed, exercised and expired | Premiums for written options contracts opened | Premiums for written options contracts closed, exercised and expired | |
FJAN | $602,365,007 | $493,883,997 | $21,615,954 | $20,735,745 |
August 31, 2023
Premiums for purchased options contracts opened | Premiums for purchased options contracts closed, exercised and expired | Premiums for written options contracts opened | Premiums for written options contracts closed, exercised and expired | |
DJAN | $416,709,721 | $384,953,694 | $9,565,740 | $9,847,393 |
FFEB | 524,754,854 | 493,051,941 | 21,705,205 | 28,880,292 |
DFEB | 385,844,415 | 519,060,739 | 10,328,822 | 20,805,940 |
FMAR | 630,556,321 | 546,046,487 | 28,852,762 | 30,104,896 |
DMAR | 404,443,821 | 420,831,035 | 11,245,249 | 11,847,207 |
FAPR | 783,144,855 | 697,621,351 | 22,804,581 | 25,191,004 |
DAPR | 706,373,059 | 759,340,036 | 13,427,808 | 16,359,783 |
FMAY | 1,000,551,471 | 863,657,925 | 28,651,851 | 32,268,583 |
DMAY | 338,193,515 | 405,624,364 | 8,900,138 | 16,025,325 |
FJUN | 862,408,630 | 628,683,814 | 23,917,761 | 23,790,828 |
DJUN | 225,308,774 | 231,305,752 | 8,013,631 | 12,047,560 |
FJUL | 845,474,840 | 560,758,782 | 19,010,202 | 17,038,900 |
DJUL | 447,822,609 | 321,592,985 | 10,131,187 | 13,099,569 |
FAUG | 1,410,835,772 | 1,204,559,378 | 26,941,483 | 33,455,356 |
DAUG | 1,211,089,110 | 1,004,386,581 | 16,873,979 | 16,839,338 |
FSEP | 528,759,598 | 366,966,116 | 19,228,818 | 15,874,352 |
DSEP | 410,993,052 | 389,719,775 | 14,083,972 | 11,555,332 |
FOCT | 490,651,408 | 402,168,956 | 29,287,830 | 24,016,798 |
DOCT | 340,156,204 | 327,424,479 | 15,796,304 | 13,887,354 |
FNOV | 623,171,945 | 553,016,573 | 34,629,689 | 35,229,952 |
DNOV | 660,945,016 | 865,242,449 | 16,821,691 | 20,648,596 |
FDEC | 602,624,857 | 547,645,674 | 27,618,197 | 29,747,640 |
DDEC | 633,507,629 | 639,553,014 | 17,732,918 | 15,356,702 |
August 31, 2023
Individual Funds Included in the Trust | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
FT Cboe Vest U.S. Equity Buffer ETF - January | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from January 15, 2021 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January | |||
FT Cboe Vest U.S. Equity Buffer ETF - February | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023, 2022, and 2021, and for the period from February 21, 2020 (commencement of investment operations) through August 31, 2020 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February | |||
FT Cboe Vest U.S. Equity Buffer ETF - March | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from March 19, 2021 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March | |||
FT Cboe Vest U.S. Equity Buffer ETF - April | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from April 16, 2021 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April | |||
FT Cboe Vest U.S. Equity Buffer ETF - May | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023, 2022, and 2021, and for the period from May 15, 2020 (commencement of investment operations) through August 31, 2020 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May |
Individual Funds Included in the Trust | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
FT Cboe Vest U.S. Equity Buffer ETF - June | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023, 2022, and 2021, and for the period from June 19, 2020 (commencement of investment operations) through August 31, 2020 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | |||
FT Cboe Vest U.S. Equity Buffer ETF - July | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023, 2022, and 2021, and for the period from July 17, 2020 (commencement of investment operations) through August 31, 2020 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | |||
FT Cboe Vest U.S. Equity Buffer ETF - August | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023, 2022, and 2021, and for the period from November 6, 2019 (commencement of investment operations) through August 31, 2020 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | |||
FT Cboe Vest U.S. Equity Buffer ETF - September | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from September 18, 2020 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September | |||
FT Cboe Vest U.S. Equity Buffer ETF - October | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from October 16, 2020 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October | |||
FT Cboe Vest U.S. Equity Buffer ETF - November | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023, 2022, and 2021, and for the period from November 15, 2019 (commencement of investment operations) through August 31, 2020 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November | |||
FT Cboe Vest U.S. Equity Buffer ETF - December | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from December 18, 2020 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December | |||
FT Cboe Vest Buffered Allocation Defensive ETF | For the year ended August 31, 2023 | For the year ended August 31, 2023, and for the period from October 26, 2021 (commencement of investment operations) through August 31, 2022 | |
FT Cboe Vest Buffered Allocation Growth ETF |
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgc814149329.jpg)
October 24, 2023
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN) |
FT Cboe Vest U.S. Equity Buffer ETF - February (FFEB) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February (DFEB) |
FT Cboe Vest U.S. Equity Buffer ETF - March (FMAR) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March (DMAR) |
FT Cboe Vest U.S. Equity Buffer ETF - April (FAPR) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April (DAPR) |
FT Cboe Vest U.S. Equity Buffer ETF - May (FMAY) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May (DMAY) |
FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN) |
FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL) |
August 31, 2023 (Unaudited)
FT Cboe Vest U.S. Equity Buffer ETF - August (FAUG) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August (DAUG) |
FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP) |
FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT) |
FT Cboe Vest U.S. Equity Buffer ETF - November (FNOV) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November (DNOV) |
FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC) |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC) |
FT Cboe Vest Buffered Allocation Defensive ETF (BUFT) |
FT Cboe Vest Buffered Allocation Growth ETF (BUFG) |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgd0b068a030.gif)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
8350 Broad Street, Suite 240
McLean, VA 22102
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img36c6331e1.gif)
FT Cboe Vest International Equity Buffer ETF - March (YMAR) |
FT Cboe Vest Nasdaq-100® Buffer ETF - March (QMAR) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) |
FT Cboe Vest International Equity Buffer ETF - June (YJUN) |
FT Cboe Vest Nasdaq-100® Buffer ETF - June (QJUN) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) |
FT Cboe Vest International Equity Buffer ETF - September (YSEP) |
FT Cboe Vest Nasdaq-100® Buffer ETF - September (QSPT) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) |
FT Cboe Vest International Equity Buffer ETF - December (YDEC) |
FT Cboe Vest Nasdaq-100® Buffer ETF - December (QDEC) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) |
Annual Report
August 31, 2023
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Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgb5f7c9752.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (3/19/21) to 8/31/23 | Inception (3/19/21) to 8/31/23 | |
Fund Performance | |||
NAV | 16.25% | 1.75% | 4.35% |
Market Price | 17.01% | 1.93% | 4.80% |
Index Performance | |||
MSCI EAFE Index - Price Return | 14.60% | -2.27% | -5.48% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to March 20, 2023, the Fund’s investment objective included an upside cap of 20.70% (before fees and expenses) and 19.80% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of March 21, 2022 to March 17, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (3/19/21) to 8/31/23 | Inception (3/19/21) to 8/31/23 | |
Fund Performance | |||
NAV | 20.45% | 8.43% | 21.96% |
Market Price | 20.67% | 8.36% | 21.76% |
Index Performance | |||
Nasdaq-100 Index® - Price Return | 26.31% | 7.89% | 20.47% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to March 20, 2023, the Fund’s investment objective included an upside cap of 17.25% (before fees and expenses) and 16.35% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of March 21, 2022 to March 17, 2023. |
Performance | |
Cumulative Total Returns | |
Inception (3/17/23) to 8/31/23 | |
Fund Performance | |
NAV | 7.69% |
Market Price | 7.42% |
Index Performance | |
S&P 500® Index - Price Return | 15.09% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (6/18/21) to 8/31/23 | Inception (6/18/21) to 8/31/23 | |
Fund Performance | |||
NAV | 15.83% | 0.57% | 1.25% |
Market Price | 16.41% | 0.77% | 1.70% |
Index Performance | |||
MSCI EAFE Index - Price Return | 14.60% | -4.02% | -8.64% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 24.20% (before fees and expenses) and 23.31% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of June 21, 2022 to June 16, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (6/18/21) to 8/31/23 | Inception (6/18/21) to 8/31/23 | |
Fund Performance | |||
NAV | 20.33% | 6.04% | 13.79% |
Market Price | 20.42% | 6.00% | 13.69% |
Index Performance | |||
Nasdaq-100 Index® - Price Return | 26.31% | 4.56% | 10.33% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 25.19% (before fees and expenses) and 24.30% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of June 21, 2022 to June 16, 2023. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (7/12/21) to 8/31/23 | Inception (7/12/21) to 8/31/23 | |
Fund Performance | |||
NAV | 11.32% | 6.12% | 13.53% |
Market Price | 11.46% | 6.12% | 13.53% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 1.30% | 2.81% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to June 20, 2023, the Fund’s investment objective included an upside cap of 14.80% (before fees and expenses) and 13.95% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of June 21, 2022 to June 16, 2023. |
Performance | |
Cumulative Total Returns | |
Inception (7/21/23) to 8/31/23 | |
Fund Performance | |
NAV | 0.42% |
Market Price | 0.10% |
Index Performance | |
S&P 500® Index - Price Return | -0.63% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (8/18/23) to 8/31/23 | |
Fund Performance | |
NAV | 1.52% |
Market Price | 1.58% |
Index Performance | |
S&P 500® Index - Price Return | 3.16% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (9/17/21) to 8/31/23 | Inception (9/17/21) to 8/31/23 | |
Fund Performance | |||
NAV | 15.37% | -0.36% | -0.70% |
Market Price | 15.52% | -0.41% | -0.80% |
Index Performance | |||
MSCI EAFE Index - Price Return | 14.60% | -5.35% | -10.19% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to September 19, 2022, the Fund’s investment objective included an upside cap of 12.93% (before fees, expenses and taxes) and 12.03% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of September 20, 2021 to September 16, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (9/17/21) to 8/31/23 | Inception (9/17/21) to 8/31/23 | |
Fund Performance | |||
NAV | 21.92% | 4.42% | 8.82% |
Market Price | 21.85% | 4.42% | 8.82% |
Index Performance | |||
Nasdaq-100 Index® - Price Return | 26.31% | 0.56% | 1.09% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to September 19, 2022, the Fund’s investment objective included an upside cap of 13.65% (before fees and expenses) and 12.75% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of September 20, 2021 to September 16, 2022. |
Performance | |
Cumulative Total Returns | |
Inception (9/21/22) to 8/31/23 | |
Fund Performance | |
NAV | 13.81% |
Market Price | 13.81% |
Index Performance | |
S&P 500® Index - Price Return | 18.94% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (12/18/20) to 8/31/23 | Inception (12/18/20) to 8/31/23 | |
Fund Performance | |||
NAV | 16.80% | 3.06% | 8.47% |
Market Price | 16.73% | 2.95% | 8.18% |
Index Performance | |||
MSCI EAFE Index - Price Return | 14.60% | -0.39% | -1.05% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to December 19, 2022, the Fund’s investment objective included an upside cap of 10.75% (before fees and expenses) and 9.85% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of December 20, 2021 to December 16, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (12/18/20) to 8/31/23 | Inception (12/18/20) to 8/31/23 | |
Fund Performance | |||
NAV | 14.47% | 5.25% | 14.82% |
Market Price | 14.43% | 5.21% | 14.72% |
Index Performance | |||
Nasdaq-100 Index® - Price Return | 26.31% | 7.54% | 21.69% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to December 19, 2022, the Fund’s investment objective included an upside cap of 15.89% (before fees and expenses) and 14.99% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of December 20, 2021 to December 16, 2022. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (12/17/21) to 8/31/23 | Inception (12/17/21) to 8/31/23 | |
Fund Performance | |||
NAV | 14.98% | 5.33% | 9.26% |
Market Price | 14.85% | 5.24% | 9.09% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | -1.44% | -2.45% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
* | Prior to December 19, 2022, the Fund’s investment objective included an upside cap of 8.58% (before fees and expenses) and 7.73% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund’s management fee) and an Outcome Period of December 20, 2021 to December 16, 2022. |
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Fund Ticker | YMAR | QMAR | XMAR | YJUN | QJUN | XJUN | XJUL |
Annual Expense Ratio | 0.90% | 0.90% | 0.85% | 0.90% | 0.90% | 0.85% | 0.85% |
Reporting Period Start Date | 8/31/22 | 8/31/22 | 3/17/23 | 8/31/22 | 8/31/22 | 8/31/22 | 7/21/23 |
Reporting Period End Date | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 |
CAP INFORMATION: | |||||||
Cap Prior to Annual Reset (pre-expenses) | 20.70% | 17.25% | N/A | 24.20% | 25.19% | 14.80% | N/A |
Cap Prior to Annual Reset (post-expenses) | 19.80% | 16.35% | N/A | 23.31% | 24.30% | 13.95% | N/A |
Reset Date (prior to 8/31/23) | 3/17/23 | 3/17/23 | 3/17/23 | 6/17/23 | 6/17/23 | 6/17/23 | 7/21/23 |
New Cap on Annual Reset Date (pre-expenses) | 24.78% | 22.15% | 13.01% | 18.94% | 20.53% | 11.60% | 11.22% |
New Cap on Annual Reset Date (post-expenses) | 23.88% | 21.25% | 12.16% | 18.03% | 19.62% | 10.74% | 10.37% |
PERFORMANCE (Later of 8/31/22 or Inception Date, to 8/31/23): | |||||||
Fund Performance (using NAVs) | 16.25% | 20.45% | 7.69% | 15.83% | 20.33% | 11.32% | 0.42% |
Fund Performance (using Market Price) | 17.01% | 20.67% | 7.42% | 16.41% | 20.42% | 11.46% | 0.10% |
Reference Asset Price Return | 15.93% | 26.30% | 15.48% | 15.93% | 26.30% | 13.96% | -0.40% |
Fund Ticker | XAUG | YSEP | QSPT | XSEP | YDEC | QDEC | XDEC |
Annual Expense Ratio | 0.85% | 0.90% | 0.90% | 0.85% | 0.90% | 0.90% | 0.85% |
Reporting Period Start Date | 8/18/23 | 8/31/22 | 8/31/22 | 9/21/22 | 8/31/22 | 8/31/22 | 8/31/22 |
Reporting Period End Date | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 |
CAP INFORMATION: | |||||||
Cap Prior to Annual Reset (pre-expenses) | N/A | 12.93% | 13.65% | N/A | 10.75% | 15.89% | 8.58% |
Cap Prior to Annual Reset (post-expenses) | N/A | 12.03% | 12.75% | N/A | 9.85% | 14.99% | 7.73% |
Reset Date (prior to 8/31/23) | 8/18/23 | 9/16/22 | 9/16/22 | 9/21/22 | 12/16/22 | 12/16/22 | 12/16/22 |
New Cap on Annual Reset Date (pre-expenses) | 12.32% | 25.00% | 27.27% | 14.90% | 22.87% | 27.03% | 15.31% |
New Cap on Annual Reset Date (post-expenses) | 11.48% | 24.10% | 26.37% | 14.07% | 21.97% | 26.13% | 14.46% |
PERFORMANCE (Later of 8/31/22 or Inception Date, to 8/31/23): | |||||||
Fund Performance (using NAVs) | 1.52% | 15.37% | 21.92% | 13.81% | 16.80% | 14.47% | 14.98% |
Fund Performance (using Market Price) | 1.58% | 15.52% | 21.85% | 13.81% | 16.73% | 14.43% | 14.85% |
Reference Asset Price Return | 3.17% | 15.93% | 26.30% | 16.80% | 15.93% | 26.30% | 13.96% |
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
FT Cboe Vest Nasdaq-100® Buffer ETF - December or FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December (each a “Fund” and collectively, the “Funds”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Cboe Vest International Equity Buffer ETF - March (YMAR) | ||||
Actual | $1,000.00 | $1,062.00 | 0.90% | $4.68 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
FT Cboe Vest Nasdaq-100® Buffer ETF - March (QMAR) | ||||
Actual | $1,000.00 | $1,179.50 | 0.90% | $4.94 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
FT Cboe Vest International Equity Buffer ETF - June (YJUN) | ||||
Actual | $1,000.00 | $1,043.40 | 0.90% | $4.64 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
FT Cboe Vest Nasdaq-100® Buffer ETF - June (QJUN) | ||||
Actual | $1,000.00 | $1,185.00 | 0.90% | $4.96 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) | ||||
Actual | $1,000.00 | $1,070.10 | 0.85% | $4.44 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Understanding Your Fund Expenses (Continued)
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Cboe Vest International Equity Buffer ETF - September (YSEP) | ||||
Actual | $1,000.00 | $1,051.50 | 0.90% | $4.65 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
FT Cboe Vest Nasdaq-100® Buffer ETF - September (QSPT) | ||||
Actual | $1,000.00 | $1,220.60 | 0.90% | $5.04 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) | ||||
Actual | $1,000.00 | $1,080.80 | 0.85% | $4.46 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest International Equity Buffer ETF - December (YDEC) | ||||
Actual | $1,000.00 | $1,045.70 | 0.90% | $4.64 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
FT Cboe Vest Nasdaq-100® Buffer ETF - December (QDEC) | ||||
Actual | $1,000.00 | $1,158.70 | 0.90% | $4.90 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) | ||||
Actual | $1,000.00 | $1,082.60 | 0.85% | $4.46 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Beginning Account Value March 17, 2023 (b) | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period March 17, 2023 (b) to August 31, 2023 (c) | |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) | ||||
Actual | $1,000.00 | $1,076.90 | 0.85% | $4.06 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Beginning Account Value July 21, 2023 (b) | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period July 21, 2023 (b) to August 31, 2023 (d) | |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) | ||||
Actual | $1,000.00 | $1,004.20 | 0.85% | $0.98 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Beginning Account Value August 18, 2023 (b) | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period August 18, 2023 (b) to August 31, 2023 (e) | |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) | ||||
Actual | $1,000.00 | $1,015.20 | 0.85% | $0.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
(b) | Inception date. |
(c) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 17, 2023 through August 31, 2023), multiplied by 168/365. Hypothetical expenses are assumed for the most recent six-month period. |
Understanding Your Fund Expenses (Continued)
August 31, 2023 (Unaudited)
(d) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (July 21, 2023 through August 31, 2023), multiplied by 42/365. Hypothetical expenses are assumed for the most recent six-month period. |
(e) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 18, 2023 through August 31, 2023), multiplied by 14/365. Hypothetical expenses are assumed for the most recent six-month period. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.9% | |||||
520,285 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $520,285 | |||
(Cost $520,285) | |||||
Total Investments — 0.9% | 520,285 | ||||
(Cost $520,285) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 100.2% | |||||
Call Options Purchased — 98.3% | |||||
8,373 | iShares MSCI EAFE ETF | $59,892,069 | $0.67 | 03/15/24 | 58,554,035 |
(Cost $56,560,816) | |||||
Put Options Purchased — 1.9% | |||||
8,373 | iShares MSCI EAFE ETF | 59,892,069 | 67.18 | 03/15/24 | 1,105,654 |
(Cost $3,349,722) | |||||
Total Purchased Options | 59,659,689 | ||||
(Cost $59,910,538) | |||||
WRITTEN OPTIONS — (1.0)% | |||||
Call Options Written — (0.3)% | |||||
(8,373 ) | iShares MSCI EAFE ETF | (59,892,069 ) | 83.83 | 03/15/24 | (162,866 ) |
(Premiums received $457,131) | |||||
Put Options Written — (0.7)% | |||||
(8,373 ) | iShares MSCI EAFE ETF | (59,892,069 ) | 60.46 | 03/15/24 | (436,144 ) |
(Premiums received $1,647,880) | |||||
Total Written Options | (599,010 ) | ||||
(Premiums received $2,105,011) | |||||
Net Other Assets and Liabilities — (0.1)% | (41,264 ) | ||||
Net Assets — 100.0% | $59,539,700 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.9% |
Purchased Options | 100.2 |
Written Options | (1.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $520,285 | $520,285 | $— | $— |
Purchased Options | 59,659,689 | — | 59,659,689 | — |
Total | $60,179,974 | $520,285 | $59,659,689 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(599,010 ) | $— | $(599,010 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
1,325,303 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,325,303 | |||
(Cost $1,325,303) | |||||
Total Investments — 0.7% | 1,325,303 | ||||
(Cost $1,325,303) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 108.8% | |||||
Call Options Purchased — 107.7% | |||||
5,346 | Invesco QQQ TrustSM, Series 1 | $202,073,454 | $3.05 | 03/15/24 | 200,021,314 |
(Cost $165,313,170) | |||||
Put Options Purchased — 1.1% | |||||
5,346 | Invesco QQQ TrustSM, Series 1 | 202,073,454 | 305.36 | 03/15/24 | 2,014,171 |
(Cost $11,627,133) | |||||
Total Purchased Options | 202,035,485 | ||||
(Cost $176,940,303) | |||||
WRITTEN OPTIONS — (9.4)% | |||||
Call Options Written — (8.8)% | |||||
(5,346 ) | Invesco QQQ TrustSM, Series 1 | (202,073,454 ) | 373.00 | 03/15/24 | (16,434,685 ) |
(Premiums received $5,247,473) | |||||
Put Options Written — (0.6)% | |||||
(5,346 ) | Invesco QQQ TrustSM, Series 1 | (202,073,454 ) | 274.82 | 03/15/24 | (1,060,524 ) |
(Premiums received $7,108,120) | |||||
Total Written Options | (17,495,209 ) | ||||
(Premiums received $12,355,593) | |||||
Net Other Assets and Liabilities — (0.1)% | (129,999 ) | ||||
Net Assets — 100.0% | $185,735,580 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 108.8 |
Written Options | (9.4) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,325,303 | $1,325,303 | $— | $— |
Purchased Options | 202,035,485 | — | 202,035,485 | — |
Total | $203,360,788 | $1,325,303 | $202,035,485 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(17,495,209 ) | $— | $(17,495,209 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
2,167,451 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $2,167,451 | |||
(Cost $2,167,451) | |||||
Total Investments — 0.8% | 2,167,451 | ||||
(Cost $2,167,451) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 124.3% | |||||
Call Options Purchased — 123.2% | |||||
6,403 | SPDR® S&P 500® ETF Trust | $288,359,105 | $3.91 | 03/15/24 | 284,166,643 |
6,403 | SPDR® S&P 500® ETF Trust | 288,359,105 | 390.00 | 03/15/24 | 47,138,706 |
Total Call Options Purchased | 331,305,349 | ||||
(Cost $285,014,375) | |||||
Put Options Purchased — 1.1% | |||||
6,403 | SPDR® S&P 500® ETF Trust | 288,359,105 | 390.00 | 03/15/24 | 2,889,060 |
(Cost $13,542,607) | |||||
Total Purchased Options | 334,194,409 | ||||
(Cost $298,556,982) | |||||
WRITTEN OPTIONS — (25.0)% | |||||
Call Options Written — (24.6)% | |||||
(12,806 ) | SPDR® S&P 500® ETF Trust | (576,718,210 ) | 415.35 | 03/15/24 | (66,141,818 ) |
(Premiums received $38,721,432) | |||||
Put Options Written — (0.4)% | |||||
(6,403 ) | SPDR® S&P 500® ETF Trust | (288,359,105 ) | 331.50 | 03/15/24 | (1,139,956 ) |
(Premiums received $5,541,652) | |||||
Total Written Options | (67,281,774 ) | ||||
(Premiums received $44,263,084) | |||||
Net Other Assets and Liabilities — (0.1)% | (189,072 ) | ||||
Net Assets — 100.0% | $268,891,014 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 124.3 |
Written Options | (25.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $2,167,451 | $2,167,451 | $— | $— |
Purchased Options | 334,194,409 | — | 334,194,409 | — |
Total | $336,361,860 | $2,167,451 | $334,194,409 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(67,281,774 ) | $— | $(67,281,774 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.2% | |||||
1,349,798 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,349,798 | |||
(Cost $1,349,798) | |||||
Total Investments — 1.2% | 1,349,798 | ||||
(Cost $1,349,798) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.8% | |||||
Call Options Purchased — 96.0% | |||||
15,946 | iShares MSCI EAFE ETF | $114,061,738 | $0.73 | 06/21/24 | 109,545,664 |
(Cost $113,005,895) | |||||
Put Options Purchased — 5.8% | |||||
15,946 | iShares MSCI EAFE ETF | 114,061,738 | 73.39 | 06/21/24 | 6,605,139 |
(Cost $5,858,406) | |||||
Total Purchased Options | 116,150,803 | ||||
(Cost $118,864,301) | |||||
WRITTEN OPTIONS — (2.9)% | |||||
Call Options Written — (0.4)% | |||||
(15,946 ) | iShares MSCI EAFE ETF | (114,061,738 ) | 87.29 | 06/21/24 | (405,251 ) |
(Premiums received $685,804) | |||||
Put Options Written — (2.5)% | |||||
(15,946 ) | iShares MSCI EAFE ETF | (114,061,738 ) | 66.05 | 06/21/24 | (2,895,831 ) |
(Premiums received $2,938,620) | |||||
Total Written Options | (3,301,082 ) | ||||
(Premiums received $3,624,424) | |||||
Net Other Assets and Liabilities — (0.1)% | (76,654 ) | ||||
Net Assets — 100.0% | $114,122,865 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.2% |
Purchased Options | 101.8 |
Written Options | (2.9) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,349,798 | $1,349,798 | $— | $— |
Purchased Options | 116,150,803 | — | 116,150,803 | — |
Total | $117,500,601 | $1,349,798 | $116,150,803 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(3,301,082 ) | $— | $(3,301,082 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
3,658,033 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,658,033 | |||
(Cost $3,658,033) | |||||
Total Investments — 1.0% | 3,658,033 | ||||
(Cost $3,658,033) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.5% | |||||
Call Options Purchased — 98.8% | |||||
9,634 | Invesco QQQ TrustSM, Series 1 | $364,155,566 | $3.68 | 06/21/24 | 358,606,382 |
(Cost $350,254,696) | |||||
Put Options Purchased — 4.7% | |||||
9,634 | Invesco QQQ TrustSM, Series 1 | 364,155,566 | 367.93 | 06/21/24 | 16,917,304 |
(Cost $21,763,192) | |||||
Total Purchased Options | 375,523,686 | ||||
(Cost $372,017,888) | |||||
WRITTEN OPTIONS — (4.4)% | |||||
Call Options Written — (1.9)% | |||||
(9,634 ) | Invesco QQQ TrustSM, Series 1 | (364,155,566 ) | 443.47 | 06/21/24 | (7,119,526 ) |
(Premiums received $7,830,328) | |||||
Put Options Written — (2.5)% | |||||
(9,634 ) | Invesco QQQ TrustSM, Series 1 | (364,155,566 ) | 331.14 | 06/21/24 | (8,940,352 ) |
(Premiums received $12,195,212) | |||||
Total Written Options | (16,059,878 ) | ||||
(Premiums received $20,025,540) | |||||
Net Other Assets and Liabilities — (0.1)% | (205,415 ) | ||||
Net Assets — 100.0% | $362,916,426 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 103.5 |
Written Options | (4.4) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,658,033 | $3,658,033 | $— | $— |
Purchased Options | 375,523,686 | — | 375,523,686 | — |
Total | $379,181,719 | $3,658,033 | $375,523,686 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(16,059,878 ) | $— | $(16,059,878 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 1.0% | |||||
3,423,994 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $3,423,994 | |||
(Cost $3,423,994) | |||||
Total Investments — 1.0% | 3,423,994 | ||||
(Cost $3,423,994) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 111.0% | |||||
Call Options Purchased — 107.4% | |||||
7,796 | SPDR® S&P 500® ETF Trust | $351,092,860 | $4.40 | 06/21/24 | 342,790,120 |
7,796 | SPDR® S&P 500® ETF Trust | 351,092,860 | 439.47 | 06/21/24 | 31,402,288 |
Total Call Options Purchased | 374,192,408 | ||||
(Cost $360,776,970) | |||||
Put Options Purchased — 3.6% | |||||
7,796 | SPDR® S&P 500® ETF Trust | 351,092,860 | 439.47 | 06/21/24 | 12,551,560 |
(Cost $16,027,899) | |||||
Total Purchased Options | 386,743,968 | ||||
(Cost $376,804,869) | |||||
WRITTEN OPTIONS — (11.9)% | |||||
Call Options Written — (10.6)% | |||||
(15,592 ) | SPDR® S&P 500® ETF Trust | (702,185,720 ) | 464.96 | 06/21/24 | (36,875,080 ) |
(Premiums received $27,176,444) | |||||
Put Options Written — (1.3)% | |||||
(7,796 ) | SPDR® S&P 500® ETF Trust | (351,092,860 ) | 373.55 | 06/21/24 | (4,669,804 ) |
(Premiums received $9,835,010) | |||||
Total Written Options | (41,544,884 ) | ||||
(Premiums received $37,011,454) | |||||
Net Other Assets and Liabilities — (0.1)% | (222,739 ) | ||||
Net Assets — 100.0% | $348,400,339 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 1.0% |
Purchased Options | 111.0 |
Written Options | (11.9) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $3,423,994 | $3,423,994 | $— | $— |
Purchased Options | 386,743,968 | — | 386,743,968 | — |
Total | $390,167,962 | $3,423,994 | $386,743,968 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(41,544,884 ) | $— | $(41,544,884 ) | $— |
Portfolio of Investments
August 31, 2023
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 109.4% | |||||
Call Options Purchased — 105.1% | |||||
833 | SPDR® S&P 500® ETF Trust | $37,514,155 | $4.53 | 07/19/24 | $36,835,248 |
833 | SPDR® S&P 500® ETF Trust | 37,514,155 | 452.19 | 07/19/24 | 2,919,520 |
Total Call Options Purchased | 39,754,768 | ||||
(Cost $39,629,845) | |||||
Put Options Purchased — 4.3% | |||||
833 | SPDR® S&P 500® ETF Trust | 37,514,155 | 452.19 | 07/19/24 | 1,632,141 |
(Cost $1,823,024) | |||||
Total Purchased Options | 41,386,909 | ||||
(Cost $41,452,869) | |||||
WRITTEN OPTIONS — (10.4)% | |||||
Call Options Written — (8.8)% | |||||
(1,666 ) | SPDR® S&P 500® ETF Trust | (75,028,310 ) | 477.55 | 07/19/24 | (3,341,564 ) |
(Premiums received $3,539,246) | |||||
Put Options Written — (1.6)% | |||||
(833 ) | SPDR® S&P 500® ETF Trust | (37,514,155 ) | 384.36 | 07/19/24 | (602,613 ) |
(Premiums received $738,174) | |||||
Total Written Options | (3,944,177 ) | ||||
(Premiums received $4,277,420) | |||||
Net Other Assets and Liabilities — 1.0% | 384,057 | ||||
Net Assets — 100.0% | $37,826,789 |
Fund Allocation | % of Net Assets |
Purchased Options | 109.4% |
Written Options | (10.4) |
Net Other Assets and Liabilities | 1.0 |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Purchased Options | $41,386,909 | $— | $41,386,909 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(3,944,177 ) | $— | $(3,944,177 ) | $— |
Portfolio of Investments
August 31, 2023
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 113.8% | |||||
Call Options Purchased — 110.0% | |||||
799 | SPDR® S&P 500® ETF Trust | $35,982,965 | $4.38 | 08/16/24 | $35,144,015 |
799 | SPDR® S&P 500® ETF Trust | 35,982,965 | 436.51 | 08/16/24 | 3,796,049 |
Total Call Options Purchased | 38,940,064 | ||||
(Cost $37,910,989) | |||||
Put Options Purchased — 3.8% | |||||
799 | SPDR® S&P 500® ETF Trust | 35,982,965 | 436.51 | 08/16/24 | 1,366,290 |
(Cost $1,649,971) | |||||
Total Purchased Options | 40,306,354 | ||||
(Cost $39,560,960) | |||||
WRITTEN OPTIONS — (14.9)% | |||||
Call Options Written — (13.4)% | |||||
1,598 | SPDR® S&P 500® ETF Trust | (71,965,930 ) | 463.40 | 08/16/24 | (4,733,276 ) |
(Premiums received $4,178,767) | |||||
Put Options Written — (1.5)% | |||||
799 | SPDR® S&P 500® ETF Trust | (35,982,965 ) | 371.04 | 08/16/24 | (551,310 ) |
(Premiums received $685,773) | |||||
Total Written Options | (5,284,586 ) | ||||
(Premiums received $4,864,540) | |||||
Net Other Assets and Liabilities — 1.1% | 378,209 | ||||
Net Assets — 100.0% | $35,399,977 |
Fund Allocation | % of Net Assets |
Purchased Options | 113.8% |
Written Options | (14.9) |
Net Other Assets and Liabilities | 1.1 |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Purchased Options | $40,306,354 | $— | $40,306,354 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(5,284,586 ) | $— | $(5,284,586 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.4% | |||||
97,931 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $97,931 | |||
(Cost $97,931) | |||||
Total Investments — 0.4% | 97,931 | ||||
(Cost $97,931) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 99.7% | |||||
Call Options Purchased — 99.7% | |||||
3,343 | iShares MSCI EAFE ETF | $23,912,479 | $0.60 | 09/15/23 | 23,699,966 |
(Cost $19,842,672) | |||||
Put Options Purchased — 0.0% | |||||
3,343 | iShares MSCI EAFE ETF | 23,912,479 | 60.40 | 09/15/23 | 763 |
(Cost $1,927,716) | |||||
Total Purchased Options | 23,700,729 | ||||
(Cost $21,770,388) | |||||
WRITTEN OPTIONS — (0.0)% | |||||
Call Options Written — (0.0)% | |||||
(3,343 ) | iShares MSCI EAFE ETF | (23,912,479 ) | 75.50 | 09/15/23 | (2,292 ) |
(Premiums received $105,839) | |||||
Put Options Written — (0.0)% | |||||
(3,343 ) | iShares MSCI EAFE ETF | (23,912,479 ) | 54.36 | 09/15/23 | (93 ) |
(Premiums received $882,589) | |||||
Total Written Options | (2,385 ) | ||||
(Premiums received $988,428) | |||||
Net Other Assets and Liabilities — (0.1)% | (17,385 ) | ||||
Net Assets — 100.0% | $23,778,890 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.4% |
Purchased Options | 99.7 |
Written Options | (0.0)(1) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $97,931 | $97,931 | $— | $— |
Purchased Options | 23,700,729 | — | 23,700,729 | — |
Total | $23,798,660 | $97,931 | $23,700,729 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(2,385 ) | $— | $(2,385 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.3% | |||||
311,287 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $311,287 | |||
(Cost $311,287) | |||||
Total Investments — 0.3% | 311,287 | ||||
(Cost $311,287) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.2% | |||||
Call Options Purchased — 103.2% | |||||
3,022 | Invesco QQQ TrustSM, Series 1 | $114,228,578 | $2.89 | 09/15/23 | 113,328,657 |
(Cost $89,350,827) | |||||
Put Options Purchased — 0.0% | |||||
3,022 | Invesco QQQ TrustSM, Series 1 | 114,228,578 | 289.32 | 09/15/23 | 12,431 |
(Cost $7,365,412) | |||||
Total Purchased Options | 113,341,088 | ||||
(Cost $96,716,239) | |||||
WRITTEN OPTIONS — (3.4)% | |||||
Call Options Written — (3.4)% | |||||
(3,022 ) | Invesco QQQ TrustSM, Series 1 | (114,228,578 ) | 368.22 | 09/15/23 | (3,721,949 ) |
(Premiums received $2,089,221) | |||||
Put Options Written — (0.0)% | |||||
(3,022 ) | Invesco QQQ TrustSM, Series 1 | (114,228,578 ) | 260.39 | 09/15/23 | (3,509 ) |
(Premiums received $4,230,539) | |||||
Total Written Options | (3,725,458 ) | ||||
(Premiums received $6,319,760) | |||||
Net Other Assets and Liabilities — (0.1)% | (78,155 ) | ||||
Net Assets — 100.0% | $109,848,762 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.3% |
Purchased Options | 103.2 |
Written Options | (3.4) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $311,287 | $311,287 | $— | $— |
Purchased Options | 113,341,088 | — | 113,341,088 | — |
Total | $113,652,375 | $311,287 | $113,341,088 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(3,725,458 ) | $— | $(3,725,458 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.3% | |||||
301,367 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $301,367 | |||
(Cost $301,367) | |||||
Total Investments — 0.3% | 301,367 | ||||
(Cost $301,367) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 120.6% | |||||
Call Options Purchased — 120.6% | |||||
2,240 | SPDR® S&P 500® ETF Trust | $100,878,400 | $3.77 | 09/15/23 | 99,705,563 |
2,240 | SPDR® S&P 500® ETF Trust | 100,878,400 | 377.39 | 09/15/23 | 16,267,159 |
Total Call Options Purchased | 115,972,722 | ||||
(Cost $96,445,096) | |||||
Put Options Purchased — 0.0% | |||||
2,240 | SPDR® S&P 500® ETF Trust | 100,878,400 | 377.39 | 09/15/23 | 18,725 |
(Cost $7,768,647) | |||||
Total Purchased Options | 115,991,447 | ||||
(Cost $104,213,743) | |||||
WRITTEN OPTIONS — (20.8)% | |||||
Call Options Written — (20.8)% | |||||
(4,480 ) | SPDR® S&P 500® ETF Trust | (201,756,800 ) | 405.51 | 09/15/23 | (20,000,984 ) |
(Premiums received $9,680,861) | |||||
Put Options Written — (0.0)% | |||||
(2,240 ) | SPDR® S&P 500® ETF Trust | (100,878,400 ) | 320.78 | 09/15/23 | (5,206 ) |
(Premiums received $2,270,112) | |||||
Total Written Options | (20,006,190 ) | ||||
(Premiums received $11,950,973) | |||||
Net Other Assets and Liabilities — (0.1)% | (67,154 ) | ||||
Net Assets — 100.0% | $96,219,470 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.3% |
Purchased Options | 120.6 |
Written Options | (20.8) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $301,367 | $301,367 | $— | $— |
Purchased Options | 115,991,447 | — | 115,991,447 | — |
Total | $116,292,814 | $301,367 | $115,991,447 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(20,006,190 ) | $— | $(20,006,190 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
436,679 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $436,679 | |||
(Cost $436,679) | |||||
Total Investments — 0.7% | 436,679 | ||||
(Cost $436,679) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 99.8% | |||||
Call Options Purchased — 99.0% | |||||
8,958 | iShares MSCI EAFE ETF | $64,076,574 | $0.65 | 12/15/23 | 63,550,502 |
(Cost $59,111,955) | |||||
Put Options Purchased — 0.8% | |||||
8,958 | iShares MSCI EAFE ETF | 64,076,574 | 65.42 | 12/15/23 | 486,066 |
(Cost $3,209,902) | |||||
Total Purchased Options | 64,036,568 | ||||
(Cost $62,321,857) | |||||
WRITTEN OPTIONS — (0.4)% | |||||
Call Options Written — (0.1)% | |||||
(8,958 ) | iShares MSCI EAFE ETF | (64,076,574 ) | 80.38 | 12/15/23 | (67,398 ) |
(Premiums received $826,392) | |||||
Put Options Written — (0.3)% | |||||
(8,958 ) | iShares MSCI EAFE ETF | (64,076,574 ) | 58.88 | 12/15/23 | (167,558 ) |
(Premiums received $1,743,885) | |||||
Total Written Options | (234,956 ) | ||||
(Premiums received $2,570,277) | |||||
Net Other Assets and Liabilities — (0.1)% | (46,704 ) | ||||
Net Assets — 100.0% | $64,191,587 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 99.8 |
Written Options | (0.4) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $436,679 | $436,679 | $— | $— |
Purchased Options | 64,036,568 | — | 64,036,568 | — |
Total | $64,473,247 | $436,679 | $64,036,568 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(234,956 ) | $— | $(234,956 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
681,039 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $681,039 | |||
(Cost $681,039) | |||||
Total Investments — 0.5% | 681,039 | ||||
(Cost $681,039) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 111.6% | |||||
Call Options Purchased — 111.4% | |||||
4,267 | Invesco QQQ TrustSM, Series 1 | $161,288,333 | $2.74 | 12/15/23 | 159,906,469 |
(Cost $122,332,502) | |||||
Put Options Purchased — 0.2% | |||||
4,267 | Invesco QQQ TrustSM, Series 1 | 161,288,333 | 274.25 | 12/15/23 | 287,382 |
(Cost $9,527,401) | |||||
Total Purchased Options | 160,193,851 | ||||
(Cost $131,859,903) | |||||
WRITTEN OPTIONS — (12.0)% | |||||
Call Options Written — (11.9)% | |||||
(4,267 ) | Invesco QQQ TrustSM, Series 1 | (161,288,333 ) | 348.38 | 12/15/23 | (17,115,448 ) |
(Premiums received $4,942,448) | |||||
Put Options Written — (0.1)% | |||||
(4,267 ) | Invesco QQQ TrustSM, Series 1 | (161,288,333 ) | 246.83 | 12/15/23 | (138,054 ) |
(Premiums received $5,578,342) | |||||
Total Written Options | (17,253,502 ) | ||||
(Premiums received $10,520,790) | |||||
Net Other Assets and Liabilities — (0.1)% | (100,204 ) | ||||
Net Assets — 100.0% | $143,521,184 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 111.6 |
Written Options | (12.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $681,039 | $681,039 | $— | $— |
Purchased Options | 160,193,851 | — | 160,193,851 | — |
Total | $160,874,890 | $681,039 | $160,193,851 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(17,253,502 ) | $— | $(17,253,502 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.5% | |||||
1,871,183 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,871,183 | |||
(Cost $1,871,183) | |||||
Total Investments — 0.5% | 1,871,183 | ||||
(Cost $1,871,183) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 120.9% | |||||
Call Options Purchased — 120.5% | |||||
8,290 | SPDR® S&P 500® ETF Trust | $373,340,150 | $3.84 | 12/15/23 | 368,145,177 |
8,290 | SPDR® S&P 500® ETF Trust | 373,340,150 | 383.28 | 12/15/23 | 60,140,262 |
Total Call Options Purchased | 428,285,439 | ||||
(Cost $346,700,000) | |||||
Put Options Purchased — 0.4% | |||||
8,290 | SPDR® S&P 500® ETF Trust | 373,340,150 | 383.28 | 12/15/23 | 1,435,550 |
(Cost $24,660,579) | |||||
Total Purchased Options | 429,720,989 | ||||
(Cost $371,360,579) | |||||
WRITTEN OPTIONS — (21.3)% | |||||
Call Options Written — (21.2)% | |||||
(16,580 ) | SPDR® S&P 500® ETF Trust | (746,680,300 ) | 412.60 | 12/15/23 | (75,363,613 ) |
(Premiums received $41,219,533) | |||||
Put Options Written — (0.1)% | |||||
(8,290 ) | SPDR® S&P 500® ETF Trust | (373,340,150 ) | 325.79 | 12/15/23 | (349,307 ) |
(Premiums received $10,341,123) | |||||
Total Written Options | (75,712,920 ) | ||||
(Premiums received $51,560,656) | |||||
Net Other Assets and Liabilities — (0.1)% | (247,227 ) | ||||
Net Assets — 100.0% | $355,632,025 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.5% |
Purchased Options | 120.9 |
Written Options | (21.3) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,871,183 | $1,871,183 | $— | $— |
Purchased Options | 429,720,989 | — | 429,720,989 | — |
Total | $431,592,172 | $1,871,183 | $429,720,989 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(75,712,920 ) | $— | $(75,712,920 ) | $— |
Statements of Assets and Liabilities
August 31, 2023
FT Cboe Vest International Equity Buffer ETF - March (YMAR) | FT Cboe Vest Nasdaq-100® Buffer ETF - March (QMAR) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) | FT Cboe Vest International Equity Buffer ETF - June (YJUN) | |
ASSETS: | ||||
Investments, at value | $520,285 | $1,325,303 | $2,167,451 | $1,349,798 |
Options contracts purchased, at value | 59,659,689 | 202,035,485 | 334,194,409 | 116,150,803 |
Cash | — | — | — | — |
Due from broker | 2,092 | 37 | — | 437 |
Receivables: | ||||
Dividends | 2,834 | 6,050 | 10,321 | 5,749 |
Investment securities sold | — | — | — | — |
Capital shares sold | — | — | — | — |
Total Assets | 60,184,900 | 203,366,875 | 336,372,181 | 117,506,787 |
LIABILITIES: | ||||
Options contracts written, at value | 599,010 | 17,495,209 | 67,281,774 | 3,301,082 |
Payables: | ||||
Investment advisory fees | 46,190 | 136,086 | 199,393 | 82,840 |
Investment securities purchased | — | — | — | — |
Total Liabilities | 645,200 | 17,631,295 | 67,481,167 | 3,383,922 |
NET ASSETS | $59,539,700 | $185,735,580 | $268,891,014 | $114,122,865 |
NET ASSETS consist of: | ||||
Paid-in capital | $61,075,470 | $168,975,002 | $252,851,953 | $121,311,329 |
Par value | 28,500 | 76,000 | 84,250 | 56,500 |
Accumulated distributable earnings (loss) | (1,564,270 ) | 16,684,578 | 15,954,811 | (7,244,964 ) |
NET ASSETS | $59,539,700 | $185,735,580 | $268,891,014 | $114,122,865 |
NET ASSET VALUE, per share | $20.89 | $24.44 | $31.92 | $20.20 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,850,002 | 7,600,002 | 8,425,002 | 5,650,002 |
Investments, at cost | $520,285 | $1,325,303 | $2,167,451 | $1,349,798 |
Premiums paid on options contracts purchased | $59,910,538 | $176,940,303 | $298,556,982 | $118,864,301 |
Premiums received on options contracts written | $2,105,011 | $12,355,593 | $44,263,084 | $3,624,424 |
FT Cboe Vest Nasdaq-100® Buffer ETF - June (QJUN) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) | FT Cboe Vest International Equity Buffer ETF - September (YSEP) | FT Cboe Vest Nasdaq-100® Buffer ETF - September (QSPT) |
$3,658,033 | $3,423,994 | $— | $— | $97,931 | $311,287 |
375,523,686 | 386,743,968 | 41,386,909 | 40,306,354 | 23,700,729 | 113,341,088 |
— | — | 406,194 | 376,445 | — | — |
305 | 153 | — | — | 280 | 234 |
15,656 | 14,863 | — | — | 451 | 1,783 |
149,795 | 101,176 | — | 112,371 | — | — |
3,392,211 | 843,733 | — | 753,323 | — | — |
382,739,686 | 391,127,887 | 41,793,103 | 41,548,493 | 23,799,391 | 113,654,392 |
16,059,878 | 41,544,884 | 3,944,177 | 5,284,586 | 2,385 | 3,725,458 |
255,038 | 240,038 | 22,137 | 6,282 | 18,116 | 80,172 |
3,508,344 | 942,626 | — | 857,648 | — | — |
19,823,260 | 42,727,548 | 3,966,314 | 6,148,516 | 20,501 | 3,805,630 |
$362,916,426 | $348,400,339 | $37,826,789 | $35,399,977 | $23,778,890 | $109,848,762 |
$369,903,176 | $358,925,844 | $37,575,565 | $35,062,879 | $20,964,897 | $96,532,164 |
160,500 | 103,250 | 12,250 | 11,750 | 12,000 | 50,000 |
(7,147,250 ) | (10,628,755 ) | 238,974 | 325,348 | 2,801,993 | 13,266,598 |
$362,916,426 | $348,400,339 | $37,826,789 | $35,399,977 | $23,778,890 | $109,848,762 |
$22.61 | $33.74 | $30.88 | $30.13 | $19.82 | $21.97 |
16,050,002 | 10,325,002 | 1,225,002 | 1,175,002 | 1,200,002 | 5,000,002 |
$3,658,033 | $3,423,994 | $— | $— | $97,931 | $311,287 |
$372,017,888 | $376,804,869 | $41,452,869 | $39,560,960 | $21,770,388 | $96,716,239 |
$20,025,540 | $37,011,454 | $4,277,420 | $4,864,540 | $988,428 | $6,319,760 |
Statements of Assets and Liabilities (Continued)
August 31, 2023
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) | FT Cboe Vest International Equity Buffer ETF - December (YDEC) | FT Cboe Vest Nasdaq-100® Buffer ETF - December (QDEC) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) | |
ASSETS: | ||||
Investments, at value | $301,367 | $436,679 | $681,039 | $1,871,183 |
Options contracts purchased, at value | 115,991,447 | 64,036,568 | 160,193,851 | 429,720,989 |
Cash | — | — | — | — |
Due from broker | — | 297 | 5 | 1,417 |
Receivables: | ||||
Dividends | 1,397 | 1,978 | 2,980 | 8,957 |
Investment securities sold | — | — | — | — |
Capital shares sold | — | — | — | — |
Total Assets | 116,294,211 | 64,475,522 | 160,877,875 | 431,602,546 |
LIABILITIES: | ||||
Options contracts written, at value | 20,006,190 | 234,956 | 17,253,502 | 75,712,920 |
Payables: | ||||
Investment advisory fees | 68,551 | 48,979 | 103,189 | 257,601 |
Investment securities purchased | — | — | — | — |
Total Liabilities | 20,074,741 | 283,935 | 17,356,691 | 75,970,521 |
NET ASSETS | $96,219,470 | $64,191,587 | $143,521,184 | $355,632,025 |
NET ASSETS consist of: | ||||
Paid-in capital | $74,404,529 | $62,858,024 | $140,191,518 | $324,024,233 |
Par value | 28,000 | 29,500 | 63,000 | 107,250 |
Accumulated distributable earnings (loss) | 21,786,941 | 1,304,063 | 3,266,666 | 31,500,542 |
NET ASSETS | $96,219,470 | $64,191,587 | $143,521,184 | $355,632,025 |
NET ASSET VALUE, per share | $34.36 | $21.76 | $22.78 | $33.16 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,800,002 | 2,950,002 | 6,300,002 | 10,725,002 |
Investments, at cost | $301,367 | $436,679 | $681,039 | $1,871,183 |
Premiums paid on options contracts purchased | $104,213,743 | $62,321,857 | $131,859,903 | $371,360,579 |
Premiums received on options contracts written | $11,950,973 | $2,570,277 | $10,520,790 | $51,560,656 |
Statements of Operations
For the Period Ended August 31, 2023
FT Cboe Vest International Equity Buffer ETF - March (YMAR) | FT Cboe Vest Nasdaq-100® Buffer ETF - March (QMAR) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) (a) | FT Cboe Vest International Equity Buffer ETF - June (YJUN) | |
INVESTMENT INCOME: | ||||
Dividends | $14,869 | $41,608 | $38,128 | $26,295 |
Total investment income | 14,869 | 41,608 | 38,128 | 26,295 |
EXPENSES: | ||||
Investment advisory fees | 371,917 | 947,145 | 961,103 | 631,013 |
Total expenses | 371,917 | 947,145 | 961,103 | 631,013 |
NET INVESTMENT INCOME (LOSS) | (357,048 ) | (905,537 ) | (922,975 ) | (604,718 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Purchased options contracts | (1,821,517 ) | (1,732,203 ) | 450,403 | (2,059,425 ) |
Written options contracts | (90,304 ) | (1,227,876 ) | (344,088 ) | 235,220 |
In-kind redemptions - Purchased options contracts | (387,022 ) | 2,591,954 | 5,456,838 | 10,963,677 |
In-kind redemptions - Written options contracts | 382,635 | 1,040,220 | (1,323,896 ) | 2,804,782 |
Net realized gain (loss) | (1,916,208 ) | 672,095 | 4,239,257 | 11,944,254 |
Net change in unrealized appreciation (depreciation) on: | ||||
Purchased options contracts | 2,911,576 | 29,692,394 | 35,637,427 | (2,310,240 ) |
Written options contracts | 2,495,031 | (4,707,426 ) | (23,018,690 ) | 119,993 |
Net change in unrealized appreciation (depreciation) | 5,406,607 | 24,984,968 | 12,618,737 | (2,190,247 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 3,490,399 | 25,657,063 | 16,857,994 | 9,754,007 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $3,133,351 | $24,751,526 | $15,935,019 | $9,149,289 |
(a) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(c) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Cboe Vest Nasdaq-100® Buffer ETF - June (QJUN) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) (b) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) (c) | FT Cboe Vest International Equity Buffer ETF - September (YSEP) | FT Cboe Vest Nasdaq-100® Buffer ETF - September (QSPT) |
$57,228 | $60,317 | $— | $— | $8,134 | $21,209 |
57,228 | 60,317 | — | — | 8,134 | 21,209 |
1,178,618 | 1,514,062 | 23,698 | 6,282 | 228,634 | 683,021 |
1,178,618 | 1,514,062 | 23,698 | 6,282 | 228,634 | 683,021 |
(1,121,390 ) | (1,453,745 ) | (23,698 ) | (6,282 ) | (220,500 ) | (661,812 ) |
(3,825,662 ) | (4,546,350 ) | (12,600 ) | — | (1,258,310 ) | (4,985,551 ) |
(2,018,713 ) | (8,464,588 ) | 6,429 | — | (732,177 ) | (1,900,080 ) |
19,293,558 | 24,057,743 | — | — | 2,769,710 | 4,445,950 |
4,226,174 | 7,047,848 | — | — | 524,869 | 1,261,067 |
17,675,357 | 18,094,653 | (6,171 ) | — | 1,304,092 | (1,178,614 ) |
1,508,090 | 6,890,340 | (65,960 ) | 745,394 | 2,311,131 | 18,989,722 |
3,013,185 | (3,650,760 ) | 333,243 | (420,046 ) | 1,622,033 | 3,122,570 |
4,521,275 | 3,239,580 | 267,283 | 325,348 | 3,933,164 | 22,112,292 |
22,196,632 | 21,334,233 | 261,112 | 325,348 | 5,237,256 | 20,933,678 |
$21,075,242 | $19,880,488 | $237,414 | $319,066 | $5,016,756 | $20,271,866 |
Statements of Operations (Continued)
For the Period Ended August 31, 2023
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) (d) | FT Cboe Vest International Equity Buffer ETF - December (YDEC) | FT Cboe Vest Nasdaq-100® Buffer ETF - December (QDEC) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) | |
INVESTMENT INCOME: | ||||
Dividends | $10,008 | $13,521 | $47,236 | $95,358 |
Total investment income | 10,008 | 13,521 | 47,236 | 95,358 |
EXPENSES: | ||||
Investment advisory fees | 1,163,337 | 361,707 | 966,275 | 2,388,684 |
Total expenses | 1,163,337 | 361,707 | 966,275 | 2,388,684 |
NET INVESTMENT INCOME (LOSS) | (1,153,329 ) | (348,186 ) | (919,039 ) | (2,293,326 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Purchased options contracts | 3,563,455 | (1,407,897 ) | (5,107,252 ) | (4,879,643 ) |
Written options contracts | (378,169 ) | (159,905 ) | (7,197,645 ) | (2,770,809 ) |
In-kind redemptions - Purchased options contracts | 12,363,144 | 580,372 | 2,408,929 | 10,373,149 |
In-kind redemptions - Written options contracts | 3,666,726 | 299,095 | 110,243 | 7,112,298 |
Net realized gain (loss) | 19,215,156 | (688,335 ) | (9,785,725 ) | 9,834,995 |
Net change in unrealized appreciation (depreciation) on: | ||||
Purchased options contracts | 11,777,704 | 2,720,118 | 36,881,107 | 64,564,403 |
Written options contracts | (8,055,217 ) | 2,869,548 | (4,240,796 ) | (28,532,818 ) |
Net change in unrealized appreciation (depreciation) | 3,722,487 | 5,589,666 | 32,640,311 | 36,031,585 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 22,937,643 | 4,901,331 | 22,854,586 | 45,866,580 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $21,784,314 | $4,553,145 | $21,935,547 | $43,573,254 |
(d) | Inception date is September 21, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
Statements of Changes in Net Assets
FT Cboe Vest International Equity Buffer ETF - March (YMAR) | FT Cboe Vest Nasdaq-100® Buffer ETF - March (QMAR) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $(357,048 ) | $(233,241 ) | $(905,537 ) | $(258,774 ) |
Net realized gain (loss) | (1,916,208 ) | (637,400 ) | 672,095 | 1,977,483 |
Net change in unrealized appreciation (depreciation) | 5,406,607 | (4,402,075 ) | 24,984,968 | (6,312,235 ) |
Net increase (decrease) in net assets resulting from operations | 3,133,351 | (5,272,716 ) | 24,751,526 | (4,593,526 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 75,264,238 | 61,307,344 | 244,611,999 | 65,393,273 |
Cost of shares redeemed | (56,588,373 ) | (30,990,709 ) | (130,285,396 ) | (33,026,951 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 18,675,865 | 30,316,635 | 114,326,603 | 32,366,322 |
Total increase (decrease) in net assets | 21,809,216 | 25,043,919 | 139,078,129 | 27,772,796 |
NET ASSETS: | ||||
Beginning of period | 37,730,484 | 12,686,565 | 46,657,451 | 18,884,655 |
End of period | $59,539,700 | $37,730,484 | $185,735,580 | $46,657,451 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 2,100,002 | 600,002 | 2,300,002 | 850,002 |
Shares sold | 3,700,000 | 3,100,000 | 11,150,000 | 3,050,000 |
Shares redeemed | (2,950,000 ) | (1,600,000 ) | (5,850,000 ) | (1,600,000 ) |
Shares outstanding, end of period | 2,850,002 | 2,100,002 | 7,600,002 | 2,300,002 |
(a) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March (XMAR) | FT Cboe Vest International Equity Buffer ETF - June (YJUN) | FT Cboe Vest Nasdaq-100® Buffer ETF - June (QJUN) | ||
Period Ended 8/31/2023 (a) | Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 |
$(922,975 ) | $(604,718 ) | $(143,117 ) | $(1,121,390 ) | $(331,640 ) |
4,239,257 | 11,944,254 | (1,438,356 ) | 17,675,357 | (2,695,129 ) |
12,618,737 | (2,190,247 ) | (449,316 ) | 4,521,275 | 1,876,206 |
15,935,019 | 9,149,289 | (2,030,789 ) | 21,075,242 | (1,150,563 ) |
300,971,186 | 158,749,964 | 39,951,781 | 392,039,009 | 116,883,507 |
(48,015,191 ) | (83,430,647 ) | (21,551,314 ) | (142,246,301 ) | (57,217,432 ) |
252,955,995 | 75,319,317 | 18,400,467 | 249,792,708 | 59,666,075 |
268,891,014 | 84,468,606 | 16,369,678 | 270,867,950 | 58,515,512 |
— | 29,654,259 | 13,284,581 | 92,048,476 | 33,532,964 |
$268,891,014 | $114,122,865 | $29,654,259 | $362,916,426 | $92,048,476 |
— | 1,700,002 | 650,002 | 4,900,002 | 1,600,002 |
9,950,002 | 8,100,000 | 2,200,000 | 17,950,000 | 6,300,000 |
(1,525,000 ) | (4,150,000 ) | (1,150,000 ) | (6,800,000 ) | (3,000,000 ) |
8,425,002 | 5,650,002 | 1,700,002 | 16,050,002 | 4,900,002 |
Statements of Changes in Net Assets (Continued)
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) | ||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Period Ended 8/31/2023 (b) | Period Ended 8/31/2023 (c) | |
OPERATIONS: | ||||
Net investment income (loss) | $(1,453,745 ) | $(198,462 ) | $(23,698 ) | $(6,282 ) |
Net realized gain (loss) | 18,094,653 | (111,477 ) | (6,171 ) | — |
Net change in unrealized appreciation (depreciation) | 3,239,580 | 2,096,122 | 267,283 | 325,348 |
Net increase (decrease) in net assets resulting from operations | 19,880,488 | 1,786,183 | 237,414 | 319,066 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 410,957,170 | 118,349,822 | 38,345,887 | 35,080,911 |
Cost of shares redeemed | (193,084,376 ) | (15,511,751 ) | (756,512 ) | — |
Net increase (decrease) in net assets resulting from shareholder transactions | 217,872,794 | 102,838,071 | 37,589,375 | 35,080,911 |
Total increase (decrease) in net assets | 237,753,282 | 104,624,254 | 37,826,789 | 35,399,977 |
NET ASSETS: | ||||
Beginning of period | 110,647,057 | 6,022,803 | — | — |
End of period | $348,400,339 | $110,647,057 | $37,826,789 | $35,399,977 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 3,650,002 | 200,002 | — | — |
Shares sold | 12,600,000 | 3,975,000 | 1,250,002 | 1,175,002 |
Shares redeemed | (5,925,000 ) | (525,000 ) | (25,000 ) | — |
Shares outstanding, end of period | 10,325,002 | 3,650,002 | 1,225,002 | 1,175,002 |
(b) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(c) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(d) | Inception date is September 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(e) | Inception date is September 21, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Cboe Vest International Equity Buffer ETF - September (YSEP) | FT Cboe Vest Nasdaq-100® Buffer ETF - September (QSPT) | FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September (XSEP) | ||
Year Ended 8/31/2023 | Period Ended 8/31/2022 (d) | Year Ended 8/31/2023 | Period Ended 8/31/2022 (d) | Period Ended 8/31/2023 (e) |
$(220,500 ) | $(54,995 ) | $(661,812 ) | $(209,891 ) | $(1,153,329 ) |
1,304,092 | (29,287 ) | (1,178,614 ) | 392,265 | 19,215,156 |
3,933,164 | (1,016,780 ) | 22,112,292 | (2,893,141 ) | 3,722,487 |
5,016,756 | (1,101,062 ) | 20,271,866 | (2,710,767 ) | 21,784,314 |
29,330,078 | 9,899,510 | 116,133,280 | 45,487,054 | 208,590,188 |
(16,579,273 ) | (2,787,119 ) | (50,886,198 ) | (18,446,473 ) | (134,155,032 ) |
12,750,805 | 7,112,391 | 65,247,082 | 27,040,581 | 74,435,156 |
17,767,561 | 6,011,329 | 85,518,948 | 24,329,814 | 96,219,470 |
6,011,329 | — | 24,329,814 | — | — |
$23,778,890 | $6,011,329 | $109,848,762 | $24,329,814 | $96,219,470 |
350,002 | — | 1,350,002 | — | — |
1,750,000 | 500,002 | 6,350,000 | 2,300,002 | 6,875,002 |
(900,000 ) | (150,000 ) | (2,700,000 ) | (950,000 ) | (4,075,000 ) |
1,200,002 | 350,002 | 5,000,002 | 1,350,002 | 2,800,002 |
Statements of Changes in Net Assets (Continued)
FT Cboe Vest International Equity Buffer ETF - December (YDEC) | FT Cboe Vest Nasdaq-100® Buffer ETF - December (QDEC) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $(348,186 ) | $(109,681 ) | $(919,039 ) | $(739,948 ) |
Net realized gain (loss) | (688,335 ) | 431,965 | (9,785,725 ) | 8,966,252 |
Net change in unrealized appreciation (depreciation) | 5,589,666 | (2,245,964 ) | 32,640,311 | (19,902,035 ) |
Net increase (decrease) in net assets resulting from operations | 4,553,145 | (1,923,680 ) | 21,935,547 | (11,675,731 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 68,547,162 | 25,417,773 | 116,741,471 | 110,993,722 |
Cost of shares redeemed | (20,085,865 ) | (24,333,441 ) | (66,784,994 ) | (106,641,208 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 48,461,297 | 1,084,332 | 49,956,477 | 4,352,514 |
Total increase (decrease) in net assets | 53,014,442 | (839,348 ) | 71,892,024 | (7,323,217 ) |
NET ASSETS: | ||||
Beginning of period | 11,177,145 | 12,016,493 | 71,629,160 | 78,952,377 |
End of period | $64,191,587 | $11,177,145 | $143,521,184 | $71,629,160 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 600,002 | 550,002 | 3,600,002 | 3,500,002 |
Shares sold | 3,350,000 | 1,200,000 | 5,950,000 | 4,900,000 |
Shares redeemed | (1,000,000 ) | (1,150,000 ) | (3,250,000 ) | (4,800,000 ) |
Shares outstanding, end of period | 2,950,002 | 600,002 | 6,300,002 | 3,600,002 |
(f) | Inception date is December 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) | |
Year Ended 8/31/2023 | Period Ended 8/31/2022 (f) |
$(2,293,326 ) | $(277,142 ) |
9,834,995 | (47,215 ) |
36,031,585 | (1,823,439 ) |
43,573,254 | (2,147,796 ) |
461,674,530 | 93,120,893 |
(227,470,819 ) | (13,118,037 ) |
234,203,711 | 80,002,856 |
277,776,965 | 77,855,060 |
77,855,060 | — |
$355,632,025 | $77,855,060 |
2,700,002 | — |
15,425,000 | 3,150,002 |
(7,400,000 ) | (450,000 ) |
10,725,002 | 2,700,002 |
Financial Highlights
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $17.97 | $21.14 | $20.02 |
Income from investment operations: | |||
Net investment income (loss) | (0.17 ) (b) | (0.08 ) | (0.04 ) |
Net realized and unrealized gain (loss) | 3.09 | (3.09 ) | 1.16 |
Total from investment operations | 2.92 | (3.17 ) | 1.12 |
Net asset value, end of period | $20.89 | $17.97 | $21.14 |
Total return (c) | 16.25 % | (15.00 )% | 5.59 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $59,540 | $37,730 | $12,687 |
Ratio of total expenses to average net assets | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.86 )% | (0.89 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is March 19, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $20.29 | $22.22 | $20.04 |
Income from investment operations: | |||
Net investment income (loss) | (0.19 ) (b) | (0.07 ) | (0.06 ) |
Net realized and unrealized gain (loss) | 4.34 | (1.86 ) | 2.24 |
Total from investment operations | 4.15 | (1.93 ) | 2.18 |
Net asset value, end of period | $24.44 | $20.29 | $22.22 |
Total return (c) | 20.45 % | (8.69 )% | 10.88 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $185,736 | $46,657 | $18,885 |
Ratio of total expenses to average net assets | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.86 )% | (0.89 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is March 19, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $29.64 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.12 ) |
Net realized and unrealized gain (loss) | 2.40 |
Total from investment operations | 2.28 |
Net asset value, end of period | $31.92 |
Total return (c) | 7.69 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $268,891 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $17.44 | $20.44 | $19.95 |
Income from investment operations: | |||
Net investment income (loss) | (0.17 ) (b) | (0.07 ) | (0.02 ) |
Net realized and unrealized gain (loss) | 2.93 | (2.93 ) | 0.51 |
Total from investment operations | 2.76 | (3.00 ) | 0.49 |
Net asset value, end of period | $20.20 | $17.44 | $20.44 |
Total return (c) | 15.83 % | (14.68 )% | 2.46 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $114,123 | $29,654 | $13,285 |
Ratio of total expenses to average net assets | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.86 )% | (0.89 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is June 18, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $18.79 | $20.96 | $19.87 |
Income from investment operations: | |||
Net investment income (loss) | (0.17 ) (b) | (0.05 ) | (0.03 ) |
Net realized and unrealized gain (loss) | 3.99 | (2.12 ) | 1.12 |
Total from investment operations | 3.82 | (2.17 ) | 1.09 |
Net asset value, end of period | $22.61 | $18.79 | $20.96 |
Total return (c) | 20.33 % | (10.35 )% | 5.49 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $362,916 | $92,048 | $33,533 |
Ratio of total expenses to average net assets | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.86 )% | (0.89 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is June 18, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $30.31 | $30.11 | $29.72 |
Income from investment operations: | |||
Net investment income (loss) | (0.26 ) (b) | (0.03 ) | (0.03 ) |
Net realized and unrealized gain (loss) | 3.69 | 0.23 | 0.42 |
Total from investment operations | 3.43 | 0.20 | 0.39 |
Net asset value, end of period | $33.74 | $30.31 | $30.11 |
Total return (c) | 11.32 % | 0.66 % | 1.31 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $348,400 | $110,647 | $6,023 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is July 12, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.75 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.03 ) |
Net realized and unrealized gain (loss) | 0.16 |
Total from investment operations | 0.13 |
Net asset value, end of period | $30.88 |
Total return (c) | 0.42 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $37,827 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $29.68 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.01 ) |
Net realized and unrealized gain (loss) | 0.46 |
Total from investment operations | 0.45 |
Net asset value, end of period | $30.13 |
Total return (c) | 1.52 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $35,400 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $17.18 | $19.96 |
Income from investment operations: | ||
Net investment income (loss) | (0.16 ) (b) | (0.16 ) |
Net realized and unrealized gain (loss) | 2.80 | (2.62 ) |
Total from investment operations | 2.64 | (2.78 ) |
Net asset value, end of period | $19.82 | $17.18 |
Total return (c) | 15.37 % | (13.93 )% |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $23,779 | $6,011 |
Ratio of total expenses to average net assets | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.87 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is September 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $18.02 | $20.19 |
Income from investment operations: | ||
Net investment income (loss) | (0.17 ) (b) | (0.16 ) |
Net realized and unrealized gain (loss) | 4.12 | (2.01 ) |
Total from investment operations | 3.95 | (2.17 ) |
Net asset value, end of period | $21.97 | $18.02 |
Total return (c) | 21.92 % | (10.75 )% |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $109,849 | $24,330 |
Ratio of total expenses to average net assets | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.87 )% | (0.89 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is September 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.19 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.26 ) |
Net realized and unrealized gain (loss) | 4.43 |
Total from investment operations | 4.17 |
Net asset value, end of period | $34.36 |
Total return (c) | 13.81 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $96,219 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.84 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is September 21, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $18.63 | $21.85 | $20.06 |
Income from investment operations: | |||
Net investment income (loss) | (0.18 ) (b) | (0.18 ) | (0.09 ) |
Net realized and unrealized gain (loss) | 3.31 | (3.04 ) | 1.88 |
Total from investment operations | 3.13 | (3.22 ) | 1.79 |
Net asset value, end of period | $21.76 | $18.63 | $21.85 |
Total return (c) | 16.80 % | (14.74 )% | 8.92 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $64,192 | $11,177 | $12,016 |
Ratio of total expenses to average net assets | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.87 )% | (0.90 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $19.90 | $22.56 | $19.84 |
Income from investment operations: | |||
Net investment income (loss) | (0.17 ) (b) | (0.20 ) | (0.13 ) |
Net realized and unrealized gain (loss) | 3.05 | (2.46 ) | 2.85 |
Total from investment operations | 2.88 | (2.66 ) | 2.72 |
Net asset value, end of period | $22.78 | $19.90 | $22.56 |
Total return (c) | 14.47 % | (11.79 )% | 13.71 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $143,521 | $71,629 | $78,952 |
Ratio of total expenses to average net assets | 0.90 % | 0.90 % | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.86 )% | (0.90 )% | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % | 0 % |
(a) | Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $28.84 | $30.35 |
Income from investment operations: | ||
Net investment income (loss) | (0.25 ) (b) | (0.10 ) |
Net realized and unrealized gain (loss) | 4.57 | (1.41 ) |
Total from investment operations | 4.32 | (1.51 ) |
Net asset value, end of period | $33.16 | $28.84 |
Total return (c) | 14.98 % | (4.98 )% |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $355,632 | $77,855 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% | (0.84 )% (d) |
Portfolio turnover rate (e) | 0 % | 0 % |
(a) | Inception date is December 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
August 31, 2023
FT Cboe Vest International Equity Buffer ETF - March – (ticker “YMAR”) |
FT Cboe Vest Nasdaq-100® Buffer ETF - March – (ticker “QMAR”) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March – (ticker “XMAR”)(1) |
FT Cboe Vest International Equity Buffer ETF - June – (ticker “YJUN”) |
FT Cboe Vest Nasdaq-100® Buffer ETF - June – (ticker “QJUN”) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June – (ticker “XJUN”) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July – (ticker “XJUL”)(2) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August – (ticker “XAUG”)(3) |
FT Cboe Vest International Equity Buffer ETF - September – (ticker “YSEP”) |
FT Cboe Vest Nasdaq-100® Buffer ETF - September – (ticker “QSPT”) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September – (ticker “XSEP”)(4) |
FT Cboe Vest International Equity Buffer ETF - December – (ticker “YDEC”) |
FT Cboe Vest Nasdaq-100® Buffer ETF - December – (ticker “QDEC”) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December – (ticker “XDEC”) |
(1) | Commenced investment operations on March 17, 2023. |
(2) | Commenced Investment operations on July 21, 2023. |
(3) | Commenced investment operations on August 18, 2023. |
(4) | Commenced investment operations on September 21, 2022. |
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
Taxable Year-End | Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
FT Cboe Vest International Equity Buffer ETF - March | 31-Mar-23 | $(50,002 ) | $(3,732,033 ) | $1,610,323 |
FT Cboe Vest Nasdaq-100® Buffer ETF - March | 31-Mar-23 | (95,225 ) | (6,157,378 ) | 2,646,897 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March | 31-Mar-23 | — | — | 1,647,629 |
FT Cboe Vest International Equity Buffer ETF - June | 30-Jun-23 | (314,914 ) | (4,725,425 ) | (1,344,714 ) |
FT Cboe Vest Nasdaq-100® Buffer ETF - June | 30-Jun-23 | (403,878 ) | (14,137,138 ) | 1,990,812 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June | 30-Jun-23 | (636,566 ) | (15,440,201 ) | 1,891,089 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July | 31-Jul-23 | — | — | 68,756 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August | 31-Aug-23 | — | — | 325,348 |
FT Cboe Vest International Equity Buffer ETF - September | 30-Sep-22 | (51,046 ) | (2,270,671 ) | (392,925 ) |
FT Cboe Vest Nasdaq-100® Buffer ETF - September | 30-Sep-22 | (172,443 ) | (7,397,785 ) | (1,627,993 ) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September | 30-Sep-22 | — | — | (228,367 ) |
FT Cboe Vest International Equity Buffer ETF - December | 31-Dec-22 | — | (2,555,618 ) | 30,120 |
FT Cboe Vest Nasdaq-100® Buffer ETF - December | 31-Dec-22 | — | (23,321,603 ) | (1,176,263 ) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December | 31-Dec-22 | — | (9,920,350 ) | 1,052,234 |
Taxable Year End | Non-Expiring Capital Loss Carryforwards | |
FT Cboe Vest International Equity Buffer ETF - March | 31-Mar-23 | $3,732,033 |
August 31, 2023
Taxable Year End | Non-Expiring Capital Loss Carryforwards | |
FT Cboe Vest Nasdaq-100® Buffer ETF - March | 31-Mar-23 | $6,157,378 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March | 31-Mar-23 | — |
FT Cboe Vest International Equity Buffer ETF - June | 30-Jun-23 | 4,725,425 |
FT Cboe Vest Nasdaq-100® Buffer ETF - June | 30-Jun-23 | 14,137,138 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June | 30-Jun-23 | 15,440,201 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July | 31-Jul-23 | — |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August | 31-Aug-23 | — |
FT Cboe Vest International Equity Buffer ETF - September | 30-Sep-22 | 2,270,671 |
FT Cboe Vest Nasdaq-100® Buffer ETF - September | 30-Sep-22 | 7,397,785 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September | 30-Sep-22 | — |
FT Cboe Vest International Equity Buffer ETF - December | 31-Dec-22 | 2,555,618 |
FT Cboe Vest Nasdaq-100® Buffer ETF - December | 31-Dec-22 | 23,321,603 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December | 31-Dec-22 | 9,920,350 |
Taxable Year End | Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | ||
FT Cboe Vest International Equity Buffer ETF - March | 31-Mar-23 | $50,002 | $— |
FT Cboe Vest Nasdaq-100® Buffer ETF - March | 31-Mar-23 | 95,225 | — |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March | 31-Mar-23 | — | — |
FT Cboe Vest International Equity Buffer ETF - June | 30-Jun-23 | 314,914 | — |
FT Cboe Vest Nasdaq-100® Buffer ETF - June | 30-Jun-23 | 403,878 | — |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June | 30-Jun-23 | 636,566 | — |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July | 31-Jul-23 | — | — |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August | 31-Aug-23 | — | — |
FT Cboe Vest International Equity Buffer ETF - September | 30-Sep-22 | 51,046 | — |
FT Cboe Vest Nasdaq-100® Buffer ETF - September | 30-Sep-22 | 172,443 | — |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September | 30-Sep-22 | — | — |
FT Cboe Vest International Equity Buffer ETF - December | 31-Dec-22 | — | — |
FT Cboe Vest Nasdaq-100® Buffer ETF - December | 31-Dec-22 | — | — |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December | 31-Dec-22 | — | — |
Taxable Year End | Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
FT Cboe Vest International Equity Buffer ETF - March | 31-Mar-23 | $269,703 | $1,140,515 | $(1,410,218 ) |
FT Cboe Vest Nasdaq-100® Buffer ETF - March | 31-Mar-23 | 336,916 | (3,336,667 ) | 2,999,751 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March | 31-Mar-23 | 19,792 | — | (19,792 ) |
FT Cboe Vest International Equity Buffer ETF - June | 30-Jun-23 | 239,694 | (13,424,267 ) | 13,184,573 |
August 31, 2023
Taxable Year End | Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
FT Cboe Vest Nasdaq-100® Buffer ETF - June | 30-Jun-23 | $526,144 | $(23,228,078 ) | $22,701,934 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June | 30-Jun-23 | 570,114 | (30,634,221 ) | 30,064,107 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July | 31-Jul-23 | 1,560 | — | (1,560 ) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August | 31-Aug-23 | 6,282 | — | (6,282 ) |
FT Cboe Vest International Equity Buffer ETF - September | 30-Sep-22 | 8,576 | (1,122,868 ) | 1,114,292 |
FT Cboe Vest Nasdaq-100® Buffer ETF - September | 30-Sep-22 | 55,642 | (4,352,048 ) | 4,296,406 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September | 30-Sep-22 | 2,627 | — | (2,627 ) |
FT Cboe Vest International Equity Buffer ETF - December | 31-Dec-22 | 112,174 | (1,055,025 ) | 942,851 |
FT Cboe Vest Nasdaq-100® Buffer ETF - December | 31-Dec-22 | 717,138 | 560,572 | (1,277,710 ) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December | 31-Dec-22 | 544,650 | (10,470,459 ) | 9,925,809 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Cboe Vest International Equity Buffer ETF - March | $58,325,812 | $3,734,009 | $(2,478,857 ) | $1,255,152 |
FT Cboe Vest Nasdaq-100® Buffer ETF - March | 165,910,013 | 40,755,740 | (20,800,174 ) | 19,955,566 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March | 256,594,008 | 50,563,533 | (38,077,455 ) | 12,486,078 |
FT Cboe Vest International Equity Buffer ETF - June | 116,589,675 | 1,217,055 | (3,607,211 ) | (2,390,156 ) |
FT Cboe Vest Nasdaq-100® Buffer ETF - June | 355,650,381 | 12,922,070 | (5,450,610 ) | 7,471,460 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June | 343,217,409 | 19,448,908 | (14,043,239 ) | 5,405,669 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July | 37,181,621 | 823,110 | (561,999 ) | 261,111 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August | 34,696,420 | 1,163,538 | (838,190 ) | 325,348 |
FT Cboe Vest International Equity Buffer ETF - September | 20,890,252 | 4,835,565 | (1,929,542 ) | 2,906,023 |
FT Cboe Vest Nasdaq-100® Buffer ETF - September | 90,708,705 | 28,314,476 | (9,096,264 ) | 19,218,212 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September | 93,169,720 | 21,199,770 | (18,082,866 ) | 3,116,904 |
FT Cboe Vest International Equity Buffer ETF - December | 60,191,524 | 6,777,811 | (2,731,044 ) | 4,046,767 |
FT Cboe Vest Nasdaq-100® Buffer ETF - December | 122,020,741 | 43,173,311 | (21,572,664 ) | 21,600,647 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December | 321,673,255 | 91,575,457 | (57,369,460 ) | 34,205,997 |
August 31, 2023
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.9000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.8775 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.8550 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.8325 % |
Fund net assets greater than $10 billion | 0.8100 % |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion | 0.76500 % |
August 31, 2023
Purchases | Sales | |
FT Cboe Vest International Equity Buffer ETF - March | $— | $46,348,586 |
FT Cboe Vest Nasdaq-100® Buffer ETF - March | — | 51,574,165 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March | — | 29,753,144 |
FT Cboe Vest International Equity Buffer ETF - June | — | 76,914,342 |
FT Cboe Vest Nasdaq-100® Buffer ETF - June | 8,644,080 | 85,647,048 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June | — | 137,151,076 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July | — | — |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August | — | — |
FT Cboe Vest International Equity Buffer ETF - September | — | 13,716,967 |
FT Cboe Vest Nasdaq-100® Buffer ETF - September | — | 30,029,096 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September | — | 89,151,043 |
FT Cboe Vest International Equity Buffer ETF - December | — | 15,930,380 |
FT Cboe Vest Nasdaq-100® Buffer ETF - December | 5,631,760 | 16,615,874 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December | — | 159,965,579 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
YMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $59,659,689 | Options contracts written, at value | $599,010 |
QMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 202,035,485 | Options contracts written, at value | 17,495,209 |
XMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 334,194,409 | Options contracts written, at value | 67,281,774 |
YJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 116,150,803 | Options contracts written, at value | 3,301,082 |
QJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 375,523,686 | Options contracts written, at value | 16,059,878 |
August 31, 2023
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
XJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $386,743,968 | Options contracts written, at value | $41,544,884 |
XJUL | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 41,386,909 | Options contracts written, at value | 3,944,177 |
XAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 40,306,354 | Options contracts written, at value | 5,284,586 |
YSEP | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 23,700,729 | Options contracts written, at value | 2,385 |
QSPT | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 113,341,088 | Options contracts written, at value | 3,725,458 |
XSEP | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 115,991,447 | Options contracts written, at value | 20,006,190 |
YDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 64,036,568 | Options contracts written, at value | 234,956 |
QDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 160,193,851 | Options contracts written, at value | 17,253,502 |
XDEC | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 429,720,989 | Options contracts written, at value | 75,712,920 |
Statements of Operations Location | YMAR | QMAR | XMAR | YJUN | QJUN |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $(2,208,539 ) | $859,751 | $5,907,241 | $8,904,252 | $15,467,896 |
Written options contracts | 292,331 | (187,656 ) | (1,667,984 ) | 3,040,002 | 2,207,461 |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | 2,911,576 | 29,692,394 | 35,637,427 | (2,310,240 ) | 1,508,090 |
Written options contracts | 2,495,031 | (4,707,426 ) | (23,018,690 ) | 119,993 | 3,013,185 |
Statements of Operations Location | XJUN | XJUL | XAUG | YSEP | QSPT |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $19,511,393 | $(12,600 ) | $— | $1,511,400 | $(539,601 ) |
Written options contracts | (1,416,740 ) | 6,429 | — | (207,308 ) | (639,013 ) |
August 31, 2023
Statements of Operations Location | XJUN | XJUL | XAUG | YSEP | QSPT |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | $6,890,340 | $(65,960 ) | $745,394 | $2,311,131 | $18,989,722 |
Written options contracts | (3,650,760 ) | 333,243 | (420,046 ) | 1,622,033 | 3,122,570 |
Statements of Operations Location | XSEP | YDEC | QDEC | XDEC |
Equity Risk Exposure | ||||
Net realized gain (loss) on: | ||||
Purchased options contracts | $15,926,599 | $(827,525 ) | $(2,698,323 ) | $5,493,506 |
Written options contracts | 3,288,557 | 139,190 | (7,087,402 ) | 4,341,489 |
Net change in unrealized appreciation (depreciation) on: | ||||
Purchased options contracts | 11,777,704 | 2,720,118 | 36,881,107 | 64,564,403 |
Written options contracts | (8,055,217 ) | 2,869,548 | (4,240,796 ) | (28,532,818 ) |
Premiums for purchased options contracts opened | Premiums for purchased options contracts closed, exercised and expired | Premiums for written options contracts opened | Premiums for written options contracts closed, exercised and expired | |
YMAR | $100,922,469 | $84,960,122 | $2,887,215 | $3,212,288 |
QMAR | 296,463,896 | 175,094,560 | 20,114,545 | 12,041,463 |
XMAR | 351,781,144 | 53,224,162 | 54,121,768 | 9,858,684 |
YJUN | 230,847,110 | 143,105,095 | 5,764,966 | 3,743,721 |
QJUN | 510,341,308 | 235,614,959 | 27,425,588 | 16,449,908 |
XJUN | 594,634,866 | 349,179,594 | 70,932,651 | 57,749,874 |
XJUL | 42,284,371 | 831,502 | 4,354,465 | 77,045 |
XAUG | 39,560,960 | — | 4,864,540 | — |
YSEP | 37,586,234 | 23,104,950 | 2,760,445 | 2,061,988 |
QSPT | 146,185,729 | 78,779,787 | 10,604,601 | 6,450,963 |
XSEP | 242,349,729 | 138,135,986 | 35,860,387 | 23,909,414 |
YDEC | 84,151,175 | 35,189,695 | 3,512,160 | 1,669,476 |
QDEC | 185,299,086 | 143,498,480 | 15,097,513 | 12,435,067 |
XDEC | 632,304,823 | 347,814,867 | 68,500,371 | 24,606,106 |
August 31, 2023
Individual Funds Included in the Trust | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
FT Cboe Vest International Equity Buffer ETF - March | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from March 19, 2021 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest Nasdaq-100® Buffer ETF - March | |||
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March | For the period from March 17, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest International Equity Buffer ETF - June | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from June 18, 2021 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest Nasdaq-100® Buffer ETF - June | |||
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from July 12, 2021 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July | For the period from July 21, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August | For the period from August 18, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest International Equity Buffer ETF - September | For the year ended August 31, 2023 | For the year ended August 31, 2023 and for the period from September 17, 2021 (commencement of investment operations) through August 31, 2022 | |
FT Cboe Vest Nasdaq-100® Buffer ETF - September | |||
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - September | For the period from September 21, 2022 (commencement of investment operations) through August 31, 2023 |
Individual Funds Included in the Trust | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
FT Cboe Vest International Equity Buffer ETF - December | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from December 18, 2020 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest Nasdaq-100® Buffer ETF - December | |||
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December | For the year ended August 31, 2023 | For the year ended August 31, 2023 and for the period from December 17, 2021 (commencement of investment operations) through August 31, 2022 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img93ac27b317.jpg)
October 24, 2023
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - March
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL)
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG)
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - July (XJUL) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - August (XAUG) |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
FT Cboe Vest International Equity Buffer ETF - March
FT Cboe Vest Nasdaq-100® Buffer ETF - March
FT Cboe Vest International Equity Buffer ETF - June
FT Cboe Vest Nasdaq-100® Buffer ETF - June
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June
FT Cboe Vest International Equity Buffer ETF - September
FT Cboe Vest Nasdaq-100® Buffer ETF - September
FT Cboe Vest International Equity Buffer ETF - December
FT Cboe Vest Nasdaq-100® Buffer ETF - December
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December
FT Cboe Vest International Equity Buffer ETF - March (YMAR) |
August 31, 2023 (Unaudited)
FT Cboe Vest Nasdaq-100® Buffer ETF - March (QMAR) |
FT Cboe Vest International Equity Buffer ETF - June (YJUN) |
FT Cboe Vest Nasdaq-100® Buffer ETF - June (QJUN) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - June (XJUN) |
FT Cboe Vest International Equity Buffer ETF - September (YSEP) |
FT Cboe Vest Nasdaq-100® Buffer ETF - September (QSPT) |
FT Cboe Vest International Equity Buffer ETF - December (YDEC) |
FT Cboe Vest Nasdaq-100® Buffer ETF - December (QDEC) |
FT Cboe Vest U.S. Equity Enhance & Moderate Buffer ETF - December (XDEC) |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imga35770e018.gif)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
8350 Broad Street, Suite 240
McLean, VA 22102
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img11b8bb191.gif)
FT Cboe Vest Fund of Buffer ETFs (BUFR) |
FT Cboe Vest Fund of Deep Buffer ETFs (BUFD) |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs (BUFQ) |
Annual Report
August 31, 2023
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Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img4c7ec8f72.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (8/10/20) to 8/31/23 | Inception (8/10/20) to 8/31/23 | |
Fund Performance | |||
NAV | 14.09% | 7.96% | 26.38% |
Market Price | 14.20% | 7.96% | 26.38% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 10.08% | 34.14% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (1/20/21) to 8/31/23 | Inception (1/20/21) to 8/31/23 | |
Fund Performance | |||
NAV | 9.95% | 3.14% | 8.42% |
Market Price | 10.11% | 3.20% | 8.57% |
Index Performance | |||
S&P 500® Index - Price Return | 13.97% | 6.21% | 17.03% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (6/15/22) to 8/31/23 | Inception (6/15/22) to 8/31/23 | |
Fund Performance | |||
NAV | 18.92% | 19.97% | 24.67% |
Market Price | 19.18% | 20.05% | 24.77% |
Index Performance | |||
Nasdaq-100 Index® - Price Return | 26.31% | 27.11% | 33.70% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Annual Report
August 31, 2023 (Unaudited)
Howard Rubin, Managing Director of Cboe Vest
Annual Report
August 31, 2023 (Unaudited)
Fund Ticker | BUFR | BUFD | BUFQ |
Annual Expense Ratio (includes any Acquired Fund Fees and Expenses) | 1.05% | 1.05% | 1.10% |
Reporting Period Start Date | 8/31/22 | 8/31/22 | 8/31/22 |
Reporting Period End Date | 8/31/23 | 8/31/23 | 8/31/23 |
PERFORMANCE (8/31/22 to 8/31/23): | |||
Fund Performance (using NAVs) | 14.09% | 9.95% | 18.92% |
Fund Performance (using Market Price) | 14.20% | 10.11% | 19.18% |
Reference Asset Price Return | 13.96% | 13.96% | 26.30% |
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (a) (b) | |
FT Cboe Vest Fund of Buffer ETFs (BUFR) | ||||
Actual | $1,000.00 | $1,109.50 | 0.20% | $1.06 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,024.20 | 0.20% | $1.02 |
FT Cboe Vest Fund of Deep Buffer ETFs (BUFD) | ||||
Actual | $1,000.00 | $1,089.60 | 0.20% | $1.05 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,024.20 | 0.20% | $1.02 |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs (BUFQ) | ||||
Actual | $1,000.00 | $1,182.00 | 0.20% | $1.10 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,024.20 | 0.20% | $1.02 |
(a) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
(b) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets (a) — 100.0% | |||||
4,107,089 | FT Cboe Vest U.S. Equity Buffer ETF - January (b) | $154,768,256 | |||
3,833,275 | FT Cboe Vest U.S. Equity Buffer ETF - February (b) | 154,749,312 | |||
4,281,853 | FT Cboe Vest U.S. Equity Buffer ETF - March (b) | 154,487,544 | |||
4,653,255 | FT Cboe Vest U.S. Equity Buffer ETF - April (b) | 154,813,794 | |||
3,926,725 | FT Cboe Vest U.S. Equity Buffer ETF - May (b) | 154,948,568 | |||
3,689,040 | FT Cboe Vest U.S. Equity Buffer ETF - June (b) | 154,792,118 | |||
3,902,476 | FT Cboe Vest U.S. Equity Buffer ETF - July (b) | 154,811,223 | |||
4,003,841 | FT Cboe Vest U.S. Equity Buffer ETF - August (b) | 154,748,455 | |||
4,043,097 | FT Cboe Vest U.S. Equity Buffer ETF - September (b) | 155,727,967 | |||
4,059,175 | FT Cboe Vest U.S. Equity Buffer ETF - October (b) | 155,503,341 | |||
3,802,597 | FT Cboe Vest U.S. Equity Buffer ETF - November (b) | 155,012,867 | |||
4,240,933 | FT Cboe Vest U.S. Equity Buffer ETF - December (b) | 154,963,692 | |||
Total Exchange-Traded Funds | 1,859,327,137 | ||||
(Cost $1,747,488,961) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
707,948 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (c) | 707,948 | |||
(Cost $707,948) | |||||
Total Investments — 100.0% | 1,860,035,085 | ||||
(Cost $1,748,196,909) | |||||
Net Other Assets and Liabilities — (0.0)% | (276,133 ) | ||||
Net Assets — 100.0% | $1,859,758,952 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Money Market Funds | 0.0(1) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange- Traded Funds* | $1,859,327,137 | $1,859,327,137 | $— | $— |
Money Market Funds | 707,948 | 707,948 | — | — |
Total Investments | $1,860,035,085 | $1,860,035,085 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets (a) — 100.0% | |||||
1,542,856 | FT Cboe Vest U.S. Equity Deep Buffer ETF - January (b) | $51,100,934 | |||
1,429,283 | FT Cboe Vest U.S. Equity Deep Buffer ETF - February (b) | 51,168,188 | |||
1,561,897 | FT Cboe Vest U.S. Equity Deep Buffer ETF - March (b) | 50,917,842 | |||
1,646,268 | FT Cboe Vest U.S. Equity Deep Buffer ETF - April (b) | 51,067,233 | |||
1,472,371 | FT Cboe Vest U.S. Equity Deep Buffer ETF - May (b) | 50,985,116 | |||
1,402,956 | FT Cboe Vest U.S. Equity Deep Buffer ETF - June (b) | 51,109,687 | |||
1,458,374 | FT Cboe Vest U.S. Equity Deep Buffer ETF - July (b) | 51,086,841 | |||
1,504,549 | FT Cboe Vest U.S. Equity Deep Buffer ETF - August (b) | 51,019,257 | |||
1,469,367 | FT Cboe Vest U.S. Equity Deep Buffer ETF - September (b) | 51,354,377 | |||
1,441,310 | FT Cboe Vest U.S. Equity Deep Buffer ETF - October (b) | 51,150,795 | |||
1,390,994 | FT Cboe Vest U.S. Equity Deep Buffer ETF - November (b) | 51,317,246 | |||
1,492,759 | FT Cboe Vest U.S. Equity Deep Buffer ETF - December (b) | 51,067,285 | |||
Total Exchange-Traded Funds | 613,344,801 | ||||
(Cost $589,203,913) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
246,172 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (c) | 246,172 | |||
(Cost $246,172) | |||||
Total Investments — 100.0% | 613,590,973 | ||||
(Cost $589,450,085) | |||||
Net Other Assets and Liabilities — (0.0)% | (99,612 ) | ||||
Net Assets — 100.0% | $613,491,361 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Money Market Funds | 0.0(1) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $613,344,801 | $613,344,801 | $— | $— |
Money Market Funds | 246,172 | 246,172 | — | — |
Total Investments | $613,590,973 | $613,590,973 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 100.0% | |||||
Capital Markets (a) — 100.0% | |||||
1,601,340 | FT Cboe Vest Nasdaq-100® Buffer ETF - March (b) | $39,040,669 | |||
1,730,857 | FT Cboe Vest Nasdaq-100® Buffer ETF - June (b) | 39,186,602 | |||
1,804,531 | FT Cboe Vest Nasdaq-100® Buffer ETF - September (b) | 39,645,727 | |||
1,718,301 | FT Cboe Vest Nasdaq-100® Buffer ETF - December (b) | 39,100,627 | |||
Total Exchange-Traded Funds | 156,973,625 | ||||
(Cost $148,780,145) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
8,515 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (c) | 8,515 | |||
(Cost $8,515) | |||||
Total Investments — 100.0% | 156,982,140 | ||||
(Cost $148,788,660) | |||||
Net Other Assets and Liabilities — (0.0)% | (23,674 ) | ||||
Net Assets — 100.0% | $156,958,466 |
(a) | Represents investments in affiliated funds. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 100.0% |
Money Market Funds | 0.0(1) |
Net Other Assets and Liabilities | (0.0)(1) |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $156,973,625 | $156,973,625 | $— | $— |
Money Market Funds | 8,515 | 8,515 | — | — |
Total Investments | $156,982,140 | $156,982,140 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Statements of Assets and Liabilities
August 31, 2023
FT Cboe Vest Fund of Buffer ETFs (BUFR) | FT Cboe Vest Fund of Deep Buffer ETFs (BUFD) | FT Cboe Vest Fund of Nasdaq- 100® Buffer ETFs (BUFQ) | |
ASSETS: | |||
Investments, at value - Affiliated | $1,859,327,137 | $613,344,801 | $156,973,625 |
Investments, at value - Unaffiliated | 707,948 | 246,172 | 8,515 |
Total investments, at value | 1,860,035,085 | 613,590,973 | 156,982,140 |
Receivables: | |||
Capital shares sold | 45,612,111 | — | 2,550,140 |
Dividends | 1,119 | 414 | 40 |
Investment securities sold | — | 1,087,549 | — |
Total Assets | 1,905,648,315 | 614,678,936 | 159,532,320 |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 45,600,278 | — | 2,550,382 |
Investment advisory fees | 289,085 | 99,824 | 23,472 |
Capital shares purchased | — | 1,087,751 | — |
Total Liabilities | 45,889,363 | 1,187,575 | 2,573,854 |
NET ASSETS | $1,859,758,952 | $613,491,361 | $156,958,466 |
NET ASSETS consist of: | |||
Paid-in capital | $1,749,477,876 | $590,170,095 | $148,785,540 |
Par value | 734,000 | 282,000 | 61,500 |
Accumulated distributable earnings (loss) | 109,547,076 | 23,039,266 | 8,111,426 |
NET ASSETS | $1,859,758,952 | $613,491,361 | $156,958,466 |
NET ASSET VALUE, per share | $25.34 | $21.76 | $25.52 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 73,400,002 | 28,200,002 | 6,150,002 |
Investments, at cost - Affiliated | $1,747,488,961 | $589,203,913 | $148,780,145 |
Investments, at cost - Unaffiliated | $707,948 | $246,172 | $8,515 |
Total investments, at cost | $1,748,196,909 | $589,450,085 | $148,788,660 |
Statements of Operations
For the Year Ended August 31, 2023
FT Cboe Vest Fund of Buffer ETFs (BUFR) | FT Cboe Vest Fund of Deep Buffer ETFs (BUFD) | FT Cboe Vest Fund of Nasdaq- 100® Buffer ETFs (BUFQ) | |
INVESTMENT INCOME: | |||
Dividends - Unaffiliated | $4,761 | $2,340 | $417 |
Total investment income | 4,761 | 2,340 | 417 |
EXPENSES: | |||
Investment advisory fees | 2,004,179 | 1,058,652 | 88,868 |
Total expenses | 2,004,179 | 1,058,652 | 88,868 |
NET INVESTMENT INCOME (LOSS) | (1,999,418 ) | (1,056,312 ) | (88,451 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
Net realized gain (loss) on: | |||
Investments - Affiliated | (522,184 ) | (395,972 ) | (5,198 ) |
In-kind redemptions - Affiliated | 3,910,823 | 2,966,953 | 1,445,422 |
Net realized gain (loss) | 3,388,639 | 2,570,981 | 1,440,224 |
Net change in unrealized appreciation (depreciation) on affiliated investments | 143,597,890 | 48,164,752 | 8,437,813 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 146,986,529 | 50,735,733 | 9,878,037 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $144,987,111 | $49,679,421 | $9,789,586 |
Statements of Changes in Net Assets
FT Cboe Vest Fund of Buffer ETFs (BUFR) | FT Cboe Vest Fund of Deep Buffer ETFs (BUFD) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $(1,999,418 ) | $(1,237,254 ) | $(1,056,312 ) | $(714,116 ) |
Net realized gain (loss) | 3,388,639 | 3,985,220 | 2,570,981 | 1,702,212 |
Net change in unrealized appreciation (depreciation) | 143,597,890 | (39,802,887 ) | 48,164,752 | (26,289,634 ) |
Net increase (decrease) in net assets resulting from operations | 144,987,111 | (37,054,921 ) | 49,679,421 | (25,301,538 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 1,112,934,160 | 609,077,785 | 224,691,913 | 472,088,210 |
Cost of shares redeemed | (126,726,116 ) | (145,221,514 ) | (202,012,465 ) | (66,763,156 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 986,208,044 | 463,856,271 | 22,679,448 | 405,325,054 |
Total increase (decrease) in net assets | 1,131,195,155 | 426,801,350 | 72,358,869 | 380,023,516 |
NET ASSETS: | ||||
Beginning of period | 728,563,797 | 301,762,447 | 541,132,492 | 161,108,976 |
End of period | $1,859,758,952 | $728,563,797 | $613,491,361 | $541,132,492 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 32,800,002 | 12,950,002 | 27,350,002 | 7,700,002 |
Shares sold | 46,200,000 | 26,200,000 | 10,900,000 | 22,900,000 |
Shares redeemed | (5,600,000 ) | (6,350,000 ) | (10,050,000 ) | (3,250,000 ) |
Shares outstanding, end of period | 73,400,002 | 32,800,002 | 28,200,002 | 27,350,002 |
(a) | Inception date is June 15, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Cboe Vest Fund of Nasdaq- 100® Buffer ETFs (BUFQ) | |
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) |
$(88,451 ) | $(1,852 ) |
1,440,224 | — |
8,437,813 | (244,333 ) |
9,789,586 | (246,185 ) |
146,001,731 | 10,975,797 |
(9,562,463 ) | — |
136,439,268 | 10,975,797 |
146,228,854 | 10,729,612 |
10,729,612 | — |
$156,958,466 | $10,729,612 |
500,002 | — |
6,050,000 | 500,002 |
(400,000 ) | — |
6,150,002 | 500,002 |
Financial Highlights
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $22.21 | $23.30 | $20.41 | $20.05 |
Income from investment operations: | ||||
Net investment income (loss) | (0.05 ) (b) | (0.03 ) | (0.02 ) | 0.00 |
Net realized and unrealized gain (loss) | 3.18 | (1.06 ) | 2.91 | 0.36 |
Total from investment operations | 3.13 | (1.09 ) | 2.89 | 0.36 |
Net asset value, end of period | $25.34 | $22.21 | $23.30 | $20.41 |
Total return (c) | 14.09 % | (4.68 )% | 14.16 % | 1.80 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $1,859,759 | $728,564 | $301,762 | $6,124 |
Ratio of total expenses to average net assets (d) | 0.20 % | 0.20 % | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | (0.20 )% | (0.20 )% | (0.20 )% | (0.20 )% (e) |
Portfolio turnover rate (f) | 1 % | 2 % | 1 % | 0 % |
(a) | Inception date is August 10, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $19.79 | $20.92 | $20.07 |
Income from investment operations: | |||
Net investment income (loss) | (0.04 ) (b) | (0.03 ) | (0.01 ) |
Net realized and unrealized gain (loss) | 2.01 | (1.10 ) | 0.86 |
Total from investment operations | 1.97 | (1.13 ) | 0.85 |
Net asset value, end of period | $21.76 | $19.79 | $20.92 |
Total return (c) | 9.95 % | (5.40 )% | 4.24 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $613,491 | $541,132 | $161,109 |
Ratio of total expenses to average net assets (d) | 0.20 % | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | (0.20 )% | (0.20 )% | (0.20 )% (e) |
Portfolio turnover rate (f) | 2 % | 2 % | 6 % |
(a) | Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $21.46 | $20.47 |
Income from investment operations: | ||
Net investment income (loss) | (0.05 ) (b) | (0.00 ) (c) |
Net realized and unrealized gain (loss) | 4.11 | 0.99 (d) |
Total from investment operations | 4.06 | 0.99 |
Net asset value, end of period | $25.52 | $21.46 |
Total return (e) | 18.92 % | 4.84 % |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $156,958 | $10,730 |
Ratio of total expenses to average net assets (f) | 0.20 % | 0.20 % (g) |
Ratio of net investment income (loss) to average net assets | (0.20 )% | (0.20 )% (g) |
Portfolio turnover rate (h) | 1 % | 0 % |
(a) | Inception date is June 15, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(e) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(f) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(g) | Annualized. |
(h) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
August 31, 2023
FT Cboe Vest Fund of Buffer ETFs – (ticker “BUFR”) |
FT Cboe Vest Fund of Deep Buffer ETFs – (ticker “BUFD”) |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs – (ticker “BUFQ”) |
August 31, 2023
August 31, 2023
August 31, 2023
Security Name | Shares at 8/31/2023 | Value at 8/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 8/31/2023 | Dividend Income |
FT Cboe Vest U.S. Equity Buffer ETF - January | 4,107,089 | $60,682,608 | $93,110,441 | $(12,423,477 ) | $13,013,807 | $384,877 | $154,768,256 | $— |
FT Cboe Vest U.S. Equity Buffer ETF - February | 3,833,275 | 60,429,555 | 93,234,514 | (10,966,382 ) | 11,756,345 | 295,280 | 154,749,312 | — |
FT Cboe Vest U.S. Equity Buffer ETF - March | 4,281,853 | 60,488,044 | 94,068,998 | (12,770,577 ) | 12,323,733 | 377,346 | 154,487,544 | — |
FT Cboe Vest U.S. Equity Buffer ETF - April | 4,653,255 | 60,316,852 | 93,895,245 | (10,910,369 ) | 11,250,701 | 261,365 | 154,813,794 | — |
FT Cboe Vest U.S. Equity Buffer ETF - May | 3,926,725 | 60,582,440 | 95,106,167 | (10,589,692 ) | 9,581,652 | 268,001 | 154,948,568 | — |
FT Cboe Vest U.S. Equity Buffer ETF - June | 3,689,040 | 60,628,669 | 93,604,784 | (12,976,502 ) | 13,097,307 | 437,860 | 154,792,118 | — |
FT Cboe Vest U.S. Equity Buffer ETF - July | 3,902,476 | 60,622,142 | 94,110,352 | (12,932,823 ) | 12,760,016 | 251,536 | 154,811,223 | — |
FT Cboe Vest U.S. Equity Buffer ETF - August | 4,003,841 | 60,335,052 | 96,465,182 | (10,584,972 ) | 8,317,614 | 215,579 | 154,748,455 | — |
FT Cboe Vest U.S. Equity Buffer ETF - September | 4,043,097 | 61,411,730 | 93,597,065 | (12,416,434 ) | 12,918,174 | 217,432 | 155,727,967 | — |
FT Cboe Vest U.S. Equity Buffer ETF - October | 4,059,175 | 61,195,449 | 93,047,012 | (12,666,036 ) | 13,698,304 | 228,612 | 155,503,341 | — |
FT Cboe Vest U.S. Equity Buffer ETF - November | 3,802,597 | 60,870,709 | 93,272,120 | (11,674,570 ) | 12,308,672 | 235,936 | 155,012,867 | — |
FT Cboe Vest U.S. Equity Buffer ETF - December | 4,240,933 | 60,870,020 | 93,558,203 | (12,250,911 ) | 12,571,565 | 214,815 | 154,963,692 | — |
$728,433,270 | $1,127,070,083 | $(143,162,745 ) | $143,597,890 | $3,388,639 | $1,859,327,137 | $— |
August 31, 2023
Security Name | Shares at 8/31/2023 | Value at 8/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 8/31/2023 | Dividend Income |
FT Cboe Vest U.S. Equity Deep Buffer ETF - January | 1,542,856 | $44,934,921 | $19,919,905 | $(16,907,355 ) | $3,082,127 | $71,336 | $51,100,934 | $— |
FT Cboe Vest U.S. Equity Deep Buffer ETF - February | 1,429,283 | 44,918,776 | 20,632,140 | (16,783,285 ) | 2,331,134 | 69,423 | 51,168,188 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - March | 1,561,897 | 44,895,378 | 20,183,996 | (17,174,439 ) | 2,897,254 | 115,653 | 50,917,842 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - April | 1,646,268 | 44,818,949 | 21,231,898 | (16,740,578 ) | 1,702,959 | 54,005 | 51,067,233 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - May | 1,472,371 | 45,068,957 | 19,026,865 | (17,079,092 ) | 3,794,833 | 173,553 | 50,985,116 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - June | 1,402,956 | 45,182,625 | 19,323,076 | (18,456,193 ) | 4,710,446 | 349,733 | 51,109,687 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - July | 1,458,374 | 45,013,332 | 18,794,206 | (17,973,017 ) | 5,006,749 | 245,571 | 51,086,841 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - August | 1,504,549 | 44,842,801 | 19,970,740 | (16,964,236 ) | 3,210,014 | (40,062 ) | 51,019,257 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - September | 1,469,367 | 45,397,249 | 18,835,169 | (18,973,723 ) | 5,788,306 | 307,376 | 51,354,377 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - October | 1,441,310 | 45,259,383 | 18,821,593 | (19,488,505 ) | 6,022,268 | 536,056 | 51,150,795 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - November | 1,390,994 | 45,526,388 | 18,930,809 | (18,283,580 ) | 4,817,782 | 325,847 | 51,317,246 | — |
FT Cboe Vest U.S. Equity Deep Buffer ETF - December | 1,492,759 | 45,215,808 | 19,045,860 | (18,357,753 ) | 4,800,880 | 362,490 | 51,067,285 | — |
$541,074,567 | $234,716,257 | $(213,181,756 ) | $48,164,752 | $2,570,981 | $613,344,801 | $— |
August 31, 2023
Security Name | Shares at 8/31/2023 | Value at 8/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 8/31/2023 | Dividend Income |
FT Cboe Vest Nasdaq-100® Buffer ETF - March | 1,601,340 | $2,664,074 | $36,507,756 | $(2,471,361 ) | $1,952,872 | $387,328 | $39,040,669 | $— |
FT Cboe Vest Nasdaq-100® Buffer ETF - June | 1,730,857 | 2,648,451 | 36,633,180 | (2,485,065 ) | 2,027,045 | 362,991 | 39,186,602 | — |
FT Cboe Vest Nasdaq-100® Buffer ETF - September | 1,804,531 | 2,709,359 | 36,724,447 | (2,860,902 ) | 2,691,006 | 381,817 | 39,645,727 | — |
FT Cboe Vest Nasdaq-100® Buffer ETF - December | 1,718,301 | 2,702,076 | 36,729,338 | (2,405,765 ) | 1,766,890 | 308,088 | 39,100,627 | — |
$10,723,960 | $146,594,721 | $(10,223,093 ) | $8,437,813 | $1,440,224 | $156,973,625 | $— |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
FT Cboe Vest Fund of Buffer ETFs | $(1,513,127 ) | $— | $111,060,203 |
FT Cboe Vest Fund of Deep Buffer ETFs | (699,992 ) | — | 23,739,258 |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs | (79,575 ) | — | 8,191,001 |
August 31, 2023
Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | |
FT Cboe Vest Fund of Buffer ETFs | $1,513,127 | $— |
FT Cboe Vest Fund of Deep Buffer ETFs | 699,992 | — |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs | 79,575 | — |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
FT Cboe Vest Fund of Buffer ETFs | $1,424,329 | $(3,740,976 ) | $2,316,647 |
FT Cboe Vest Fund of Deep Buffer ETFs | 914,555 | (2,698,596 ) | 1,784,041 |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs | 8,876 | (1,442,703 ) | 1,433,827 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Cboe Vest Fund of Buffer ETFs | $1,748,974,882 | $111,959,156 | $(898,953 ) | $111,060,203 |
FT Cboe Vest Fund of Deep Buffer ETFs | 589,851,715 | 24,911,208 | (1,171,950 ) | 23,739,258 |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs | 148,791,139 | 8,195,621 | (4,620 ) | 8,191,001 |
August 31, 2023
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.200 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.195 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.190 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.185 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.180 % |
Fund net assets greater than $15 billion | 0.170 % |
Purchases | Sales | |
FT Cboe Vest Fund of Buffer ETFs | $14,150,458 | $16,435,068 |
FT Cboe Vest Fund of Deep Buffer ETFs | 10,022,851 | 11,161,771 |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs | 619,034 | 662,787 |
August 31, 2023
Purchases | Sales | |
FT Cboe Vest Fund of Buffer ETFs | $1,112,919,625 | $126,727,677 |
FT Cboe Vest Fund of Deep Buffer ETFs | 224,693,406 | 202,019,985 |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs | 145,975,687 | 9,560,306 |
August 31, 2023
Individual Funds Included in the Trust | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
FT Cboe Vest Fund of Buffer ETFs | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023, 2022, and 2021, and for the period from August 10, 2020 (commencement of investment operations) through August 31, 2020 |
FT Cboe Vest Fund of Deep Buffer ETFs | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from January 20, 2021 (commencement of investment operations) through August 31, 2021 |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs | For the year ended August 31, 2023 | For the year ended August 31, 2023, and for the period from June 15, 2022 (commencement of investment operations) through August 31, 2022 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img49282ea96.jpg)
October 24, 2023
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
FT Cboe Vest Fund of Buffer ETFs (BUFR) |
FT Cboe Vest Fund of Deep Buffer ETFs (BUFD) |
FT Cboe Vest Fund of Nasdaq-100® Buffer ETFs (BUFQ) |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgeafb3a567.gif)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
8350 Broad Street, Suite 240
McLean, VA 22102
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgf54d24be1.gif)
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January (GJAN) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - February (GFEB) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March (GMAR) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April (GAPR) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May (GMAY) |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June (GJUN) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July (GJUL) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August (GAUG) |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) |
Annual Report
August 31, 2023
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Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img1281a8b32.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |
Cumulative Total Returns | |
Inception (1/20/23) to 8/31/23 | |
Fund Performance | |
NAV | 9.57% |
Market Price | 9.57% |
Index Performance | |
S&P 500® Index - Price Return | 13.47% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (2/17/23) to 8/31/23 | |
Fund Performance | |
NAV | 7.84% |
Market Price | 7.54% |
Index Performance | |
S&P 500® Index - Price Return | 10.51% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (3/17/23) to 8/31/23 | |
Fund Performance | |
NAV | 8.74% |
Market Price | 8.40% |
Index Performance | |
S&P 500® Index - Price Return | 15.09% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (4/21/23) to 8/31/23 | |
Fund Performance | |
NAV | 5.96% |
Market Price | 5.56% |
Index Performance | |
S&P 500® Index - Price Return | 9.05% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (5/19/23) to 8/31/23 | |
Fund Performance | |
NAV | 4.94% |
Market Price | 4.64% |
Index Performance | |
S&P 500® Index - Price Return | 7.53% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (5/19/23) to 8/31/23 | |
Fund Performance | |
NAV | 4.88% |
Market Price | 4.63% |
Index Performance | |
Russell 2000® Index - Price Return | 7.10% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (6/16/23) to 8/31/23 | |
Fund Performance | |
NAV | 2.18% |
Market Price | 1.84% |
Index Performance | |
S&P 500® Index - Price Return | 2.22% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (7/21/23) to 8/31/23 | |
Fund Performance | |
NAV | 0.29% |
Market Price | 0.10% |
Index Performance | |
S&P 500® Index - Price Return | -0.63% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (8/18/23) to 8/31/23 | |
Fund Performance | |
NAV | 1.79% |
Market Price | 1.95% |
Index Performance | |
S&P 500® Index - Price Return | 3.16% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (8/18/23) to 8/31/23 | |
Fund Performance | |
NAV | 1.60% |
Market Price | 1.60% |
Index Performance | |
Russell 2000® Index - Price Return | 2.16% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Annual Report
August 31, 2023 (Unaudited)
Howard Rubin, Managing Director of Cboe Vest
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Fund Ticker | GJAN | GFEB | GMAR | GAPR | GMAY |
Annual Expense Ratio | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% |
Reporting Period Start Date | 1/20/23 | 2/17/23 | 3/17/23 | 4/21/23 | 5/19/23 |
Reporting Period End Date | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 |
CAP INFORMATION: | |||||
Cap Prior to Annual Reset (pre-expenses) | N/A | N/A | N/A | N/A | N/A |
Cap Prior to Annual Reset (post-expenses) | N/A | N/A | N/A | N/A | N/A |
Reset Date (prior to 8/31/23) | 1/20/23 | 2/17/23 | 3/17/23 | 4/21/23 | 5/19/23 |
New Cap on Annual Reset Date (pre-expenses) | 15.75% | 15.20% | 15.31% | 14.67% | 14.60% |
New Cap on Annual Reset Date (post-expenses) | 14.90% | 14.35% | 14.46% | 13.82% | 13.75% |
PERFORMANCE (Inception Date to 8/31/23): | |||||
Fund Performance (using NAVs) | 9.57% | 7.84% | 8.74% | 5.96% | 4.94% |
Fund Performance (using Market Price) | 9.57% | 7.54% | 8.40% | 5.56% | 4.64% |
Reference Asset Price Return | 13.76% | 10.58% | 15.48% | 9.26% | 7.58% |
Fund Ticker | SMAY | GJUN | GJUL | GAUG | SAUG |
Annual Expense Ratio | 0.90% | 0.85% | 0.85% | 0.85% | 0.90% |
Reporting Period Start Date | 5/19/23 | 6/16/23 | 7/21/23 | 8/18/23 | 8/18/23 |
Reporting Period End Date | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 | 8/31/23 |
CAP INFORMATION: | |||||
Cap Prior to Annual Reset (pre-expenses) | N/A | N/A | N/A | N/A | N/A |
Cap Prior to Annual Reset (post-expenses) | N/A | N/A | N/A | N/A | N/A |
Reset Date (prior to 8/31/23) | 5/19/23 | 6/16/23 | 7/21/23 | 8/18/23 | 8/18/23 |
New Cap on Annual Reset Date (pre-expenses) | 17.76% | 14.65% | 14.30% | 15.26% | 19.07% |
New Cap on Annual Reset Date (post-expenses) | 16.86% | 13.79% | 13.45% | 14.42% | 18.17% |
PERFORMANCE (Inception Date to 8/31/23): | |||||
Fund Performance (using NAVs) | 4.88% | 2.18% | 0.29% | 1.79% | 1.60% |
Fund Performance (using Market Price) | 4.63% | 1.84% | 0.10% | 1.95% | 1.60% |
Reference Asset Price Return | 7.10% | 2.48% | -0.40% | 3.17% | 2.14% |
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January (GJAN) | ||||
Actual | $1,000.00 | $1,092.10 | 0.85% | $4.48 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - February (GFEB) | ||||
Actual | $1,000.00 | $1,094.90 | 0.85% | $4.49 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Beginning Account Value March 17, 2023 (b) | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period March 17, 2023 (b) to August 31, 2023 (c) | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March (GMAR) | ||||
Actual | $1,000.00 | $1,087.40 | 0.85% | $4.08 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Understanding Your Fund Expenses (Continued)
August 31, 2023 (Unaudited)
Beginning Account Value April 21, 2023 (b) | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period April 21, 2023 (b) to August 31, 2023 (d) | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April (GAPR) | ||||
Actual | $1,000.00 | $1,059.60 | 0.85% | $3.19 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Beginning Account Value May 19, 2023 (b) | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period May 19, 2023 (b) to August 31, 2023 (e) | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May (GMAY) | ||||
Actual | $1,000.00 | $1,049.40 | 0.85% | $2.51 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) | ||||
Actual | $1,000.00 | $1,048.80 | 0.90% | $2.65 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
Beginning Account Value June 16, 2023 (b) | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period June 16, 2023 (b) to August 31, 2023 (f) | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June (GJUN) | ||||
Actual | $1,000.00 | $1,021.80 | 0.85% | $1.81 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Beginning Account Value July 21, 2023 (b) | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period July 21, 2023 (b) to August 31, 2023 (g) | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July (GJUL) | ||||
Actual | $1,000.00 | $1,002.90 | 0.85% | $0.98 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
Beginning Account Value August 18, 2023 (b) | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Number of Days in the Period | Expenses Paid During the Period August 18, 2023 (b) to August 31, 2023 (h) | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August (GAUG) | ||||
Actual | $1,000.00 | $1,017.90 | 0.85% | $0.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) | ||||
Actual | $1,000.00 | $1,016.00 | 0.90% | $0.35 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | 0.90% | $4.58 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
(b) | Inception date. |
(c) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 17, 2023 through August 31, 2023), multiplied by 168/365. Hypothetical expenses are assumed for the most recent six-month period. |
(d) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (April 21, 2023 through August 31, 2023), multiplied by 133/365. Hypothetical expenses are assumed for the most recent six-month period. |
(e) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (May 19, 2023 through August 31, 2023), multiplied by 105/365. Hypothetical expenses are assumed for the most recent six-month period. |
Understanding Your Fund Expenses (Continued)
August 31, 2023 (Unaudited)
(f) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (June 16, 2023 through August 31, 2023), multiplied by 77/365. Hypothetical expenses are assumed for the most recent six-month period. |
(g) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (July 21, 2023 through August 31, 2023), multiplied by 42/365. Hypothetical expenses are assumed for the most recent six-month period. |
(h) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 18, 2023 through August 31, 2023), multiplied by 14/365. Hypothetical expenses are assumed for the most recent six-month period. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.6% | |||||
877,382 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $877,382 | |||
(Cost $877,382) | |||||
Total Investments — 0.6% | 877,382 | ||||
(Cost $877,382) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.0% | |||||
Call Options Purchased — 102.2% | |||||
3,268 | SPDR® S&P 500® ETF Trust | $147,174,380 | $3.98 | 01/19/24 | 144,769,132 |
(Cost $129,237,127) | |||||
Put Options Purchased — 0.8% | |||||
3,268 | SPDR® S&P 500® ETF Trust | 147,174,380 | 395.90 | 01/19/24 | 1,140,532 |
(Cost $7,255,875) | |||||
Total Purchased Options | 145,909,664 | ||||
(Cost $136,493,002) | |||||
WRITTEN OPTIONS — (3.5)% | |||||
Call Options Written — (3.2)% | |||||
(3,268 ) | SPDR® S&P 500® ETF Trust | (147,174,380 ) | 458.24 | 01/19/24 | (4,571,932 ) |
(Premiums received $2,837,381) | |||||
Put Options Written — (0.3)% | |||||
(3,268 ) | SPDR® S&P 500® ETF Trust | (147,174,380 ) | 336.50 | 01/19/24 | (362,748 ) |
(Premiums received $2,826,320) | |||||
Total Written Options | (4,934,680 ) | ||||
(Premiums received $5,663,701) | |||||
Net Other Assets and Liabilities — (0.1)% | (85,242 ) | ||||
Net Assets — 100.0% | $141,767,124 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.6% |
Purchased Options | 103.0 |
Written Options | (3.5) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $877,382 | $877,382 | $— | $— |
Purchased Options | 145,909,664 | — | 145,909,664 | — |
Total | $146,787,046 | $877,382 | $145,909,664 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(4,934,680 ) | $— | $(4,934,680 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.7% | |||||
1,412,223 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $1,412,223 | |||
(Cost $1,412,223) | |||||
Total Investments — 0.7% | 1,412,223 | ||||
(Cost $1,412,223) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.4% | |||||
Call Options Purchased — 101.3% | |||||
4,590 | SPDR® S&P 500® ETF Trust | $206,710,650 | $4.09 | 02/16/24 | 204,142,469 |
(Cost $179,067,137) | |||||
Put Options Purchased — 1.1% | |||||
4,590 | SPDR® S&P 500® ETF Trust | 206,710,650 | 407.28 | 02/16/24 | 2,331,704 |
(Cost $12,805,924) | |||||
Total Purchased Options | 206,474,173 | ||||
(Cost $191,873,061) | |||||
WRITTEN OPTIONS — (3.0)% | |||||
Call Options Written — (2.7)% | |||||
(4,590 ) | SPDR® S&P 500® ETF Trust | (206,710,650 ) | 469.17 | 02/16/24 | (5,417,926 ) |
(Premiums received $2,910,296) | |||||
Put Options Written — (0.3)% | |||||
(4,590 ) | SPDR® S&P 500® ETF Trust | (206,710,650 ) | 346.17 | 02/16/24 | (747,898 ) |
(Premiums received $5,136,411) | |||||
Total Written Options | (6,165,824 ) | ||||
(Premiums received $8,046,707) | |||||
Net Other Assets and Liabilities — (0.1)% | (139,554 ) | ||||
Net Assets — 100.0% | $201,581,018 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.7% |
Purchased Options | 102.4 |
Written Options | (3.0) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $1,412,223 | $1,412,223 | $— | $— |
Purchased Options | 206,474,173 | — | 206,474,173 | — |
Total | $207,886,396 | $1,412,223 | $206,474,173 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(6,165,824 ) | $— | $(6,165,824 ) | $— |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.8% | |||||
896,274 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.21% (a) | $896,274 | |||
(Cost $896,274) | |||||
Total Investments — 0.8% | 896,274 | ||||
(Cost $896,274) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 105.7% | |||||
Call Options Purchased — 104.6% | |||||
2,717 | SPDR® S&P 500® ETF Trust | $122,360,095 | $3.92 | 03/15/24 | 120,578,461 |
(Cost $108,112,371) | |||||
Put Options Purchased — 1.1% | |||||
2,717 | SPDR® S&P 500® ETF Trust | 122,360,095 | 390.01 | 03/15/24 | 1,226,135 |
(Cost $5,906,354) | |||||
Total Purchased Options | 121,804,596 | ||||
(Cost $114,018,725) | |||||
WRITTEN OPTIONS — (6.4)% | |||||
Call Options Written — (6.0)% | |||||
(2,717 ) | SPDR® S&P 500® ETF Trust | (122,360,095 ) | 449.68 | 03/15/24 | (6,878,671 ) |
(Premiums received $3,527,896) | |||||
Put Options Written — (0.4)% | |||||
(2,717 ) | SPDR® S&P 500® ETF Trust | (122,360,095 ) | 331.51 | 03/15/24 | (483,791 ) |
(Premiums received $2,338,145) | |||||
Total Written Options | (7,362,462 ) | ||||
(Premiums received $5,866,041) | |||||
Net Other Assets and Liabilities — (0.1)% | (104,538 ) | ||||
Net Assets — 100.0% | $115,233,870 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Fund Allocation | % of Net Assets |
Money Market Funds | 0.8% |
Purchased Options | 105.7 |
Written Options | (6.4) |
Net Other Assets and Liabilities | (0.1) |
Total | 100.0% |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $896,274 | $896,274 | $— | $— |
Purchased Options | 121,804,596 | — | 121,804,596 | — |
Total | $122,700,870 | $896,274 | $121,804,596 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(7,362,462 ) | $— | $(7,362,462 ) | $— |
Portfolio of Investments
August 31, 2023
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.4% | |||||
Call Options Purchased — 101.6% | |||||
3,798 | SPDR® S&P 500® ETF Trust | $171,042,930 | $4.14 | 04/19/24 | $168,537,386 |
(Cost $152,900,552) | |||||
Put Options Purchased — 1.8% | |||||
3,798 | SPDR® S&P 500® ETF Trust | 171,042,930 | 412.22 | 04/19/24 | 3,016,469 |
(Cost $10,110,133) | |||||
Total Purchased Options | 171,553,855 | ||||
(Cost $163,010,685) | |||||
WRITTEN OPTIONS — (4.2)% | |||||
Call Options Written — (3.5)% | |||||
(3,798 ) | SPDR® S&P 500® ETF Trust | (171,042,930 ) | 472.69 | 04/19/24 | (5,844,420 ) |
(Premiums received $2,643,025) | |||||
Put Options Written — (0.7)% | |||||
(3,798 ) | SPDR® S&P 500® ETF Trust | (171,042,930 ) | 350.39 | 04/19/24 | (1,087,517 ) |
(Premiums received $4,012,688) | |||||
Total Written Options | (6,931,937 ) | ||||
(Premiums received $6,655,713) | |||||
Net Other Assets and Liabilities — 0.8% | 1,279,726 | ||||
Net Assets — 100.0% | $165,901,644 |
Fund Allocation | % of Net Assets |
Purchased Options | 103.4% |
Written Options | (4.2) |
Net Other Assets and Liabilities | 0.8 |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Purchased Options | $171,553,855 | $— | $171,553,855 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(6,931,937 ) | $— | $(6,931,937 ) | $— |
Portfolio of Investments
August 31, 2023
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.3% | |||||
Call Options Purchased — 101.0% | |||||
2,664 | SPDR® S&P 500® ETF Trust | $119,973,240 | $4.21 | 05/17/24 | $118,244,280 |
(Cost $110,335,252) | |||||
Put Options Purchased — 2.3% | |||||
2,664 | SPDR® S&P 500® ETF Trust | 119,973,240 | 418.64 | 05/17/24 | 2,610,633 |
(Cost $5,884,673) | |||||
Total Purchased Options | 120,854,913 | ||||
(Cost $116,219,925) | |||||
WRITTEN OPTIONS — (4.1)% | |||||
Call Options Written — (3.3)% | |||||
(2,664 ) | SPDR® S&P 500® ETF Trust | (119,973,240 ) | 479.74 | 05/17/24 | (3,831,159 ) |
(Premiums received $2,155,622) | |||||
Put Options Written — (0.8)% | |||||
(2,664 ) | SPDR® S&P 500® ETF Trust | (119,973,240 ) | 355.83 | 05/17/24 | (965,303 ) |
(Premiums received $2,414,838) | |||||
Total Written Options | (4,796,462 ) | ||||
(Premiums received $4,570,460) | |||||
Net Other Assets and Liabilities — 0.8% | 987,160 | ||||
Net Assets — 100.0% | $117,045,611 |
Fund Allocation | % of Net Assets |
Purchased Options | 103.3% |
Written Options | (4.1) |
Net Other Assets and Liabilities | 0.8 |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Purchased Options | $120,854,913 | $— | $120,854,913 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(4,796,462 ) | $— | $(4,796,462 ) | $— |
Portfolio of Investments
August 31, 2023
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.2% | |||||
Call Options Purchased — 100.1% | |||||
1,653 | iShares Russell 2000 ETF | $31,177,233 | $1.76 | 05/17/24 | $30,545,177 |
(Cost $29,977,707) | |||||
Put Options Purchased — 3.1% | |||||
1,653 | iShares Russell 2000 ETF | 31,177,233 | 176.11 | 05/17/24 | 952,388 |
(Cost $1,435,527) | |||||
Total Purchased Options | 31,497,565 | ||||
(Cost $31,413,234) | |||||
WRITTEN OPTIONS — (4.1)% | |||||
Call Options Written — (2.9)% | |||||
(1,653 ) | iShares Russell 2000 ETF | (31,177,233 ) | 207.39 | 05/17/24 | (881,269 ) |
(Premiums received $1,167,369) | |||||
Put Options Written — (1.2)% | |||||
(1,653 ) | iShares Russell 2000 ETF | (31,177,233 ) | 149.69 | 05/17/24 | (354,139 ) |
(Premiums received $602,275) | |||||
Total Written Options | (1,235,408 ) | ||||
(Premiums received $1,769,644) | |||||
Net Other Assets and Liabilities — 0.9% | 267,836 | ||||
Net Assets — 100.0% | $30,529,993 |
Fund Allocation | % of Net Assets |
Purchased Options | 103.2% |
Written Options | (4.1) |
Net Other Assets and Liabilities | 0.9 |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Purchased Options | $31,497,565 | $— | $31,497,565 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(1,235,408 ) | $— | $(1,235,408 ) | $— |
Portfolio of Investments
August 31, 2023
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.9% | |||||
Call Options Purchased — 98.5% | |||||
7,378 | SPDR® S&P 500® ETF Trust | $332,268,230 | $4.41 | 06/21/24 | $326,199,188 |
(Cost $316,120,374) | |||||
Put Options Purchased — 3.4% | |||||
7,378 | SPDR® S&P 500® ETF Trust | 332,268,230 | 439.48 | 06/21/24 | 11,245,234 |
(Cost $15,442,089) | |||||
Total Purchased Options | 337,444,422 | ||||
(Cost $331,562,463) | |||||
WRITTEN OPTIONS — (2.8)% | |||||
Call Options Written — (1.6)% | |||||
(7,378 ) | SPDR® S&P 500® ETF Trust | (332,268,230 ) | 503.84 | 06/21/24 | (5,200,818 ) |
(Premiums received $4,656,345) | |||||
Put Options Written — (1.2)% | |||||
(7,378 ) | SPDR® S&P 500® ETF Trust | (332,268,230 ) | 373.56 | 06/21/24 | (4,179,088 ) |
(Premiums received $6,334,010) | |||||
Total Written Options | (9,379,906 ) | ||||
(Premiums received $10,990,355) | |||||
Net Other Assets and Liabilities — 0.9% | 3,139,704 | ||||
Net Assets — 100.0% | $331,204,220 |
Fund Allocation | % of Net Assets |
Purchased Options | 101.9% |
Written Options | (2.8) |
Net Other Assets and Liabilities | 0.9 |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Purchased Options | $337,444,422 | $— | $337,444,422 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(9,379,906 ) | $— | $(9,379,906 ) | $— |
Portfolio of Investments
August 31, 2023
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 101.8% | |||||
Call Options Purchased — 97.5% | |||||
4,097 | SPDR® S&P 500® ETF Trust | $184,508,395 | $4.54 | 07/19/24 | $181,165,374 |
(Cost $180,792,457) | |||||
Put Options Purchased — 4.3% | |||||
4,097 | SPDR® S&P 500® ETF Trust | 184,508,395 | 452.20 | 07/19/24 | 8,028,682 |
(Cost $8,566,647) | |||||
Total Purchased Options | 189,194,056 | ||||
(Cost $189,359,104) | |||||
WRITTEN OPTIONS — (2.8)% | |||||
Call Options Written — (1.2)% | |||||
(4,097 ) | SPDR® S&P 500® ETF Trust | (184,508,395 ) | 516.84 | 07/19/24 | (2,286,875 ) |
(Premiums received $2,725,768) | |||||
Put Options Written — (1.6)% | |||||
(4,097 ) | SPDR® S&P 500® ETF Trust | (184,508,395 ) | 384.35 | 07/19/24 | (2,963,436 ) |
(Premiums received $3,440,136) | |||||
Total Written Options | (5,250,311 ) | ||||
(Premiums received $6,165,904) | |||||
Net Other Assets and Liabilities — 1.0% | 1,870,372 | ||||
Net Assets — 100.0% | $185,814,117 |
Fund Allocation | % of Net Assets |
Purchased Options | 101.8% |
Written Options | (2.8) |
Net Other Assets and Liabilities | 1.0 |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Purchased Options | $189,194,056 | $— | $189,194,056 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(5,250,311 ) | $— | $(5,250,311 ) | $— |
Portfolio of Investments
August 31, 2023
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 102.8% | |||||
Call Options Purchased — 99.0% | |||||
1,394 | SPDR® S&P 500® ETF Trust | $62,778,790 | $4.39 | 08/16/24 | $61,313,696 |
(Cost $60,186,513) | |||||
Put Options Purchased — 3.8% | |||||
1,394 | SPDR® S&P 500® ETF Trust | 62,778,790 | 436.52 | 08/16/24 | 2,383,740 |
(Cost $2,813,026) | |||||
Total Purchased Options | 63,697,436 | ||||
(Cost $62,999,539) | |||||
WRITTEN OPTIONS — (3.9)% | |||||
Call Options Written — (2.3)% | |||||
(1,394 ) | SPDR® S&P 500® ETF Trust | (62,778,790 ) | 503.13 | 08/16/24 | (1,456,730 ) |
(Premiums received $1,204,660) | |||||
Put Options Written — (1.6)% | |||||
(1,394 ) | SPDR® S&P 500® ETF Trust | (62,778,790 ) | 371.05 | 08/16/24 | (961,860 ) |
(Premiums received $1,154,238) | |||||
Total Written Options | (2,418,590 ) | ||||
(Premiums received $2,358,898) | |||||
Net Other Assets and Liabilities — 1.1% | 659,802 | ||||
Net Assets — 100.0% | $61,938,648 |
Fund Allocation | % of Net Assets |
Purchased Options | 102.8% |
Written Options | (3.9) |
Net Other Assets and Liabilities | 1.1 |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Purchased Options | $63,697,436 | $— | $63,697,436 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(2,418,590 ) | $— | $(2,418,590 ) | $— |
Portfolio of Investments
August 31, 2023
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS — 103.2% | |||||
Call Options Purchased — 98.2% | |||||
756 | iShares Russell 2000 ETF | $14,258,916 | $1.85 | 08/16/24 | $13,926,094 |
(Cost $13,571,696) | |||||
Put Options Purchased — 5.0% | |||||
756 | iShares Russell 2000 ETF | 14,258,916 | 184.65 | 08/16/24 | 714,508 |
(Cost $878,888) | |||||
Total Purchased Options | 14,640,602 | ||||
(Cost $14,450,584) | |||||
WRITTEN OPTIONS — (4.3)% | |||||
Call Options Written — (2.3)% | |||||
(756 ) | iShares Russell 2000 ETF | (14,258,916 ) | 219.86 | 08/16/24 | (323,285 ) |
(Premiums received $288,158) | |||||
Put Options Written — (2.0)% | |||||
(756 ) | iShares Russell 2000 ETF | (14,258,916 ) | 156.95 | 08/16/24 | (291,207 ) |
(Premiums received $359,329) | |||||
Total Written Options | (614,492 ) | ||||
(Premiums received $647,487) | |||||
Net Other Assets and Liabilities — 1.1% | 158,167 | ||||
Net Assets — 100.0% | $14,184,277 |
Fund Allocation | % of Net Assets |
Purchased Options | 103.2% |
Written Options | (4.3) |
Net Other Assets and Liabilities | 1.1 |
Total | 100.0% |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Purchased Options | $14,640,602 | $— | $14,640,602 | $— |
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(614,492 ) | $— | $(614,492 ) | $— |
Statements of Assets and Liabilities
August 31, 2023
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January (GJAN) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - February (GFEB) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - March (GMAR) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - April (GAPR) | |
ASSETS: | ||||
Investments, at value | $877,382 | $1,412,223 | $896,274 | $— |
Options contracts purchased, at value | 145,909,664 | 206,474,173 | 121,804,596 | 171,553,855 |
Cash | — | — | — | 1,400,817 |
Due from authorized participant | — | — | — | — |
Receivables: | ||||
Capital shares sold | 2,472,979 | — | — | — |
Investment securities sold | 85,921 | — | 2,555,341 | — |
Dividends | 4,226 | 7,055 | 4,520 | — |
Total Assets | 149,350,172 | 207,893,451 | 125,260,731 | 172,954,672 |
LIABILITIES: | ||||
Options contracts written, at value | 4,934,680 | 6,165,824 | 7,362,462 | 6,931,937 |
Payables: | ||||
Investment securities purchased | 2,545,084 | — | 154,457 | — |
Investment advisory fees | 103,284 | 146,609 | 92,450 | 121,091 |
Capital shares purchased | — | — | 2,417,492 | — |
Total Liabilities | 7,583,048 | 6,312,433 | 10,026,861 | 7,053,028 |
NET ASSETS | $141,767,124 | $201,581,018 | $115,233,870 | $165,901,644 |
NET ASSETS consist of: | ||||
Paid-in capital | $128,374,861 | $183,495,211 | $106,956,851 | $153,879,480 |
Par value | 43,000 | 63,750 | 35,750 | 52,750 |
Accumulated distributable earnings (loss) | 13,349,263 | 18,022,057 | 8,241,269 | 11,969,414 |
NET ASSETS | $141,767,124 | $201,581,018 | $115,233,870 | $165,901,644 |
NET ASSET VALUE, per share | $32.97 | $31.62 | $32.23 | $31.45 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 4,300,002 | 6,375,002 | 3,575,002 | 5,275,002 |
Investments, at cost | $877,382 | $1,412,223 | $896,274 | $— |
Premiums paid on options contracts purchased | $136,493,002 | $191,873,061 | $114,018,725 | $163,010,685 |
Premiums received on options contracts written | $5,663,701 | $8,046,707 | $5,866,041 | $6,655,713 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May (GMAY) | FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - June (GJUN) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - July (GJUL) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - August (GAUG) | FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) |
$— | $— | $— | $— | $— | $— |
120,854,913 | 31,497,565 | 337,444,422 | 189,194,056 | 63,697,436 | 14,640,602 |
1,076,306 | 289,913 | 3,377,516 | 1,977,569 | 643,303 | 159,998 |
781,121 | — | — | — | — | — |
— | — | — | — | 2,266,363 | — |
— | — | — | — | 88,326 | — |
— | — | — | — | — | — |
122,712,340 | 31,787,478 | 340,821,938 | 191,171,625 | 66,695,428 | 14,800,600 |
4,796,462 | 1,235,408 | 9,379,906 | 5,250,311 | 2,418,590 | 614,492 |
— | — | — | — | 2,330,552 | — |
89,146 | 22,077 | 237,812 | 107,197 | 7,638 | 1,831 |
781,121 | — | — | — | — | — |
5,666,729 | 1,257,485 | 9,617,718 | 5,357,508 | 4,756,780 | 616,323 |
$117,045,611 | $30,529,993 | $331,204,220 | $185,814,117 | $61,938,648 | $14,184,277 |
$111,820,526 | $29,947,615 | $324,079,066 | $185,110,520 | $61,279,943 | $13,954,264 |
37,000 | 14,500 | 108,500 | 60,250 | 20,500 | 7,000 |
5,188,085 | 567,878 | 7,016,654 | 643,347 | 638,205 | 223,013 |
$117,045,611 | $30,529,993 | $331,204,220 | $185,814,117 | $61,938,648 | $14,184,277 |
$31.63 | $21.06 | $30.53 | $30.84 | $30.21 | $20.26 |
3,700,002 | 1,450,002 | 10,850,002 | 6,025,002 | 2,050,002 | 700,002 |
$— | $— | $— | $— | $— | $— |
$116,219,925 | $31,413,234 | $331,562,463 | $189,359,104 | $62,999,539 | $14,450,584 |
$4,570,460 | $1,769,644 | $10,990,355 | $6,165,904 | $2,358,898 | $647,487 |
Statements of Operations
For the Period Ended August 31, 2023
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January (GJAN) (a) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - February (GFEB) (b) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - March (GMAR) (c) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - April (GAPR) (d) | |
INVESTMENT INCOME: | ||||
Dividends | $15,946 | $24,117 | $13,780 | $— |
Total investment income | 15,946 | 24,117 | 13,780 | — |
EXPENSES: | ||||
Investment advisory fees | 789,787 | 852,935 | 446,974 | 541,800 |
Total expenses | 789,787 | 852,935 | 446,974 | 541,800 |
NET INVESTMENT INCOME (LOSS) | (773,841 ) | (828,818 ) | (433,194 ) | (541,800 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Purchased options contracts | 76,645 | 253,261 | 34,197 | 95,578 |
Written options contracts | 19,885 | (17,037 ) | (17,241 ) | (19,916 ) |
In-kind redemptions - Purchased options contracts | 3,182,432 | 1,859,097 | 2,094,633 | 4,077,625 |
In-kind redemptions - Written options contracts | 687,029 | 263,895 | 260,540 | 77,378 |
Net realized gain (loss) | 3,965,991 | 2,359,216 | 2,372,129 | 4,230,665 |
Net change in unrealized appreciation (depreciation) on: | ||||
Purchased options contracts | 9,416,662 | 14,601,112 | 7,785,871 | 8,543,170 |
Written options contracts | 729,021 | 1,880,883 | (1,496,421 ) | (276,224 ) |
Net change in unrealized appreciation (depreciation) | 10,145,683 | 16,481,995 | 6,289,450 | 8,266,946 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 14,111,674 | 18,841,211 | 8,661,579 | 12,497,611 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $13,337,833 | $18,012,393 | $8,228,385 | $11,955,811 |
(a) | Inception date is January 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Inception date is February 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(c) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(d) | Inception date is April 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(e) | Inception date is May 19, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(f) | Inception date is June 16, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(g) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(h) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May (GMAY) (e) | FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) (e) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - June (GJUN) (f) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - July (GJUL) (g) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - August (GAUG) (h) | FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) (h) |
$— | $— | $— | $— | $— | $— |
— | — | — | — | — | — |
273,164 | 49,614 | 485,527 | 118,329 | 7,638 | 1,831 |
273,164 | 49,614 | 485,527 | 118,329 | 7,638 | 1,831 |
(273,164 ) | (49,614 ) | (485,527 ) | (118,329 ) | (7,638 ) | (1,831 ) |
— | (32,000 ) | (25,480 ) | — | — | — |
— | 30,334 | (1,376 ) | — | — | — |
843,578 | — | — | — | — | — |
198,678 | — | — | — | — | — |
1,042,256 | (1,666 ) | (26,856 ) | — | — | — |
4,634,988 | 84,331 | 5,881,959 | (165,048 ) | 697,897 | 190,018 |
(226,002 ) | 534,236 | 1,610,449 | 915,593 | (59,692 ) | 32,995 |
4,408,986 | 618,567 | 7,492,408 | 750,545 | 638,205 | 223,013 |
5,451,242 | 616,901 | 7,465,552 | 750,545 | 638,205 | 223,013 |
$5,178,078 | $567,287 | $6,980,025 | $632,216 | $630,567 | $221,182 |
Statements of Changes in Net Assets
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January (GJAN) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - February (GFEB) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - March (GMAR) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - April (GAPR) | |
Period Ended 8/31/2023 (a) | Period Ended 8/31/2023 (b) | Period Ended 8/31/2023 (c) | Period Ended 8/31/2023 (d) | |
OPERATIONS: | ||||
Net investment income (loss) | $(773,841 ) | $(828,818 ) | $(433,194 ) | $(541,800 ) |
Net realized gain (loss) | 3,965,991 | 2,359,216 | 2,372,129 | 4,230,665 |
Net change in unrealized appreciation (depreciation) | 10,145,683 | 16,481,995 | 6,289,450 | 8,266,946 |
Net increase (decrease) in net assets resulting from operations | 13,337,833 | 18,012,393 | 8,228,385 | 11,955,811 |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 184,329,885 | 206,986,953 | 128,577,486 | 239,734,664 |
Cost of shares redeemed | (55,900,594 ) | (23,418,328 ) | (21,572,001 ) | (85,788,831 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 128,429,291 | 183,568,625 | 107,005,485 | 153,945,833 |
Total increase (decrease) in net assets | 141,767,124 | 201,581,018 | 115,233,870 | 165,901,644 |
NET ASSETS: | ||||
Beginning of period | — | — | — | — |
End of period | $141,767,124 | $201,581,018 | $115,233,870 | $165,901,644 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | — | — | — | — |
Shares sold | 6,050,002 | 7,125,002 | 4,250,002 | 8,025,002 |
Shares redeemed | (1,750,000 ) | (750,000 ) | (675,000 ) | (2,750,000 ) |
Shares outstanding, end of period | 4,300,002 | 6,375,002 | 3,575,002 | 5,275,002 |
(a) | Inception date is January 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Inception date is February 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(c) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(d) | Inception date is April 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(e) | Inception date is May 19, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(f) | Inception date is June 16, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(g) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(h) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May (GMAY) | FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - June (GJUN) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - July (GJUL) | FT Cboe Vest U.S. Equity Moderate Buffer ETF - August (GAUG) | FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) |
Period Ended 8/31/2023 (e) | Period Ended 8/31/2023 (e) | Period Ended 8/31/2023 (f) | Period Ended 8/31/2023 (g) | Period Ended 8/31/2023 (h) | Period Ended 8/31/2023 (h) |
$(273,164 ) | $(49,614 ) | $(485,527 ) | $(118,329 ) | $(7,638 ) | $(1,831 ) |
1,042,256 | (1,666 ) | (26,856 ) | — | — | — |
4,408,986 | 618,567 | 7,492,408 | 750,545 | 638,205 | 223,013 |
5,178,078 | 567,287 | 6,980,025 | 632,216 | 630,567 | 221,182 |
150,692,819 | 34,130,533 | 341,576,577 | 185,181,901 | 61,308,081 | 13,963,095 |
(38,825,286 ) | (4,167,827 ) | (17,352,382 ) | — | — | — |
111,867,533 | 29,962,706 | 324,224,195 | 185,181,901 | 61,308,081 | 13,963,095 |
117,045,611 | 30,529,993 | 331,204,220 | 185,814,117 | 61,938,648 | 14,184,277 |
— | — | — | — | — | — |
$117,045,611 | $30,529,993 | $331,204,220 | $185,814,117 | $61,938,648 | $14,184,277 |
— | — | — | — | — | — |
4,950,002 | 1,650,002 | 11,425,002 | 6,025,002 | 2,050,002 | 700,002 |
(1,250,000 ) | (200,000 ) | (575,000 ) | — | — | — |
3,700,002 | 1,450,002 | 10,850,002 | 6,025,002 | 2,050,002 | 700,002 |
Financial Highlights
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.09 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.16 ) |
Net realized and unrealized gain (loss) | 3.04 |
Total from investment operations | 2.88 |
Net asset value, end of period | $32.97 |
Total return (c) | 9.57 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $141,767 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.83 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is January 20, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $29.32 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.13 ) |
Net realized and unrealized gain (loss) | 2.43 |
Total from investment operations | 2.30 |
Net asset value, end of period | $31.62 |
Total return (c) | 7.84 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $201,581 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.83 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is February 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $29.64 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.12 ) |
Net realized and unrealized gain (loss) | 2.71 |
Total from investment operations | 2.59 |
Net asset value, end of period | $32.23 |
Total return (c) | 8.74 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $115,234 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.82 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is March 17, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $29.68 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.09 ) |
Net realized and unrealized gain (loss) | 1.86 |
Total from investment operations | 1.77 |
Net asset value, end of period | $31.45 |
Total return (c) | 5.96 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $165,902 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is April 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.14 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.07 ) |
Net realized and unrealized gain (loss) | 1.56 |
Total from investment operations | 1.49 |
Net asset value, end of period | $31.63 |
Total return (c) | 4.94 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $117,046 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is May 19, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $20.08 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.05 ) |
Net realized and unrealized gain (loss) | 1.03 |
Total from investment operations | 0.98 |
Net asset value, end of period | $21.06 |
Total return (c) | 4.88 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $30,530 |
Ratio of total expenses to average net assets | 0.90 % (d) |
Ratio of net investment income (loss) to average net assets | (0.90 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is May 19, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $29.88 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.05 ) |
Net realized and unrealized gain (loss) | 0.70 |
Total from investment operations | 0.65 |
Net asset value, end of period | $30.53 |
Total return (c) | 2.18 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $331,204 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is June 16, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $30.75 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.03 ) |
Net realized and unrealized gain (loss) | 0.12 |
Total from investment operations | 0.09 |
Net asset value, end of period | $30.84 |
Total return (c) | 0.29 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $185,814 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is July 21, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $29.68 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.01 ) |
Net realized and unrealized gain (loss) | 0.54 |
Total from investment operations | 0.53 |
Net asset value, end of period | $30.21 |
Total return (c) | 1.79 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $61,939 |
Ratio of total expenses to average net assets | 0.85 % (d) |
Ratio of net investment income (loss) to average net assets | (0.85 )% (d) |
Portfolio turnover rate (e) | 0 % |
(a) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $19.94 |
Income from investment operations: | |
Net investment income (loss) (b) | (0.00 ) (c) |
Net realized and unrealized gain (loss) | 0.32 |
Total from investment operations | 0.32 |
Net asset value, end of period | $20.26 |
Total return (d) | 1.60 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $14,184 |
Ratio of total expenses to average net assets | 0.90 % (e) |
Ratio of net investment income (loss) to average net assets | (0.90 )% (e) |
Portfolio turnover rate (f) | 0 % |
(a) | Inception date is August 18, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
August 31, 2023
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January – (ticker “GJAN”)(1) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - February – (ticker “GFEB”)(2) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March – (ticker “GMAR”)(3) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April – (ticker “GAPR”)(4) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May – (ticker “GMAY”)(5) |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May – (ticker “SMAY”)(5) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June – (ticker “GJUN”)(6) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July – (ticker “GJUL”)(7) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August – (ticker “GAUG”)(8) |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August – (ticker “SAUG”)(8) |
(1) | Commenced investment operations on January 20, 2023. |
(2) | Commenced investment operations on February 17, 2023. |
(3) | Commenced investment operations on March 17, 2023. |
(4) | Commenced investment operations on April 21, 2023. |
(5) | Commenced investment operations on May 19, 2023. |
(6) | Commenced investment operations on June 16, 2023. |
(7) | Commenced Investment operations on July 21, 2023. |
(8) | Commenced investment operations on August 18, 2023. |
August 31, 2023
August 31, 2023
August 31, 2023
Taxable Year-End | Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January | 31-Jan-23 | $— | $— | $746,478 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - February | 28-Feb-23 | — | — | (171,207 ) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March | 31-Mar-23 | — | — | 1,022,586 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April | 30-Apr-23 | — | — | 1,471,210 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May | 31-May-23 | — | — | (6,324 ) |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May | 31-May-23 | — | — | (1,825 ) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June | 30-Jun-23 | — | — | 2,753,921 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July | 31-Jul-23 | — | — | 523,954 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August | 31-Aug-23 | — | — | 638,205 |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August | 31-Aug-23 | — | — | 223,013 |
August 31, 2023
Taxable Year End | Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January | 31-Jan-23 | $11,430 | $— | $(11,430 ) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - February | 28-Feb-23 | 9,664 | — | (9,664 ) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March | 31-Mar-23 | 12,884 | — | (12,884 ) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April | 30-Apr-23 | 13,603 | — | (13,603 ) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May | 31-May-23 | 10,007 | — | (10,007 ) |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May | 31-May-23 | 591 | — | (591 ) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June | 30-Jun-23 | 36,629 | — | (36,629 ) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July | 31-Jul-23 | 11,131 | — | (11,131 ) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August | 31-Aug-23 | 7,638 | — | (7,638 ) |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August | 31-Aug-23 | 1,831 | — | (1,831 ) |
August 31, 2023
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January | $131,706,683 | $17,995,725 | $(7,850,042 ) | $10,145,683 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - February | 185,238,577 | 29,463,845 | (12,981,850 ) | 16,481,995 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March | 109,049,763 | 14,319,639 | (8,030,994 ) | 6,288,645 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April | 156,354,972 | 18,565,750 | (10,298,804 ) | 8,266,946 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May | 111,649,465 | 9,358,562 | (4,949,576 ) | 4,408,986 |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May | 29,649,956 | 1,325,968 | (713,767 ) | 612,201 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June | 320,598,964 | 12,428,833 | (4,963,281 ) | 7,465,552 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July | 183,193,200 | 2,187,900 | (1,437,355 ) | 750,545 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August | 60,640,641 | 1,319,561 | (681,356 ) | 638,205 |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August | 13,803,097 | 422,519 | (199,506 ) | 223,013 |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion | 0.76500 % |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.9000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.8775 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.8550 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.8325 % |
Fund net assets greater than $10 billion | 0.8100 % |
August 31, 2023
Purchases | Sales | |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January | $— | $47,046,885 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - February | — | 17,055,553 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March | — | 19,835,657 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April | — | 53,231,423 |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May | — | 27,633,758 |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May | — | — |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June | — | — |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July | — | — |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August | — | — |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August | — | — |
August 31, 2023
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
GJAN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | $145,909,664 | Options contracts written, at value | $4,934,680 |
GFEB | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 206,474,173 | Options contracts written, at value | 6,165,824 |
GMAR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 121,804,596 | Options contracts written, at value | 7,362,462 |
GAPR | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 171,553,855 | Options contracts written, at value | 6,931,937 |
GMAY | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 120,854,913 | Options contracts written, at value | 4,796,462 |
SMAY | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 31,497,565 | Options contracts written, at value | 1,235,408 |
GJUN | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 337,444,422 | Options contracts written, at value | 9,379,906 |
GJUL | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 189,194,056 | Options contracts written, at value | 5,250,311 |
GAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 63,697,436 | Options contracts written, at value | 2,418,590 |
SAUG | |||||
Options contracts | Equity Risk | Options contracts purchased, at value | 14,640,602 | Options contracts written, at value | 614,492 |
Statements of Operations Location | GJAN | GFEB | GMAR | GAPR | GMAY |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $3,259,077 | $2,112,358 | $2,128,830 | $4,173,203 | $843,578 |
Written options contracts | 706,914 | 246,858 | 243,299 | 57,462 | 198,678 |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | 9,416,662 | 14,601,112 | 7,785,871 | 8,543,170 | 4,634,988 |
Written options contracts | 729,021 | 1,880,883 | (1,496,421 ) | (276,224 ) | (226,002 ) |
August 31, 2023
Statements of Operations Location | SMAY | GJUN | GJUL | GAUG | SAUG |
Equity Risk Exposure | |||||
Net realized gain (loss) on: | |||||
Purchased options contracts | $(32,000 ) | $(25,480 ) | $— | $— | $— |
Written options contracts | 30,334 | (1,376 ) | — | — | — |
Net change in unrealized appreciation (depreciation) on: | |||||
Purchased options contracts | 84,331 | 5,881,959 | (165,048 ) | 697,897 | 190,018 |
Written options contracts | 534,236 | 1,610,449 | 915,593 | (59,692 ) | 32,995 |
Premiums for purchased options contracts opened | Premiums for purchased options contracts closed, exercised and expired | Premiums for written options contracts opened | Premiums for written options contracts closed, exercised and expired | |
GJAN | $190,873,704 | $54,380,702 | $8,538,534 | $2,874,833 |
GFEB | 213,116,145 | 21,243,084 | 9,141,361 | 1,094,654 |
GMAR | 134,563,808 | 20,545,083 | 7,366,570 | 1,500,529 |
GAPR | 216,315,498 | 53,304,813 | 9,406,280 | 2,750,567 |
GMAY | 144,145,765 | 27,925,840 | 5,904,798 | 1,334,338 |
SMAY | 35,804,308 | 4,391,074 | 2,032,332 | 262,688 |
GJUN | 342,308,068 | 10,745,605 | 11,324,821 | 334,466 |
GJUL | 189,359,104 | — | 6,165,904 | — |
GAUG | 62,999,539 | — | 2,358,898 | — |
SAUG | 14,450,584 | — | 647,487 | — |
August 31, 2023
Individual Funds Included in the Trust | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - January | For the period from January 20, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest U.S. Equity Moderate Buffer ETF - February | For the period from February 17, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March | For the period from March 17, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April | For the period from April 21, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May | For the period from May 19, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May | |||
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June | For the period from June 16, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July | For the period from July 21, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August | For the period from August 18, 2023 (commencement of investment operations) through August 31, 2023 | ||
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August |
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imga1b4d19e13.jpg)
October 25, 2023
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August
FT Cboe Vest U.S. Equity Moderate Buffer ETF - March (GMAR) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - April (GAPR) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - May (GMAY) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - June (GJUN) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - July (GJUL) |
FT Cboe Vest U.S. Equity Moderate Buffer ETF - August (GAUG) |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - May (SMAY) |
FT Cboe Vest U.S. Small Cap Moderate Buffer ETF - August (SAUG) |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img9c22564b14.gif)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
8350 Broad Street, Suite 240
McLean, VA 22102
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgdec3f0361.gif)
First Trust Income Opportunities ETF (FCEF) |
First Trust Flexible Municipal High Income ETF (MFLX) |
First Trust Low Duration Strategic Focus ETF (LDSF) |
First Trust Active Factor Large Cap ETF (AFLG) |
First Trust Active Factor Mid Cap ETF (AFMC) |
First Trust Active Factor Small Cap ETF (AFSM) |
Annual Report
August 31, 2023
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Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img217860082.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |||||
Average Annual Total Returns | Cumulative Total Returns | ||||
1 Year Ended 8/31/23 | 5 Years Ended 8/31/23 | Inception (9/27/16) to 8/31/23 | 5 Years Ended 8/31/23 | Inception (9/27/16) to 8/31/23 | |
Fund Performance | |||||
NAV | 0.68% | 3.12% | 5.31% | 16.59% | 43.03% |
Market Price | 0.67% | 3.12% | 5.30% | 16.59% | 43.02% |
Index Performance | |||||
Russell 3000® Index | 14.76% | 10.25% | 12.63% | 62.89% | 127.94% |
Blended Benchmark(1) | 2.29% | 3.00% | 4.93% | 15.91% | 39.56% |
(1) | A blended benchmark (the “Blended Benchmark”) comprised 60% of the First Trust Equity Closed-End Fund Total Return Index, a cap-weighted index (based on NAV) designed to provide a broad representation of the equity based closed-end fund universe, and 40% of the First Trust Taxable Fixed Income Closed-End Fund Total Return Index, a cap-weighted index (based on NAV) designed to provide a broad representation of the taxable fixed income closed-end fund universe, has been selected as a secondary benchmark to provide a more direct correlation to the Fund’s underlying portfolio. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 60-40 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above. |
Top Ten Holdings | % of Total Long-Term Investments |
Eaton Vance Tax-Advantaged Global Dividend Income Fund | 4.2% |
Ares Dynamic Credit Allocation Fund, Inc. | 3.6 |
Tekla Healthcare Opportunities Fund | 3.6 |
Source Capital, Inc. | 3.4 |
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund | 3.4 |
abrdn Global Infrastructure Income Fund | 3.3 |
Eaton Vance Tax-Advantaged Dividend Income Fund | 3.3 |
John Hancock Tax-Advantaged Dividend Income Fund | 3.2 |
Invesco Variable Rate Investment Grade ETF | 3.1 |
SPDR Bloomberg 1-3 Month T-Bill ETF, Class B | 3.1 |
Total | 34.2% |
World Regions | % of Total Long-Term Investments |
North America | 79.8% |
Europe | 15.0 |
Asia | 5.2 |
Total | 100.0% |
Credit Quality(1) | % of Total Long-Term Investments |
AAA | 18.7% |
AA | 3.2 |
A | 5.1 |
BBB | 16.9 |
BB | 20.9 |
B | 22.0 |
CCC-D | 8.4 |
NR | 4.8 |
Total | 100.0% |
Market Capitalization | % of Total Long-Term Investments |
Mega | 22.4% |
Large | 36.7 |
Mid | 29.9 |
Small | 8.2 |
Micro | 2.8 |
Total | 100.0% |
(1) | The ratings are provided by Morningstar except where otherwise indicated. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. “NR” indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||
Average Annual Total Returns | Cumulative Total Returns | ||||
1 Year Ended 8/31/23 | 5 Years Ended 8/31/23 | Inception (9/27/16) to 8/31/23 | 5 Years Ended 8/31/23 | Inception (9/27/16) to 8/31/23 | |
Fund Performance | |||||
NAV | 1.48% | 1.81% | 0.72% | 9.36% | 5.13% |
Market Price | 0.19% | 1.47% | 0.49% | 7.58% | 3.41% |
Index Performance | |||||
Bloomberg Municipal Long Bond (22+) Index | 1.45% | 1.05% | 1.09% | 5.35% | 7.83% |
Blended Benchmark(1) | 1.13% | 1.97% | 2.13% | 10.26% | 15.74% |
Bloomberg Municipal Bond Index | 1.70% | 1.52% | 1.35% | 7.84% | 9.75% |
(1) | The Blended Benchmark returns are a 50/50 split between the Bloomberg Municipal High Yield Bond Index and the Bloomberg Municipal Bond Index. |
Fund Allocation | % of Net Assets |
Municipal Bonds | 93.8% |
Closed-End Funds | 4.1 |
Net Other Assets and Liabilities(1) | 2.1 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 2.4% |
AA | 15.1 |
A | 31.6 |
BBB | 10.3 |
BB | 8.8 |
B | 1.9 |
CCC-D | 0.0(3) |
NR | 29.0 |
Cash | 0.9 |
Total | 100.0% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size. |
(1) | Includes variation margin on futures contracts. |
(2) | This represents the municipal and closed-end fund holdings in the Fund. The ratings for the Municipal Bond portion of the Fund are by S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest ratings are used. The ratings for the CEF portion of the Fund are provided by Morningstar. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. “NR” indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
(3) | Amount is less than 0.1%. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (1/3/19) to 8/31/23 | Inception (1/3/19) to 8/31/23 | |
Fund Performance | |||
NAV | 2.12% | 1.09% | 5.17% |
Market Price | 2.12% | 1.08% | 5.12% |
Index Performance | |||
Blended Benchmark(1) | 2.35% | 1.66% | 7.96% |
Bloomberg 1-5 Year Government/Credit Index | 1.19% | 0.94% | 4.43% |
Fund Allocation | % of Net Assets |
Exchange-Traded Funds | 99.6% |
Money Market Funds | 0.4 |
Net Other Assets and Liabilities | 0.0* |
Total | 100.0% |
* | Amount is less than 0.1%. |
(1) | The Blended Benchmark consists of the following two indexes:80% of the Bloomberg 1-5 Year Government/Credit Index which measures the performance of U.S. dollar-denominated U.S. Treasury bonds, government related bonds and investment grade U.S. corporate bonds that have a maturity between one and five years; and 20% of the ICE BofA US High Yield Constrained Index which tracks the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market but caps issuer exposure at 2%. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 80-20 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above. |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (12/3/19) to 8/31/23 | Inception (12/3/19) to 8/31/23 | |
Fund Performance | |||
NAV | 11.22% | 8.49% | 35.67% |
Market Price | 11.23% | 8.46% | 35.57% |
Index Performance | |||
S&P 500® Index | 15.94% | 12.42% | 54.98% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 28.1% |
Industrials | 12.3 |
Health Care | 12.1 |
Consumer Discretionary | 10.8 |
Financials | 9.7 |
Communication Services | 6.9 |
Materials | 4.9 |
Consumer Staples | 4.5 |
Real Estate | 3.9 |
Energy | 3.7 |
Utilities | 3.1 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Apple, Inc. | 6.1% |
Microsoft Corp. | 5.6 |
NVR, Inc. | 2.0 |
Broadcom, Inc. | 1.9 |
Meta Platforms, Inc., Class A | 1.8 |
Alphabet, Inc., Class A | 1.6 |
Exxon Mobil Corp. | 1.2 |
Cisco Systems, Inc. | 1.2 |
NVIDIA Corp. | 1.1 |
Marathon Petroleum Corp. | 1.0 |
Total | 23.5% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (12/3/19) to 8/31/23 | Inception (12/3/19) to 8/31/23 | |
Fund Performance | |||
NAV | 14.59% | 7.62% | 31.68% |
Market Price | 14.55% | 7.61% | 31.62% |
Index Performance | |||
S&P MidCap 400® Index | 10.71% | 9.68% | 41.32% |
Sector Allocation | % of Total Long-Term Investments |
Industrials | 23.5% |
Consumer Discretionary | 14.5 |
Financials | 13.4 |
Information Technology | 13.2 |
Health Care | 10.1 |
Materials | 7.3 |
Real Estate | 7.1 |
Consumer Staples | 3.7 |
Utilities | 2.5 |
Energy | 2.5 |
Communication Services | 2.2 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Builders FirstSource, Inc. | 2.2% |
Reliance Steel & Aluminum Co. | 1.9 |
Steel Dynamics, Inc. | 1.1 |
PulteGroup, Inc. | 1.1 |
Owens Corning | 1.1 |
Super Micro Computer, Inc. | 1.0 |
AutoNation, Inc. | 1.0 |
Taylor Morrison Home Corp. | 1.0 |
Essent Group Ltd. | 1.0 |
Sprouts Farmers Market, Inc. | 1.0 |
Total | 12.4% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (12/3/19) to 8/31/23 | Inception (12/3/19) to 8/31/23 | |
Fund Performance | |||
NAV | 10.97% | 7.19% | 29.72% |
Market Price | 10.93% | 7.17% | 29.62% |
Index Performance | |||
Russell 2000® Index | 4.65% | 6.03% | 24.52% |
Sector Allocation | % of Total Long-Term Investments |
Industrials | 17.8% |
Health Care | 16.9 |
Consumer Discretionary | 13.9 |
Information Technology | 13.4 |
Financials | 13.1 |
Consumer Staples | 6.3 |
Energy | 5.9 |
Real Estate | 4.9 |
Materials | 4.8 |
Communication Services | 1.7 |
Utilities | 1.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
elf Beauty, Inc. | 2.0% |
Amphastar Pharmaceuticals, Inc. | 1.5 |
Super Micro Computer, Inc. | 1.4 |
Axcelis Technologies, Inc. | 1.3 |
Atkore, Inc. | 1.1 |
Alpha Metallurgical Resources, Inc. | 1.0 |
Encore Wire Corp. | 1.0 |
Otter Tail Corp. | 1.0 |
Comfort Systems USA, Inc. | 1.0 |
ArcBest Corp. | 0.9 |
Total | 12.2% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Ken Fincher, Senior Vice President and Portfolio Manager of First Trust
Tom Byron, Senior Vice President and Senior Portfolio Manager of First Trust
• Industry Fund Inflows/Outflows:Industry-wide mutual fund and exchange-traded fund (“ETF”) outflows resulted in funds selling municipal bonds to meet redemptions which put pressure on municipal bond prices. According to data provided by the Investment Company Institute, for the 12-month period ended August 31, 2023, municipal fund outflows totaled approximately $53.9 billion.
• Primary Market Supply:New issue municipal bond supply has been lower year-to-date compared to year ago figures. Through August 31, 2023, year-to-date issuance was approximately $245.3 billion, down approximately 14% year-over-year.
• Credit Spreads and Trends:According to data from Bloomberg, municipal credit spreads tightened year-to-date. From December 30, 2022 through September 1, 2023, for municipal bonds rated AA, A, and BBB, credit spreads decreased approximately 12 bps, 21 bps, and 35 bps, respectively.
• Changes in Municipal Bond Yields:Looking at the AAA municipal yield curve as prepared by Refinitiv Lipper, year-to-date, 10-Year and 30-Year municipal yields increased by 29 bps and decreased by 31 bps, respectively, to 2.93% and 3.88%, respectively.
Annual Report
August 31, 2023 (Unaudited)
• Credit Rating:Regarding the Fund’s credit rating allocation relative to its Benchmark, the Fund’s selection of AA rated, A rated, BBB rated, BB rated bonds and non-rated municipal securities were positive contributors to performance. The Fund’s allocation to single B rated municipal securities was a detractor to Fund performance relative to the Benchmark.
• Sector/Industry:In terms of the Fund’s allocation to municipal bond sectors, the Fund’s selection of healthcare, industrial development bond, special tax, state general obligation bonds and utilities were all positive contributors to the Fund’s performance relative to the Benchmark. The Fund’s allocation to lease bonds was a detractor to Fund performance relative to the Benchmark.
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Chris A. Peterson, Senior Vice President of First Trust
William Housey, Senior Vice President of First Trust
Steve Collins, Vice President of First Trust
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Jon C. Erickson, Senior Vice President of First Trust
David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Roger F. Testin, Senior Vice President of First Trust
Stan Ueland, Senior Vice President of First Trust
Chris A. Peterson, Senior Vice President of First Trust
Chris Bush, Vice President of First Trust
Erik Russo, Vice President of First Trust
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Income Opportunities ETF (FCEF) (b) | ||||
Actual | $1,000.00 | $1,010.50 | 0.85% | $4.31 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
First Trust Flexible Municipal High Income ETF (MFLX) (b) (c) | ||||
Actual | $1,000.00 | $1,020.30 | 0.70% | $3.56 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | 0.70% | $3.57 |
First Trust Low Duration Strategic Focus ETF (LDSF) (b) | ||||
Actual | $1,000.00 | $1,022.30 | 0.20% | $1.02 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,024.20 | 0.20% | $1.02 |
First Trust Active Factor Large Cap ETF (AFLG) | ||||
Actual | $1,000.00 | $1,087.90 | 0.55% | $2.89 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.43 | 0.55% | $2.80 |
First Trust Active Factor Mid Cap ETF (AFMC) | ||||
Actual | $1,000.00 | $1,060.00 | 0.65% | $3.38 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.93 | 0.65% | $3.31 |
First Trust Active Factor Small Cap ETF (AFSM) | ||||
Actual | $1,000.00 | $1,035.30 | 0.75% | $3.85 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.42 | 0.75% | $3.82 |
Understanding Your Fund Expenses (Continued)
August 31, 2023 (Unaudited)
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
(b) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
(c) | MFLX expense ratios reflect an expense waiver. See Note3 in the Notes to Financial Statements. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
CLOSED-END FUNDS — 88.9% | |||||
Capital Markets — 88.9% | |||||
52,182 | abrdn Global Infrastructure Income Fund | $905,358 | |||
22,224 | Adams Natural Resources Fund, Inc. | 510,708 | |||
17,768 | Angel Oak Financial Strategies Income Term Trust | 210,195 | |||
21,657 | Apollo Tactical Income Fund, Inc. | 286,522 | |||
75,814 | Ares Dynamic Credit Allocation Fund, Inc. | 967,387 | |||
32,918 | BlackRock Capital Allocation Term Trust | 490,807 | |||
4,430 | BlackRock Health Sciences Term Trust | 68,444 | |||
14,371 | BlackRock Multi-Sector Income Trust | 213,266 | |||
22,860 | BlackRock Resources & Commodities Strategy Trust | 216,484 | |||
21,004 | BlackRock Science & Technology Trust | 708,675 | |||
9,322 | BlackRock Utilities Infrastructure & Power Opportunities Trust | 197,906 | |||
57,434 | Blackstone Strategic Credit 2027 Term Fund | 634,646 | |||
15,396 | Central Securities Corp. | 554,256 | |||
31,350 | Cohen & Steers Infrastructure Fund, Inc. | 677,787 | |||
35,592 | Cohen & Steers REIT and Preferred and Income Fund, Inc. | 669,486 | |||
28,919 | DoubleLine Income Solutions Fund | 348,474 | |||
40,523 | Eaton Vance Short Duration Diversified Income Fund | 407,256 | |||
40,006 | Eaton Vance Tax-Advantaged Dividend Income Fund | 896,134 | |||
67,928 | Eaton Vance Tax-Advantaged Global Dividend Income Fund | 1,134,398 | |||
39,663 | Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund | 907,093 | |||
95,956 | FS Credit Opportunities Corp. | 511,446 | |||
39,459 | Gabelli Dividend & Income Trust (The) | 823,904 | |||
13,626 | General American Investors Co., Inc. | 569,567 | |||
44,741 | John Hancock Tax-Advantaged Dividend Income Fund | 860,369 | |||
14,180 | Kayne Anderson Energy Infrastructure Fund | 123,791 |
Shares | Description | Value | |||
Capital Markets (Continued) | |||||
53,930 | MainStay CBRE Global Infrastructure Megatrends Term Fund | $708,640 | |||
6,758 | Nuveen Corporate Income 2023 Target Term Fund | 63,931 | |||
125,502 | Nuveen Credit Strategies Income Fund | 638,805 | |||
61,635 | Nuveen Floating Rate Income Fund | 498,627 | |||
8,390 | Nuveen Mortgage and Income Fund | 136,673 | |||
85,607 | Nuveen Preferred & Income Opportunities Fund | 558,158 | |||
36,957 | Nuveen Real Asset Income and Growth Fund | 412,810 | |||
26,680 | Nuveen Variable Rate Preferred & Income Fund | 429,014 | |||
59,393 | PGIM Global High Yield Fund, Inc. | 666,389 | |||
8,553 | PIMCO Access Income Fund | 127,696 | |||
49,553 | PIMCO Dynamic Income Opportunities Fund | 621,890 | |||
16,533 | PIMCO Energy & Tactical Credit Opportunities Fund | 283,045 | |||
41,189 | Principal Real Estate Income Fund | 390,472 | |||
18,334 | Reaves Utility Income Fund | 483,101 | |||
14,453 | Royce Micro-Cap Trust, Inc. | 129,788 | |||
34,674 | Royce Value Trust, Inc. | 482,315 | |||
23,474 | Source Capital, Inc. | 921,355 | |||
49,785 | Tekla Healthcare Investors | 824,440 | |||
51,549 | Tekla Healthcare Opportunities Fund | 961,904 | |||
10,547 | Tekla Life Sciences Investors | 137,216 | |||
9,813 | Tortoise Power and Energy Infrastructure Fund, Inc. | 135,027 | |||
27,913 | Tri-Continental Corp. | 772,911 | |||
3,606 | Virtus Artificial Intelligence & Technology Opportunities Fund | 65,737 | |||
55,004 | Western Asset High Income Opportunity Fund, Inc. | 211,215 | |||
40,219 | Western Asset Inflation-Linked Opportunities & Income Fund | 351,111 | |||
8,622 | Western Asset Investment Grade Defined Opportunity Trust, Inc. | 139,504 | |||
Total Closed-End Funds | 25,046,133 | ||||
(Cost $28,782,708) |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 7.0% | |||||
Capital Markets — 7.0% | |||||
33,933 | Invesco Variable Rate Investment Grade ETF | $847,647 | |||
21,471 | ProShares Short S&P500 | 297,588 | |||
9,114 | SPDR Bloomberg 1-3 Month T-Bill ETF, Class B | 837,212 | |||
Total Exchange-Traded Funds | 1,982,447 | ||||
(Cost $2,036,709) | |||||
MONEY MARKET FUNDS — 3.9% | |||||
1,091,642 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (a) | 1,091,642 | |||
(Cost $1,091,642) | |||||
Total Investments — 99.8% | 28,120,222 | ||||
(Cost $31,911,059) | |||||
Net Other Assets and Liabilities — 0.2% | 53,642 | ||||
Net Assets — 100.0% | $28,173,864 |
(a) | Rate shown reflects yield as of August 31, 2023. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Closed-End Funds* | $25,046,133 | $25,046,133 | $— | $— |
Exchange-Traded Funds* | 1,982,447 | 1,982,447 | — | — |
Money Market Funds | 1,091,642 | 1,091,642 | — | — |
Total Investments | $28,120,222 | $28,120,222 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS — 93.8% | |||||
Alabama — 3.9% | |||||
$250,000 | Black Belt Energy Gas Dist, Ser C-1 (Mandatory put 12/01/26) | 4.00% | 10/01/52 | $244,435 | |
250,000 | Southeast Energy Auth A Cooperative Dist, Ser B (Mandatory put 12/01/31) | 4.00% | 12/01/51 | 238,383 | |
482,818 | |||||
Arizona — 3.5% | |||||
250,000 | AZ Indl Dev Auth, Ser A (a) | 4.00% | 12/15/51 | 180,973 | |
250,000 | Industrial Dev Auth of The Cnty of Pima (The), Ser A (a) | 6.25% | 11/15/35 | 250,144 | |
431,117 | |||||
Arkansas — 0.8% | |||||
100,000 | AR Dev Fin Auth, AMT | 5.45% | 09/01/52 | 97,581 | |
California — 11.1% | |||||
250,000 | CA Muni Fin Auth, Ser A | 5.00% | 10/01/44 | 252,806 | |
300,000 | City of Long Beach CA Arpt System Rev, Ser A, AGM | 5.00% | 06/01/37 | 339,100 | |
250,000 | Elk Grove Fin Auth | 4.00% | 09/01/50 | 203,882 | |
300,000 | San Francisco City & Cnty Pub Util Commn Pwr Rev, Ser B | 4.00% | 11/01/42 | 299,023 | |
245,000 | Tobacco Securitization Auth of Southern CA, Ser A | 5.00% | 06/01/35 | 264,001 | |
1,358,812 | |||||
Colorado — 5.4% | |||||
200,000 | City & Cnty of Denver CO, AMT | 5.00% | 10/01/32 | 198,841 | |
250,000 | City & Cnty of Denver CO Arpt System Rev, Ser A, AMT | 5.00% | 11/15/41 | 261,646 | |
250,000 | CO Hlth Facs Auth, Ser 2023A | 4.00% | 05/15/41 | 204,458 | |
664,945 | |||||
Florida — 9.8% | |||||
250,000 | Black Creek Cmnty Dev Dist | 5.13% | 06/15/32 | 250,857 | |
265,000 | Cnty of Miami-Dade FL Aviation Rev, Ser B, AMT | 5.00% | 10/01/40 | 269,994 | |
250,000 | North Sumter Cnty Util Dependent Dist, AGM | 4.00% | 10/01/41 | 244,525 | |
250,000 | Ridge At Apopka Cmnty Dev Dist | 5.38% | 05/01/42 | 247,225 | |
250,000 | Sawyers Landing Cmnty Dev Dist | 4.25% | 05/01/53 | 195,433 | |
1,208,034 | |||||
Georgia — 2.0% | |||||
250,000 | Main Street Natural Gas, Inc., Ser A (Mandatory put 12/01/29) | 4.00% | 09/01/52 | 241,830 | |
Guam — 2.1% | |||||
250,000 | Territory of Guam, Ser F | 5.00% | 01/01/28 | 257,920 | |
Illinois — 8.7% | |||||
300,000 | Chicago Brd of Edu, Ser B | 5.00% | 12/01/30 | 312,786 | |
250,000 | IL Fin Auth, Ser A | 5.00% | 10/01/34 | 265,621 | |
250,000 | IL Fin Auth, Ser C (b) | 3.95% | 07/15/55 | 250,000 | |
250,000 | St of IL, Ser B | 4.00% | 12/01/37 | 241,274 | |
1,069,681 | |||||
Iowa — 2.0% | |||||
250,000 | IA Fin Auth (Mandatory put 12/01/42) | 5.00% | 12/01/50 | 251,448 | |
Kansas — 4.0% | |||||
250,000 | Wyandotte Cnty-Kansas City Unif Govt (a) | 5.75% | 09/01/39 | 239,668 | |
250,000 | Wyandotte Cnty-Kansas City Unif Govt Util Sys Rev, Ser A | 5.00% | 09/01/40 | 253,685 | |
493,353 | |||||
Mississippi — 2.4% | |||||
300,000 | MS Busn Fin Corp, AMT (b) | 4.50% | 05/01/28 | 300,000 |
Portfolio of Investments (Continued)
August 31, 2023
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Missouri — 1.9% | |||||
$250,000 | Hlth & Eductnl Facs Auth of The St of MO, Ser A | 5.00% | 02/01/42 | $238,976 | |
New York — 4.2% | |||||
250,000 | NY City Transitional Fin Auth Future Tax Secured Rev (Mandatory put 09/05/23) (b) | 3.95% | 05/01/34 | 250,000 | |
250,000 | NY St Dorm Auth | 5.00% | 05/01/38 | 265,262 | |
515,262 | |||||
North Carolina — 1.6% | |||||
250,000 | NC Med Care Commn | 4.00% | 03/01/41 | 192,003 | |
Ohio — 10.2% | |||||
250,000 | Buckeye Tobacco Stlmt Fing Auth, Ser B-2 | 5.00% | 06/01/55 | 228,869 | |
300,000 | Cnty of Montgomery OH | 4.00% | 08/01/41 | 283,626 | |
250,000 | OH Air Quality Dev Auth, AMT (a) | 5.00% | 07/01/49 | 225,535 | |
250,000 | OH Air Quality Dev Auth, Ser A, AMT (Mandatory put 06/01/27) | 4.25% | 11/01/39 | 248,613 | |
250,000 | OH Higher Eductnl Fac Commn | 5.00% | 02/01/35 | 271,028 | |
1,257,671 | |||||
Oregon — 6.3% | |||||
250,000 | Clackamas Cnty Hosp Facs Auth, Ser A | 5.38% | 11/15/55 | 227,817 | |
300,000 | OR St Facs Auth, Ser A | 5.00% | 06/01/52 | 303,054 | |
250,000 | Union Cnty Hosp Facs Auth | 5.00% | 07/01/41 | 247,417 | |
778,288 | |||||
Puerto Rico — 5.9% | |||||
250,000 | Comwlth of Puerto Rico, Ser A1 | 4.00% | 07/01/35 | 229,765 | |
250,000 | Puerto Rico Hwy & Transprtn Auth, Ser A | 5.00% | 07/01/62 | 246,562 | |
250,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev, Ser A-1 | 4.55% | 07/01/40 | 243,756 | |
720,083 | |||||
South Carolina — 1.9% | |||||
250,000 | SC Jobs-Econ Dev Auth | 4.00% | 11/15/32 | 226,912 | |
Texas — 4.0% | |||||
250,000 | City of Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/41 | 260,300 | |
250,000 | N Parkway Muni Mgmt Dist #1 (a) | 5.00% | 09/15/51 | 225,152 | |
485,452 | |||||
Vermont — 2.1% | |||||
300,000 | VT Econ Dev Auth | 4.00% | 05/01/37 | 260,039 | |
Total Municipal Bonds | 11,532,225 | ||||
(Cost $11,819,423) |
Shares | Description | Value | |||
CLOSED-END FUNDS — 4.1% | |||||
Capital Markets — 4.1% | |||||
2,995 | BlackRock Municipal Income Fund, Inc. | 32,765 | |||
3,183 | BlackRock Municipal Income Quality Trust | 33,772 | |||
2,770 | BlackRock MuniHoldings Fund, Inc. | 31,190 | |||
2,925 | BlackRock MuniYield Quality Fund II, Inc. | 28,548 | |||
3,032 | BlackRock MuniYield Quality Fund III, Inc. | 31,745 | |||
3,479 | Eaton Vance Municipal Bond Fund | 33,398 | |||
3,374 | Eaton Vance Municipal Income Trust | 32,256 | |||
3,428 | Invesco Quality Municipal Income Trust | 31,298 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
CLOSED-END FUNDS (Continued) | |||||
Capital Markets (Continued) | |||||
3,576 | Invesco Trust for Investment Grade Municipals | $33,293 | |||
2,587 | Nuveen AMT-Free Municipal Credit Income Fund | 28,845 | |||
2,921 | Nuveen AMT-Free Quality Municipal Income Fund | 30,495 | |||
2,745 | Nuveen Municipal Credit Income Fund | 31,073 | |||
3,548 | Nuveen Municipal Value Fund, Inc. | 30,052 | |||
2,860 | Nuveen Quality Municipal Income Fund | 31,088 | |||
4,168 | Nuveen Select Tax-Free Income Portfolio | 58,977 | |||
Total Closed-End Funds | 498,795 | ||||
(Cost $658,904) | |||||
Total Investments — 97.9% | 12,031,020 | ||||
(Cost $12,478,327) | |||||
Net Other Assets and Liabilities — 2.1% | 262,342 | ||||
Net Assets — 100.0% | $12,293,362 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
Ultra 10-Year U.S. Treasury Notes | Short | 2 | Dec-2023 | $(232,219 ) | $(2,568 ) |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At August 31, 2023, securities noted as such amounted to $1,121,472 or 9.1% of net assets. |
(b) | Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
Abbreviations throughout the Portfolio of Investments: | |
AGM | – Assured Guaranty Municipal Corp |
AMT | – Alternative Minimum Tax |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $11,532,225 | $— | $11,532,225 | $— |
Closed-End Funds** | 498,795 | 498,795 | — | — |
Total Investments | $12,031,020 | $498,795 | $11,532,225 | $— |
Portfolio of Investments (Continued)
August 31, 2023
LIABILITIES TABLE | ||||
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts*** | $(2,568 ) | $(2,568 ) | $— | $— |
* | See Portfolio of Investments for state and territory breakout. |
** | See Portfolio of Investments for industry breakout. |
*** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 99.6% | |||||
Capital Markets — 99.6% | |||||
172,207 | First Trust Enhanced Short Maturity ETF (a) | $10,242,872 | |||
2,565,615 | First Trust Limited Duration Investment Grade Corporate ETF (a) | 47,720,439 | |||
1,145,490 | First Trust Low Duration Opportunities ETF (a) | 54,651,328 | |||
344,101 | First Trust Tactical High Yield ETF (a) | 13,715,866 | |||
141,344 | First Trust TCW Unconstrained Plus Bond ETF (a) | 3,434,659 | |||
59,174 | iShares 3-7 Year Treasury Bond ETF | 6,796,726 | |||
Total Exchange-Traded Funds | 136,561,890 | ||||
(Cost $142,934,124) | |||||
MONEY MARKET FUNDS — 0.4% | |||||
526,168 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (b) | 526,168 | |||
(Cost $526,168) | |||||
Total Investments — 100.0% | 137,088,058 | ||||
(Cost $143,460,292) | |||||
Net Other Assets and Liabilities — 0.0% | 17,990 | ||||
Net Assets — 100.0% | $137,106,048 |
(a) | Investment in an affiliated fund. |
(b) | Rate shown reflects yield as of August 31, 2023. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $136,561,890 | $136,561,890 | $— | $— |
Money Market Funds | 526,168 | 526,168 | — | — |
Total Investments | $137,088,058 | $137,088,058 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.7% | |||||
Aerospace & Defense — 0.8% | |||||
32 | General Dynamics Corp. | $7,252 | |||
16 | Lockheed Martin Corp. | 7,174 | |||
358 | Textron, Inc. | 27,820 | |||
42,246 | |||||
Air Freight & Logistics — 1.0% | |||||
158 | C.H. Robinson Worldwide, Inc. | 14,288 | |||
199 | Expeditors International of Washington, Inc. | 23,225 | |||
95 | United Parcel Service, Inc., Class B | 16,093 | |||
53,606 | |||||
Automobile Components — 0.3% | |||||
322 | BorgWarner, Inc. | 13,122 | |||
64 | Phinia, Inc. (a) | 1,779 | |||
14,901 | |||||
Banks — 1.6% | |||||
196 | JPMorgan Chase & Co. | 28,681 | |||
96 | M&T Bank Corp. | 12,005 | |||
1,129 | Regions Financial Corp. | 20,706 | |||
273 | Wells Fargo & Co. | 11,272 | |||
280 | Zions Bancorp N.A. | 9,940 | |||
82,604 | |||||
Beverages — 0.3% | |||||
240 | Monster Beverage Corp. (a) | 13,778 | |||
Biotechnology — 2.2% | |||||
352 | AbbVie, Inc. | 51,730 | |||
501 | Gilead Sciences, Inc. | 38,317 | |||
16 | Moderna, Inc. (a) | 1,809 | |||
28 | Neurocrine Biosciences, Inc. (a) | 3,049 | |||
48 | Vertex Pharmaceuticals, Inc. (a) | 16,720 | |||
111,625 | |||||
Broadline Retail — 0.9% | |||||
308 | Amazon.com, Inc. (a) | 42,507 | |||
52 | eBay, Inc. | 2,329 | |||
20 | Etsy, Inc. (a) | 1,471 | |||
46,307 | |||||
Building Products — 2.2% | |||||
253 | A.O. Smith Corp. | 18,342 | |||
120 | Builders FirstSource, Inc. (a) | 17,405 | |||
100 | Carlisle Cos., Inc. | 26,302 | |||
131 | Fortune Brands Innovations, Inc. | 9,041 | |||
487 | Masco Corp. | 28,738 | |||
68 | Trane Technologies PLC | 13,958 | |||
113,786 | |||||
Capital Markets — 1.4% | |||||
64 | Ameriprise Financial, Inc. | 21,605 |
Shares | Description | Value | |||
Capital Markets (Continued) | |||||
56 | Bank of New York Mellon (The) Corp. | $2,513 | |||
88 | Cboe Global Markets, Inc. | 13,174 | |||
32 | MarketAxess Holdings, Inc. | 7,710 | |||
16 | MSCI, Inc. | 8,698 | |||
252 | State Street Corp. | 17,323 | |||
71,023 | |||||
Chemicals — 1.6% | |||||
234 | CF Industries Holdings, Inc. | 18,034 | |||
269 | Dow, Inc. | 14,677 | |||
68 | Linde PLC | 26,319 | |||
59 | LyondellBasell Industries N.V., Class A | 5,828 | |||
339 | Mosaic (The) Co. | 13,170 | |||
20 | PPG Industries, Inc. | 2,835 | |||
80,863 | |||||
Commercial Services & Supplies — 0.7% | |||||
36 | Cintas Corp. | 18,150 | |||
312 | Copart, Inc. (a) | 13,987 | |||
144 | Rollins, Inc. | 5,698 | |||
37,835 | |||||
Communications Equipment — 2.5% | |||||
68 | Arista Networks, Inc. (a) | 13,276 | |||
1,068 | Cisco Systems, Inc. | 61,250 | |||
100 | F5, Inc. (a) | 16,366 | |||
477 | Juniper Networks, Inc. | 13,890 | |||
76 | Motorola Solutions, Inc. | 21,551 | |||
126,333 | |||||
Construction & Engineering — 0.2% | |||||
128 | AECOM | 11,232 | |||
Construction Materials — 0.2% | |||||
56 | Vulcan Materials Co. | 12,222 | |||
Consumer Finance — 0.6% | |||||
344 | Ally Financial, Inc. | 9,525 | |||
127 | Capital One Financial Corp. | 13,003 | |||
277 | Synchrony Financial | 8,942 | |||
31,470 | |||||
Consumer Staples Distribution & Retail — 1.1% | |||||
553 | Albertsons Cos., Inc., Class A | 12,387 | |||
584 | Kroger (The) Co. | 27,092 | |||
95 | Walmart, Inc. | 15,448 | |||
54,927 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Containers & Packaging — 0.2% | |||||
82 | International Paper Co. | $2,863 | |||
235 | Westrock Co. | 7,687 | |||
10,550 | |||||
Distributors — 0.7% | |||||
116 | Genuine Parts Co. | 17,833 | |||
348 | LKQ Corp. | 18,280 | |||
36,113 | |||||
Diversified Telecommunication Services — 0.9% | |||||
1,792 | AT&T, Inc. | 26,504 | |||
1,492 | Lumen Technologies, Inc. (a) | 2,372 | |||
444 | Verizon Communications, Inc. | 15,531 | |||
44,407 | |||||
Electric Utilities — 2.0% | |||||
64 | Constellation Energy Corp. | 6,666 | |||
395 | Evergy, Inc. | 21,713 | |||
188 | Exelon Corp. | 7,543 | |||
647 | FirstEnergy Corp. | 23,337 | |||
280 | NRG Energy, Inc. | 10,514 | |||
464 | PPL Corp. | 11,563 | |||
180 | Southern (The) Co. | 12,191 | |||
184 | Xcel Energy, Inc. | 10,512 | |||
104,039 | |||||
Electrical Equipment — 0.8% | |||||
28 | AMETEK, Inc. | 4,466 | |||
92 | Hubbell, Inc. | 29,996 | |||
20 | Rockwell Automation, Inc. | 6,242 | |||
40,704 | |||||
Electronic Equipment, Instruments & Components — 1.2% | |||||
60 | CDW Corp. | 12,669 | |||
132 | Jabil, Inc. | 15,104 | |||
140 | Keysight Technologies, Inc. (a) | 18,662 | |||
131 | TE Connectivity Ltd. | 17,343 | |||
63,778 | |||||
Entertainment — 0.3% | |||||
24 | Electronic Arts, Inc. | 2,879 | |||
16 | Netflix, Inc. (a) | 6,939 | |||
180 | Warner Music Group Corp., Class A | 5,994 | |||
15,812 | |||||
Financial Services — 1.8% | |||||
128 | Fiserv, Inc. (a) | 15,538 | |||
64 | Mastercard, Inc., Class A | 26,409 | |||
116 | Visa, Inc., Class A | 28,499 | |||
1,836 | Western Union (The) Co. | 22,674 | |||
93,120 |
Shares | Description | Value | |||
Food Products — 2.0% | |||||
168 | Archer-Daniels-Midland Co. | $13,322 | |||
128 | Bunge Ltd. | 14,633 | |||
336 | General Mills, Inc. | 22,734 | |||
104 | Hershey (The) Co. | 22,345 | |||
248 | Mondelez International, Inc., Class A | 17,673 | |||
190 | Tyson Foods, Inc., Class A | 10,121 | |||
100,828 | |||||
Ground Transportation — 0.3% | |||||
36 | Old Dominion Freight Line, Inc. | 15,385 | |||
Health Care Equipment & Supplies — 2.1% | |||||
288 | Boston Scientific Corp. (a) | 15,535 | |||
414 | DENTSPLY SIRONA, Inc. | 15,355 | |||
350 | Hologic, Inc. (a) | 26,159 | |||
20 | IDEXX Laboratories, Inc. (a) | 10,228 | |||
52 | Intuitive Surgical, Inc. (a) | 16,259 | |||
195 | Medtronic PLC | 15,893 | |||
32 | Penumbra, Inc. (a) | 8,464 | |||
107,893 | |||||
Health Care Providers & Services — 5.0% | |||||
340 | Cardinal Health, Inc. | 29,692 | |||
48 | Cencora, Inc. | 8,447 | |||
228 | Centene Corp. (a) | 14,056 | |||
64 | Cigna Group (The) | 17,681 | |||
104 | CVS Health Corp. | 6,778 | |||
87 | Elevance Health, Inc. | 38,455 | |||
52 | HCA Healthcare, Inc. | 14,420 | |||
262 | Henry Schein, Inc. (a) | 20,053 | |||
64 | Humana, Inc. | 29,544 | |||
63 | Laboratory Corp. of America Holdings | 13,110 | |||
60 | McKesson Corp. | 24,739 | |||
8 | Molina Healthcare, Inc. (a) | 2,481 | |||
159 | Quest Diagnostics, Inc. | 20,909 | |||
32 | UnitedHealth Group, Inc. | 15,251 | |||
255,616 | |||||
Hotel & Resort REITs — 0.3% | |||||
1,061 | Host Hotels & Resorts, Inc. | 16,753 | |||
Hotels, Restaurants & Leisure — 0.9% | |||||
8 | Booking Holdings, Inc. (a) | 24,840 | |||
4 | Chipotle Mexican Grill, Inc. (a) | 7,706 | |||
32 | McDonald’s Corp. | 8,997 | |||
20 | Yum! Brands, Inc. | 2,588 | |||
44,131 | |||||
Household Durables — 3.5% | |||||
220 | D.R. Horton, Inc. | 26,185 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Household Durables (Continued) | |||||
132 | Lennar Corp., Class A | $15,720 | |||
16 | NVR, Inc. (a) | 102,037 | |||
433 | PulteGroup, Inc. | 35,532 | |||
20 | Whirlpool Corp. | 2,799 | |||
182,273 | |||||
Household Products — 0.3% | |||||
32 | Colgate-Palmolive Co. | 2,351 | |||
96 | Kimberly-Clark Corp. | 12,368 | |||
14,719 | |||||
Industrial Conglomerates — 0.9% | |||||
243 | 3M Co. | 25,921 | |||
160 | General Electric Co. | 18,313 | |||
44,234 | |||||
Insurance — 4.3% | |||||
352 | Aflac, Inc. | 26,249 | |||
124 | American Financial Group, Inc. | 14,374 | |||
453 | American International Group, Inc. | 26,509 | |||
24 | Aon PLC, Class A | 8,001 | |||
296 | Arch Capital Group Ltd. (a) | 22,751 | |||
20 | Assurant, Inc. | 2,787 | |||
68 | Erie Indemnity Co., Class A | 18,954 | |||
28 | Everest Group Ltd. | 10,099 | |||
120 | Globe Life, Inc. | 13,388 | |||
338 | Hartford Financial Services Group (The), Inc. | 24,275 | |||
418 | Loews Corp. | 25,954 | |||
48 | Marsh & McLennan Cos., Inc. | 9,359 | |||
112 | Prudential Financial, Inc. | 10,603 | |||
16 | Travelers (The) Cos., Inc. | 2,580 | |||
12 | Willis Towers Watson PLC | 2,481 | |||
218,364 | |||||
Interactive Media & Services — 3.5% | |||||
601 | Alphabet, Inc., Class A (a) | 81,838 | |||
152 | Match Group, Inc. (a) | 7,124 | |||
311 | Meta Platforms, Inc., Class A (a) | 92,022 | |||
180,984 | |||||
IT Services — 2.0% | |||||
56 | Accenture PLC, Class A | 18,131 | |||
426 | Cognizant Technology Solutions Corp., Class A | 30,506 | |||
378 | DXC Technology Co. (a) | 7,840 | |||
52 | Gartner, Inc. (a) | 18,183 | |||
156 | GoDaddy, Inc., Class A (a) | 11,312 |
Shares | Description | Value | |||
IT Services (Continued) | |||||
36 | International Business Machines Corp. | $5,286 | |||
56 | VeriSign, Inc. (a) | 11,636 | |||
102,894 | |||||
Life Sciences Tools & Services — 0.1% | |||||
63 | Fortrea Holdings, Inc. (a) | 1,736 | |||
4 | Mettler-Toledo International, Inc. (a) | 4,854 | |||
6,590 | |||||
Machinery — 2.9% | |||||
40 | Caterpillar, Inc. | 11,245 | |||
84 | Dover Corp. | 12,457 | |||
156 | Graco, Inc. | 12,315 | |||
56 | Illinois Tool Works, Inc. | 13,852 | |||
84 | Ingersoll Rand, Inc. | 5,847 | |||
60 | Otis Worldwide Corp. | 5,133 | |||
533 | PACCAR, Inc. | 43,861 | |||
115 | Snap-on, Inc. | 30,889 | |||
52 | Toro (The) Co. | 5,321 | |||
76 | Westinghouse Air Brake Technologies Corp. | 8,551 | |||
149,471 | |||||
Media — 2.0% | |||||
1,095 | Comcast Corp., Class A | 51,202 | |||
792 | Fox Corp., Class A | 26,183 | |||
324 | Interpublic Group of (The) Cos., Inc. | 10,566 | |||
143 | News Corp., Class A | 3,073 | |||
156 | Omnicom Group, Inc. | 12,638 | |||
103,662 | |||||
Metals & Mining — 2.8% | |||||
246 | Nucor Corp. | 42,337 | |||
164 | Reliance Steel & Aluminum Co. | 46,733 | |||
292 | Southern Copper Corp. | 23,553 | |||
316 | Steel Dynamics, Inc. | 33,682 | |||
146,305 | |||||
Multi-Utilities — 1.1% | |||||
453 | Consolidated Edison, Inc. | 40,299 | |||
196 | Public Service Enterprise Group, Inc. | 11,972 | |||
32 | Sempra | 2,247 | |||
54,518 | |||||
Office REITs — 0.2% | |||||
171 | Boston Properties, Inc. | 11,418 | |||
Oil, Gas & Consumable Fuels — 3.7% | |||||
232 | APA Corp. | 10,171 | |||
91 | Chesapeake Energy Corp. | 8,027 | |||
376 | Coterra Energy, Inc. | 10,599 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Oil, Gas & Consumable Fuels (Continued) | |||||
557 | Exxon Mobil Corp. | $61,933 | |||
367 | HF Sinclair Corp. | 20,218 | |||
277 | Marathon Oil Corp. | 7,299 | |||
367 | Marathon Petroleum Corp. | 52,397 | |||
156 | Valero Energy Corp. | 20,264 | |||
190,908 | |||||
Pharmaceuticals — 2.7% | |||||
473 | Bristol-Myers Squibb Co. | 29,160 | |||
76 | Eli Lilly & Co. | 42,119 | |||
200 | Merck & Co., Inc. | 21,796 | |||
557 | Organon & Co. | 12,232 | |||
934 | Pfizer, Inc. | 33,045 | |||
244 | Viatris, Inc. | 2,623 | |||
140,975 | |||||
Professional Services — 1.7% | |||||
48 | Automatic Data Processing, Inc. | 12,221 | |||
140 | Booz Allen Hamilton Holding Corp. | 15,863 | |||
120 | Paychex, Inc. | 14,668 | |||
322 | Robert Half, Inc. | 23,815 | |||
274 | SS&C Technologies Holdings, Inc. | 15,733 | |||
12 | Verisk Analytics, Inc. | 2,907 | |||
85,207 | |||||
Real Estate Management & Development — 0.6% | |||||
330 | CBRE Group, Inc., Class A (a) | 28,067 | |||
Residential REITs — 0.6% | |||||
32 | AvalonBay Communities, Inc. | 5,882 | |||
247 | Equity Residential | 16,013 | |||
12 | Essex Property Trust, Inc. | 2,861 | |||
56 | Mid-America Apartment Communities, Inc. | 8,133 | |||
32,889 | |||||
Semiconductors & Semiconductor Equipment — 7.0% | |||||
76 | Analog Devices, Inc. | 13,815 | |||
258 | Applied Materials, Inc. | 39,412 | |||
108 | Broadcom, Inc. | 99,672 | |||
20 | Enphase Energy, Inc. (a) | 2,531 | |||
52 | KLA Corp. | 26,097 | |||
8 | Lam Research Corp. | 5,619 | |||
48 | Lattice Semiconductor Corp. (a) | 4,669 | |||
292 | Microchip Technology, Inc. | 23,897 | |||
8 | Monolithic Power Systems, Inc. | 4,170 | |||
116 | NVIDIA Corp. | 57,252 | |||
60 | NXP Semiconductors N.V. | 12,343 |
Shares | Description | Value | |||
Semiconductors & Semiconductor Equipment (Continued) | |||||
84 | ON Semiconductor Corp. (a) | $8,271 | |||
135 | Qorvo, Inc. (a) | 14,498 | |||
263 | QUALCOMM, Inc. | 30,121 | |||
112 | Skyworks Solutions, Inc. | 12,179 | |||
28 | Teradyne, Inc. | 3,020 | |||
357,566 | |||||
Software — 7.8% | |||||
88 | Cadence Design Systems, Inc. (a) | 21,159 | |||
56 | Dynatrace, Inc. (a) | 2,699 | |||
32 | Fair Isaac Corp. (a) | 28,947 | |||
20 | HubSpot, Inc. (a) | 10,930 | |||
870 | Microsoft Corp. | 285,151 | |||
336 | Palantir Technologies, Inc., Class A (a) | 5,033 | |||
48 | Palo Alto Networks, Inc. (a) | 11,678 | |||
84 | Salesforce, Inc. (a) | 18,603 | |||
40 | Synopsys, Inc. (a) | 18,356 | |||
402,556 | |||||
Specialized REITs — 2.2% | |||||
20 | Equinix, Inc. | 15,627 | |||
85 | Extra Space Storage, Inc. | 10,938 | |||
577 | Gaming and Leisure Properties, Inc. | 27,350 | |||
176 | Iron Mountain, Inc. | 11,183 | |||
84 | Public Storage | 23,216 | |||
725 | Weyerhaeuser Co. | 23,744 | |||
112,058 | |||||
Specialty Retail — 3.6% | |||||
20 | Advance Auto Parts, Inc. | 1,376 | |||
8 | AutoZone, Inc. (a) | 20,251 | |||
143 | Bath & Body Works, Inc. | 5,272 | |||
306 | Best Buy Co., Inc. | 23,394 | |||
36 | Home Depot (The), Inc. | 11,891 | |||
144 | Lowe’s Cos., Inc. | 33,189 | |||
20 | O’Reilly Automotive, Inc. (a) | 18,794 | |||
92 | Ross Stores, Inc. | 11,207 | |||
152 | TJX (The) Cos., Inc. | 14,057 | |||
44 | Tractor Supply Co. | 9,614 | |||
16 | Ulta Beauty, Inc. (a) | 6,640 | |||
355 | Victoria’s Secret & Co. (a) | 6,809 | |||
143 | Williams-Sonoma, Inc. | 20,192 | |||
182,686 | |||||
Technology Hardware, Storage & Peripherals — 7.5% | |||||
1,675 | Apple, Inc. | 314,682 | |||
294 | Dell Technologies, Inc., Class C | 16,535 | |||
390 | HP, Inc. | 11,587 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Technology Hardware, Storage & Peripherals (Continued) | |||||
354 | NetApp, Inc. | $27,152 | |||
226 | Seagate Technology Holdings PLC | 15,998 | |||
385,954 | |||||
Textiles, Apparel & Luxury Goods — 0.9% | |||||
8 | Deckers Outdoor Corp. (a) | 4,233 | |||
184 | Ralph Lauren Corp. | 21,460 | |||
659 | Tapestry, Inc. | 21,958 | |||
47,651 | |||||
Tobacco — 0.9% | |||||
693 | Altria Group, Inc. | 30,644 | |||
183 | Philip Morris International, Inc. | 17,579 | |||
48,223 | |||||
Trading Companies & Distributors — 0.7% | |||||
96 | Fastenal Co. | 5,528 | |||
32 | W.W. Grainger, Inc. | 22,852 | |||
20 | Watsco, Inc. | 7,291 | |||
35,671 | |||||
Wireless Telecommunication Services — 0.1% | |||||
52 | T-Mobile US, Inc. (a) | 7,085 | |||
Total Common Stocks | 5,126,815 | ||||
(Cost $4,600,466) | |||||
MONEY MARKET FUNDS — 0.2% | |||||
10,736 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (b) | 10,736 | |||
(Cost $10,736) | |||||
Total Investments — 99.9% | 5,137,551 | ||||
(Cost $4,611,202) | |||||
Net Other Assets and Liabilities — 0.1% | 6,616 | ||||
Net Assets — 100.0% | $5,144,167 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of August 31, 2023. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $5,126,815 | $5,126,815 | $— | $— |
Money Market Funds | 10,736 | 10,736 | — | — |
Total Investments | $5,137,551 | $5,137,551 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.7% | |||||
Aerospace & Defense — 0.6% | |||||
100 | Curtiss-Wright Corp. | $20,799 | |||
260 | Parsons Corp. (a) | 14,825 | |||
35,624 | |||||
Air Freight & Logistics — 0.1% | |||||
35 | C.H. Robinson Worldwide, Inc. | 3,165 | |||
Automobile Components — 0.2% | |||||
280 | BorgWarner, Inc. | 11,410 | |||
56 | Phinia, Inc. (a) | 1,551 | |||
12,961 | |||||
Automobiles — 0.7% | |||||
400 | Thor Industries, Inc. | 41,928 | |||
Banks — 3.7% | |||||
1,231 | Bank OZK | 49,449 | |||
135 | BOK Financial Corp. | 11,220 | |||
851 | Cadence Bank | 19,471 | |||
500 | Cathay General Bancorp | 17,815 | |||
135 | Commerce Bancshares, Inc. | 6,627 | |||
1,191 | CVB Financial Corp. | 20,795 | |||
305 | F.N.B. Corp. | 3,547 | |||
1,346 | First Horizon Corp. | 16,893 | |||
710 | International Bancshares Corp. | 31,794 | |||
440 | Popular, Inc. | 30,043 | |||
465 | United Bankshares, Inc. | 13,987 | |||
340 | Zions Bancorp N.A. | 12,070 | |||
233,711 | |||||
Beverages — 0.5% | |||||
45 | Coca-Cola Consolidated, Inc. | 31,451 | |||
Biotechnology — 1.9% | |||||
1,981 | Exelixis, Inc. (a) | 44,355 | |||
455 | Halozyme Therapeutics, Inc. (a) | 19,365 | |||
280 | Neurocrine Biosciences, Inc. (a) | 30,489 | |||
240 | TG Therapeutics, Inc. (a) | 2,513 | |||
90 | United Therapeutics Corp. (a) | 20,192 | |||
116,914 | |||||
Broadline Retail — 0.9% | |||||
95 | Dillard’s, Inc., Class A | 32,786 | |||
1,931 | Macy’s, Inc. | 23,616 | |||
185 | Nordstrom, Inc. | 3,001 | |||
59,403 | |||||
Building Products — 5.0% | |||||
255 | A.O. Smith Corp. | 18,487 | |||
951 | Builders FirstSource, Inc. (a) | 137,933 | |||
95 | Carlisle Cos., Inc. | 24,987 | |||
50 | Fortune Brands Innovations, Inc. | 3,451 | |||
680 | Masterbrand, Inc. (a) | 8,711 |
Shares | Description | Value | |||
Building Products (Continued) | |||||
480 | Owens Corning | $69,077 | |||
525 | UFP Industries, Inc. | 54,784 | |||
317,430 | |||||
Capital Markets — 1.7% | |||||
130 | Evercore, Inc., Class A | 18,206 | |||
961 | Federated Hermes, Inc. | 33,404 | |||
700 | Janus Henderson Group PLC | 19,229 | |||
540 | Jefferies Financial Group, Inc. | 19,273 | |||
230 | SEI Investments Co. | 14,274 | |||
104,386 | |||||
Chemicals — 1.8% | |||||
240 | Chemours (The) Co. | 8,165 | |||
801 | Huntsman Corp. | 22,324 | |||
50 | NewMarket Corp. | 23,482 | |||
836 | Olin Corp. | 48,505 | |||
55 | Quaker Chemical Corp. | 9,761 | |||
112,237 | |||||
Commercial Services & Supplies — 0.5% | |||||
1,016 | HNI Corp. | 33,284 | |||
Communications Equipment — 1.4% | |||||
65 | Calix, Inc. (a) | 3,023 | |||
120 | F5, Inc. (a) | 19,639 | |||
796 | Juniper Networks, Inc. | 23,180 | |||
300 | Lumentum Holdings, Inc. (a) | 16,239 | |||
851 | NetScout Systems, Inc. (a) | 24,364 | |||
86,445 | |||||
Construction & Engineering — 1.8% | |||||
165 | AECOM | 14,479 | |||
130 | API Group Corp. (a) | 3,660 | |||
95 | Comfort Systems USA, Inc. | 17,534 | |||
240 | EMCOR Group, Inc. | 53,820 | |||
65 | Valmont Industries, Inc. | 16,477 | |||
210 | WillScot Mobile Mini Holdings Corp. (a) | 8,614 | |||
114,584 | |||||
Construction Materials — 0.3% | |||||
110 | Eagle Materials, Inc. | 20,825 | |||
Consumer Finance — 0.8% | |||||
560 | Ally Financial, Inc. | 15,506 | |||
1,956 | Navient Corp. | 34,524 | |||
50,030 | |||||
Consumer Staples Distribution & Retail — 1.0% | |||||
1,506 | Sprouts Farmers Market, Inc. (a) | 61,430 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Containers & Packaging — 0.2% | |||||
235 | Berry Global Group, Inc. | $15,355 | |||
Diversified Consumer Services — 1.1% | |||||
170 | Grand Canyon Education, Inc. (a) | 19,932 | |||
1,261 | H&R Block, Inc. | 50,415 | |||
70,347 | |||||
Diversified Telecommunication Services — 0.8% | |||||
1,671 | EchoStar Corp., Class A (a) | 29,042 | |||
345 | Iridium Communications, Inc. | 16,888 | |||
2,215 | Lumen Technologies, Inc. (a) | 3,522 | |||
49,452 | |||||
Electric Utilities — 0.7% | |||||
325 | NRG Energy, Inc. | 12,204 | |||
891 | OGE Energy Corp. | 30,338 | |||
42,542 | |||||
Electrical Equipment — 3.0% | |||||
130 | Acuity Brands, Inc. | 20,966 | |||
275 | Atkore, Inc. (a) | 42,342 | |||
185 | EnerSys | 19,421 | |||
3,231 | GrafTech International Ltd. | 11,438 | |||
165 | Hubbell, Inc. | 53,798 | |||
705 | nVent Electric PLC | 39,861 | |||
187,826 | |||||
Electronic Equipment, Instruments & Components — 4.4% | |||||
190 | Arrow Electronics, Inc. (a) | 25,352 | |||
365 | Avnet, Inc. | 18,524 | |||
25 | Badger Meter, Inc. | 4,152 | |||
430 | Belden, Inc. | 40,377 | |||
130 | Insight Enterprises, Inc. (a) | 20,812 | |||
185 | IPG Photonics Corp. (a) | 20,046 | |||
445 | Jabil, Inc. | 50,917 | |||
530 | Sanmina Corp. (a) | 29,521 | |||
180 | TD SYNNEX Corp. | 18,315 | |||
1,536 | Vishay Intertechnology, Inc. | 42,148 | |||
155 | Vontier Corp. | 4,868 | |||
275,032 | |||||
Energy Equipment & Services — 0.5% | |||||
951 | ChampionX Corp. | 34,322 | |||
Entertainment — 0.4% | |||||
125 | Madison Square Garden Sports Corp. | 22,250 | |||
Financial Services — 3.7% | |||||
175 | Equitable Holdings, Inc. | 5,040 |
Shares | Description | Value | |||
Financial Services (Continued) | |||||
1,226 | Essent Group Ltd. | $61,570 | |||
3,162 | MGIC Investment Corp. | 55,588 | |||
150 | PennyMac Financial Services, Inc. | 10,765 | |||
1,796 | Radian Group, Inc. | 48,636 | |||
480 | Voya Financial, Inc. | 33,446 | |||
1,366 | Western Union (The) Co. | 16,870 | |||
231,915 | |||||
Food Products — 1.3% | |||||
685 | Flowers Foods, Inc. | 16,139 | |||
175 | Ingredion, Inc. | 18,009 | |||
20 | J.M. Smucker (The) Co. | 2,899 | |||
60 | Lancaster Colony Corp. | 9,911 | |||
605 | Pilgrim’s Pride Corp. (a) | 15,222 | |||
240 | Post Holdings, Inc. (a) | 21,530 | |||
83,710 | |||||
Gas Utilities — 1.4% | |||||
901 | National Fuel Gas Co. | 48,420 | |||
360 | New Jersey Resources Corp. | 15,181 | |||
110 | ONE Gas, Inc. | 7,972 | |||
540 | UGI Corp. | 13,597 | |||
85,170 | |||||
Ground Transportation — 1.5% | |||||
405 | Knight-Swift Transportation Holdings, Inc. | 22,202 | |||
180 | Landstar System, Inc. | 34,166 | |||
635 | Schneider National, Inc., Class B | 18,358 | |||
405 | Werner Enterprises, Inc. | 16,852 | |||
91,578 | |||||
Health Care Equipment & Supplies — 3.7% | |||||
485 | DENTSPLY SIRONA, Inc. | 17,989 | |||
300 | Enovis Corp. (a) | 16,812 | |||
821 | Envista Holdings Corp. (a) | 26,288 | |||
295 | Globus Medical, Inc., Class A (a) | 15,960 | |||
325 | Haemonetics Corp. (a) | 29,162 | |||
85 | Inspire Medical Systems, Inc. (a) | 19,285 | |||
320 | Integra LifeSciences Holdings Corp. (a) | 13,613 | |||
255 | Lantheus Holdings, Inc. (a) | 17,452 | |||
285 | Merit Medical Systems, Inc. (a) | 18,605 | |||
135 | Penumbra, Inc. (a) | 35,707 | |||
85 | Shockwave Medical, Inc. (a) | 18,733 | |||
229,606 | |||||
Health Care Providers & Services — 3.8% | |||||
375 | AMN Healthcare Services, Inc. (a) | 33,143 | |||
505 | Cardinal Health, Inc. | 44,102 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Health Care Providers & Services (Continued) | |||||
40 | Chemed Corp. | $20,458 | |||
991 | Enhabit, Inc. (a) | 12,695 | |||
550 | Henry Schein, Inc. (a) | 42,097 | |||
45 | Molina Healthcare, Inc. (a) | 13,955 | |||
740 | Option Care Health, Inc. (a) | 25,774 | |||
210 | Patterson Cos., Inc. | 6,308 | |||
555 | Premier, Inc., Class A | 11,949 | |||
200 | Universal Health Services, Inc., Class B | 26,940 | |||
237,421 | |||||
Health Care REITs — 1.1% | |||||
3,832 | Medical Properties Trust, Inc. | 27,667 | |||
826 | Omega Healthcare Investors, Inc. | 26,283 | |||
1,411 | Sabra Health Care REIT, Inc. | 17,680 | |||
71,630 | |||||
Hotel & Resort REITs — 0.2% | |||||
1,156 | Park Hotels & Resorts, Inc. | 14,831 | |||
Hotels, Restaurants & Leisure — 0.5% | |||||
399 | Boyd Gaming Corp. | 26,681 | |||
75 | Travel + Leisure Co. | 3,015 | |||
29,696 | |||||
Household Durables — 4.5% | |||||
735 | KB Home | 37,338 | |||
395 | Meritage Homes Corp. | 54,921 | |||
871 | PulteGroup, Inc. | 71,474 | |||
1,306 | Taylor Morrison Home Corp. (a) | 61,905 | |||
285 | Toll Brothers, Inc. | 23,350 | |||
1,001 | Tri Pointe Homes, Inc. (a) | 31,131 | |||
25 | Whirlpool Corp. | 3,499 | |||
283,618 | |||||
Independent Power and Renewable Electricity Producers — 0.4% | |||||
856 | Vistra Corp. | 26,896 | |||
Industrial REITs — 0.7% | |||||
20 | Americold Realty Trust, Inc. | 673 | |||
470 | First Industrial Realty Trust, Inc. | 24,412 | |||
545 | STAG Industrial, Inc. | 19,909 | |||
44,994 | |||||
Insurance — 3.5% | |||||
95 | American Financial Group, Inc. | 11,012 | |||
395 | Brighthouse Financial, Inc. (a) | 19,616 | |||
125 | Erie Indemnity Co., Class A | 34,841 | |||
75 | First American Financial Corp. | 4,626 | |||
485 | Loews Corp. | 30,114 | |||
50 | Old Republic International Corp. | 1,367 | |||
210 | Primerica, Inc. | 42,202 |
Shares | Description | Value | |||
Insurance (Continued) | |||||
135 | RLI Corp. | $17,755 | |||
1,236 | Unum Group | 60,799 | |||
222,332 | |||||
IT Services — 0.3% | |||||
846 | DXC Technology Co. (a) | 17,546 | |||
100 | Squarespace, Inc., Class A (a) | 3,015 | |||
20,561 | |||||
Life Sciences Tools & Services — 0.3% | |||||
65 | Bruker Corp. | 4,264 | |||
60 | Medpace Holdings, Inc. (a) | 16,216 | |||
20,480 | |||||
Machinery — 4.9% | |||||
605 | Allison Transmission Holdings, Inc. | 36,572 | |||
40 | Crane Co. | 3,645 | |||
510 | Donaldson Co., Inc. | 32,574 | |||
30 | Franklin Electric Co., Inc. | 2,901 | |||
300 | Graco, Inc. | 23,682 | |||
635 | Kennametal, Inc. | 16,808 | |||
185 | Lincoln Electric Holdings, Inc. | 35,605 | |||
210 | Mueller Industries, Inc. | 16,204 | |||
115 | Snap-on, Inc. | 30,889 | |||
620 | Terex Corp. | 37,578 | |||
430 | Timken (The) Co. | 32,861 | |||
145 | Toro (The) Co. | 14,836 | |||
115 | Watts Water Technologies, Inc., Class A | 21,709 | |||
305,864 | |||||
Media — 1.1% | |||||
165 | Interpublic Group of (The) Cos., Inc. | 5,380 | |||
80 | John Wiley & Sons, Inc., Class A | 2,973 | |||
455 | New York Times (The) Co., Class A | 20,143 | |||
235 | Nexstar Media Group, Inc. | 38,258 | |||
66,754 | |||||
Metals & Mining — 4.6% | |||||
986 | Commercial Metals Co. | 55,502 | |||
420 | Reliance Steel & Aluminum Co. | 119,683 | |||
675 | Steel Dynamics, Inc. | 71,948 | |||
1,351 | United States Steel Corp. | 42,003 | |||
289,136 | |||||
Office REITs — 1.8% | |||||
300 | Corporate Office Properties Trust | 7,764 | |||
1,481 | Cousins Properties, Inc. | 34,804 | |||
1,311 | Highwoods Properties, Inc. | 31,241 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Office REITs (Continued) | |||||
3,727 | Hudson Pacific Properties, Inc. | $25,381 | |||
415 | Kilroy Realty Corp. | 15,334 | |||
114,524 | |||||
Oil, Gas & Consumable Fuels — 1.9% | |||||
30 | Chesapeake Energy Corp. | 2,646 | |||
100 | Chord Energy Corp. | 16,150 | |||
10 | Civitas Resources, Inc. | 822 | |||
465 | Coterra Energy, Inc. | 13,108 | |||
480 | HF Sinclair Corp. | 26,443 | |||
340 | Marathon Oil Corp. | 8,959 | |||
30 | Ovintiv, Inc. | 1,409 | |||
755 | PBF Energy, Inc., Class A | 35,402 | |||
645 | Peabody Energy Corp. | 13,919 | |||
60 | Vitesse Energy, Inc. | 1,395 | |||
120,253 | |||||
Paper & Forest Products — 0.3% | |||||
315 | Louisiana-Pacific Corp. | 19,681 | |||
Personal Care Products — 0.9% | |||||
335 | elf Beauty, Inc. (a) | 46,468 | |||
480 | Nu Skin Enterprises, Inc., Class A | 11,467 | |||
57,935 | |||||
Pharmaceuticals — 0.5% | |||||
255 | Organon & Co. | 5,600 | |||
450 | Prestige Consumer Healthcare, Inc. (a) | 26,248 | |||
31,848 | |||||
Professional Services — 4.6% | |||||
240 | ASGN, Inc. (a) | 19,718 | |||
175 | Concentrix Corp. | 13,970 | |||
750 | ExlService Holdings, Inc. (a) | 21,923 | |||
95 | FTI Consulting, Inc. (a) | 17,653 | |||
115 | Genpact Ltd. | 4,293 | |||
165 | Insperity, Inc. | 16,719 | |||
625 | KBR, Inc. | 38,450 | |||
430 | ManpowerGroup, Inc. | 33,914 | |||
425 | Maximus, Inc. | 34,349 | |||
385 | Robert Half, Inc. | 28,475 | |||
160 | Science Applications International Corp. | 18,826 | |||
365 | TriNet Group, Inc. (a) | 40,489 | |||
288,779 | |||||
Real Estate Management & Development — 0.7% | |||||
250 | Jones Lang LaSalle, Inc. (a) | 43,200 |
Shares | Description | Value | |||
Retail REITs — 0.8% | |||||
290 | Brixmor Property Group, Inc. | $6,374 | |||
796 | Kite Realty Group Trust | 17,966 | |||
640 | NNN REIT, Inc. | 25,210 | |||
49,550 | |||||
Semiconductors & Semiconductor Equipment — 2.7% | |||||
320 | Allegro MicroSystems, Inc. (a) | 12,240 | |||
140 | Axcelis Technologies, Inc. (a) | 26,901 | |||
320 | Cirrus Logic, Inc. (a) | 26,253 | |||
360 | Lattice Semiconductor Corp. (a) | 35,014 | |||
165 | Qorvo, Inc. (a) | 17,719 | |||
650 | Rambus, Inc. (a) | 36,705 | |||
25 | Silicon Laboratories, Inc. (a) | 3,372 | |||
130 | Synaptics, Inc. (a) | 11,380 | |||
169,584 | |||||
Software — 2.9% | |||||
115 | ACI Worldwide, Inc. (a) | 2,792 | |||
25 | Appfolio, Inc., Class A (a) | 4,819 | |||
470 | Box, Inc., Class A (a) | 12,446 | |||
90 | CommVault Systems, Inc. (a) | 6,148 | |||
35 | Dolby Laboratories, Inc., Class A | 2,956 | |||
645 | Dropbox, Inc., Class A (a) | 17,925 | |||
40 | Fair Isaac Corp. (a) | 36,184 | |||
175 | Gen Digital, Inc. | 3,544 | |||
420 | InterDigital, Inc. | 36,418 | |||
105 | Manhattan Associates, Inc. (a) | 21,275 | |||
100 | Qualys, Inc. (a) | 15,565 | |||
65 | Smartsheet, Inc., Class A (a) | 2,712 | |||
75 | SPS Commerce, Inc. (a) | 13,960 | |||
170 | Teradata Corp. (a) | 7,866 | |||
184,610 | |||||
Specialized REITs — 1.6% | |||||
921 | CubeSmart | 38,415 | |||
380 | Iron Mountain, Inc. | 24,145 | |||
260 | Lamar Advertising Co., Class A | 23,717 | |||
365 | PotlatchDeltic Corp. | 17,250 | |||
103,527 | |||||
Specialty Retail — 4.8% | |||||
575 | Academy Sports & Outdoors, Inc. | 31,378 | |||
50 | Asbury Automotive Group, Inc. (a) | 11,500 | |||
395 | AutoNation, Inc. (a) | 62,051 | |||
375 | Dick’s Sporting Goods, Inc. | 43,627 | |||
105 | Murphy USA, Inc. | 33,352 | |||
230 | Penske Automotive Group, Inc. | 37,789 | |||
495 | Valvoline, Inc. | 17,048 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Specialty Retail (Continued) | |||||
485 | Victoria’s Secret & Co. (a) | $9,302 | |||
395 | Williams-Sonoma, Inc. | 55,774 | |||
301,821 | |||||
Technology Hardware, Storage & Peripherals — 1.4% | |||||
205 | NetApp, Inc. | 15,724 | |||
285 | Pure Storage, Inc., Class A (a) | 10,428 | |||
230 | Super Micro Computer, Inc. (a) | 63,268 | |||
89,420 | |||||
Textiles, Apparel & Luxury Goods — 1.7% | |||||
360 | Capri Holdings Ltd. (a) | 18,896 | |||
65 | Deckers Outdoor Corp. (a) | 34,391 | |||
445 | PVH Corp. | 37,202 | |||
25 | Ralph Lauren Corp. | 2,916 | |||
420 | Tapestry, Inc. | 13,994 | |||
107,399 | |||||
Trading Companies & Distributors — 1.6% | |||||
155 | Applied Industrial Technologies, Inc. | 23,927 | |||
210 | Beacon Roofing Supply, Inc. (a) | 16,769 | |||
245 | MSC Industrial Direct Co., Inc., Class A | 25,005 | |||
90 | Watsco, Inc. | 32,809 | |||
98,510 | |||||
Total Common Stocks | 6,269,767 | ||||
(Cost $5,702,530) | |||||
MONEY MARKET FUNDS — 0.2% | |||||
11,384 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (b) | 11,384 | |||
(Cost $11,384) | |||||
Total Investments — 99.9% | 6,281,151 | ||||
(Cost $5,713,914) | |||||
Net Other Assets and Liabilities — 0.1% | 5,861 | ||||
Net Assets — 100.0% | $6,287,012 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of August 31, 2023. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $6,269,767 | $6,269,767 | $— | $— |
Money Market Funds | 11,384 | 11,384 | — | — |
Total Investments | $6,281,151 | $6,281,151 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.7% | |||||
Air Freight & Logistics — 0.7% | |||||
84 | Forward Air Corp. | $5,949 | |||
246 | Hub Group, Inc., Class A (a) | 19,198 | |||
25,147 | |||||
Automobile Components — 1.3% | |||||
665 | Modine Manufacturing Co. (a) | 31,647 | |||
189 | Patrick Industries, Inc. | 15,808 | |||
47,455 | |||||
Automobiles — 0.5% | |||||
316 | Winnebago Industries, Inc. | 20,493 | |||
Banks — 6.6% | |||||
284 | Bancorp (The), Inc. (a) | 10,426 | |||
352 | Bank of NT Butterfield & Son Ltd. (The) | 10,250 | |||
754 | BankUnited, Inc. | 19,792 | |||
630 | Berkshire Hills Bancorp, Inc. | 13,167 | |||
514 | Cadence Bank | 11,760 | |||
301 | Cathay General Bancorp | 10,725 | |||
204 | City Holding Co. | 18,637 | |||
781 | CVB Financial Corp. | 13,636 | |||
460 | Eagle Bancorp, Inc. | 11,068 | |||
799 | First BanCorp | 11,074 | |||
78 | First Interstate BancSystem, Inc., Class A | 2,021 | |||
322 | Hilltop Holdings, Inc. | 9,786 | |||
345 | HomeStreet, Inc. | 3,260 | |||
36 | Independent Bank Corp. | 1,945 | |||
216 | International Bancshares Corp. | 9,672 | |||
975 | Kearny Financial Corp. | 7,225 | |||
198 | NBT Bancorp, Inc. | 6,815 | |||
675 | Northwest Bancshares, Inc. | 7,425 | |||
325 | OFG Bancorp | 9,802 | |||
195 | Pathward Financial, Inc. | 9,608 | |||
209 | Popular, Inc. | 14,271 | |||
307 | Preferred Bank | 19,068 | |||
556 | Provident Financial Services, Inc. | 9,163 | |||
249 | S&T Bancorp, Inc. | 7,054 | |||
247,650 | |||||
Beverages — 0.4% | |||||
12 | Coca-Cola Consolidated, Inc. | 8,387 | |||
292 | Vita Coco (The) Co., Inc. (a) | 8,260 | |||
16,647 | |||||
Biotechnology — 3.5% | |||||
222 | ACADIA Pharmaceuticals, Inc. (a) | 5,998 | |||
566 | Alkermes PLC (a) | 16,521 | |||
171 | Amicus Therapeutics, Inc. (a) | 2,192 |
Shares | Description | Value | |||
Biotechnology (Continued) | |||||
60 | Anika Therapeutics, Inc. (a) | $1,071 | |||
1,964 | Catalyst Pharmaceuticals, Inc. (a) | 27,575 | |||
774 | Dynavax Technologies Corp. (a) | 11,115 | |||
640 | Eagle Pharmaceuticals, Inc. (a) | 10,848 | |||
1,829 | Ironwood Pharmaceuticals, Inc. (a) | 16,095 | |||
135 | Kiniksa Pharmaceuticals Ltd., Class A (a) | 2,326 | |||
15 | Krystal Biotech, Inc. (a) | 1,867 | |||
351 | REGENXBIO, Inc. (a) | 6,213 | |||
283 | Rocket Pharmaceuticals, Inc. (a) | 4,429 | |||
497 | TG Therapeutics, Inc. (a) | 5,204 | |||
2,228 | Vanda Pharmaceuticals, Inc. (a) | 11,563 | |||
75 | Veracyte, Inc. (a) | 1,980 | |||
186 | Viking Therapeutics, Inc. (a) | 2,569 | |||
248 | Vir Biotechnology, Inc. (a) | 3,140 | |||
130,706 | |||||
Broadline Retail — 0.9% | |||||
78 | Dillard’s, Inc., Class A | 26,920 | |||
501 | Macy’s, Inc. | 6,127 | |||
33,047 | |||||
Building Products — 1.4% | |||||
45 | Apogee Enterprises, Inc. | 2,271 | |||
615 | Insteel Industries, Inc. | 21,371 | |||
264 | UFP Industries, Inc. | 27,548 | |||
51,190 | |||||
Capital Markets — 1.3% | |||||
707 | Avantax, Inc. (a) | 14,791 | |||
261 | Donnelley Financial Solutions, Inc. (a) | 12,860 | |||
319 | Federated Hermes, Inc. | 11,088 | |||
51 | Houlihan Lokey, Inc. | 5,372 | |||
36 | Piper Sandler Cos. | 5,363 | |||
49,474 | |||||
Chemicals — 0.4% | |||||
246 | AdvanSix, Inc. | 8,138 | |||
754 | LSB Industries, Inc. (a) | 7,630 | |||
6 | Quaker Chemical Corp. | 1,065 | |||
16,833 | |||||
Commercial Services & Supplies — 0.1% | |||||
96 | Brady Corp., Class A | 4,842 | |||
Communications Equipment — 1.3% | |||||
304 | Digi International, Inc. (a) | 10,148 | |||
704 | Extreme Networks, Inc. (a) | 19,325 | |||
349 | Harmonic, Inc. (a) | 3,727 | |||
569 | NetScout Systems, Inc. (a) | 16,290 | |||
49,490 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Construction & Engineering — 2.0% | |||||
195 | Comfort Systems USA, Inc. | $35,991 | |||
93 | EMCOR Group, Inc. | 20,855 | |||
204 | Sterling Infrastructure, Inc. (a) | 16,883 | |||
73,729 | |||||
Consumer Finance — 0.8% | |||||
188 | Encore Capital Group, Inc. (a) | 8,810 | |||
1,194 | Navient Corp. | 21,074 | |||
54 | PROG Holdings, Inc. (a) | 1,852 | |||
31,736 | |||||
Consumer Staples Distribution & Retail — 1.4% | |||||
120 | BJ’s Wholesale Club Holdings, Inc. (a) | 8,087 | |||
188 | Ingles Markets, Inc., Class A | 14,688 | |||
148 | SpartanNash Co. | 3,221 | |||
102 | Sprouts Farmers Market, Inc. (a) | 4,161 | |||
255 | United Natural Foods, Inc. (a) | 5,133 | |||
251 | Weis Markets, Inc. | 16,282 | |||
51,572 | |||||
Containers & Packaging — 0.3% | |||||
473 | O-I Glass, Inc. (a) | 9,394 | |||
Diversified Consumer Services — 1.7% | |||||
93 | Grand Canyon Education, Inc. (a) | 10,904 | |||
503 | H&R Block, Inc. | 20,110 | |||
1,500 | Perdoceo Education Corp. | 24,855 | |||
105 | Strategic Education, Inc. | 8,138 | |||
64,007 | |||||
Diversified Telecommunication Services — 0.5% | |||||
512 | EchoStar Corp., Class A (a) | 8,898 | |||
186 | Iridium Communications, Inc. | 9,105 | |||
18,003 | |||||
Electric Utilities — 1.1% | |||||
460 | Otter Tail Corp. | 37,890 | |||
42 | Portland General Electric Co. | 1,842 | |||
39,732 | |||||
Electrical Equipment — 2.4% | |||||
24 | Acuity Brands, Inc. | 3,871 | |||
261 | Atkore, Inc. (a) | 40,186 | |||
231 | Encore Wire Corp. | 38,071 | |||
2,064 | GrafTech International Ltd. | 7,306 | |||
89,434 |
Shares | Description | Value | |||
Electronic Equipment, Instruments & Components — 4.2% | |||||
96 | Badger Meter, Inc. | $15,944 | |||
283 | Belden, Inc. | 26,574 | |||
224 | CTS Corp. | 10,002 | |||
195 | ePlus, Inc. (a) | 12,944 | |||
78 | Insight Enterprises, Inc. (a) | 12,487 | |||
210 | Knowles Corp. (a) | 3,366 | |||
78 | Methode Electronics, Inc. | 2,515 | |||
255 | Napco Security Technologies, Inc. | 6,319 | |||
372 | PC Connection, Inc. | 19,761 | |||
509 | Sanmina Corp. (a) | 28,351 | |||
711 | Vishay Intertechnology, Inc. | 19,510 | |||
157,773 | |||||
Energy Equipment & Services — 1.5% | |||||
132 | Liberty Energy, Inc. | 2,106 | |||
364 | Tidewater, Inc. (a) | 23,671 | |||
343 | Weatherford International PLC (a) | 30,362 | |||
56,139 | |||||
Entertainment — 0.2% | |||||
246 | Atlanta Braves Holdings, Inc., Class C (a) | 9,063 | |||
Financial Services — 2.8% | |||||
417 | Cannae Holdings, Inc. (a) | 8,186 | |||
270 | Essent Group Ltd. | 13,559 | |||
744 | International Money Express, Inc. (a) | 12,871 | |||
463 | Jackson Financial, Inc., Class A | 17,409 | |||
799 | MGIC Investment Corp. | 14,046 | |||
204 | Mr. Cooper Group, Inc. (a) | 11,559 | |||
156 | PennyMac Financial Services, Inc. | 11,196 | |||
632 | Radian Group, Inc. | 17,115 | |||
105,941 | |||||
Food Products — 1.2% | |||||
514 | Cal-Maine Foods, Inc. | 24,564 | |||
328 | Fresh Del Monte Produce, Inc. | 8,380 | |||
78 | John B Sanfilippo & Son, Inc. | 7,827 | |||
170 | Tootsie Roll Industries, Inc. | 5,466 | |||
46,237 | |||||
Gas Utilities — 0.2% | |||||
114 | ONE Gas, Inc. | 8,262 | |||
Ground Transportation — 1.6% | |||||
334 | ArcBest Corp. | 35,267 | |||
1,199 | Daseke, Inc. (a) | 6,355 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Ground Transportation (Continued) | |||||
431 | Marten Transport Ltd. | $9,051 | |||
390 | Schneider National, Inc., Class B | 11,275 | |||
61,948 | |||||
Health Care Equipment & Supplies — 4.6% | |||||
763 | Avanos Medical, Inc. (a) | 16,053 | |||
63 | Embecta Corp. | 1,155 | |||
165 | Enovis Corp. (a) | 9,247 | |||
177 | Globus Medical, Inc., Class A (a) | 9,576 | |||
123 | Haemonetics Corp. (a) | 11,037 | |||
240 | Inmode Ltd. (a) | 9,382 | |||
84 | Inspire Medical Systems, Inc. (a) | 19,058 | |||
299 | Lantheus Holdings, Inc. (a) | 20,463 | |||
111 | LeMaitre Vascular, Inc. | 6,417 | |||
192 | QuidelOrtho Corp. (a) | 15,813 | |||
75 | Shockwave Medical, Inc. (a) | 16,529 | |||
78 | SI-BONE, Inc. (a) | 1,785 | |||
405 | Tactile Systems Technology, Inc. (a) | 7,675 | |||
105 | TransMedics Group, Inc. (a) | 6,891 | |||
123 | UFP Technologies, Inc. (a) | 21,612 | |||
172,693 | |||||
Health Care Providers & Services — 4.2% | |||||
138 | Addus HomeCare Corp. (a) | 12,103 | |||
234 | AMN Healthcare Services, Inc. (a) | 20,681 | |||
267 | Apollo Medical Holdings, Inc. (a) | 10,109 | |||
99 | CorVel Corp. (a) | 21,428 | |||
463 | Cross Country Healthcare, Inc. (a) | 11,927 | |||
240 | Fulgent Genetics, Inc. (a) | 7,862 | |||
796 | Hims & Hers Health, Inc. (a) | 5,341 | |||
322 | NeoGenomics, Inc. (a) | 4,840 | |||
689 | Option Care Health, Inc. (a) | 23,998 | |||
627 | Owens & Minor, Inc. (a) | 10,596 | |||
1,249 | Pediatrix Medical Group, Inc. (a) | 17,648 | |||
570 | Premier, Inc., Class A | 12,272 | |||
158,805 | |||||
Health Care REITs — 0.5% | |||||
574 | CareTrust REIT, Inc. | 11,566 | |||
177 | National Health Investors, Inc. | 9,050 | |||
20,616 | |||||
Health Care Technology — 0.6% | |||||
853 | NextGen Healthcare, Inc. (a) | 15,533 |
Shares | Description | Value | |||
Health Care Technology (Continued) | |||||
54 | Phreesia, Inc. (a) | $1,537 | |||
518 | Veradigm, Inc. (a) | 6,931 | |||
24,001 | |||||
Hotel & Resort REITs — 0.2% | |||||
619 | Park Hotels & Resorts, Inc. | 7,942 | |||
Household Durables — 4.8% | |||||
108 | Century Communities, Inc. | 8,019 | |||
797 | Ethan Allen Interiors, Inc. | 25,010 | |||
605 | Green Brick Partners, Inc. (a) | 29,923 | |||
213 | KB Home | 10,820 | |||
310 | M.D.C. Holdings, Inc. | 14,710 | |||
195 | M/I Homes, Inc. (a) | 19,145 | |||
129 | Meritage Homes Corp. | 17,936 | |||
292 | Skyline Champion Corp. (a) | 20,811 | |||
696 | Taylor Morrison Home Corp. (a) | 32,990 | |||
105 | Tri Pointe Homes, Inc. (a) | 3,266 | |||
182,630 | |||||
Insurance — 1.5% | |||||
33 | AMERISAFE, Inc. | 1,709 | |||
171 | Brighthouse Financial, Inc. (a) | 8,492 | |||
55 | Employers Holdings, Inc. | 2,158 | |||
12 | Enstar Group Ltd. (a) | 3,039 | |||
42 | Kinsale Capital Group, Inc. | 16,742 | |||
84 | RLI Corp. | 11,048 | |||
138 | Selective Insurance Group, Inc. | 13,691 | |||
56,879 | |||||
Interactive Media & Services — 0.5% | |||||
1,041 | Cars.com, Inc. (a) | 19,456 | |||
IT Services — 0.1% | |||||
60 | Squarespace, Inc., Class A (a) | 1,809 | |||
Life Sciences Tools & Services — 0.5% | |||||
12 | AbCellera Biologics, Inc. (a) | 65 | |||
1,015 | Maravai LifeSciences Holdings, Inc., Class A (a) | 10,495 | |||
24 | Medpace Holdings, Inc. (a) | 6,487 | |||
53 | OmniAb, Inc. - 12.5 Earnout Shares (a) (b) (c) (d) (e) | 0 | |||
53 | OmniAb, Inc. - 15 Earnout Shares (a) (b) (c) (d) (e) | 0 | |||
17,047 | |||||
Machinery — 2.9% | |||||
69 | Enerpac Tool Group Corp. | 1,808 | |||
39 | Hyster-Yale Materials Handling, Inc. | 1,781 | |||
430 | Mueller Industries, Inc. | 33,179 | |||
126 | SPX Technologies, Inc. (a) | 9,957 | |||
66 | Standex International Corp. | 10,140 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Machinery (Continued) | |||||
228 | Terex Corp. | $13,819 | |||
634 | Titan International, Inc. (a) | 7,982 | |||
782 | Wabash National Corp. | 17,634 | |||
63 | Watts Water Technologies, Inc., Class A | 11,892 | |||
108,192 | |||||
Marine Transportation — 1.5% | |||||
337 | Eagle Bulk Shipping, Inc. | 14,747 | |||
1,243 | Genco Shipping & Trading Ltd. | 16,992 | |||
276 | Matson, Inc. | 24,255 | |||
55,994 | |||||
Media — 0.5% | |||||
523 | Integral Ad Science Holding Corp. (a) | 7,463 | |||
259 | Scholastic Corp. | 11,254 | |||
99 | Sinclair, Inc. | 1,249 | |||
19,966 | |||||
Metals & Mining — 3.6% | |||||
189 | Alpha Metallurgical Resources, Inc. | 38,337 | |||
228 | Arch Resources, Inc. | 29,777 | |||
201 | Commercial Metals Co. | 11,314 | |||
474 | Ryerson Holding Corp. | 14,760 | |||
69 | Schnitzer Steel Industries, Inc., Class A | 2,291 | |||
411 | TimkenSteel Corp. (a) | 9,005 | |||
735 | Warrior Met Coal, Inc. | 29,077 | |||
134,561 | |||||
Office REITs — 1.6% | |||||
346 | Equity Commonwealth | 6,584 | |||
717 | Highwoods Properties, Inc. | 17,086 | |||
2,659 | Hudson Pacific Properties, Inc. | 18,108 | |||
1,876 | Office Properties Income Trust | 13,883 | |||
906 | Piedmont Office Realty Trust, Inc., Class A | 6,224 | |||
61,885 | |||||
Oil, Gas & Consumable Fuels — 4.4% | |||||
524 | Ardmore Shipping Corp. | 6,519 | |||
219 | California Resources Corp. | 12,229 | |||
54 | Chord Energy Corp. | 8,721 | |||
159 | Civitas Resources, Inc. | 13,073 | |||
159 | CONSOL Energy, Inc. | 13,680 | |||
877 | DHT Holdings, Inc. | 8,112 | |||
800 | Dorian LPG Ltd. | 20,640 | |||
153 | International Seaways, Inc. | 6,574 | |||
51 | Ovintiv, Inc. | 2,395 | |||
87 | Par Pacific Holdings, Inc. (a) | 2,989 |
Shares | Description | Value | |||
Oil, Gas & Consumable Fuels (Continued) | |||||
424 | PBF Energy, Inc., Class A | $19,881 | |||
609 | Peabody Energy Corp. | 13,142 | |||
386 | Permian Basin Royalty Trust | 7,909 | |||
42 | Scorpio Tankers, Inc. | 2,122 | |||
324 | Talos Energy, Inc. (a) | 5,579 | |||
515 | Teekay Tankers Ltd., Class A | 20,950 | |||
164,515 | |||||
Paper & Forest Products — 0.5% | |||||
162 | Louisiana-Pacific Corp. | 10,122 | |||
216 | Sylvamo Corp. | 9,022 | |||
19,144 | |||||
Personal Care Products — 3.0% | |||||
530 | elf Beauty, Inc. (a) | 73,517 | |||
93 | Inter Parfums, Inc. | 12,995 | |||
180 | Medifast, Inc. | 15,181 | |||
180 | USANA Health Sciences, Inc. (a) | 11,572 | |||
113,265 | |||||
Pharmaceuticals — 3.5% | |||||
1,056 | Amphastar Pharmaceuticals, Inc. (a) | 56,295 | |||
90 | Axsome Therapeutics, Inc. (a) | 7,272 | |||
242 | Corcept Therapeutics, Inc. (a) | 7,921 | |||
291 | Harmony Biosciences Holdings, Inc. (a) | 10,549 | |||
316 | Harrow Health, Inc. (a) | 4,794 | |||
459 | Innoviva, Inc. (a) | 5,852 | |||
147 | Intra-Cellular Therapies, Inc. (a) | 8,161 | |||
201 | Ligand Pharmaceuticals, Inc. (a) | 13,220 | |||
33 | Prestige Consumer Healthcare, Inc. (a) | 1,925 | |||
183 | Revance Therapeutics, Inc. (a) | 3,226 | |||
962 | SIGA Technologies, Inc. | 4,416 | |||
232 | Supernus Pharmaceuticals, Inc. (a) | 7,387 | |||
131,018 | |||||
Professional Services — 2.9% | |||||
391 | CBIZ, Inc. (a) | 21,939 | |||
15 | CRA International, Inc. | 1,629 | |||
63 | CSG Systems International, Inc. | 3,421 | |||
630 | ExlService Holdings, Inc. (a) | 18,415 | |||
327 | Heidrick & Struggles International, Inc. | 8,662 | |||
250 | Huron Consulting Group, Inc. (a) | 24,987 | |||
15 | Insperity, Inc. | 1,520 | |||
138 | Kforce, Inc. | 8,646 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Professional Services (Continued) | |||||
372 | Korn Ferry | $18,965 | |||
21 | TriNet Group, Inc. (a) | 2,330 | |||
110,514 | |||||
Real Estate Management & Development — 0.5% | |||||
237 | Marcus & Millichap, Inc. | 7,892 | |||
451 | RMR Group (The), Inc., Class A | 11,401 | |||
19,293 | |||||
Retail REITs — 1.3% | |||||
548 | Getty Realty Corp. | 16,451 | |||
607 | SITE Centers Corp. | 8,103 | |||
822 | Tanger Factory Outlet Centers, Inc. | 19,112 | |||
225 | Urban Edge Properties | 3,681 | |||
47,347 | |||||
Semiconductors & Semiconductor Equipment — 4.2% | |||||
138 | Aehr Test Systems (a) | 7,039 | |||
250 | Axcelis Technologies, Inc. (a) | 48,037 | |||
150 | Cirrus Logic, Inc. (a) | 12,306 | |||
364 | Cohu, Inc. (a) | 13,610 | |||
222 | Kulicke & Soffa Industries, Inc. | 11,484 | |||
111 | Lattice Semiconductor Corp. (a) | 10,796 | |||
316 | MaxLinear, Inc. (a) | 7,426 | |||
418 | Photronics, Inc. (a) | 9,932 | |||
319 | Rambus, Inc. (a) | 18,014 | |||
340 | Semtech Corp. (a) | 8,891 | |||
15 | Silicon Laboratories, Inc. (a) | 2,023 | |||
93 | Synaptics, Inc. (a) | 8,141 | |||
157,699 | |||||
Software — 2.2% | |||||
951 | Adeia, Inc. | 9,567 | |||
60 | Appfolio, Inc., Class A (a) | 11,566 | |||
237 | Box, Inc., Class A (a) | 6,276 | |||
150 | CommVault Systems, Inc. (a) | 10,246 | |||
219 | Intapp, Inc. (a) | 8,017 | |||
132 | InterDigital, Inc. | 11,446 | |||
33 | Progress Software Corp. | 2,008 | |||
75 | Qualys, Inc. (a) | 11,674 | |||
21 | SPS Commerce, Inc. (a) | 3,909 | |||
39 | Teradata Corp. (a) | 1,804 | |||
689 | Yext, Inc. (a) | 6,036 | |||
82,549 | |||||
Specialized REITs — 0.8% | |||||
204 | EPR Properties | 9,135 |
Shares | Description | Value | |||
Specialized REITs (Continued) | |||||
356 | Four Corners Property Trust, Inc. | $8,957 | |||
222 | PotlatchDeltic Corp. | 10,492 | |||
28,584 | |||||
Specialty Retail — 4.2% | |||||
222 | Academy Sports & Outdoors, Inc. | 12,114 | |||
18 | Asbury Automotive Group, Inc. (a) | 4,140 | |||
671 | Buckle (The), Inc. | 24,518 | |||
668 | Caleres, Inc. | 19,152 | |||
54 | Children’s Place (The), Inc. (a) | 1,432 | |||
57 | Genesco, Inc. (a) | 1,954 | |||
54 | Group 1 Automotive, Inc. | 14,279 | |||
96 | Guess?, Inc. | 2,310 | |||
367 | Haverty Furniture Cos., Inc. | 11,487 | |||
174 | Hibbett, Inc. | 8,058 | |||
279 | MarineMax, Inc. (a) | 9,282 | |||
78 | Murphy USA, Inc. | 24,776 | |||
81 | ODP (The) Corp. (a) | 3,995 | |||
138 | Signet Jewelers Ltd. | 10,350 | |||
69 | Victoria’s Secret & Co. (a) | 1,323 | |||
420 | Zumiez, Inc. (a) | 7,976 | |||
157,146 | |||||
Technology Hardware, Storage & Peripherals — 1.4% | |||||
198 | Super Micro Computer, Inc. (a) | 54,466 | |||
Textiles, Apparel & Luxury Goods — 0.4% | |||||
42 | Kontoor Brands, Inc. | 1,923 | |||
120 | Movado Group, Inc. | 3,282 | |||
84 | Oxford Industries, Inc. | 8,483 | |||
36 | PVH Corp. | 3,010 | |||
16,698 | |||||
Tobacco — 0.2% | |||||
754 | Vector Group Ltd. | 8,075 | |||
Trading Companies & Distributors — 2.3% | |||||
21 | Applied Industrial Technologies, Inc. | 3,242 | |||
27 | Beacon Roofing Supply, Inc. (a) | 2,156 | |||
209 | BlueLinx Holdings, Inc. (a) | 18,655 | |||
267 | Boise Cascade Co. | 29,202 | |||
144 | GMS, Inc. (a) | 9,985 | |||
93 | Veritiv Corp. | 15,655 | |||
57 | WESCO International, Inc. | 9,225 | |||
88,120 | |||||
Total Common Stocks | 3,756,853 | ||||
(Cost $3,475,722) |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
MONEY MARKET FUNDS — 0.2% | |||||
7,908 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (f) | $7,908 | |||
(Cost $7,908) | |||||
Total Investments — 99.9% | 3,764,761 | ||||
(Cost $3,483,630) | |||||
Net Other Assets and Liabilities — 0.1% | 3,188 | ||||
Net Assets — 100.0% | $3,767,949 |
(a) | Non-income producing security. |
(b) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor (the “Advisor”). |
(c) | Restricted security as to resale, excluding Rule 144A securities (see Note2E - Restricted Securities in the Notes to Financial Statements). |
(d) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At August 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
(e) | This security’s value was determined using significant unobservable inputs (see Note2A- Portfolio Valuation in the Notes to Financial Statements). |
(f) | Rate shown reflects yield as of August 31, 2023. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Life Sciences Tools & Services | $17,047 | $17,047 | $— | $— ** |
Other Industry Categories* | 3,739,806 | 3,739,806 | — | — |
Money Market Funds | 7,908 | 7,908 | — | — |
Total Investments | $3,764,761 | $3,764,761 | $— | $— ** |
* | See Portfolio of Investments for industry breakout. |
** | Investments are valued at $0. |
Statements of Assets and Liabilities
August 31, 2023
First Trust Income Opportunities ETF (FCEF) | First Trust Flexible Municipal High Income ETF (MFLX) | First Trust Low Duration Strategic Focus ETF (LDSF) | |
ASSETS: | |||
Investments, at value - Unaffiliated | $28,120,222 | $12,031,020 | $7,322,894 |
Investments, at value - Affiliated | — | — | 129,765,164 |
Total investments, at value | 28,120,222 | 12,031,020 | 137,088,058 |
Cash | — | 109,409 | — |
Cash segregated as collateral for open futures contracts | — | 5,600 | — |
Receivables: | |||
Investment securities sold | 114,935 | — | 922,766 |
Dividends | 62,470 | 1,287 | 45,127 |
Interest | — | 154,398 | — |
Capital shares sold | — | — | — |
Total Assets | 28,297,627 | 12,301,714 | 138,055,951 |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 103,983 | — | — |
Investment advisory fees | 19,780 | 7,852 | 23,511 |
Capital shares purchased | — | — | 926,392 |
Variation margin | — | 500 | — |
Total Liabilities | 123,763 | 8,352 | 949,903 |
NET ASSETS | $28,173,864 | $12,293,362 | $137,106,048 |
NET ASSETS consist of: | |||
Paid-in capital | $31,959,339 | $16,420,928 | $155,254,371 |
Par value | 14,550 | 7,500 | 74,000 |
Accumulated distributable earnings (loss) | (3,800,025 ) | (4,135,066 ) | (18,222,323 ) |
NET ASSETS | $28,173,864 | $12,293,362 | $137,106,048 |
NET ASSET VALUE, per share | $19.36 | $16.39 | $18.53 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,455,000 | 750,002 | 7,400,002 |
Investments, at cost - Unaffiliated | $31,911,059 | $12,478,327 | $7,349,438 |
Investments, at cost - Affiliated | $— | $— | $136,110,854 |
Total investments, at cost | $31,911,059 | $12,478,327 | $143,460,292 |
First Trust Active Factor Large Cap ETF (AFLG) | First Trust Active Factor Mid Cap ETF (AFMC) | First Trust Active Factor Small Cap ETF (AFSM) |
$5,137,551 | $6,281,151 | $3,764,761 |
— | — | — |
5,137,551 | 6,281,151 | 3,764,761 |
— | — | — |
— | — | — |
— | — | — |
8,997 | 5,209 | 5,590 |
— | — | — |
— | 1,255,258 | — |
5,146,548 | 7,541,618 | 3,770,351 |
— | 1,251,826 | — |
2,381 | 2,780 | 2,402 |
— | — | — |
— | — | — |
2,381 | 1,254,606 | 2,402 |
$5,144,167 | $6,287,012 | $3,767,949 |
$5,246,544 | $6,214,170 | $4,209,139 |
2,000 | 2,500 | 1,500 |
(104,377 ) | 70,342 | (442,690 ) |
$5,144,167 | $6,287,012 | $3,767,949 |
$25.72 | $25.15 | $25.12 |
200,002 | 250,002 | 150,002 |
$4,611,202 | $5,713,914 | $3,483,630 |
$— | $— | $— |
$4,611,202 | $5,713,914 | $3,483,630 |
Statements of Operations
For the Year Ended August 31, 2023
First Trust Income Opportunities ETF (FCEF) | First Trust Flexible Municipal High Income ETF (MFLX) | First Trust Low Duration Strategic Focus ETF (LDSF) | |
INVESTMENT INCOME: | |||
Dividends - Unaffiliated | $1,293,144 | $15,362 | $636,265 |
Dividends - Affiliated | — | — | 6,846,655 |
Interest | — | 523,759 | — |
Foreign withholding tax | — | — | — |
Total investment income | 1,293,144 | 539,121 | 7,482,920 |
EXPENSES: | |||
Investment advisory fees | 223,745 | 92,745 | 365,324 |
Total expenses | 223,745 | 92,745 | 365,324 |
Less fees waived by the investment advisor | — | (15,281 ) | — |
Net expenses | 223,745 | 77,464 | 365,324 |
NET INVESTMENT INCOME (LOSS) | 1,069,399 | 461,657 | 7,117,596 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
Net realized gain (loss) on: | |||
Investments - Unaffiliated | 77,827 | (232,597 ) | (2,512,615 ) |
Investments - Affiliated | — | — | (3,676,079 ) |
In-kind redemptions - Unaffiliated | (125,940 ) | 968 | (169,621 ) |
In-kind redemptions - Affiliated | — | — | (2,217,158 ) |
Distribution of capital gains from investment companies | 105,372 | — | — |
Futures contracts | — | (1,732 ) | — |
Net realized gain (loss) | 57,259 | (233,361 ) | (8,575,473 ) |
Net increase from payment by the advisor | 7 | — | — |
Net change in unrealized appreciation (depreciation) on: | |||
Investments - Unaffiliated | (1,080,035 ) | (152,675 ) | 2,286,859 |
Investments - Affiliated | — | — | 2,387,995 |
Futures contracts | — | (2,568 ) | — |
Net change in unrealized appreciation (depreciation) | (1,080,035 ) | (155,243 ) | 4,674,854 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,022,769 ) | (388,604 ) | (3,900,619 ) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $46,630 | $73,053 | $3,216,977 |
First Trust Active Factor Large Cap ETF (AFLG) | First Trust Active Factor Mid Cap ETF (AFMC) | First Trust Active Factor Small Cap ETF (AFSM) |
$96,837 | $44,562 | $85,362 |
— | — | — |
— | — | — |
(9 ) | (31 ) | (140 ) |
96,828 | 44,531 | 85,222 |
26,429 | 17,949 | 31,111 |
26,429 | 17,949 | 31,111 |
— | — | — |
26,429 | 17,949 | 31,111 |
70,399 | 26,582 | 54,111 |
(244,917 ) | (114,986 ) | (253,997 ) |
— | — | — |
— | (28 ) | 260,385 |
— | — | — |
— | — | — |
— | — | — |
(244,917 ) | (115,014 ) | 6,388 |
— | — | — |
694,393 | 692,856 | 365,789 |
— | — | — |
— | — | — |
694,393 | 692,856 | 365,789 |
449,476 | 577,842 | 372,177 |
$519,875 | $604,424 | $426,288 |
Statements of Changes in Net Assets
First Trust Income Opportunities ETF (FCEF) | First Trust Flexible Municipal High Income ETF (MFLX) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $1,069,399 | $1,330,037 | $461,657 | $645,710 |
Net realized gain (loss) | 57,259 | 449,449 | (233,361 ) | (3,580,386 ) |
Net increase from payment by the advisor | 7 | — | — | — |
Net change in unrealized appreciation (depreciation) | (1,080,035 ) | (7,342,772 ) | (155,243 ) | (1,191,248 ) |
Net increase (decrease) in net assets resulting from operations | 46,630 | (5,563,286 ) | 73,053 | (4,125,924 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (1,916,425 ) | (2,022,212 ) | (463,955 ) | (717,089 ) |
Return of capital | — | — | (13,046 ) | (10,763 ) |
Total distributions to shareholders | (1,916,425 ) | (2,022,212 ) | (477,001 ) | (727,852 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 4,869,721 | 2,433,703 | 845,655 | 12,143,517 |
Cost of shares redeemed | (2,831,399 ) | (5,518,237 ) | (2,420,570 ) | (11,345,363 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 2,038,322 | (3,084,534 ) | (1,574,915 ) | 798,154 |
Total increase (decrease) in net assets | 168,527 | (10,670,032 ) | (1,978,863 ) | (4,055,622 ) |
NET ASSETS: | ||||
Beginning of period | 28,005,337 | 38,675,369 | 14,272,225 | 18,327,847 |
End of period | $28,173,864 | $28,005,337 | $12,293,362 | $14,272,225 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 1,355,000 | 1,505,000 | 850,002 | 850,002 |
Shares sold | 250,000 | 100,000 | 50,000 | 600,000 |
Shares redeemed | (150,000 ) | (250,000 ) | (150,000 ) | (600,000 ) |
Shares outstanding, end of period | 1,455,000 | 1,355,000 | 750,002 | 850,002 |
First Trust Low Duration Strategic Focus ETF (LDSF) | First Trust Active Factor Large Cap ETF (AFLG) | ||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 |
$7,117,596 | $3,680,944 | $70,399 | $55,265 |
(8,575,473 ) | (6,902,198 ) | (244,917 ) | (138,755 ) |
— | — | — | — |
4,674,854 | (10,702,212 ) | 694,393 | (441,602 ) |
3,216,977 | (13,923,466 ) | 519,875 | (525,092 ) |
(6,541,477 ) | (4,397,151 ) | (73,281 ) | (46,676 ) |
— | (729,900 ) | — | — |
(6,541,477 ) | (5,127,051 ) | (73,281 ) | (46,676 ) |
50,189,796 | 175,760,526 | — | 1,261,886 |
(120,516,523 ) | (130,024,664 ) | — | — |
(70,326,727 ) | 45,735,862 | — | 1,261,886 |
(73,651,227 ) | 26,685,345 | 446,594 | 690,118 |
210,757,275 | 184,071,930 | 4,697,573 | 4,007,455 |
$137,106,048 | $210,757,275 | $5,144,167 | $4,697,573 |
11,200,002 | 9,100,002 | 200,002 | 150,002 |
2,700,000 | 8,900,000 | — | 50,000 |
(6,500,000 ) | (6,800,000 ) | — | — |
7,400,002 | 11,200,002 | 200,002 | 200,002 |
Statements of Changes in Net Assets (Continued)
First Trust Active Factor Mid Cap ETF (AFMC) | First Trust Active Factor Small Cap ETF (AFSM) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $26,582 | $21,595 | $54,111 | $25,429 |
Net realized gain (loss) | (115,014 ) | (176,499 ) | 6,388 | (164,820 ) |
Net increase from payment by the advisor | — | — | — | — |
Net change in unrealized appreciation (depreciation) | 692,856 | (251,819 ) | 365,789 | (219,832 ) |
Net increase (decrease) in net assets resulting from operations | 604,424 | (406,723 ) | 426,288 | (359,223 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (19,426 ) | (19,566 ) | (53,926 ) | (18,130 ) |
Return of capital | — | — | — | — |
Total distributions to shareholders | (19,426 ) | (19,566 ) | (53,926 ) | (18,130 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 4,592,131 | 1,306,411 | 3,404,982 | — |
Cost of shares redeemed | — | (1,076,295 ) | (2,303,872 ) | — |
Net increase (decrease) in net assets resulting from shareholder transactions | 4,592,131 | 230,116 | 1,101,110 | — |
Total increase (decrease) in net assets | 5,177,129 | (196,173 ) | 1,473,472 | (377,353 ) |
NET ASSETS: | ||||
Beginning of period | 1,109,883 | 1,306,056 | 2,294,477 | 2,671,830 |
End of period | $6,287,012 | $1,109,883 | $3,767,949 | $2,294,477 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 50,002 | 50,002 | 100,002 | 100,002 |
Shares sold | 200,000 | 50,000 | 150,000 | — |
Shares redeemed | — | (50,000 ) | (100,000 ) | — |
Shares outstanding, end of period | 250,002 | 50,002 | 150,002 | 100,002 |
Financial Highlights
For a share outstanding throughout each period
Year Ended August 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $20.67 | $25.70 | $20.12 | $21.75 | $22.26 |
Income from investment operations: | |||||
Net investment income (loss) | 0.79 (a) | 0.87 | 0.65 | 0.82 | 0.82 |
Net realized and unrealized gain (loss) | (0.69 ) (b) | (4.53 ) | 6.07 | (1.29 ) | (0.18 ) |
Total from investment operations | 0.10 | (3.66 ) | 6.72 | (0.47 ) | 0.64 |
Distributions paid to shareholders from: | |||||
Net investment income | (1.36 ) | (1.26 ) | (0.84 ) | (1.10 ) | (0.96 ) |
Net realized gain | (0.05 ) | (0.11 ) | (0.30 ) | (0.06 ) | (0.19 ) |
Total distributions | (1.41 ) | (1.37 ) | (1.14 ) | (1.16 ) | (1.15 ) |
Net asset value, end of period | $19.36 | $20.67 | $25.70 | $20.12 | $21.75 |
Total return (c) | 0.68 % (b) | (14.62 )% | 34.19 % | (2.04 )% | 3.18 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $28,174 | $28,005 | $38,675 | $33,301 | $37,085 |
Ratio of total expenses to average net assets (d) | 0.85 % | 0.85 % | 0.85 % | 0.85 % | 0.85 % |
Ratio of net investment income (loss) to average net assets | 4.06 % | 3.87 % | 2.79 % | 4.01 % | 3.92 % |
Portfolio turnover rate (e) | 16 % | 16 % | 8 % | 6 % | 13 % |
(a) | Based on average shares outstanding. |
(b) | The Fund received a payment from the advisor in the amount of $7, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $16.79 | $21.56 | $19.21 | $19.61 | $17.94 |
Income from investment operations: | |||||
Net investment income (loss) | 0.61 (a) | 0.67 | 0.70 | 0.68 | 0.62 |
Net realized and unrealized gain (loss) | (0.37 ) | (4.68 ) | 2.39 | (0.48 ) | 1.65 |
Total from investment operations | 0.24 | (4.01 ) | 3.09 | 0.20 | 2.27 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.62 ) | (0.72 ) | (0.74 ) | (0.60 ) | (0.60 ) |
Net realized gain | — | (0.03 ) | (0.00 ) (b) | — | — |
Return of capital | (0.02 ) | (0.01 ) | — | — | — |
Total distributions | (0.64 ) | (0.76 ) | (0.74 ) | (0.60 ) | (0.60 ) |
Net asset value, end of period | $16.39 | $16.79 | $21.56 | $19.21 | $19.61 |
Total return (c) | 1.48 % | (18.91 )% | 16.37 % | 1.10 % | 12.96 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $12,293 | $14,272 | $18,328 | $8,646 | $10,785 |
Ratio of total expenses to average net assets (d) | 0.75 % | 0.75 % | 0.75 % | 0.75 % | 0.75 % |
Ratio of net expenses to average net assets (d) | 0.63 % | 0.69 % | — | — | — |
Ratio of net investment income (loss) to average net assets | 3.73 % | 3.55 % | 3.57 % | 3.49 % | 3.49 % |
Portfolio turnover rate (e) | 27 % | 109 % (f) | 17 % | 7 % | 20 % |
(a) | Based on average shares outstanding. |
(b) | Amount represents less than $0.01. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
(f) | The variation in the portfolio turnover rate is due to the change in the Fund’s investment strategy effective April 14, 2022, which resulted in a rebalance of the Fund’s portfolio. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2019 (a) | ||||
2023 | 2022 | 2021 | 2020 | ||
Net asset value, beginning of period | $18.82 | $20.23 | $20.42 | $20.50 | $20.03 |
Income from investment operations: | |||||
Net investment income (loss) | 0.72 (b) | 0.29 | 0.38 | 0.49 | 0.43 |
Net realized and unrealized gain (loss) | (0.33 ) | (1.29 ) | (0.06 ) | (0.07 ) | 0.47 |
Total from investment operations | 0.39 | (1.00 ) | 0.32 | 0.42 | 0.90 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.68 ) | (0.35 ) | (0.51 ) | (0.50 ) | 0.43 |
Return of capital | — | (0.06 ) | — | — | — |
Total distributions | (0.68 ) | (0.41 ) | (0.51 ) | (0.50 ) | (0.43 ) |
Net asset value, end of period | $18.53 | $18.82 | $20.23 | $20.42 | $20.50 |
Total return (c) | 2.12 % | (4.98 )% | 1.57 % | 2.09 % | 4.52 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $137,106 | $210,757 | $184,072 | $130,701 | $50,228 |
Ratio of total expenses to average net assets (d) | 0.20 % | 0.20 % | 0.20 % | 0.20 % | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | 3.90 % | 1.53 % | 1.85 % | 2.36 % | 3.16 % (e) |
Portfolio turnover rate (f) | 52 % | 50 % | 54 % | 71 % | 14 % |
(a) | Inception date is January 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $23.49 | $26.72 | $20.99 | $19.87 |
Income from investment operations: | ||||
Net investment income (loss) | 0.35 (b) | 0.30 | 0.27 | 0.23 |
Net realized and unrealized gain (loss) | 2.25 | (3.26 ) | 5.72 | 1.07 |
Total from investment operations | 2.60 | (2.96 ) | 5.99 | 1.30 |
Distributions paid to shareholders from: | ||||
Net investment income | (0.37 ) | (0.27 ) | (0.26 ) | (0.18 ) |
Net asset value, end of period | $25.72 | $23.49 | $26.72 | $20.99 |
Total return (c) | 11.22 % | (11.18 )% | 28.74 % | 6.67 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $5,144 | $4,698 | $4,007 | $2,099 |
Ratio of total expenses to average net assets | 0.55 % | 0.55 % | 0.55 % | 0.55 % (d) |
Ratio of net investment income (loss) to average net assets | 1.47 % | 1.24 % | 1.12 % | 1.62 % (d) |
Portfolio turnover rate (e) | 55 % | 61 % | 70 % | 55 % |
(a) | Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $22.20 | $26.12 | $18.37 | $19.88 |
Income from investment operations: | ||||
Net investment income (loss) | 0.23 (b) | 0.32 | 0.19 | 0.18 |
Net realized and unrealized gain (loss) | 2.97 | (3.96 ) | 7.76 | (1.55 ) |
Total from investment operations | 3.20 | (3.64 ) | 7.95 | (1.37 ) |
Distributions paid to shareholders from: | ||||
Net investment income | (0.25 ) | (0.28 ) | (0.20 ) | (0.14 ) |
Net asset value, end of period | $25.15 | $22.20 | $26.12 | $18.37 |
Total return (c) | 14.59 % | (14.04 )% | 43.52 % | (6.86 )% |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $6,287 | $1,110 | $1,306 | $1,837 |
Ratio of total expenses to average net assets | 0.65 % | 0.65 % | 0.65 % | 0.65 % (d) |
Ratio of net investment income (loss) to average net assets | 0.96 % | 1.21 % | 0.81 % | 1.34 % (d) |
Portfolio turnover rate (e) | 49 % | 80 % | 80 % | 66 % |
(a) | Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $22.94 | $26.72 | $18.45 | $19.95 |
Income from investment operations: | ||||
Net investment income (loss) | 0.31 (b) | 0.25 | 0.05 | 0.12 |
Net realized and unrealized gain (loss) | 2.17 | (3.85 ) | 8.30 | (1.52 ) |
Total from investment operations | 2.48 | (3.60 ) | 8.35 | (1.40 ) |
Distributions paid to shareholders from: | ||||
Net investment income | (0.30 ) | (0.18 ) | (0.08 ) | (0.10 ) |
Net asset value, end of period | $25.12 | $22.94 | $26.72 | $18.45 |
Total return (c) | 10.97 % | (13.52 )% | 45.40 % | (7.03 )% |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $3,768 | $2,294 | $2,672 | $1,845 |
Ratio of total expenses to average net assets (d) | 0.75 % | 0.75 % | 0.75 % | 0.75 % (e) |
Ratio of net investment income (loss) to average net assets | 1.30 % | 1.01 % | 0.27 % | 0.91 % (e) |
Portfolio turnover rate (f) | 59 % | 73 % | 86 % | 65 % |
(a) | Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by certain underlying securities in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
August 31, 2023
First Trust Income Opportunities ETF – (The Nasdaq Stock Market LLC (“Nasdaq”) ticker “FCEF”) |
First Trust Flexible Municipal High Income ETF – (Nasdaq ticker “MFLX”) |
First Trust Low Duration Strategic Focus ETF – (Nasdaq ticker “LDSF”) |
First Trust Active Factor Large Cap ETF – (NYSE Arca, Inc. (“NYSE Arca”) ticker “AFLG”) |
First Trust Active Factor Mid Cap ETF – (NYSE Arca ticker “AFMC”) |
First Trust Active Factor Small Cap ETF – (NYSE Arca ticker “AFSM”) |
August 31, 2023
August 31, 2023
August 31, 2023
August 31, 2023
Security Name | Shares at 8/31/2023 | Value at 8/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 8/31/2023 | Dividend Income |
First Trust Enhanced Short Maturity ETF | 172,207 | $26,154,896 | $5,029,425 | $(20,960,393 ) | $21,993 | $(3,049 ) | $10,242,872 | $679,960 |
First Trust Limited Duration Investment Grade Corporate ETF | 2,565,615 | — | 76,183,128 | (28,046,589 ) | (395,162 ) | (20,938 ) | 47,720,439 | 1,464,658 |
First Trust Low Duration Opportunities ETF | 1,145,490 | 83,828,430 | 20,384,277 | (48,083,938 ) | (271,123 ) | (1,206,318 ) | 54,651,328 | 2,760,147 |
First Trust Tactical High Yield ETF | 344,101 | 32,671,917 | 5,163,567 | (23,131,581 ) | 1,583,864 | (2,571,901 ) | 13,715,866 | 1,188,321 |
First Trust TCW Unconstrained Plus Bond ETF | 141,344 | 26,306,800 | 5,142,601 | (27,372,134 ) | 1,448,423 | (2,091,031 ) | 3,434,659 | 753,569 |
$168,962,043 | $111,902,998 | $(147,594,635 ) | $2,387,995 | $(5,893,237 ) | $129,765,164 | $6,846,655 |
Security | Acquisition Date | Shares | Current Price | Carrying Cost | Value | % of Net Assets |
OmniAb, Inc. - 12.5 Earnout Shares | 11/02/2022 | 53 | $0.00 | $0 | $0 | 0.00 % |
OmniAb, Inc. - 15 Earnout Shares | 11/02/2022 | 53 | 0.00 | 0 | 0 | 0.00 |
$0 | $0 | 0.00 % |
August 31, 2023
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Tax-Exempt Income | Distributions paid from Return of Capital | |
First Trust Income Opportunities ETF | $1,844,568 | $71,857 | $— | $— |
First Trust Flexible Municipal High Income ETF | 599 | — | 463,356 | 13,046 |
First Trust Low Duration Strategic Focus ETF | 6,541,477 | — | — | — |
First Trust Active Factor Large Cap ETF | 73,281 | — | — | — |
First Trust Active Factor Mid Cap ETF | 19,426 | — | — | — |
First Trust Active Factor Small Cap ETF | 53,926 | — | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Tax-Exempt Income | Distributions paid from Return of Capital | |
First Trust Income Opportunities ETF | $1,853,122 | $169,090 | $— | $— |
First Trust Flexible Municipal High Income ETF | 18,745 | 29,680 | 668,664 | 10,763 |
First Trust Low Duration Strategic Focus ETF | 4,397,151 | — | — | 729,900 |
First Trust Active Factor Large Cap ETF | 46,676 | — | — | — |
First Trust Active Factor Mid Cap ETF | 19,566 | — | — | — |
First Trust Active Factor Small Cap ETF | 18,130 | — | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust Income Opportunities ETF | $— | $— | $(3,800,025 ) |
First Trust Flexible Municipal High Income ETF | — | (3,695,044 ) | (440,022 ) |
First Trust Low Duration Strategic Focus ETF | 853 | (11,763,130 ) | (6,460,046 ) |
First Trust Active Factor Large Cap ETF | 14,685 | (628,309 ) | 509,247 |
First Trust Active Factor Mid Cap ETF | 10,606 | (503,467 ) | 563,203 |
First Trust Active Factor Small Cap ETF | 7,708 | (718,617 ) | 268,219 |
August 31, 2023
Non-Expiring Capital Loss Carryforwards | |
First Trust Income Opportunities ETF | $— |
First Trust Flexible Municipal High Income ETF | 3,695,044 |
First Trust Low Duration Strategic Focus ETF | 11,763,130 |
First Trust Active Factor Large Cap ETF | 628,309 |
First Trust Active Factor Mid Cap ETF | 503,467 |
First Trust Active Factor Small Cap ETF | 718,617 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
First Trust Income Opportunities ETF | $775,169 | $6,770 | $(781,939 ) |
First Trust Flexible Municipal High Income ETF | 8,542 | (19 ) | (8,523 ) |
First Trust Low Duration Strategic Focus ETF | (575,266 ) | 2,976,136 | (2,400,870 ) |
First Trust Active Factor Large Cap ETF | — | — | — |
First Trust Active Factor Mid Cap ETF | — | 28 | (28 ) |
First Trust Active Factor Small Cap ETF | — | (243,124 ) | 243,124 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust Income Opportunities ETF | $31,920,247 | $477,302 | $(4,277,327 ) | $(3,800,025 ) |
First Trust Flexible Municipal High Income ETF | 12,468,474 | 59,150 | (499,172 ) | (440,022 ) |
First Trust Low Duration Strategic Focus ETF | 143,548,104 | 10,723 | (6,470,769 ) | (6,460,046 ) |
First Trust Active Factor Large Cap ETF | 4,628,304 | 732,535 | (223,288 ) | 509,247 |
First Trust Active Factor Mid Cap ETF | 5,717,948 | 730,335 | (167,132 ) | 563,203 |
First Trust Active Factor Small Cap ETF | 3,496,542 | 585,612 | (317,393 ) | 268,219 |
August 31, 2023
Breakpoints | FCEF | MFLX |
Fund net assets up to and including $2.5 billion | 0.85000 % | 0.75000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % | 0.73125 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % | 0.71250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % | 0.69375 % |
Fund net assets greater than $10 billion | 0.76500 % | 0.67500 % |
Breakpoints | LDSF | AFLG | AFMC | AFSM |
Fund net assets up to and including $2.5 billion | 0.200 % | 0.55000 % | 0.65000 % | 0.75000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.195 % | 0.53625 % | 0.63375 % | 0.73125 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.190 % | 0.52250 % | 0.61750 % | 0.71250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.185 % | 0.50875 % | 0.60125 % | 0.69375 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.180 % | 0.49500 % | 0.58500 % | 0.67500 % |
Fund net assets greater than $15 billion | 0.170 % | 0.46750 % | 0.55250 % | 0.63750 % |
Rate | |
First Trust Income Opportunities ETF | 0.85 % |
First Trust Flexible Municipal High Income ETF | 0.75 % |
First Trust Low Duration Strategic Focus ETF | 0.20 % |
First Trust Active Factor Large Cap ETF | 0.55 % |
First Trust Active Factor Mid Cap ETF | 0.65 % |
First Trust Active Factor Small Cap ETF | 0.75 % |
August 31, 2023
Purchases | Sales | |
First Trust Income Opportunities ETF | $8,540,725 | $4,019,037 |
First Trust Flexible Municipal High Income ETF | 3,223,609 | 4,536,968 |
First Trust Low Duration Strategic Focus ETF | 93,435,710 | 93,834,059 |
First Trust Active Factor Large Cap ETF | 2,630,732 | 2,635,935 |
First Trust Active Factor Mid Cap ETF | 1,432,410 | 1,425,560 |
First Trust Active Factor Small Cap ETF | 2,415,079 | 2,405,791 |
Purchases | Sales | |
First Trust Income Opportunities ETF | $930,056 | $2,602,695 |
First Trust Flexible Municipal High Income ETF | — | — |
First Trust Low Duration Strategic Focus ETF | 50,145,848 | 120,421,969 |
First Trust Active Factor Large Cap ETF | — | — |
First Trust Active Factor Mid Cap ETF | 4,580,201 | — |
First Trust Active Factor Small Cap ETF | 3,397,564 | 2,303,233 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $— | Unrealized depreciation on futures contracts* | $2,568 |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in the Fund’s Portfolio of Investments. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
August 31, 2023
Statements of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $(1,732 ) |
Net change in unrealized appreciation (depreciation) on futures contracts | (2,568 ) |
August 31, 2023
Individual Funds Included in the Trust | Financial Highlights |
First Trust Income Opportunities ETF (FCEF) First Trust Flexible Municipal High Income ETF (MFLX) | For the years ended August 31, 2023, 2022, 2021, 2020, and 2019 |
First Trust Low Duration Strategic Focus ETF (LDSF) | For the years ended August 31, 2023, 2022, 2021, and 2020, and for the period from January 3, 2019 (commencement of investment operations) through August 31, 2019 |
First Trust Active Factor Large Cap ETF (AFLG) First Trust Active Factor Mid Cap ETF (AFMC) First Trust Active Factor Small Cap ETF (AFSM) | For the years ended August 31, 2023, 2022, and 2021, and for the period from December 3, 2019 (commencement of investment operations) through August 31, 2020 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img8c3318629.jpg)
October 23, 2023
August 31, 2023 (Unaudited)
Dividends Received Deduction | |
First Trust Income Opportunities ETF | * |
First Trust Flexible Municipal High Income ETF | * |
First Trust Low Duration Strategic Focus ETF | 0.00 % |
First Trust Active Factor Large Cap ETF | 100.00 % |
First Trust Active Factor Mid Cap ETF | 100.00 % |
First Trust Active Factor Small Cap ETF | 100.00 % |
* | The actual percentage of income dividends that qualify for the dividend received deduction will be available to corporate shareholders shortly after the calendar year end. |
Qualified Dividend Income | |
First Trust Income Opportunities ETF | ** |
First Trust Flexible Municipal High Income ETF | ** |
First Trust Low Duration Strategic Focus ETF | 0.00 % |
First Trust Active Factor Large Cap ETF | 100.00 % |
First Trust Active Factor Mid Cap ETF | 100.00 % |
First Trust Active Factor Small Cap ETF | 100.00 % |
** | The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after the calendar year end. |
August 31, 2023 (Unaudited)
Federal and State Income Tax | Percentages |
Tax-Exempt Interest Dividends | 99.88 % |
Alternative Minimum Tax (AMT) | 14.47 % |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
First Trust Income Opportunities ETF (FCEF) |
First Trust Flexible Municipal High Income ETF (MFLX) |
First Trust Low Duration Strategic Focus ETF (LDSF) |
First Trust Active Factor Large Cap ETF (AFLG) |
First Trust Active Factor Mid Cap ETF (AFMC) |
First Trust Active Factor Small Cap ETF (AFSM) |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img070f5f5810.gif)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img57043b2d1.gif)
First Trust Innovation Leaders ETF (ILDR) |
First Trust Expanded Technology ETF (XPND) |
First Trust Multi-Strategy Alternative ETF (LALT) |
Annual Report
August 31, 2023
2 | |
3 | |
5 | |
7 | |
8 | |
9 | |
15 | |
16 | |
18 | |
20 | |
22 | |
23 | |
24 | |
26 | |
29 | |
37 | |
38 | |
46 | |
48 |
Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img47a702302.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (5/25/21) to 8/31/23 | Inception (5/25/21) to 8/31/23 | |
Fund Performance | |||
NAV | 20.03% | -4.11% | -9.08% |
Market Price | 19.76% | -3.92% | -8.68% |
Index Performance | |||
Russell 3000® Growth Index | 21.03% | 4.51% | 10.53% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 40.9% |
Health Care | 20.3 |
Industrials | 14.1 |
Communication Services | 11.7 |
Consumer Discretionary | 7.6 |
Financials | 5.4 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Amazon.com, Inc. | 5.8% |
Microsoft Corp. | 5.6 |
NVIDIA Corp. | 5.2 |
Alphabet, Inc., Class C | 4.6 |
Uber Technologies, Inc. | 4.0 |
ServiceNow, Inc. | 3.3 |
Regeneron Pharmaceuticals, Inc. | 2.9 |
Schneider Electric SE | 2.4 |
Netflix, Inc. | 2.3 |
Broadcom, Inc. | 2.3 |
Total | 38.4% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (6/14/21) to 8/31/23 | Inception (6/14/21) to 8/31/23 | |
Fund Performance | |||
NAV | 28.55% | 3.71% | 8.40% |
Market Price | 28.55% | 3.71% | 8.40% |
Index Performance | |||
S&P 500® Information Technology Index | 33.33% | 11.29% | 26.73% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 74.6% |
Communication Services | 14.1 |
Financials | 11.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Adobe, Inc. | 5.5% |
NVIDIA Corp. | 5.3 |
Cisco Systems, Inc. | 4.7 |
Broadcom, Inc. | 4.6 |
Mastercard, Inc., Class A | 4.6 |
Meta Platforms, Inc., Class A | 4.6 |
Visa, Inc., Class A | 4.5 |
Alphabet, Inc., Class A | 4.5 |
Netflix, Inc. | 4.5 |
Apple, Inc. | 4.3 |
Total | 47.1% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |
Cumulative Total Returns | |
Inception (1/31/23) to 8/31/23 | |
Fund Performance | |
NAV | 1.47% |
Market Price | 1.57% |
Index Performance | |
Credit Suisse AllHedge Index(1) | 2.05% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
(1) | Effective as of August 1, 2023, the Credit Suisse AllHedge Index replaced the Hedge Fund Research HFRX Global Fund Index, which is no longer available for use by the Fund. |
Annual Report
August 31, 2023 (Unaudited)
David McGarel, CFA, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Chris Peterson, CFA, Senior Vice President of First Trust
Jared Wollen, CFA, Vice President of First Trust
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Jon C. Erickson, Senior Vice President of First Trust
David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Roger F. Testin, Senior Vice President of First Trust
Stan Ueland, Senior Vice President of First Trust
Chris A. Peterson, Senior Vice President of First Trust
Erik Russo, Vice President of First Trust
Omar Sepulveda, Vice President of First Trust
Annual Report
August 31, 2023 (Unaudited)
Annual Report
August 31, 2023 (Unaudited)
Rob Guttschow, CFA, Senior Vice President, Co-Head of the Alternatives Investment Team of First Trust
Daniel J. Lindquist, Chairman of the Investment Committee and Managing Director of First Trust
David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
Chris A. Petersen, CFA, Senior Vice President and Head of Research Strategy of First Trust
Annual Report
August 31, 2023 (Unaudited)
long-only bond strategies. Additionally, we believe that a Multi-Strategy fund offers investors a simple approach to building a diversified position in Alternative strategies.
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Innovation Leaders ETF (ILDR) | ||||
Actual | $1,000.00 | $1,187.70 | 0.75% | $4.14 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.42 | 0.75% | $3.82 |
First Trust Expanded Technology ETF (XPND) | ||||
Actual | $1,000.00 | $1,266.50 | 0.65% | $3.71 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.93 | 0.65% | $3.31 |
First Trust Multi-Strategy Alternative ETF (LALT) (b) | ||||
Actual | $1,000.00 | $1,026.00 | 0.20% | $1.02 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,024.20 | 0.20% | $1.02 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
(b) | Annualized expense ratio and expenses paid during the period do not include fees and expenses of the underlying funds in which the Fund invests. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 96.1% | |||||
Aerospace & Defense — 2.7% | |||||
1,273 | AeroVironment, Inc. (a) | $123,519 | |||
631 | L3Harris Technologies, Inc. | 112,375 | |||
426 | Northrop Grumman Corp. | 184,496 | |||
420,390 | |||||
Automobiles — 1.8% | |||||
1,055 | Tesla, Inc. (a) | 272,274 | |||
Biotechnology — 13.0% | |||||
988 | Alnylam Pharmaceuticals, Inc. (a) | 195,446 | |||
6,121 | Arcus Biosciences, Inc. (a) | 125,481 | |||
3,111 | BioMarin Pharmaceutical, Inc. (a) | 284,283 | |||
26,872 | Coherus Biosciences, Inc. (a) | 143,228 | |||
1,905 | Intellia Therapeutics, Inc. (a) | 71,399 | |||
524 | Regeneron Pharmaceuticals, Inc. (a) | 433,081 | |||
5,091 | REGENXBIO, Inc. (a) | 90,111 | |||
9,900 | Replimune Group, Inc. (a) | 202,158 | |||
8,519 | SpringWorks Therapeutics, Inc. (a) | 240,065 | |||
650 | Vertex Pharmaceuticals, Inc. (a) | 226,421 | |||
2,011,673 | |||||
Broadline Retail — 5.6% | |||||
6,258 | Amazon.com, Inc. (a) | 863,667 | |||
Capital Markets — 1.1% | |||||
1,955 | Tradeweb Markets, Inc., Class A | 168,971 | |||
Communications Equipment — 2.1% | |||||
1,140 | Arista Networks, Inc. (a) | 222,562 | |||
2,124 | Ciena Corp. (a) | 106,158 | |||
328,720 | |||||
Electrical Equipment — 4.1% | |||||
5,321 | Bloom Energy Corp., Class A (a) | 79,762 | |||
2,039 | Emerson Electric Co. | 200,332 | |||
2,076 | Schneider Electric SE (EUR) | 356,981 | |||
637,075 | |||||
Electronic Equipment, Instruments & Components — 1.6% | |||||
766 | Keysight Technologies, Inc. (a) | 102,108 | |||
1,055 | TE Connectivity Ltd. | 139,671 | |||
241,779 | |||||
Entertainment — 3.0% | |||||
801 | Netflix, Inc. (a) | 347,378 | |||
849 | Take-Two Interactive Software, Inc. (a) | 120,728 | |||
468,106 | |||||
Financial Services — 4.1% | |||||
105 | Adyen N.V. (EUR) (a) (b) (c) | 87,955 | |||
1,904 | Block, Inc. (a) | 109,766 | |||
6,802 | Toast, Inc., Class A (a) | 150,800 | |||
1,158 | Visa, Inc., Class A | 284,497 | |||
633,018 | |||||
Ground Transportation — 3.9% | |||||
12,715 | Uber Technologies, Inc. (a) | 600,529 |
Shares | Description | Value | |||
Health Care Equipment & Supplies — 3.0% | |||||
461 | Align Technology, Inc. (a) | $170,635 | |||
900 | Dexcom, Inc. (a) | 90,882 | |||
424 | Intuitive Surgical, Inc. (a) | 132,576 | |||
5,304 | Outset Medical, Inc. (a) | 72,187 | |||
466,280 | |||||
Health Care Providers & Services — 0.6% | |||||
2,976 | Fulgent Genetics, Inc. (a) | 97,494 | |||
Industrial Conglomerates — 1.9% | |||||
1,980 | Siemens AG (EUR) | 298,178 | |||
Interactive Media & Services — 7.3% | |||||
4,964 | Alphabet, Inc., Class C (a) | 681,805 | |||
985 | Meta Platforms, Inc., Class A (a) | 291,452 | |||
4,950 | TripAdvisor, Inc. (a) | 74,794 | |||
4,234 | ZoomInfo Technologies, Inc. (a) | 76,297 | |||
1,124,348 | |||||
IT Services — 3.5% | |||||
495 | Accenture PLC, Class A | 160,266 | |||
381 | MongoDB, Inc. (a) | 145,275 | |||
2,126 | Shopify, Inc., Class A (a) | 141,358 | |||
1,582 | Twilio, Inc., Class A (a) | 100,789 | |||
547,688 | |||||
Life Sciences Tools & Services — 2.8% | |||||
6,360 | Avantor, Inc. (a) | 137,694 | |||
7,447 | Cytek Biosciences, Inc. (a) | 56,597 | |||
443 | Thermo Fisher Scientific, Inc. | 246,796 | |||
441,087 | |||||
Media — 0.9% | |||||
1,838 | Trade Desk (The), Inc., Class A (a) | 147,095 | |||
Professional Services — 0.9% | |||||
708 | Paylocity Holding Corp. (a) | 141,954 | |||
Semiconductors & Semiconductor Equipment — 9.0% | |||||
371 | Broadcom, Inc. | 342,392 | |||
733 | Enphase Energy, Inc. (a) | 92,746 | |||
1,786 | Marvell Technology, Inc. | 104,035 | |||
1,582 | NVIDIA Corp. | 780,796 | |||
1,378 | Rambus, Inc. (a) | 77,816 | |||
1,397,785 | |||||
Software — 22.2% | |||||
1,260 | Autodesk, Inc. (a) | 279,644 | |||
1,906 | Crowdstrike Holdings, Inc., Class A (a) | 310,735 | |||
2,535 | Datadog, Inc., Class A (a) | 244,577 | |||
3,395 | Dynatrace, Inc. (a) | 163,639 | |||
464 | Intuit, Inc. | 251,400 | |||
2,534 | Microsoft Corp. | 830,544 | |||
12,729 | Palantir Technologies, Inc., Class A (a) | 190,680 | |||
3,536 | PowerSchool Holdings, Inc., Class A (a) | 78,216 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Software (Continued) | |||||
846 | ServiceNow, Inc. (a) | $498,150 | |||
1,697 | Smartsheet, Inc., Class A (a) | 70,816 | |||
2,126 | Sprout Social, Inc., Class A (a) | 113,826 | |||
733 | Workday, Inc., Class A (a) | 179,219 | |||
1,414 | Zscaler, Inc. (a) | 220,655 | |||
3,432,101 | |||||
Technology Hardware, Storage & Peripherals — 1.0% | |||||
4,029 | Pure Storage, Inc., Class A (a) | 147,421 | |||
Total Common Stocks | 14,887,633 | ||||
(Cost $14,584,538) | |||||
MONEY MARKET FUNDS — 3.9% | |||||
602,382 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (d) | 602,382 | |||
(Cost $602,382) | |||||
Total Investments — 100.0% | 15,490,015 | ||||
(Cost $15,186,920) | |||||
Net Other Assets and Liabilities — (0.0)% | (801 ) | ||||
Net Assets — 100.0% | $15,489,214 |
(a) | Non-income producing security. |
(b) | This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(d) | Rate shown reflects yield as of August 31, 2023. |
Abbreviations throughout the Portfolio of Investments: | |
EUR | – Euro |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $14,887,633 | $14,887,633 | $— | $— |
Money Market Funds | 602,382 | 602,382 | — | — |
Total Investments | $15,490,015 | $15,490,015 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.8% | |||||
Communications Equipment — 6.2% | |||||
513 | Arista Networks, Inc. (a) | $100,153 | |||
5,346 | Cisco Systems, Inc. | 306,593 | |||
406,746 | |||||
Electronic Equipment, Instruments & Components — 2.1% | |||||
992 | Amphenol Corp., Class A | 87,673 | |||
87 | CDW Corp. | 18,370 | |||
92 | Keysight Technologies, Inc. (a) | 12,263 | |||
39 | Teledyne Technologies, Inc. (a) | 16,314 | |||
134,620 | |||||
Entertainment — 4.8% | |||||
672 | Netflix, Inc. (a) | 291,433 | |||
603 | Warner Music Group Corp., Class A | 20,080 | |||
311,513 | |||||
Financial Services — 11.3% | |||||
1,029 | Fiserv, Inc. (a) | 124,910 | |||
65 | FleetCor Technologies, Inc. (a) | 17,663 | |||
728 | Mastercard, Inc., Class A | 300,402 | |||
1,202 | Visa, Inc., Class A | 295,307 | |||
738,282 | |||||
Interactive Media & Services — 9.1% | |||||
2,162 | Alphabet, Inc., Class A (a) | 294,399 | |||
1,004 | Meta Platforms, Inc., Class A (a) | 297,074 | |||
591,473 | |||||
IT Services — 0.2% | |||||
160 | Akamai Technologies, Inc. (a) | 16,814 | |||
Media — 0.2% | |||||
167 | Omnicom Group, Inc. | 13,529 | |||
Semiconductors & Semiconductor Equipment — 31.6% | |||||
2,247 | Advanced Micro Devices, Inc. (a) | 237,553 | |||
836 | Analog Devices, Inc. | 151,968 | |||
1,399 | Applied Materials, Inc. | 213,711 | |||
328 | Broadcom, Inc. | 302,708 | |||
85 | Enphase Energy, Inc. (a) | 10,755 | |||
229 | KLA Corp. | 114,928 | |||
224 | Lam Research Corp. | 157,338 | |||
182 | Lattice Semiconductor Corp. (a) | 17,701 | |||
1,432 | Marvell Technology, Inc. | 83,414 | |||
909 | Microchip Technology, Inc. | 74,393 | |||
30 | Monolithic Power Systems, Inc. | 15,636 | |||
702 | NVIDIA Corp. | 346,472 | |||
719 | ON Semiconductor Corp. (a) | 70,793 |
Shares | Description | Value | |||
Semiconductors & Semiconductor Equipment (Continued) | |||||
142 | Skyworks Solutions, Inc. | $15,441 | |||
1,512 | Texas Instruments, Inc. | 254,107 | |||
2,066,918 | |||||
Software — 29.7% | |||||
635 | Adobe, Inc. (a) | 355,181 | |||
45 | ANSYS, Inc. (a) | 14,349 | |||
357 | Autodesk, Inc. (a) | 79,233 | |||
303 | Bentley Systems, Inc., Class B | 15,123 | |||
454 | Cadence Design Systems, Inc. (a) | 109,160 | |||
395 | Crowdstrike Holdings, Inc., Class A (a) | 64,397 | |||
290 | Dynatrace, Inc. (a) | 13,978 | |||
841 | Gen Digital, Inc. | 17,030 | |||
466 | Intuit, Inc. | 252,483 | |||
81 | Manhattan Associates, Inc. (a) | 16,412 | |||
808 | Microsoft Corp. | 264,830 | |||
509 | Palo Alto Networks, Inc. (a) | 123,840 | |||
110 | PTC, Inc. (a) | 16,189 | |||
1,189 | Salesforce, Inc. (a) | 263,316 | |||
339 | ServiceNow, Inc. (a) | 199,613 | |||
254 | Synopsys, Inc. (a) | 116,558 | |||
38 | Tyler Technologies, Inc. (a) | 15,140 | |||
1,936,832 | |||||
Technology Hardware, Storage & Peripherals — 4.6% | |||||
1,498 | Apple, Inc. | 281,429 | |||
222 | NetApp, Inc. | 17,028 | |||
298,457 | |||||
Total Common Stocks | 6,515,184 | ||||
(Cost $5,485,904) | |||||
MONEY MARKET FUNDS — 0.2% | |||||
14,254 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (b) | 14,254 | |||
(Cost $14,254) | |||||
Total Investments — 100.0% | 6,529,438 | ||||
(Cost $5,500,158) | |||||
Net Other Assets and Liabilities — (0.0)% | (849 ) | ||||
Net Assets — 100.0% | $6,528,589 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of August 31, 2023. |
Portfolio of Investments (Continued)
August 31, 2023
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $6,515,184 | $6,515,184 | $— | $— |
Money Market Funds | 14,254 | 14,254 | — | — |
Total Investments | $6,529,438 | $6,529,438 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
EXCHANGE-TRADED FUNDS — 99.9% | |||||
Capital Markets — 99.9% | |||||
7,548 | First Trust Alternative Absolute Return Strategy ETF (a) | $218,666 | |||
4,343 | First Trust Global Tactical Commodity Strategy Fund (a) | 106,186 | |||
1,876 | First Trust Long/Short Equity ETF (a) | 100,572 | |||
4,438 | First Trust Managed Futures Strategy Fund (a) | 216,598 | |||
5,950 | First Trust Merger Arbitrage ETF (a) | 120,904 | |||
4,101 | First Trust TCW Unconstrained Plus Bond ETF (a) | 99,654 | |||
1,025 | iShares 7-10 Year Treasury Bond ETF | 97,170 | |||
1,361 | iShares Gold Trust (b) | 50,017 | |||
Total Investments — 99.9% | 1,009,767 | ||||
(Cost $1,005,782) | |||||
Net Other Assets and Liabilities — 0.1% | 1,023 | ||||
Net Assets — 100.0% | $1,010,790 |
(a) | Investment in an affiliated fund. |
(b) | Non-income producing security. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $1,009,767 | $1,009,767 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Statements of Assets and Liabilities
August 31, 2023
First Trust Innovation Leaders ETF (ILDR) | First Trust Expanded Technology ETF (XPND) | First Trust Multi-Strategy Alternative ETF (LALT) | |
ASSETS: | |||
Investments, at value - Unaffiliated | $15,490,015 | $6,529,438 | $147,187 |
Investments, at value - Affiliated | — | — | 862,580 |
Total investments, at value | 15,490,015 | 6,529,438 | 1,009,767 |
Cash | — | — | 1,193 |
Receivables: | |||
Dividends | 6,774 | 2,625 | — |
Reclaims | 322 | — | — |
Total Assets | 15,497,111 | 6,532,063 | 1,010,960 |
LIABILITIES: | |||
Investment advisory fees payable | 7,897 | 3,474 | 170 |
Total Liabilities | 7,897 | 3,474 | 170 |
NET ASSETS | $15,489,214 | $6,528,589 | $1,010,790 |
NET ASSETS consist of: | |||
Paid-in capital | $16,013,359 | $8,328,206 | $1,000,028 |
Par value | 8,500 | 3,000 | 500 |
Accumulated distributable earnings (loss) | (532,645 ) | (1,802,617 ) | 10,262 |
NET ASSETS | $15,489,214 | $6,528,589 | $1,010,790 |
NET ASSET VALUE, per share | $18.22 | $21.76 | $20.21 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 850,002 | 300,002 | 50,002 |
Investments, at cost - Unaffiliated | $15,186,920 | $5,500,158 | $149,826 |
Investments, at cost - Affiliated | $— | $— | $855,956 |
Total investments, at cost | $15,186,920 | $5,500,158 | $1,005,782 |
Statements of Operations
For the Period Ended August 31, 2023
First Trust Innovation Leaders ETF (ILDR) | First Trust Expanded Technology ETF (XPND) | First Trust Multi-Strategy Alternative ETF (LALT) (a) | |
INVESTMENT INCOME: | |||
Dividends - Unaffiliated | $20,639 | $103,714 | $485 |
Dividends - Affiliated | — | — | 12,065 |
Foreign withholding tax | (451 ) | — | — |
Total investment income | 20,188 | 103,714 | 12,550 |
EXPENSES: | |||
Investment advisory fees | 29,414 | 66,638 | 1,158 |
Total expenses | 29,414 | 66,638 | 1,158 |
NET INVESTMENT INCOME (LOSS) | (9,226 ) | 37,076 | 11,392 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
Net realized gain (loss) on: | |||
Investments - Unaffiliated | (275,630 ) | (1,264,614 ) | 9 |
Investments - Affiliated | — | — | (504 ) |
In-kind redemptions - Unaffiliated | — | 515,401 | — |
Foreign currency transactions | 55 | — | — |
Net realized gain (loss) | (275,575 ) | (749,213 ) | (495 ) |
Net change in unrealized appreciation (depreciation) on: | |||
Investments - Unaffiliated | 975,933 | 2,807,934 | (2,639 ) |
Investments - Affiliated | — | — | 6,624 |
Foreign currency translation | 2 | — | — |
Net change in unrealized appreciation (depreciation) | 975,935 | 2,807,934 | 3,985 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 700,360 | 2,058,721 | 3,490 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $691,134 | $2,095,797 | $14,882 |
(a) | Inception date is January 31, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
Statements of Changes in Net Assets
First Trust Innovation Leaders ETF (ILDR) | First Trust Expanded Technology ETF (XPND) | |||
Year Ended 8/31/2023 | Year Ended 8/31/2022 | Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $(9,226 ) | $(16,898 ) | $37,076 | $31,444 |
Net realized gain (loss) | (275,575 ) | (345,905 ) | (749,213 ) | (1,562,992 ) |
Net change in unrealized appreciation (depreciation) | 975,935 | (994,121 ) | 2,807,934 | (2,600,150 ) |
Net increase (decrease) in net assets resulting from operations | 691,134 | (1,356,924 ) | 2,095,797 | (4,131,698 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | — | (5,085 ) | (50,226 ) | (16,900 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 11,762,394 | 2,079,627 | 3,331,179 | 4,886,380 |
Cost of shares redeemed | — | (1,125,105 ) | (14,148,114 ) | (1,837,015 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 11,762,394 | 954,522 | (10,816,935 ) | 3,049,365 |
Total increase (decrease) in net assets | 12,453,528 | (407,487 ) | (8,771,364 ) | (1,099,233 ) |
NET ASSETS: | ||||
Beginning of period | 3,035,686 | 3,443,173 | 15,299,953 | 16,399,186 |
End of period | $15,489,214 | $3,035,686 | $6,528,589 | $15,299,953 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 200,002 | 150,002 | 900,002 | 750,002 |
Shares sold | 650,000 | 100,000 | 200,000 | 250,000 |
Shares redeemed | — | (50,000 ) | (800,000 ) | (100,000 ) |
Shares outstanding, end of period | 850,002 | 200,002 | 300,002 | 900,002 |
(a) | Inception date is January 31, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
First Trust Multi-Strategy Alternative ETF (LALT) |
Period Ended 8/31/2023 (a) |
$11,392 |
(495 ) |
3,985 |
14,882 |
(4,620 ) |
1,000,528 |
— |
1,000,528 |
1,010,790 |
— |
$1,010,790 |
— |
50,002 |
— |
50,002 |
Financial Highlights
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $15.18 | $22.95 | $20.07 |
Income from investment operations: | |||
Net investment income (loss) | (0.04 ) (b) | (0.08 ) | (0.02 ) |
Net realized and unrealized gain (loss) | 3.08 | (7.66 ) | 2.90 |
Total from investment operations | 3.04 | (7.74 ) | 2.88 |
Distributions paid to shareholders from: | |||
Net investment income | — | (0.00 ) (c) | — |
Net realized gain | — | (0.03 ) | — |
Total distributions | — | (0.03 ) | — |
Net asset value, end of period | $18.22 | $15.18 | $22.95 |
Total return (d) | 20.03 % | (33.75 )% | 14.35 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $15,489 | $3,036 | $3,443 |
Ratio of total expenses to average net assets | 0.75 % | 0.75 % | 0.75 % (e) |
Ratio of net investment income (loss) to average net assets | (0.24 )% | (0.51 )% | (0.49 )% (e) |
Portfolio turnover rate (f) | 51 % | 58 % | 9 % |
(a) | Inception date is May 25, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2021 (a) | ||
2023 | 2022 | ||
Net asset value, beginning of period | $17.00 | $21.87 | $20.18 |
Income from investment operations: | |||
Net investment income (loss) | 0.06 (b) | 0.04 | (0.00 ) (c) |
Net realized and unrealized gain (loss) | 4.77 | (4.89 ) | 1.69 |
Total from investment operations | 4.83 | (4.85 ) | 1.69 |
Distributions paid to shareholders from: | |||
Net investment income | (0.07 ) | (0.02 ) | — |
Net asset value, end of period | $21.76 | $17.00 | $21.87 |
Total return (d) | 28.55 % | (22.19 )% | 8.37 % |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $6,529 | $15,300 | $16,399 |
Ratio of total expenses to average net assets | 0.65 % | 0.65 % | 0.65 % (e) |
Ratio of net investment income (loss) to average net assets | 0.36 % | 0.19 % | (0.03 )% (e) |
Portfolio turnover rate (f) | 81 % | 88 % | 0 % |
(a) | Inception date is June 14, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Financial Highlights (Continued)
For a share outstanding throughout the period
Period Ended 8/31/2023 (a) | |
Net asset value, beginning of period | $20.01 |
Income from investment operations: | |
Net investment income (loss) (b) | 0.23 |
Net realized and unrealized gain (loss) | 0.06 |
Total from investment operations | 0.29 |
Distributions paid to shareholders from: | |
Net investment income | (0.09 ) |
Net asset value, end of period | $20.21 |
Total return (c) | 1.47 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $1,011 |
Ratio of total expenses to average net assets (d) | 0.20 % (e) |
Ratio of net investment income (loss) to average net assets | 1.97 % (e) |
Portfolio turnover rate (f) | 17 % |
(a) | Inception date is January 31, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
August 31, 2023
First Trust Innovation Leaders ETF – (ticker “ILDR”) |
First Trust Expanded Technology ETF – (ticker “XPND”) |
First Trust Multi-Strategy Alternative ETF – (ticker “LALT”)(1) |
(1) | Commenced investment operations on January 31, 2023. |
August 31, 2023
August 31, 2023
August 31, 2023
Security Name | Shares at 8/31/2023 | Value at 1/31/2023* | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 8/31/2023 | Dividend Income |
First Trust Alternative Absolute Return Strategy ETF | 7,548 | $— | $225,996 | $(211 ) | $(7,120 ) | $1 | $218,666 | $2,781 |
First Trust Global Tactical Commodity Strategy Fund | 4,343 | — | 106,774 | (96 ) | (490 ) | (2 ) | 106,186 | 1,458 |
First Trust Long/Short Equity ETF | 1,876 | — | 103,062 | (8,851 ) | 6,126 | 235 | 100,572 | 664 |
First Trust Low Duration Opportunities ETF | — | — | 101,367 | (100,526 ) | — | (841 ) | — | 1,410 |
First Trust Managed Futures Strategy Fund | 4,438 | — | 215,820 | (7,086 ) | 7,743 | 121 | 216,598 | 2,868 |
First Trust Merger Arbitrage ETF | 5,950 | — | 119,617 | (140 ) | 1,427 | — | 120,904 | 273 |
First Trust TCW Unconstrained Plus Bond ETF | 4,101 | — | 101,920 | (1,186 ) | (1,062 ) | (18 ) | 99,654 | 2,611 |
$— | $974,556 | $(118,096 ) | $6,624 | $(504 ) | $862,580 | $12,065 |
* | Commenced investment operations on January 31, 2023 |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Innovation Leaders ETF | $— | $— | $— |
First Trust Expanded Technology ETF | 50,226 | — | — |
First Trust Multi-Strategy Alternative ETF | 4,620 | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Innovation Leaders ETF | $5,085 | $— | $— |
August 31, 2023
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Expanded Technology ETF | $16,900 | $— | $— |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust Innovation Leaders ETF | $(4,454 ) | $(805,741 ) | $277,550 |
First Trust Expanded Technology ETF | 1,394 | (2,821,732 ) | 1,017,721 |
First Trust Multi-Strategy Alternative ETF | 6,772 | (486 ) | 3,976 |
Non-Expiring Capital Loss Carryforwards | |
First Trust Innovation Leaders ETF | $805,741 |
First Trust Expanded Technology ETF | 2,821,732 |
First Trust Multi-Strategy Alternative ETF | 486 |
Qualified Late Year Losses | ||
Ordinary Losses | Capital Losses | |
First Trust Innovation Leaders ETF | $4,454 | $— |
First Trust Expanded Technology ETF | — | — |
First Trust Multi-Strategy Alternative ETF | — | — |
August 31, 2023
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
First Trust Innovation Leaders ETF | $15,303 | $(55 ) | $(15,248 ) |
First Trust Expanded Technology ETF | — | (488,167 ) | 488,167 |
First Trust Multi-Strategy Alternative ETF | — | — | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust Innovation Leaders ETF | $15,212,467 | $981,039 | $(703,491 ) | $277,548 |
First Trust Expanded Technology ETF | 5,511,717 | 1,100,925 | (83,204 ) | 1,017,721 |
First Trust Multi-Strategy Alternative ETF | 1,005,791 | 15,906 | (11,930 ) | 3,976 |
Breakpoints | ILDR |
Fund net assets up to and including $2.5 billion | 0.75000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.73125 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.71250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.69375 % |
Fund net assets greater than $10 billion | 0.67500 % |
August 31, 2023
Breakpoints | XPND | LALT |
Fund net assets up to and including $2.5 billion | 0.65000 % | 0.20000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.63375 % | 0.19500 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.61750 % | 0.19000 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.60125 % | 0.18500 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.58500 % | 0.18000 % |
Fund net assets greater than $15 billion | 0.55250 % | 0.17000 % |
Rate | |
First Trust Innovation Leaders ETF | 0.75 % |
First Trust Expanded Technology ETF | 0.65 % |
Purchases | Sales | |
First Trust Innovation Leaders ETF | $2,025,628 | $2,162,294 |
First Trust Expanded Technology ETF | 8,239,844 | 8,256,936 |
First Trust Multi-Strategy Alternative ETF | 173,699 | 168,471 |
Purchases | Sales | |
First Trust Innovation Leaders ETF | $11,329,942 | $— |
First Trust Expanded Technology ETF | 3,321,351 | 14,110,879 |
First Trust Multi-Strategy Alternative ETF | 1,001,049 | — |
August 31, 2023
Individual Funds Included in the Trust | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
First Trust Innovation Leaders ETF | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from May 25, 2021 (commencement of investment operations) through August 31, 2021 |
First Trust Expanded Technology ETF | For the year ended August 31, 2023 | For the years ended August 31, 2023 and 2022 | For the years ended August 31, 2023 and 2022, and for the period from June 14, 2021 (commencement of investment operations) through August 31, 2021 |
First Trust Multi-Strategy Alternative ETF | For the period from January 31, 2023 (commencement of investment operations) through August 31, 2023 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgc62f8adc6.jpg)
October 23, 2023
August 31, 2023 (Unaudited)
Dividends Received Deduction | |
First Trust Innovation Leaders ETF | 0.00 % |
First Trust Expanded Technology ETF | 100.00 % |
First Trust Multi-Strategy Alternative ETF | 0.00 % |
Qualified Dividend Income | |
First Trust Innovation Leaders ETF | 0.00 % |
First Trust Expanded Technology ETF | 100.00 % |
First Trust Multi-Strategy Alternative ETF | 0.00 % |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
First Trust Innovation Leaders ETF (ILDR) |
First Trust Expanded Technology ETF (XPND) |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
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120 East Liberty Drive, Suite 400
Wheaton, IL 60187
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img8d90347a1.gif)
First Trust Multi-Manager Large Growth ETF (MMLG) |
Sands Capital Management, LLC
Annual Report
August 31, 2023
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Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img34eb2f222.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (7/21/20) to 8/31/23 | Inception (7/21/20) to 8/31/23 | |
Fund Performance | |||
NAV | 19.90% | 3.08% | 9.90% |
Market Price | 19.86% | 3.05% | 9.80% |
Index Performance | |||
Russell 1000® Growth Index | 21.94% | 11.94% | 42.05% |
Russell 1000® Index | 15.40% | 12.25% | 43.27% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 44.2% |
Consumer Discretionary | 15.0 |
Communication Services | 11.7 |
Health Care | 10.4 |
Financials | 8.3 |
Industrials | 5.1 |
Consumer Staples | 2.3 |
Real Estate | 2.0 |
Materials | 0.6 |
Energy | 0.4 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Microsoft Corp. | 9.5% |
Amazon.com, Inc. | 7.3 |
NVIDIA Corp. | 6.7 |
ServiceNow, Inc. | 4.8 |
Apple, Inc. | 4.6 |
Meta Platforms, Inc., Class A | 4.1 |
Visa, Inc., Class A | 3.2 |
Alphabet, Inc., Class A | 2.9 |
Dexcom, Inc. | 2.7 |
Uber Technologies, Inc. | 2.2 |
Total | 48.0% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Annual Report
August 31, 2023 (Unaudited)
• Daniel J. Lindquist, Managing Director of First Trust
• Jon C. Erickson, Senior Vice President of First Trust
• David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
• Roger F. Testin, Senior Vice President of First Trust
• Stan Ueland, Senior Vice President of First Trust
• Chris A. Peterson, CFA, Senior Vice President of First Trust
• Erik Russo, Vice President of First Trust
• Douglas W. McLane, CFA, Senior Managing Director, Partner and Equity Portfolio Manager
• Frank M. Sands, CFA, Chief Investment Officer and Chief Executive Officer
• Wesley A. Johnston, CFA, Senior Portfolio Manager and Research Analyst
• Thomas H. Trentman, CFA, Senior Portfolio Manager and Research Analyst
Annual Report
August 31, 2023 (Unaudited)
10-consecutive interest hikes dating back to spring 2022, it is likely that the current interest rate hike cycle has not yet come to an end, in our view. Further, it remains to be seen if the full impact of this tightening has yet to be fully felt across the U.S. economy, or if there are still remaining impacts yet to be incorporated into the second half of the year’s fundamentals from the cumulative efforts. Persistent strength in the U.S. job market continues to keep the Fed vigilant to lower forward inflationary expectations.
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Multi-Manager Large Growth ETF (MMLG) | ||||
Actual | $1,000.00 | $1,205.00 | 0.85% | $4.72 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 98.6% | |||||
Aerospace & Defense — 0.5% | |||||
2,267 | RTX Corp. | $195,053 | |||
Automobiles — 0.8% | |||||
1,307 | Tesla, Inc. (a) | 337,311 | |||
Beverages — 1.7% | |||||
2,802 | Brown-Forman Corp., Class B | 185,296 | |||
983 | Constellation Brands, Inc., Class A | 256,131 | |||
4,483 | Monster Beverage Corp. (a) | 257,369 | |||
698,796 | |||||
Biotechnology — 0.4% | |||||
4,286 | Ultragenyx Pharmaceutical, Inc. (a) | 157,682 | |||
Broadline Retail — 7.3% | |||||
21,681 | Amazon.com, Inc. (a) | 2,992,195 | |||
Building Products — 0.6% | |||||
1,614 | Fortune Brands Innovations, Inc. | 111,399 | |||
2,221 | Johnson Controls International PLC | 131,172 | |||
242,571 | |||||
Chemicals — 0.7% | |||||
977 | Sherwin-Williams (The) Co. | 265,470 | |||
Commercial Services & Supplies — 0.4% | |||||
1,209 | Republic Services, Inc. | 174,253 | |||
Communications Equipment — 0.5% | |||||
740 | Motorola Solutions, Inc. | 209,842 | |||
Construction & Engineering — 0.4% | |||||
3,628 | WillScot Mobile Mini Holdings Corp. (a) | 148,821 | |||
Consumer Finance — 0.3% | |||||
844 | American Express Co. | 133,344 | |||
Electronic Equipment, Instruments & Components — 1.6% | |||||
2,730 | Amphenol Corp., Class A | 241,277 | |||
1,273 | CDW Corp. | 268,794 | |||
1,349 | Jabil, Inc. | 154,353 | |||
664,424 | |||||
Entertainment — 2.6% | |||||
1,921 | Netflix, Inc. (a) | 833,099 | |||
6,687 | Sea Ltd., ADR (a) | 251,632 | |||
1,084,731 | |||||
Financial Services — 6.9% | |||||
13,364 | Block, Inc. (a) | 770,435 | |||
745 | FleetCor Technologies, Inc. (a) | 202,439 |
Shares | Description | Value | |||
Financial Services (Continued) | |||||
1,469 | Mastercard, Inc., Class A | $606,168 | |||
5,239 | Visa, Inc., Class A | 1,287,117 | |||
2,866,159 | |||||
Ground Transportation — 2.2% | |||||
19,322 | Uber Technologies, Inc. (a) | 912,578 | |||
Health Care Equipment & Supplies — 5.1% | |||||
1,389 | Abbott Laboratories | 142,928 | |||
1,064 | Align Technology, Inc. (a) | 393,829 | |||
11,081 | Dexcom, Inc. (a) | 1,118,959 | |||
3,575 | Edwards Lifesciences Corp. (a) | 273,380 | |||
2,336 | Hologic, Inc. (a) | 174,593 | |||
2,103,689 | |||||
Health Care Providers & Services — 1.3% | |||||
1,084 | UnitedHealth Group, Inc. | 516,613 | |||
Health Care Technology — 0.3% | |||||
606 | Veeva Systems, Inc., Class A (a) | 126,472 | |||
Hotels, Restaurants & Leisure — 3.2% | |||||
3,652 | Airbnb, Inc., Class A (a) | 480,420 | |||
148 | Chipotle Mexican Grill, Inc. (a) | 285,143 | |||
6,646 | DoorDash, Inc., Class A (a) | 559,128 | |||
1,324,691 | |||||
Insurance — 0.9% | |||||
2,101 | Arch Capital Group Ltd. (a) | 161,483 | |||
1,089 | Chubb Ltd. | 218,747 | |||
380,230 | |||||
Interactive Media & Services — 8.9% | |||||
8,614 | Alphabet, Inc., Class A (a) | 1,172,968 | |||
2,017 | Alphabet, Inc., Class C (a) | 277,035 | |||
9,191 | Match Group, Inc. (a) | 430,782 | |||
5,607 | Meta Platforms, Inc., Class A (a) | 1,659,055 | |||
6,974 | ZoomInfo Technologies, Inc. (a) | 125,672 | |||
3,665,512 | |||||
IT Services — 4.3% | |||||
5,679 | Cloudflare, Inc., Class A (a) | 369,306 | |||
1,602 | GoDaddy, Inc., Class A (a) | 116,161 | |||
10,610 | Shopify, Inc., Class A (a) | 705,459 | |||
3,745 | Snowflake, Inc., Class A (a) | 587,403 | |||
1,778,329 | |||||
Life Sciences Tools & Services — 1.7% | |||||
6,660 | 10X Genomics, Inc., Class A (a) | 345,321 | |||
651 | Danaher Corp. | 172,515 | |||
358 | Thermo Fisher Scientific, Inc. | 199,442 | |||
717,278 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Machinery — 0.7% | |||||
744 | Deere & Co. | $305,739 | |||
Oil, Gas & Consumable Fuels — 0.5% | |||||
783 | Pioneer Natural Resources Co. | 186,299 | |||
Personal Care Products — 0.5% | |||||
1,380 | Estee Lauder (The) Cos., Inc., Class A | 221,531 | |||
Pharmaceuticals — 1.5% | |||||
1,099 | Eli Lilly & Co. | 609,066 | |||
Professional Services — 0.2% | |||||
327 | Paycom Software, Inc. | 96,413 | |||
Real Estate Management & Development — 1.9% | |||||
9,774 | CoStar Group, Inc. (a) | 801,370 | |||
Semiconductors & Semiconductor Equipment — 12.7% | |||||
1,407 | Advanced Micro Devices, Inc. (a) | 148,748 | |||
550 | Broadcom, Inc. | 507,589 | |||
5,745 | Entegris, Inc. | 581,796 | |||
460 | KLA Corp. | 230,860 | |||
1,162 | Lam Research Corp. | 816,189 | |||
5,549 | NVIDIA Corp. | 2,738,709 | |||
1,425 | Texas Instruments, Inc. | 239,486 | |||
5,263,377 | |||||
Software — 20.0% | |||||
581 | ANSYS, Inc. (a) | 185,263 | |||
4,130 | Atlassian Corp., Class A (a) | 842,768 | |||
640 | Cadence Design Systems, Inc. (a) | 153,882 | |||
6,694 | Datadog, Inc., Class A (a) | 645,837 | |||
11,848 | Microsoft Corp. | 3,883,301 | |||
818 | Palo Alto Networks, Inc. (a) | 199,019 | |||
788 | Salesforce, Inc. (a) | 174,510 | |||
3,323 | ServiceNow, Inc. (a) | 1,956,682 | |||
846 | Workday, Inc., Class A (a) | 206,847 | |||
8,248,109 | |||||
Specialty Retail — 2.3% | |||||
4,050 | Floor & Decor Holdings, Inc., Class A (a) | 403,785 | |||
223 | O’Reilly Automotive, Inc. (a) | 209,553 | |||
3,810 | TJX (The) Cos., Inc. | 352,349 | |||
965,687 | |||||
Technology Hardware, Storage & Peripherals — 4.5% | |||||
9,869 | Apple, Inc. | 1,854,089 |
Shares | Description | Value | |||
Textiles, Apparel & Luxury Goods — 1.2% | |||||
578 | Lululemon Athletica, Inc. (a) | $220,368 | |||
2,745 | NIKE, Inc., Class B | 279,194 | |||
499,562 | |||||
Total Common Stocks | 40,747,286 | ||||
(Cost $46,152,223) | |||||
MONEY MARKET FUNDS — 1.4% | |||||
586,864 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (b) | 586,864 | |||
(Cost $586,864) | |||||
Total Investments — 100.0% | 41,334,150 | ||||
(Cost $46,739,087) | |||||
Net Other Assets and Liabilities — (0.0)% | (9,812 ) | ||||
Net Assets — 100.0% | $41,324,338 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of August 31, 2023. |
Abbreviations throughout the Portfolio of Investments: | |
ADR | – American Depositary Receipt |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $40,747,286 | $40,747,286 | $— | $— |
Money Market Funds | 586,864 | 586,864 | — | — |
Total Investments | $41,334,150 | $41,334,150 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Statement of Assets and Liabilities
August 31, 2023
ASSETS: | |
Investments, at value | $41,334,150 |
Dividends receivable | 19,394 |
Total Assets | 41,353,544 |
LIABILITIES: | |
Investment advisory fees payable | 29,206 |
Total Liabilities | 29,206 |
NET ASSETS | $41,324,338 |
NET ASSETS consist of: | |
Paid-in capital | $62,754,708 |
Par value | 19,000 |
Accumulated distributable earnings (loss) | (21,449,370 ) |
NET ASSETS | $41,324,338 |
NET ASSET VALUE, per share | $21.75 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,900,002 |
Investments, at cost | $46,739,087 |
Statement of Operations
For the Year Ended August 31, 2023
INVESTMENT INCOME: | |
Dividends | $244,067 |
Total investment income | 244,067 |
EXPENSES: | |
Investment advisory fees | 372,131 |
Total expenses | 372,131 |
NET INVESTMENT INCOME (LOSS) | (128,064 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on: | |
Investments | (8,780,052 ) |
In-kind redemptions | (5,439,946 ) |
Net realized gain (loss) | (14,219,998 ) |
Net change in unrealized appreciation (depreciation) on investments | 19,933,088 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 5,713,090 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $5,585,026 |
Statements of Changes in Net Assets
Year Ended 8/31/2023 | Year Ended 8/31/2022 | |
OPERATIONS: | ||
Net investment income (loss) | $(128,064 ) | $(545,799 ) |
Net realized gain (loss) | (14,219,998 ) | (7,350,581 ) |
Net change in unrealized appreciation (depreciation) | 19,933,088 | (40,729,422 ) |
Net increase (decrease) in net assets resulting from operations | 5,585,026 | (48,625,802 ) |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | — | 11,734,001 |
Cost of shares redeemed | (27,738,996 ) | (70,634,728 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (27,738,996 ) | (58,900,727 ) |
Total increase (decrease) in net assets | (22,153,970 ) | (107,526,529 ) |
NET ASSETS: | ||
Beginning of period | 63,478,308 | 171,004,837 |
End of period | $41,324,338 | $63,478,308 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 3,500,002 | 6,050,002 |
Shares sold | — | 550,000 |
Shares redeemed | (1,600,000 ) | (3,100,000 ) |
Shares outstanding, end of period | 1,900,002 | 3,500,002 |
Financial Highlights
For a share outstanding throughout each period
Year Ended August 31, | Period Ended 8/31/2020 (a) | |||
2023 | 2022 | 2021 | ||
Net asset value, beginning of period | $18.14 | $28.27 | $21.86 | $19.84 |
Income from investment operations: | ||||
Net investment income (loss) | (0.05 ) (b) | (0.18 ) | 0.01 | (0.00 ) (c) |
Net realized and unrealized gain (loss) | 3.66 | (9.95 ) | 6.46 | 2.02 |
Total from investment operations | 3.61 | (10.13 ) | 6.47 | 2.02 |
Distributions paid to shareholders from: | ||||
Net investment income | — | — | (0.04 ) | — |
Net realized gain | — | — | (0.02 ) | — |
Total distributions | — | — | (0.06 ) | — |
Net asset value, end of period | $21.75 | $18.14 | $28.27 | $21.86 |
Total return (d) | 19.90 % | (35.83 )% | 29.65 % | 10.18 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $41,324 | $63,478 | $171,005 | $2,186 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 % (e) |
Ratio of net investment income (loss) to average net assets | (0.29 )% | (0.49 )% | (0.49 )% | (0.21 )% (e) |
Portfolio turnover rate (f) | 29 % | 31 % | 21 % | 2 % |
(a) | Inception date is July 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
August 31, 2023
August 31, 2023
August 31, 2023
Undistributed ordinary income | $(78,472 ) |
Accumulated capital and other gain (loss) | (15,819,658 ) |
Net unrealized appreciation (depreciation) | (5,551,240 ) |
Qualified Late Year Losses | |
Ordinary Losses | Capital Losses |
$78,472 | $— |
August 31, 2023
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital |
$301,338 | $6,253,078 | $(6,554,416 ) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
$46,885,390 | $4,548,924 | $(10,100,164 ) | $(5,551,240 ) |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.76500 % |
Fund net assets greater than $15 billion | 0.72250 % |
August 31, 2023
August 31, 2023
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October 23, 2023
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgd474a13d5.gif)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
280 Congress Street
Boston, MA 02210
1000 Wilson Boulevard, Suite 3000
Arlington, VA 22209
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgbfa6f0121.gif)
First Trust SkyBridge Crypto Industry and Digital Economy ETF (CRPT) |
Annual Report
August 31, 2023
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4 | |
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8 | |
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11 | |
12 | |
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19 | |
27 | |
29 |
Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgd35416bd2.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (9/20/21) to 8/31/23 | Inception (9/20/21) to 8/31/23 | |
Fund Performance | |||
NAV | -7.95% | -45.34% | -69.12% |
Market Price | -8.10% | -45.39% | -69.17% |
Index Performance | |||
S&P 500® Index | 15.94% | 3.41% | 6.74% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 61.6% |
Financials | 29.0 |
Communication Services | 9.0 |
Consumer Discretionary | 0.4 |
Total | 100.0% |
Country Allocation† | % of Total Long-Term Investments |
United States | 79.5% |
Cayman Islands | 11.1 |
Australia | 4.5 |
Canada | 4.4 |
Taiwan | 0.3 |
Netherlands | 0.2 |
Total | 100.0% |
† | Portfolio securities are categorized based upon their country of incorporation. |
Top Ten Holdings | % of Total Long-Term Investments |
MicroStrategy, Inc., Class A | 21.6% |
Coinbase Global, Inc., Class A | 18.4 |
Galaxy Digital Holdings Ltd. | 7.9 |
NVIDIA Corp. | 4.6 |
Alphabet, Inc., Class C | 4.5 |
Iris Energy Ltd. | 4.5 |
Cipher Mining, Inc. | 4.5 |
Riot Platforms, Inc. | 4.5 |
Microsoft Corp. | 4.5 |
Meta Platforms, Inc., Class A | 4.4 |
Total | 79.4% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Annual Report
August 31, 2023 (Unaudited)
Brett Messing – President and Co-Chief Investment Officer
Annual Report
August 31, 2023 (Unaudited)
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust SkyBridge Crypto Industry and Digital Economy ETF (CRPT) | ||||
Actual | $1,000.00 | $1,265.40 | 0.85% | $4.85 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Broadline Retail — 0.2% | |||||
31 | MercadoLibre, Inc. (a) | $42,543 | |||
Capital Markets — 27.0% | |||||
70 | BlackRock, Inc. | 49,038 | |||
45,438 | Coinbase Global, Inc., Class A (a) | 3,616,865 | |||
401,283 | Galaxy Digital Holdings Ltd. (CAD) (a) | 1,541,340 | |||
463 | Interactive Brokers Group, Inc., Class A | 42,170 | |||
5,140 | Robinhood Markets, Inc., Class A (a) | 55,974 | |||
5,305,387 | |||||
Financial Services — 1.9% | |||||
3,974 | Block, Inc. (a) | 229,101 | |||
109 | Mastercard, Inc., Class A | 44,978 | |||
854 | PayPal Holdings, Inc. (a) | 53,384 | |||
178 | Visa, Inc., Class A | 43,731 | |||
371,194 | |||||
Interactive Media & Services — 9.0% | |||||
6,467 | Alphabet, Inc., Class C (a) | 888,242 | |||
2,938 | Meta Platforms, Inc., Class A (a) | 869,325 | |||
1,757,567 | |||||
IT Services — 0.3% | |||||
793 | Shopify, Inc., Class A (a) | 52,727 | |||
Semiconductors & Semiconductor Equipment — 6.0% | |||||
458 | Advanced Micro Devices, Inc. (a) | 48,420 | |||
263 | Analog Devices, Inc. | 47,808 | |||
64 | ASML Holding N.V. | 42,274 | |||
468 | Microchip Technology, Inc. | 38,301 | |||
1,810 | NVIDIA Corp. | 893,326 | |||
556 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 52,025 | |||
290 | Texas Instruments, Inc. | 48,737 | |||
1,170,891 | |||||
Software — 55.4% | |||||
46,677 | Bitdeer Technologies Group, Class A (a) | 632,473 | |||
275,956 | Cipher Mining, Inc. (a) | 880,300 | |||
174,523 | Cleanspark, Inc. (a) | 860,398 | |||
331,095 | Hut 8 Mining Corp. (a) | 804,561 | |||
181,693 | Iris Energy Ltd. (a) | 883,028 | |||
65,067 | Marathon Digital Holdings, Inc. (a) | 817,892 | |||
2,672 | Microsoft Corp. | 875,775 |
Shares | Description | Value | |||
Software (Continued) | |||||
11,832 | MicroStrategy, Inc., Class A (a) | $4,230,295 | |||
77,477 | Riot Platforms, Inc. (a) | 879,364 | |||
10,864,086 | |||||
Specialty Retail — 0.2% | |||||
1,729 | Overstock.com, Inc. (a) | 45,144 | |||
Total Common Stocks | 19,609,539 | ||||
(Cost $27,820,094) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
16,093 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (b) | 16,093 | |||
(Cost $16,093) | |||||
Total Investments — 100.1% | 19,625,632 | ||||
(Cost $27,836,187) | |||||
Net Other Assets and Liabilities — (0.1)% | (16,195 ) | ||||
Net Assets — 100.0% | $19,609,437 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of August 31, 2023. |
Abbreviations throughout the Portfolio of Investments: | |
ADR | – American Depositary Receipt |
CAD | – Canadian Dollar |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $19,609,539 | $19,609,539 | $— | $— |
Money Market Funds | 16,093 | 16,093 | — | — |
Total Investments | $19,625,632 | $19,625,632 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Statement of Assets and Liabilities
August 31, 2023
ASSETS: | |
Investments, at value | $19,625,632 |
Cash | 382,440 |
Receivables: | |
Investment securities sold | 2,349,323 |
Dividends | 529 |
Total Assets | 22,357,924 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 2,733,159 |
Investment advisory fees | 15,328 |
Total Liabilities | 2,748,487 |
NET ASSETS | $19,609,437 |
NET ASSETS consist of: | |
Paid-in capital | $70,218,668 |
Par value | 34,000 |
Accumulated distributable earnings (loss) | (50,643,231 ) |
NET ASSETS | $19,609,437 |
NET ASSET VALUE, per share | $5.77 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,400,002 |
Investments, at cost | $27,836,187 |
Statement of Operations
For the Year Ended August 31, 2023
INVESTMENT INCOME: | |
Dividends | $16,427 |
Foreign withholding tax | (216 ) |
Total investment income | 16,211 |
EXPENSES: | |
Investment advisory fees | 160,326 |
Total expenses | 160,326 |
NET INVESTMENT INCOME (LOSS) | (144,115 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on: | |
Investments | (20,680,193 ) |
In-kind redemptions | 520,483 |
Foreign currency transactions | 1,079 |
Net realized gain (loss) | (20,158,631 ) |
Net change in unrealized appreciation (depreciation) on investments | 17,713,895 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (2,444,736 ) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(2,588,851 ) |
Statements of Changes in Net Assets
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
OPERATIONS: | ||
Net investment income (loss) | $(144,115 ) | $(254,388 ) |
Net realized gain (loss) | (20,158,631 ) | (27,787,045 ) |
Net change in unrealized appreciation (depreciation) | 17,713,895 | (25,924,450 ) |
Net increase (decrease) in net assets resulting from operations | (2,588,851 ) | (53,965,883 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||
Investment operations | (4,358 ) | (500,000 ) |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | 1,307,927 | 89,544,101 |
Cost of shares redeemed | (5,741,810 ) | (8,441,689 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (4,433,883 ) | 81,102,412 |
Total increase (decrease) in net assets | (7,027,092 ) | 26,636,529 |
NET ASSETS: | ||
Beginning of period | 26,636,529 | — |
End of period | $19,609,437 | $26,636,529 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 4,250,002 | — |
Shares sold | 300,000 | 5,450,002 |
Shares redeemed | (1,150,000 ) | 1,200,000 |
Shares outstanding, end of period | 3,400,002 | 4,250,002 |
(a) | Inception date is September 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
Financial Highlights
For a share outstanding throughout each period
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $6.27 | $18.91 |
Income from investment operations: | ||
Net investment income (loss) (b) | (0.04 ) | (0.08 ) |
Net realized and unrealized gain (loss) | (0.46 ) | (12.36 ) |
Total from investment operations | (0.50 ) | (12.44 ) |
Distributions paid to shareholders from: | ||
Net investment income | (0.00 ) (c) | (0.20 ) |
Net realized gain | — | (0.00 ) (c) |
Total distributions | (0.00 ) (c) | (0.20 ) |
Net asset value, end of period | $5.77 | $6.27 |
Total return (d) | (7.95 )% | (66.46 )% |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $19,609 | $26,637 |
Ratio of total expenses to average net assets | 0.85 % | 0.85 % (e) |
Ratio of net investment income (loss) to average net assets | (0.76 )% | (0.76 )% (e) |
Portfolio turnover rate (f) | 197 % | 90 % |
(a) | Inception date is September 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
August 31, 2023
August 31, 2023
August 31, 2023
Distributions paid from: | 2023 | 2022 |
Ordinary income | $4,358 | $500,000 |
Capital gains | — | — |
Return of capital | — | — |
Undistributed ordinary income | $(93,745 ) |
Accumulated capital and other gain (loss) | (37,877,638 ) |
Net unrealized appreciation (depreciation) | (12,671,848 ) |
August 31, 2023
Qualified Late Year Losses | |
Ordinary Losses | Capital Losses |
$93,745 | $— |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital |
$785,446 | $1,566,282 | $(2,351,728 ) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
$32,297,480 | $1,409,282 | $(14,081,130 ) | $(12,671,848 ) |
August 31, 2023
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.85000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.82875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.80750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.78625 % |
Fund net assets greater than $10 billion | 0.76500 % |
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgda8f86b04.jpg)
October 23, 2023
August 31, 2023 (Unaudited)
Dividend Received Deduction | Qualified Dividend Income |
3.99% | 3.99 % |
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgfddb67105.gif)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
527 Madison Avenue, 4th Floor
New York, NY 10022
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imga170e5721.gif)
First Trust Multi-Manager Small Cap Opportunities ETF (MMSC) |
Stephens Investment Management Group, LLC
Annual Report
August 31, 2023
1 | |
2 | |
4 | |
6 | |
7 | |
11 | |
12 | |
13 | |
14 | |
15 | |
21 | |
22 | |
29 | |
31 |
Annual Letter from the Chairman and CEO
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img48c2b55e2.jpg)
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 8/31/23 | Inception (10/13/21) to 8/31/23 | Inception (10/13/21) to 8/31/23 | |
Fund Performance | |||
NAV | 8.04% | -10.49% | -18.82% |
Market Price | 7.91% | -10.52% | -18.87% |
Index Performance | |||
Russell 2000® Growth Index | 6.78% | -9.96% | -17.91% |
Sector Allocation | % of Total Long-Term Investments |
Industrials | 24.2% |
Information Technology | 23.3 |
Health Care | 18.6 |
Consumer Staples | 8.4 |
Financials | 7.6 |
Consumer Discretionary | 7.6 |
Energy | 7.0 |
Materials | 2.4 |
Communication Services | 0.9 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Celsius Holdings, Inc. | 2.5% |
BellRing Brands, Inc. | 1.8 |
SPS Commerce, Inc. | 1.6 |
SiteOne Landscape Supply, Inc. | 1.5 |
TechnipFMC PLC | 1.5 |
Super Micro Computer, Inc. | 1.4 |
MGP Ingredients, Inc. | 1.4 |
Axon Enterprise, Inc. | 1.4 |
Kinsale Capital Group, Inc. | 1.2 |
Onto Innovation, Inc. | 1.2 |
Total | 15.5% |
![]() | Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Annual Report
August 31, 2023 (Unaudited)
• Daniel J. Lindquist, Managing Director of First Trust
• Jon C. Erickson, Senior Vice President of First Trust
• David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust
• Roger F. Testin, Senior Vice President of First Trust
• Stan Ueland, Senior Vice President of First Trust
• Chris A. Peterson, CFA, Senior Vice President of First Trust
• Erik Russo, Vice President of First Trust
• Jeffrey James, Lead Portfolio Manager
• Michael Buck, Portfolio Manager
• Prakash Vijayan, CFA, Assistant Portfolio Manager
• Ryan E. Crane, Chief Investment Officer
• Kelly Ranucci, Senior Portfolio Manager
• John Keller, Portfolio Manager
• John M. Thornton, Senior Portfolio Manager
• Samuel M. Chase III, Senior Portfolio Manager
Annual Report
August 31, 2023 (Unaudited)
Understanding Your Fund Expenses
August 31, 2023 (Unaudited)
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Multi-Manager Small Cap Opportunities ETF (MMSC) | ||||
Actual | $1,000.00 | $1,072.60 | 0.95% | $4.96 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | 0.95% | $4.84 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2023 through August 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Portfolio of Investments
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 97.8% | |||||
Aerospace & Defense — 4.4% | |||||
629 | AeroVironment, Inc. (a) | $61,032 | |||
468 | Axon Enterprise, Inc. (a) | 99,642 | |||
328 | HEICO Corp., Class A | 44,421 | |||
3,653 | Kratos Defense & Security Solutions, Inc. (a) | 58,777 | |||
2,828 | Leonardo DRS, Inc. (a) | 48,415 | |||
113 | Moog, Inc., Class A | 13,126 | |||
325,413 | |||||
Air Freight & Logistics — 0.4% | |||||
382 | Hub Group, Inc., Class A (a) | 29,811 | |||
Automobile Components — 0.9% | |||||
183 | Fox Factory Holding Corp. (a) | 20,278 | |||
150 | Gentherm, Inc. (a) | 9,032 | |||
259 | Visteon Corp. (a) | 36,071 | |||
65,381 | |||||
Beverages — 3.8% | |||||
908 | Celsius Holdings, Inc. (a) | 178,004 | |||
834 | MGP Ingredients, Inc. | 99,997 | |||
278,001 | |||||
Biotechnology — 6.6% | |||||
1,095 | ACELYRIN, Inc. (a) | 27,736 | |||
242 | Apellis Pharmaceuticals, Inc. (a) | 10,215 | |||
729 | Apogee Therapeutics, Inc. (a) | 16,723 | |||
444 | Biomea Fusion, Inc. (a) | 7,490 | |||
1,514 | Crinetics Pharmaceuticals, Inc. (a) | 26,222 | |||
2,461 | Exelixis, Inc. (a) | 55,102 | |||
1,519 | Halozyme Therapeutics, Inc. (a) | 64,649 | |||
83 | Karuna Therapeutics, Inc. (a) | 15,584 | |||
266 | Krystal Biotech, Inc. (a) | 33,112 | |||
597 | Merus N.V. (a) | 13,355 | |||
322 | Morphic Holding, Inc. (a) | 17,736 | |||
569 | Natera, Inc. (a) | 33,417 | |||
977 | Nuvalent, Inc., Class A (a) | 44,522 | |||
441 | Ultragenyx Pharmaceutical, Inc. (a) | 16,224 | |||
717 | Vaxcyte, Inc. (a) | 37,227 | |||
1,757 | Xenon Pharmaceuticals, Inc. (a) | 68,488 | |||
487,802 | |||||
Broadline Retail — 0.4% | |||||
244 | Ollie’s Bargain Outlet Holdings, Inc. (a) | 18,807 | |||
412 | Savers Value Village, Inc. (a) | 10,197 | |||
29,004 | |||||
Building Products — 3.1% | |||||
646 | AAON, Inc. | 40,705 | |||
2,129 | AZEK (The) Co., Inc. (a) | 72,407 |
Shares | Description | Value | |||
Building Products (Continued) | |||||
2,808 | Hayward Holdings, Inc. (a) | $41,559 | |||
182 | Simpson Manufacturing Co., Inc. | 29,076 | |||
630 | Trex Co., Inc. (a) | 44,963 | |||
228,710 | |||||
Capital Markets — 1.2% | |||||
149 | Evercore, Inc., Class A | 20,868 | |||
53 | MarketAxess Holdings, Inc. | 12,769 | |||
357 | Piper Sandler Cos. | 53,186 | |||
86,823 | |||||
Chemicals — 0.6% | |||||
295 | Balchem Corp. | 41,447 | |||
Commercial Services & Supplies — 1.5% | |||||
1,087 | Montrose Environmental Group, Inc. (a) | 41,784 | |||
206 | MSA Safety, Inc. | 37,632 | |||
178 | Tetra Tech, Inc. | 28,009 | |||
107,425 | |||||
Communications Equipment — 0.6% | |||||
499 | Digi International, Inc. (a) | 16,657 | |||
936 | Extreme Networks, Inc. (a) | 25,693 | |||
42,350 | |||||
Construction & Engineering — 2.3% | |||||
667 | Ameresco, Inc., Class A (a) | 29,008 | |||
382 | Arcosa, Inc. | 29,880 | |||
342 | Comfort Systems USA, Inc. | 63,123 | |||
105 | EMCOR Group, Inc. | 23,546 | |||
546 | WillScot Mobile Mini Holdings Corp. (a) | 22,397 | |||
167,954 | |||||
Construction Materials — 0.4% | |||||
771 | Summit Materials, Inc., Class A (a) | 28,843 | |||
Consumer Finance — 1.9% | |||||
751 | Encore Capital Group, Inc. (a) | 35,192 | |||
4,881 | EZCORP, Inc., Class A (a) | 41,049 | |||
754 | FirstCash Holdings, Inc. | 67,347 | |||
143,588 | |||||
Consumer Staples Distribution & Retail — 0.6% | |||||
1,687 | Chefs’ Warehouse (The), Inc. (a) | 48,147 | |||
Diversified Consumer Services — 0.9% | |||||
393 | Bright Horizons Family Solutions, Inc. (a) | 37,107 | |||
181 | Duolingo, Inc. (a) | 26,636 | |||
63,743 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Diversified Telecommunication Services — 0.2% | |||||
350 | Iridium Communications, Inc. | $17,132 | |||
Electrical Equipment — 1.5% | |||||
174 | Atkore, Inc. (a) | 26,791 | |||
2,219 | Enovix Corp. (a) | 30,578 | |||
672 | NEXTracker, Inc., Class A (a) | 28,305 | |||
686 | Vertiv Holdings Co. | 27,021 | |||
112,695 | |||||
Electronic Equipment, Instruments & Components — 1.0% | |||||
222 | Badger Meter, Inc. | 36,870 | |||
354 | Cognex Corp. | 16,666 | |||
1,828 | nLight, Inc. (a) | 20,858 | |||
74,394 | |||||
Energy Equipment & Services — 3.8% | |||||
796 | Cactus, Inc., Class A | 42,459 | |||
291 | Noble Corp. PLC | 15,347 | |||
5,509 | TechnipFMC PLC | 104,891 | |||
629 | Tidewater, Inc. (a) | 40,904 | |||
4,424 | Transocean Ltd. (a) | 36,188 | |||
446 | Weatherford International PLC (a) | 39,480 | |||
279,269 | |||||
Entertainment — 0.4% | |||||
332 | World Wrestling Entertainment, Inc., Class A | 32,055 | |||
Financial Services — 1.9% | |||||
1,244 | Flywire Corp. (a) | 43,017 | |||
785 | Remitly Global, Inc. (a) | 19,743 | |||
218 | Shift4 Payments, Inc., Class A (a) | 12,380 | |||
956 | Toast, Inc., Class A (a) | 21,195 | |||
211 | WEX, Inc. (a) | 41,394 | |||
137,729 | |||||
Food Products — 0.6% | |||||
224 | Freshpet, Inc. (a) | 16,914 | |||
608 | Mission Produce, Inc. (a) | 5,788 | |||
992 | Sovos Brands, Inc. (a) | 22,221 | |||
44,923 | |||||
Ground Transportation — 0.8% | |||||
142 | Saia, Inc. (a) | 60,520 | |||
Health Care Equipment & Supplies — 4.4% | |||||
1,609 | Alphatec Holdings, Inc. (a) | 26,307 | |||
191 | AtriCure, Inc. (a) | 8,624 | |||
294 | Axonics, Inc. (a) | 16,846 |
Shares | Description | Value | |||
Health Care Equipment & Supplies (Continued) | |||||
497 | Glaukos Corp. (a) | $37,345 | |||
105 | Inspire Medical Systems, Inc. (a) | 23,822 | |||
45 | Insulet Corp. (a) | 8,627 | |||
244 | iRhythm Technologies, Inc. (a) | 25,222 | |||
172 | Lantheus Holdings, Inc. (a) | 11,772 | |||
1,592 | Neogen Corp. (a) | 36,807 | |||
587 | NuVasive, Inc. (a) | 23,333 | |||
624 | Omnicell, Inc. (a) | 35,481 | |||
68 | Shockwave Medical, Inc. (a) | 14,986 | |||
646 | Tandem Diabetes Care, Inc. (a) | 17,675 | |||
575 | TransMedics Group, Inc. (a) | 37,737 | |||
324,584 | |||||
Health Care Providers & Services — 1.6% | |||||
823 | Acadia Healthcare Co., Inc. (a) | 63,453 | |||
850 | HealthEquity, Inc. (a) | 57,418 | |||
120,871 | |||||
Health Care Technology — 0.7% | |||||
1,036 | HealthStream, Inc. | 21,787 | |||
746 | Schrodinger, Inc. (a) | 27,520 | |||
49,307 | |||||
Hotels, Restaurants & Leisure — 2.5% | |||||
383 | Cava Group, Inc. (a) | 17,009 | |||
527 | First Watch Restaurant Group, Inc. (a) | 10,076 | |||
635 | Papa John’s International, Inc. | 48,070 | |||
198 | Texas Roadhouse, Inc. | 20,612 | |||
343 | Wingstop, Inc. | 55,100 | |||
1,481 | Xponential Fitness, Inc., Class A (a) | 32,078 | |||
182,945 | |||||
Household Durables — 1.6% | |||||
556 | Installed Building Products, Inc. | 80,470 | |||
133 | Meritage Homes Corp. | 18,492 | |||
287 | Skyline Champion Corp. (a) | 20,455 | |||
119,417 | |||||
Insurance — 2.5% | |||||
222 | Kinsale Capital Group, Inc. | 88,496 | |||
765 | Palomar Holdings, Inc. (a) | 39,023 | |||
1,163 | Ryan Specialty Holdings, Inc. (a) | 56,696 | |||
184,215 | |||||
IT Services — 1.2% | |||||
2,212 | Fastly, Inc., Class A (a) | 52,623 | |||
187 | Globant S.A. (a) | 38,236 | |||
90,859 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Life Sciences Tools & Services — 2.9% | |||||
687 | Azenta, Inc. (a) | $38,768 | |||
759 | BioLife Solutions, Inc. (a) | 10,026 | |||
492 | Bio-Techne Corp. | 38,573 | |||
154 | ICON PLC (a) | 40,031 | |||
98 | Medpace Holdings, Inc. (a) | 26,487 | |||
46 | OmniAb, Inc. - 12.5 Earnout Shares (a) (b) (c) (d) (e) | 0 | |||
46 | OmniAb, Inc. - 15 Earnout Shares (a) (b) (c) (d) (e) | 0 | |||
285 | Repligen Corp. (a) | 49,564 | |||
217 | Syneos Health, Inc. (a) | 9,272 | |||
212,721 | |||||
Machinery — 3.9% | |||||
405 | Chart Industries, Inc. (a) | 73,135 | |||
366 | Esab Corp. | 26,414 | |||
550 | Federal Signal Corp. | 33,523 | |||
1,000 | Kornit Digital Ltd. (a) | 22,260 | |||
221 | Lindsay Corp. | 27,426 | |||
233 | RBC Bearings, Inc. (a) | 53,716 | |||
510 | SPX Technologies, Inc. (a) | 40,300 | |||
235 | Terex Corp. | 14,243 | |||
291,017 | |||||
Media — 0.2% | |||||
806 | Integral Ad Science Holding Corp. (a) | 11,502 | |||
434 | Magnite, Inc. (a) | 3,580 | |||
15,082 | |||||
Metals & Mining — 1.4% | |||||
1,312 | ATI, Inc. (a) | 59,473 | |||
697 | Carpenter Technology Corp. | 43,653 | |||
103,126 | |||||
Oil, Gas & Consumable Fuels — 3.1% | |||||
2,136 | Cameco Corp. | 79,032 | |||
1,940 | Magnolia Oil & Gas Corp., Class A | 44,232 | |||
5,824 | Southwestern Energy Co. (a) | 39,487 | |||
2,267 | Viper Energy Partners L.P. | 63,068 | |||
225,819 | |||||
Personal Care Products — 3.2% | |||||
3,109 | BellRing Brands, Inc. (a) | 129,023 | |||
568 | elf Beauty, Inc. (a) | 78,787 | |||
201 | Inter Parfums, Inc. | 28,086 | |||
235,896 | |||||
Pharmaceuticals — 1.9% | |||||
333 | Axsome Therapeutics, Inc. (a) | 26,906 | |||
377 | Ligand Pharmaceuticals, Inc. (a) | 24,795 |
Shares | Description | Value | |||
Pharmaceuticals (Continued) | |||||
892 | Pacira BioSciences, Inc. (a) | $31,488 | |||
1,299 | Supernus Pharmaceuticals, Inc. (a) | 41,360 | |||
581 | Ventyx Biosciences, Inc. (a) | 19,464 | |||
144,013 | |||||
Professional Services — 2.1% | |||||
313 | FTI Consulting, Inc. (a) | 58,162 | |||
336 | ICF International, Inc. | 45,380 | |||
657 | Maximus, Inc. | 53,099 | |||
156,641 | |||||
Semiconductors & Semiconductor Equipment — 5.9% | |||||
704 | Aehr Test Systems (a) | 35,911 | |||
372 | Ambarella, Inc. (a) | 23,120 | |||
414 | Axcelis Technologies, Inc. (a) | 79,550 | |||
736 | Camtek Ltd. (a) | 44,381 | |||
567 | Lattice Semiconductor Corp. (a) | 55,146 | |||
617 | Onto Innovation, Inc. (a) | 85,751 | |||
427 | Power Integrations, Inc. | 35,876 | |||
892 | Rambus, Inc. (a) | 50,371 | |||
203 | Silicon Laboratories, Inc. (a) | 27,377 | |||
437,483 | |||||
Software — 12.4% | |||||
363 | Agilysys, Inc. (a) | 25,608 | |||
226 | Appfolio, Inc., Class A (a) | 43,566 | |||
79 | Aspen Technology, Inc. (a) | 15,326 | |||
933 | Box, Inc., Class A (a) | 24,706 | |||
499 | CyberArk Software Ltd. (a) | 82,854 | |||
502 | Descartes Systems Group (The), Inc. (a) | 37,630 | |||
930 | Envestnet, Inc. (a) | 50,806 | |||
765 | Five9, Inc. (a) | 55,363 | |||
369 | Guidewire Software, Inc. (a) | 31,893 | |||
375 | Manhattan Associates, Inc. (a) | 75,982 | |||
724 | Model N, Inc. (a) | 19,548 | |||
408 | Monday.com Ltd. (a) | 72,396 | |||
809 | Procore Technologies, Inc. (a) | 54,648 | |||
1,284 | PROS Holdings, Inc. (a) | 46,044 | |||
250 | Qualys, Inc. (a) | 38,912 | |||
744 | Rapid7, Inc. (a) | 37,490 | |||
614 | SPS Commerce, Inc. (a) | 114,284 | |||
727 | Tenable Holdings, Inc. (a) | 32,984 | |||
36 | Tyler Technologies, Inc. (a) | 14,343 | |||
1,148 | Varonis Systems, Inc. (a) | 36,656 | |||
911,039 | |||||
Specialty Retail — 0.8% | |||||
126 | Five Below, Inc. (a) | 21,667 | |||
134 | Floor & Decor Holdings, Inc., Class A (a) | 13,360 |
Portfolio of Investments (Continued)
August 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Specialty Retail (Continued) | |||||
919 | Revolve Group, Inc. (a) | $13,463 | |||
2,686 | Sportsman’s Warehouse Holdings, Inc. (a) | 12,920 | |||
61,410 | |||||
Technology Hardware, Storage & Peripherals — 1.7% | |||||
509 | Pure Storage, Inc., Class A (a) | 18,625 | |||
378 | Super Micro Computer, Inc. (a) | 103,980 | |||
122,605 | |||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||
539 | Skechers U.S.A., Inc., Class A (a) | 27,117 | |||
Trading Companies & Distributors — 3.6% | |||||
330 | Applied Industrial Technologies, Inc. | 50,942 | |||
1,526 | Core & Main, Inc., Class A (a) | 50,114 | |||
1,446 | FTAI Aviation Ltd. | 53,444 | |||
630 | SiteOne Landscape Supply, Inc. (a) | 107,850 | |||
262,350 | |||||
Total Common Stocks | 7,211,676 | ||||
(Cost $6,419,318) | |||||
MONEY MARKET FUNDS — 2.2% | |||||
166,161 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.21% (f) | 166,161 | |||
(Cost $166,161) | |||||
Total Investments — 100.0% | 7,377,837 | ||||
(Cost $6,585,479) | |||||
Net Other Assets and Liabilities — (0.0)% | (3,494 ) | ||||
Net Assets — 100.0% | $7,374,343 |
(a) | Non-income producing security. |
(b) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor (the “Advisor”). |
(c) | Restricted security as to resale, excluding Rule 144A securities (see Note2D - Restricted Securities in the Notes to Financial Statements). |
(d) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At August 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
(e) | This security’s value was determined using significant unobservable inputs (see Note2A- Portfolio Valuation in the Notes to Financial Statements). |
(f) | Rate shown reflects yield as of August 31, 2023. |
Valuation Inputs
Total Value at 8/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Life Sciences Tools & Services | $212,721 | $212,721 | $— | $— ** |
Other Industry Categories* | 6,998,955 | 6,998,955 | — | — |
Money Market Funds | 166,161 | 166,161 | — | — |
Total Investments | $7,377,837 | $7,377,837 | $— | $— ** |
* | See Portfolio of Investments for industry breakout. |
** | Investments are valued at $0. |
Statement of Assets and Liabilities
August 31, 2023
ASSETS: | |
Investments, at value | $7,377,837 |
Dividends receivable | 2,325 |
Total Assets | 7,380,162 |
LIABILITIES: | |
Investment advisory fees payable | 5,819 |
Total Liabilities | 5,819 |
NET ASSETS | $7,374,343 |
NET ASSETS consist of: | |
Paid-in capital | $7,291,375 |
Par value | 4,500 |
Accumulated distributable earnings (loss) | 78,468 |
NET ASSETS | $7,374,343 |
NET ASSET VALUE, per share | $16.39 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 450,002 |
Investments, at cost | $6,585,479 |
Statement of Operations
For the Year Ended August 31, 2023
INVESTMENT INCOME: | |
Dividends | $17,692 |
Foreign withholding tax | (38 ) |
Total investment income | 17,654 |
EXPENSES: | |
Investment advisory fees | 40,898 |
Total expenses | 40,898 |
NET INVESTMENT INCOME (LOSS) | (23,244 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on: | |
Investments | (381,066 ) |
Foreign currency transactions | 1 |
Net realized gain (loss) | (381,065 ) |
Net change in unrealized appreciation (depreciation) on investments | 971,153 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 590,088 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $566,844 |
Statements of Changes in Net Assets
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
OPERATIONS: | ||
Net investment income (loss) | $(23,244 ) | $(8,447 ) |
Net realized gain (loss) | (381,065 ) | (314,371 ) |
Net change in unrealized appreciation (depreciation) | 971,153 | (178,795 ) |
Net increase (decrease) in net assets resulting from operations | 566,844 | (501,613 ) |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | 5,290,488 | 2,018,624 |
Cost of shares redeemed | — | — |
Net increase (decrease) in net assets resulting from shareholder transactions | 5,290,488 | 2,018,624 |
Total increase (decrease) in net assets | 5,857,332 | 1,517,011 |
NET ASSETS: | ||
Beginning of period | 1,517,011 | — |
End of period | $7,374,343 | $1,517,011 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 100,002 | — |
Shares sold | 350,000 | 100,002 |
Shares redeemed | — | — |
Shares outstanding, end of period | 450,002 | 100,002 |
(a) | Inception date is October 13, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
Financial Highlights
For a share outstanding throughout each period
Year Ended 8/31/2023 | Period Ended 8/31/2022 (a) | |
Net asset value, beginning of period | $15.17 | $20.19 |
Income from investment operations: | ||
Net investment income (loss) | (0.08 ) (b) | (0.08 ) |
Net realized and unrealized gain (loss) | 1.30 | (4.94 ) |
Total from investment operations | 1.22 | (5.02 ) |
Net asset value, end of period | $16.39 | $15.17 |
Total return (c) | 8.04 % | (24.86 )% |
Ratios to average net assets/supplemental data: | ||
Net assets, end of period (in 000’s) | $7,374 | $1,517 |
Ratio of total expenses to average net assets | 0.95 % | 0.95 % (d) |
Ratio of net investment income (loss) to average net assets | (0.54 )% | (0.55 )% (d) |
Portfolio turnover rate (e) | 79 % | 74 % |
(a) | Inception date is October 13, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
August 31, 2023
August 31, 2023
August 31, 2023
Security | Acquisition Date | Shares | Current Price | Carrying Cost | Value | % of Net Assets |
OmniAb, Inc. - 12.5 Earnout Shares | 11/02/2022 | 46 | $0.00 | $0 | $0 | 0.00 % |
OmniAb, Inc. - 15 Earnout Shares | 11/02/2022 | 46 | 0.00 | 0 | 0 | 0.00 |
$0 | $0 | 0.00 % |
Undistributed ordinary income | $(18,455 ) |
Accumulated capital and other gain (loss) | (602,167 ) |
Net unrealized appreciation (depreciation) | 699,090 |
August 31, 2023
Qualified Late Year Losses | |
Ordinary Losses | Capital Losses |
$18,455 | $— |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital |
$9,784 | $(1 ) | $(9,783 ) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
$6,678,747 | $1,127,904 | $(428,814 ) | $699,090 |
August 31, 2023
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.95000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.92625 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.90250 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.87875 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.85500 % |
Fund net assets greater than $15 billion | 0.80750 % |
August 31, 2023
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/imgb2a724a94.jpg)
October 23, 2023
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
August 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 241 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 241 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 241 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 241 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 241 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 241 | None |
August 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
August 31, 2023 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001445546-23-007476/img9f85493f5.gif)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
25 East Erie Street
Chicago, IL 60611
111 Center Street
Little Rock, AR 72201
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | Not applicable. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $1,060,313 for the fiscal year ended August 31, 2022 and $1,277,125 for the fiscal year ended August 31, 2023.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended August 31, 2022 and $0 for the fiscal year ended August 31, 2023.
Audit-Related Fees (Investment Advisor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended August 31, 2022 and $0 for the fiscal year ended August 31, 2023.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $478,151 for the fiscal year ended August 31, 2022 and $763,793 for the fiscal year ended August 31, 2023. These fees were for tax consultation and/or tax return preparation and professional services rendered for Passive Foreign Investment Company Identification.
Tax Fees (Investment Advisor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s advisor were $0 for the fiscal year ended August 31, 2022 and $0 for the fiscal year ended August 31, 2023.
(d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended August 31, 2022 and $0 for the fiscal year ended August 31, 2023.
All Other Fees (Investment Advisor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant’s investment advisor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended August 31, 2022 and $0 for the fiscal year ended August 31, 2023.
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: | Advisor and Distributor: | |||
(b) 0% | (b) 0% | |||
(c) 0% | (c) 0% | |||
(d) 0% | (d) 0% |
(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty
percent.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended August 31, 2022, were $478,151 for the registrant, $16,500 for the registrant’s investment advisor and $29,500 for the registrant’s distributor; and for the fiscal year ended August 31, 2023 were $763,793 for the registrant, $31,000 for the registrant’s investment advisor and $45,500 for the registrant’s distributor.
(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) | Not applicable. |
(j) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
(a) | The registrant has a separately designated audit committee consisting of all the independent trustees of the registrant. The members of the audit committee are: Thomas R. Kadlec, Denise M. Keefe, Niel B. Nielson, Richard E. Erickson and Robert F. Keith. |
(b) | Not applicable. |
Item 6. Investments.
(a) | Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund VIII |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | November 9, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | November 9, 2023 |
By (Signature and Title)* | /s/ Derek D. Maltbie | |
Derek D. Maltbie, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | November 9, 2023 |
* Print the name and title of each signing officer under his or her signature.