FTGC First Trust Global Tactical Commodity Strategy Fund

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Consolidated Portfolio of Investments

September 30, 2023 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
U.S. TREASURY BILLS – 25.5%
$170,000,000		U.S. Treasury Bill		(a)		10/12/23		$169,751,021
175,000,000		U.S. Treasury Bill		(a)		11/09/23		174,022,819
170,000,000		U.S. Treasury Bill		(a)		11/16/23		168,875,875
170,000,000		U.S. Treasury Bill		(a)		12/14/23		168,174,697
		Total U.S. Treasury Bills						680,824,412
		(Cost $680,819,699)
U.S. GOVERNMENT BONDS AND NOTES – 22.9%
150,000,000		U.S. Treasury Note		0.25%		06/15/24		144,608,455
150,000,000		U.S. Treasury Note		0.38%		09/15/24		142,951,938
175,000,000		U.S. Treasury Note		1.00%		12/15/24		166,215,821
170,000,000		U.S. Treasury Note		0.50%		03/31/25		158,478,515
		Total U.S. Government Bonds and Notes						612,254,729
		(Cost $614,120,935)

    

Shares		Description		Value
MONEY MARKET FUNDS – 28.5%
391,000,000		Dreyfus Government Cash Management Fund, Institutional Shares - 5.22% (b)		391,000,000
371,500,000		Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.20% (b)		371,500,000
		Total Money Market Funds		762,500,000
		(Cost $762,500,000)

    

	Total Investments – 76.9%			2,055,579,141
	(Cost $2,057,440,634)

    

	Net Other Assets and Liabilities – 23.1%		618,593,837
	Net Assets – 100.0%		$2,674,172,978

The following futures contracts of the Fund’s wholly-owned subsidiary were open at September 30, 2023:

Futures Contracts Long:		Number of Contracts		Notional Value		Expiration Date		Unrealized Appreciation (Depreciation)/ Value
Brent Crude Oil Futures		983		$90,632,600		Oct–23		$7,260,663
Brent Crude Oil Futures		903		81,595,080		Nov–23		472,012
Cocoa Futures		2,091		71,470,380		Dec–23		(1,601,251)
Coffee “C” Futures		652		35,733,675		Dec–23		(3,916,997)
Copper Futures		1,242		116,049,375		Dec–23		(1,662,442)
Corn Futures		3,845		91,655,187		Dec–23		(11,377,895)
Cotton No. 2 Futures		2,136		93,076,200		Dec–23		7,031,213
Gasoline RBOB Futures		1,396		140,687,484		Oct–23		(3,426,117)
Gasoline RBOB Futures		161		15,887,995		Nov–23		(648,692)
Gold 100 Oz. Futures		1,232		229,903,520		Dec–23		(14,780,330)
Kansas City Hard Red Winter Wheat Futures		1,555		51,606,563		Dec–23		(8,859,864)
Lean Hogs Futures		849		24,374,790		Dec–23		(1,083,921)
Live Cattle Futures		551		41,418,670		Dec–23		(20,409)
LME Aluminum Futures		1,467		86,277,938		Dec–23		6,155,490
LME Lead Futures		1,340		72,728,500		Dec–23		(1,488,966)
LME Nickel Futures		446		49,936,836		Dec–23		(5,893,626)
LME Zinc Futures		947		62,803,856		Dec–23		5,008,819
Low Sulphur Gasoil “G” Futures		1,823		168,946,525		Dec–23		9,941,251
Natural Gas Futures		2,130		62,387,700		Oct–23		(2,901,836)
Natural Gas Futures		1,989		65,875,680		Nov–23		(3,591,758)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Consolidated Portfolio of Investments (Continued)

September 30, 2023 (Unaudited)

Futures Contracts Long: (Continued)		Number of Contracts		Notional Value		Expiration Date		Unrealized Appreciation (Depreciation)/ Value
NY Harbor ULSD Futures		662		$91,769,883		Oct–23		$8,710,972
NY Harbor ULSD Futures		559		74,138,828		Nov–23		4,059,949
Silver Futures		679		76,217,750		Dec–23		(2,446,179)
Soybean Futures		1,328		84,660,000		Nov–23		3,038,600
Soybean Meal Futures		3,249		123,851,880		Dec–23		(3,246,520)
Soybean Oil Futures		5,334		178,678,332		Dec–23		6,873,628
Sugar #11 (World) Futures		3,808		112,936,141		Feb–24		908,233
Wheat Futures		664		17,977,800		Dec–23		(3,949,634)
WTI Crude Futures		1,588		141,014,400		Nov–23		14,405,449
WTI Crude Futures		172		14,960,560		Dec–23		34,778
		Total		$2,569,254,128				$3,004,620

    

(a)	Zero coupon bond.
(b)	Rate shown reflects yield as of September 30, 2023.

Valuation Inputs

The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:

•	Level 1 – Level 1 inputs are quoted prices in active markets for identical investments.
•	Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.)
•	Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

A summary of the inputs used to value the Fund’s investments as of September 30, 2023 is as follows:

ASSETS TABLE
	Total Value at 9/30/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
U.S. Treasury Bills	$ 680,824,412	$ —	$ 680,824,412	$ —
U.S. Government Bonds and Notes	612,254,729	—	612,254,729	—
Money Market Funds	762,500,000	762,500,000	—	—
Total Investments	2,055,579,141	762,500,000	1,293,079,141	—
Futures Contracts	77,297,246	77,297,246	—	—
Total	$ 2,132,876,387	$ 839,797,246	$ 1,293,079,141	$—
LIABILITIES TABLE
	Total Value at 9/30/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Futures Contracts	$ (74,292,626)	$ (74,292,626)	$ —	$ —