0001445546-15-002754.txt : 20150528
0001445546-15-002754.hdr.sgml : 20150528
20150528111034
ACCESSION NUMBER: 0001445546-15-002754
CONFORMED SUBMISSION TYPE: N-Q
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20150331
FILED AS OF DATE: 20150528
DATE AS OF CHANGE: 20150528
EFFECTIVENESS DATE: 20150528
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED FUND VII
CENTRAL INDEX KEY: 0001561785
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FILING VALUES:
FORM TYPE: N-Q
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22767
FILM NUMBER: 15894379
BUSINESS ADDRESS:
STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400
CITY: WHEATON
STATE: IL
ZIP: 60187
BUSINESS PHONE: 630-765-8000
MAIL ADDRESS:
STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400
CITY: WHEATON
STATE: IL
ZIP: 60187
0001561785
S000039654
First Trust Global Tactical Commodity Strategy Fund
C000122820
First Trust Global Tactical Commodity Strategy Fund
FTGC
N-Q
1
ftgc_nq.txt
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number 811-22767
-----------
First Trust Exchange-Traded Fund VII
-------------------------------------------------------------
(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: December 31
-----------
Date of reporting period: March 31, 2015
--------------
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q 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 the
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. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST GLOBAL TACTICAL COMMODITY STRATEGY FUND (FTGC)
CONSOLIDATED PORTFOLIO OF INVESTMENTS
MARCH 31, 2015 (UNAUDITED)
Besides the following listed futures contracts of the Fund's wholly-owned
subsidiary, there were no investments held by the Fund at March 31, 2015.
The following futures contracts of the Fund's wholly-owned subsidiary were open
at March 31, 2015 (See Note 2B - Futures Contracts in the Notes to Consolidated
Portfolio of Investments):
UNREALIZED
NUMBER OF NOTIONAL EXPIRATION APPRECIATION/
CONTRACTS VALUE DATE (DEPRECIATION)
---------------------------------------------------------------------------------------------------
FUTURES CONTRACTS LONG:
---------------------------------------------------------------------------------------------------
Brent Crude Futures 149 12,889,428 May-15 $ (4,514,138)
Cattle Feeder Futures 248 26,647,624 May-15 247,976
Cocoa Futures 630 17,552,280 May-15 (548,580)
Cocoa Futures 138 3,850,130 Jul-15 (125,510)
Coffee "C" Futures 96 5,998,230 May-15 (1,213,830)
Coffee "C" Futures 136 8,473,594 Jul-15 (1,532,494)
Copper Futures 100 6,503,800 May-15 346,200
Copper Futures 95 6,237,237 Jul-15 276,200
Cotton No. 2 Futures 211 6,865,475 Jul-15 (170,445)
Gold 100 Oz. Futures 46 5,509,900 Jun-15 (67,180)
KC HRW Wheat Futures 633 17,836,750 May-15 (136,487)
Lean Hogs Futures 371 10,102,365 Apr-15 (838,495)
Lean Hogs Futures 242 7,734,980 Jun-15 (397,540)
LME Nickel Futures 237 19,726,832 May-15 (2,140,958)
Low Sulphur Gasoil "G" Futures 308 16,129,901 May-15 9,299
Natural Gas Futures 463 13,705,741 Sep-15 (676,921)
Silver Futures 205 16,656,253 May-15 356,697
Soybean Meal Futures 491 16,422,670 May-15 (376,790)
Sugar #11 (World) Futures 560 9,145,730 Apr-15 (1,663,234)
WTI Crude Futures 57 3,532,191 Jun-15 (637,731)
------------- -------------
$ 231,521,111 $ (13,803,961)
============= =============
See Notes to Consolidated Portfolio of Investments
FIRST TRUST GLOBAL TACTICAL COMMODITY STRATEGY FUND (FTGC)
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2015 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of March 31,
2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to
Consolidated Portfolio of Investments):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
3/31/2015 PRICES INPUTS INPUTS
--------------- --------------- --------------- ---------------
Futures Contracts............................. $ 1,236,372 $ 1,236,372 $ -- $ --
=============== =============== =============== ===============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
3/31/2015 PRICES INPUTS INPUTS
--------------- --------------- --------------- ---------------
Futures Contracts............................. $ (15,040,333) $ (15,040,333) $ -- $ --
=============== =============== =============== ===============
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at March 31, 2015.
See Notes to Consolidated Portfolio of Investments
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
FIRST TRUST GLOBAL TACTICAL COMMODITY STRATEGY FUND (FTGC)
MARCH 31, 2015 (UNAUDITED)
1. ORGANIZATION
First Trust Exchange-Traded Fund VII (the "Trust") is a non-diversified open-end
management investment company organized as a Massachusetts business trust on
November 6, 2012, and is registered with the Securities and Exchange Commission
("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently offers shares of one fund, the First Trust Global Tactical
Commodity Strategy Fund (the "Fund"), which trades under the ticker FTGC on The
NASDAQ(R) Stock Market LLC and commenced operations on October 22, 2013.
The Fund is an actively managed exchange-traded fund. The investment objective
of the Fund is to seek to provide total return by providing investors with
commodity exposure while seeking a relatively stable risk profile. Under normal
market conditions, the Fund, through a wholly-owned subsidiary of the Fund, FT
Cayman Subsidiary II (the "Subsidiary"), organized under the laws of the Cayman
Islands, invests in a portfolio of commodity futures contracts and
exchange-traded commodity linked instruments (collectively, "Commodities
Instruments"). The Fund will not invest directly in Commodities Instruments. The
Fund seeks to gain exposure to these investments exclusively by investing in the
Subsidiary. The Fund's investment in the Subsidiary may not exceed 25% of the
Fund's total assets at the end of each fiscal quarter.
2. VALUATION AND INVESTMENT PRACTICES
The Consolidated Portfolio of Investments includes the accounts of the
Subsidiary.
A. PORTFOLIO VALUATION
The Fund's net asset value ("NAV") is determined daily as of the close of
regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m.
Eastern time, on each day the NYSE is open for trading. The NAV is calculated by
dividing the value of all assets of the Fund (including accrued interest and
dividends), less all liabilities (including accrued expenses and dividends
declared but unpaid), by the total number of shares outstanding.
The Fund's investments are valued daily at market value or, in absence of market
value with respect to any portfolio securities, at fair value. Market value
prices represent last sale or official closing prices from a national or foreign
exchange (i.e., a regulated market) and are primarily obtained from third party
pricing services. Fair value prices represent any prices not considered market
value prices and are either obtained from a third party pricing service or are
determined by the Pricing Committee of the Fund's investment advisor, First
Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with
valuation procedures adopted by the Trust's Board of Trustees, and in accordance
with provisions of the 1940 Act. Investments valued by the Advisor's Pricing
Committee, if any, are footnoted as such in the footnotes to the Consolidated
Portfolio of Investments. The Fund's investments are valued as follows:
Exchange-traded futures contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded futures contracts are fair valued at the mean of
their most recent bid and asked price, if available, and otherwise at their
closing bid price.
U.S. Treasuries are fair valued on the basis of valuations provided by an
independent pricing service approved by the Trust's Board of Trustees.
Fixed income and other debt securities having a remaining maturity of 60
days or less when purchased are fair valued at cost adjusted for
amortization of premiums and accretion of discounts (amortized cost),
provided the Advisor's Pricing Committee has determined that the use of
amortized cost is an appropriate reflection of fair value given market and
issuer-specific conditions existing at the time of the determination.
Factors that may be considered in determining the appropriateness of the use
of amortized cost include, but are not limited to, the following:
1) the credit conditions in the relevant market and changes thereto;
2) the liquidity conditions in the relevant market and changes thereto;
3) the interest rate conditions in the relevant market and changes
thereto (such as significant changes in interest rates);
4) issuer-specific conditions (such as significant credit
deterioration); and
5) any other market-based data the Advisor's Pricing Committee
considers relevant. In this regard, the Advisor's Pricing Committee
may use last-obtained market-based data to assist it when valuing
portfolio securities using amortized cost.
If the Fund's investments are not able to be priced by their pre-established
pricing methods, such investments may be valued by the Trust's Board of Trustees
or its delegate, the Advisor's Pricing Committee, at fair value. A variety of
factors may be considered in determining the fair value of such investments.
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST GLOBAL TACTICAL COMMODITY STRATEGY FUND (FTGC)
MARCH 31, 2015 (UNAUDITED)
Valuing the Fund's holdings using fair value pricing will result in using prices
for those holdings that may differ from current market valuations. The
Subsidiary's holdings will be valued in the same manner as the Fund's holdings.
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:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs 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 March 31, 2015, is
included with the Fund's Consolidated Portfolio of Investments.
B. FUTURES CONTRACTS
The Fund, through the Subsidiary, may purchase and sell exchange-listed
commodity contracts. When the Subsidiary purchases a listed futures contract, it
agrees to purchase a specified reference asset (e.g., commodity) at a specified
future date. When the Subsidiary sells or shorts a listed futures contract, it
agrees to sell a specified reference asset (e.g., commodity) at a specified
future date. The price at which the purchase and sale will take place is fixed
when the Subsidiary enters into the contract. The exchange clearing corporation
is the ultimate counterparty for all exchange-listed contracts, so credit risk
is limited to the creditworthiness of the exchange's clearing corporation.
Margin deposits are posted as collateral with the clearing broker and, in turn,
with the exchange clearing corporation.
Exchange-listed commodity futures contracts are generally based upon commodities
within the six principal commodity groups: energy, industrial metals,
agriculture, precious metals, foods and fibers, and livestock. The price of a
commodity futures contract will reflect the storage costs of purchasing the
physical commodity. These storage costs include the time value of money invested
in the physical commodity plus the actual costs of storing the commodity less
any benefits from ownership of the physical commodity that are not obtained by
the holder of a futures contract (this is sometimes referred to as the
"convenience yield"). To the extent that these storage costs change for an
underlying commodity while the Subsidiary is in a long position on that
commodity, the value of the futures contract may change proportionately.
Upon entering into a futures contract, the Subsidiary must deposit funds, called
margin, with its custodian in the name of the clearing broker equal to a
specified percentage of the current value of the contract. Open futures
contracts are marked-to-market daily. This daily fluctuation in value of the
contract is also known as variation margin.
When the Subsidiary purchases or sells a futures contract, the Subsidiary is
required to "cover" its position in order to limit the risk associated with the
use of leverage and other related risks. To cover its position, the Subsidiary
segregates assets consisting of cash or liquid securities that, when added to
any amounts deposited with a futures commission merchant as margin, are equal to
the market value of the futures contract or otherwise "cover" its position in a
manner consistent with the 1940 Act or the 1940 Act Rules and SEC
interpretations thereunder. As the Subsidiary continues to engage in the
described securities trading practices and properly segregates assets, the
segregated assets will function as a practical limit on the amount of leverage
which the Subsidiary may undertake and on the potential increase in the
speculative character of the Subsidiary's outstanding portfolio investments.
Additionally, such segregated assets generally ensure the availability of
adequate funds to meet the obligations of the Subsidiary arising from such
investment activities.
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST GLOBAL TACTICAL COMMODITY STRATEGY FUND (FTGC)
MARCH 31, 2015 (UNAUDITED)
C. INVESTMENT TRANSACTIONS
Investment transactions are recorded as of the trade date. Realized gains and
losses from investment transactions are recorded on the identified cost basis.
3. DERIVATIVES TRANSACTIONS
For the year-to-date period (January 1, 2015 through March 31, 2015), the
notional values of futures contracts opened and closed, through the Subsidiary,
were $306,047,137 and $261,303,145, respectively.
ITEM 2. 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 registrant's last fiscal quarter
that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 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 VII
-----------------------------------------------------
By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date: May 20, 2015
----------------
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/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date: May 20, 2015
----------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: May 20, 2015
----------------
* Print the name and title of each signing officer under his or her signature.
EX-99.CERT
2
cert_302.txt
SECTION 302 CERTIFICATION
CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF
THE SARBANES-OXLEY ACT
I, Mark R. Bradley, certify that:
1. I have reviewed this report on Form N-Q of First Trust Exchange-Traded
Fund VII;
2. Based on my knowledge, this report does not contain any untrue statement
of a material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this
report;
3. Based on my knowledge, the schedules of investments included in this
report fairly present in all material respects the investments of the
registrant as of the end of the fiscal quarter for which the report is
filed;
4. The registrant's other certifying officer(s) and I are responsible for
establishing and maintaining disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940) and
internal control over financial reporting (as defined in Rule 30a-3(d)
under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known
to us by others within those entities, particularly during the
period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused
such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the
reliability of financial reporting and the preparation of financial
statements for external purposes in accordance with generally
accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about
the effectiveness of the disclosure controls and procedures, as of a
date within 90 days prior to the filing date of this report, based
on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the
registrant's most recent fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the registrant's
internal control over financial reporting.
Date: May 20, 2015 /s/ Mark R. Bradley
------------------ ----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF
THE SARBANES-OXLEY ACT
I, James M. Dykas, certify that:
1. I have reviewed this report on Form N-Q of First Trust Exchange-Traded
Fund VII;
2. Based on my knowledge, this report does not contain any untrue statement
of a material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this
report;
3. Based on my knowledge, the schedules of investments included in this
report fairly present in all material respects the investments of the
registrant as of the end of the fiscal quarter for which the report is
filed;
4. The registrant's other certifying officer(s) and I are responsible for
establishing and maintaining disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940) and
internal control over financial reporting (as defined in Rule 30a-3(d)
under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known
to us by others within those entities, particularly during the
period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused
such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the
reliability of financial reporting and the preparation of financial
statements for external purposes in accordance with generally
accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about
the effectiveness of the disclosure controls and procedures, as of a
date within 90 days prior to the filing date of this report, based
on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the
registrant's most recent fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the registrant's
internal control over financial reporting.
Date: May 20, 2015 /s/ James. M. Dykas
------------------ ----------------------------------------
James. M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)