0001752724-24-119069.txt : 20240524 0001752724-24-119069.hdr.sgml : 20240524 20240524143107 ACCESSION NUMBER: 0001752724-24-119069 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240331 FILED AS OF DATE: 20240524 DATE AS OF CHANGE: 20240524 PERIOD START: 20241231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED FUND VII CENTRAL INDEX KEY: 0001561785 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22767 FILM NUMBER: 24983381 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 S000053488 First Trust Alternative Absolute Return Strategy ETF C000168150 First Trust Alternative Absolute Return Strategy ETF FAAR NPORT-P 1 primary_doc.xml NPORT-P false 0001561785 XXXXXXXX S000053488 C000168150 FIRST TRUST EXCHANGE-TRADED FUND VII 811-22767 0001561785 549300ESI5HR7KPXFL47 120 East Liberty Drive Suite 400 Wheaton 60187 (630) 765-8000 First Trust Alternative Absolute Return Strategy ETF S000053488 549300WHPXXR83TGJA80 2024-12-31 2024-03-31 N 156241475.12 14290281.81 141951193.31 0.00000000 28324279.77000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 6028629.81000000 USD N DOW JONES AIG COMMODITY FUTURES INDEX - AIG COMMOD FUT DJCI Index NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 NATURAL GAS 000000000 -324.00000000 NC USD 398621.00000000 0.280815532934 N/A DCO CORP US N 1 NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 Short NATURAL GAS NATURAL GAS 2024-04-26 -6110741.00000000 USD 398621.00000000 N N N NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 NY HARB ULSD 000000000 -17.00000000 NC USD -13599.56000000 -0.00958044781 N/A DCO CORP US N 1 NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 Short NY HARBOR ULSD NY HARBOR ULSD 2024-05-31 -1856866.24000000 USD -13599.56000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CDN8 12000000.00000000 PA USD 11655048.60000000 8.210602762984 Long DBT UST US N 2 2024-12-15 Fixed 1.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAZ4 24000000.00000000 PA USD 22332187.44000000 15.73229989777 Long DBT UST US N 2 2025-11-30 Fixed 0.37500000 N N N N N N COMMODITY EXCHANGE, INC. N/A GOLD 100 OZ 000000000 52.00000000 NC USD 167464.68000000 0.117973421776 N/A DCO CORP US N 1 COMMODITY EXCHANGE, INC. N/A Long GOLD GOLD 2024-06-26 11472215.32000000 USD 167464.68000000 N N N ICE FUTURES U.S., INC. 5493004R83R1LVX2IL36 SUGAR #11 (WORLD) 000000000 53.00000000 NC USD 42949.31000000 0.030256392354 N/A DCO CORP US N 1 ICE FUTURES U.S., INC. 5493004R83R1LVX2IL36 Long SUGAR #11 SUGAR #11 2024-04-30 1293837.89000000 USD 42949.31000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 SOYBEAN 000000000 41.00000000 NC USD 30961.16000000 0.021811130486 N/A DCO CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long SOYBEAN SOYBEAN 2024-05-14 2411613.84000000 USD 30961.16000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZW3 12000000.00000000 PA USD 11330625.00000000 7.982056885746 Long DBT UST US N 2 2025-06-30 Fixed 0.25000000 N N N N N N ICE FUTURES EUROPE 549300UF4R84F48NCH34 BRENT CRUDE 000000000 50.00000000 NC USD 207696.00000000 0.146315078554 N/A DCO CORP GB N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Long BRENT CRUDE BRENT CRUDE 2024-05-31 4099804.00000000 USD 207696.00000000 N N N THE LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 LME LEAD 000000000 4.00000000 NC USD -3773.00000000 -0.00265795581 N/A DCO CORP GB N 1 THE LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long LEAD LEAD 2024-06-17 209025.00000000 USD -3773.00000000 N N N ICE FUTURES EUROPE 549300UF4R84F48NCH34 LOW SU GASOIL G 000000000 73.00000000 NC USD -114055.14000000 -0.08034813751 N/A DCO CORP GB N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Long LOW SULPHUR GAS OIL LOW SULPHUR GAS OIL 2024-06-12 5968655.14000000 USD -114055.14000000 N N N ICE FUTURES U.S., INC. 5493004R83R1LVX2IL36 COCOA 000000000 12.00000000 NC USD 184451.87000000 0.129940344775 N/A DCO CORP US N 1 ICE FUTURES U.S., INC. 5493004R83R1LVX2IL36 Long COCOA COCOA 2024-09-13 847308.13000000 USD 184451.87000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 WHEAT 000000000 -262.00000000 NC USD -235786.96000000 -0.16610424646 N/A DCO CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short WHEAT WHEAT 2024-05-14 -7103488.04000000 USD -235786.96000000 N N N THE LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 LME ZINC 000000000 8.00000000 NC USD -14162.00000000 -0.00997666850 N/A DCO CORP GB N 1 THE LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Long LME ZINC LME ZINC 2024-06-17 501196.00000000 USD -14162.00000000 N N N Dreyfus Government Cash Management 5493000Q69I5Q3QZIA91 Dreyfus Government Cash Management 000000000 24278992.66000000 NS USD 24278992.66000000 17.10376087292 Long STIV RF US N 1 N N N CHICAGO MERCANTILE EXCHANGE INC. 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N/A SILVER 000000000 -12.00000000 NC USD -41394.00000000 -0.02916072703 N/A DCO CORP US N 1 COMMODITY EXCHANGE, INC. N/A Short SILVER SILVER 2024-05-29 -1453566.00000000 USD -41394.00000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZF0 12000000.00000000 PA USD 11476896.36000000 8.085100302704 Long DBT UST US N 2 2025-03-31 Fixed 0.50000000 N N N N N N ICE FUTURES U.S., INC. 5493004R83R1LVX2IL36 COFFEE 'C' 000000000 2.00000000 NC USD -600.00000000 -0.00042268049 N/A DCO CORP US N 1 ICE FUTURES U.S., INC. 5493004R83R1LVX2IL36 Long COFFEE COFFEE 2024-07-19 141637.50000000 USD -600.00000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 LEAN HOGS 000000000 -60.00000000 NC USD -2353.72000000 -0.00165811920 N/A DCO CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. 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N/A COPPER 000000000 54.00000000 NC USD 89865.44000000 0.063307280414 N/A DCO CORP US N 1 COMMODITY EXCHANGE, INC. N/A Long COPPER COPPER 2024-05-29 5319584.56000000 USD 89865.44000000 N N N NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 NATURAL GAS 000000000 -193.00000000 NC USD -87236.00000000 -0.06145492543 N/A DCO CORP US N 1 NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 Short NATURAL GAS NATURAL GAS 2024-05-29 -3766974.00000000 USD -87236.00000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAM3 13000000.00000000 PA USD 12150175.83000000 8.559403796955 Long DBT UST US N 2 2025-09-30 Fixed 0.25000000 N N N N N N THE LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 LME PRI ALUM 000000000 -50.00000000 NC USD -169050.00000000 -0.11909022816 N/A DCO CORP GB N 1 THE LONDON METAL EXCHANGE 213800NB8G5VRT1DXC91 Short LME PRIMARY ALUMINUM LME PRIMARY ALUMINUM 2024-06-17 -2749250.00000000 USD -169050.00000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 SOYBEAN OIL 000000000 120.00000000 NC USD -31143.60000000 -0.02193965353 N/A DCO CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long SOYBEAN OIL SOYBEAN OIL 2024-05-14 3483543.60000000 USD -31143.60000000 N N N ICE FUTURES U.S., INC. 5493004R83R1LVX2IL36 COFFEE 'C' 000000000 123.00000000 NC USD 142584.87000000 0.100446404623 N/A DCO CORP US N 1 ICE FUTURES U.S., INC. 5493004R83R1LVX2IL36 Long COFFEE COFFEE 2024-05-20 8568121.38000000 USD 142584.87000000 N N N NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 GASOLINE RBOB 000000000 27.00000000 NC USD 132455.40000000 0.093310522378 N/A DCO CORP US N 1 NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 Long GASOLINE RBOB GASOLINE RBOB 2024-04-30 2952705.00000000 USD 132455.40000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 LIVE CATTLE 000000000 106.00000000 NC USD -161230.24000000 -0.11358146151 N/A DCO CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long LIVE CATTLE LIVE CATTLE 2024-06-28 7803830.24000000 USD -161230.24000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCX7 12000000.00000000 PA USD 11739400.80000000 8.270026145087 Long DBT UST US N 2 2024-09-15 Fixed 0.37500000 N N N N N N ICE FUTURES EUROPE 549300UF4R84F48NCH34 BRENT CRUDE 000000000 81.00000000 NC USD 340484.20000000 0.239860047711 N/A DCO CORP GB N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Long BRENT CRUDE OIL BRENT CRUDE OIL 2024-04-30 6706515.80000000 USD 340484.20000000 N N N MSILF Treasury Portfolio 549300D1XR6GP7EZ0T47 MSILF Treasury Portfolio 61747C582 24278992.72000000 NS USD 24278992.72000000 17.10376091518 Long STIV RF US N 1 N N N NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 NY HARB ULSD 000000000 -22.00000000 NC USD 30640.09000000 0.021584947111 N/A DCO CORP US N 1 NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 Short NY HARBOR ULSD NY HARBOR ULSD 2024-04-30 -2454014.89000000 USD 30640.09000000 N N N NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 WTI CRUDE 000000000 2.00000000 NC USD 3060.00000000 0.002155670500 N/A DCO CORP US N 1 NEW YORK MERCANTILE EXCHANGE, INC. 5493008GFNDTXFPHWI47 Long WTI CRUDE OIL WTI CRUDE OIL 2024-05-21 161780.00000000 USD 3060.00000000 N N N ICE FUTURES EUROPE 549300UF4R84F48NCH34 LOW SU GASOIL G 000000000 147.00000000 NC USD -293849.66000000 -0.20700753065 N/A DCO CORP GB N 1 ICE FUTURES EUROPE 549300UF4R84F48NCH34 Long LOW SULPHUR GAS OIL LOW SULPHUR GAS OIL 2024-05-10 12171449.66000000 USD -293849.66000000 N N N 2024-05-24 FIRST TRUST EXCHANGE-TRADED FUND VII Derek Maltbie Derek Maltbie Treasurer, Chief Financial Officer and Chief Accounting Officer XXXX NPORT-EX 2 659021FT033124.htm EDGAR HTML
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments
March 31, 2024  (Unaudited)
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
U.S. GOVERNMENT BONDS AND NOTES — 65.2%
$12,000,000
U.S. Treasury Note
0.25%
06/15/24
$11,874,261
12,000,000
U.S. Treasury Note
0.38%
09/15/24
11,739,401
12,000,000
U.S. Treasury Note
1.00%
12/15/24
11,655,049
12,000,000
U.S. Treasury Note
0.50%
03/31/25
11,476,896
12,000,000
U.S. Treasury Note
0.25%
06/30/25
11,330,625
13,000,000
U.S. Treasury Note
0.25%
09/30/25
12,150,176
24,000,000
U.S. Treasury Note
0.38%
11/30/25
22,332,187
 
Total U.S. Government Bonds and Notes
92,558,595
 
(Cost $92,587,969)
 
 
Shares
Description
Value
MONEY MARKET FUNDS — 34.2%
24,278,993
Dreyfus Government Cash Management Fund, Institutional Shares - 5.20% (a)
24,278,993
24,278,993
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.16% (a)
24,278,993
 
Total Money Market Funds
48,557,986
 
(Cost $48,557,986)
 
 
 
 
Total Investments — 99.4%
141,116,581
 
(Cost $141,145,955)
 
 
Net Other Assets and Liabilities — 0.6%
836,764
 
Net Assets — 100.0%
$141,953,345
Futures Contracts at March 31, 2024:
 
Futures Contracts
Position
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
Brent Crude Oil Futures
Long
81
Apr-2024
$7,047,000
$340,484
Brent Crude Oil Futures
Long
50
May-2024
4,307,500
207,696
Cattle Feeder Futures
Long
69
Apr-2024
8,525,813
(123,307
)
Cocoa Futures
Long
16
May-2024
1,562,560
663,443
Cocoa Futures
Long
15
Jul-2024
1,395,900
231,088
Cocoa Futures
Long
12
Sep-2024
1,031,760
184,452
Coffee “C” Futures
Long
123
May-2024
8,710,706
142,585
Coffee “C” Futures
Long
2
Jul-2024
141,038
(600
)
Copper Futures
Long
54
May-2024
5,409,450
89,866
Cotton No. 2 Futures
Long
146
May-2024
6,670,740
(181,309
)
Gasoline RBOB Futures
Long
27
Apr-2024
3,085,160
132,455
Gasoline RBOB Futures
Long
25
May-2024
2,822,925
39,833
Gold 100 Oz. Futures
Long
52
Jun-2024
11,639,680
167,465
Kansas City Hard Red Winter Wheat
Futures
Long
238
May-2024
6,964,475
133,790
Live Cattle Futures
Long
106
Jun-2024
7,642,600
(161,230
)
LME Lead Futures
Long
4
Jun-2024
205,252
(3,773
)
LME Nickel Futures
Long
2
Jun-2024
200,884
1,579
LME Zinc Futures
Long
8
Jun-2024
487,034
(14,162
)
Low Sulphur Gasoil “G” Futures
Long
147
May-2024
11,877,600
(293,850
)
Low Sulphur Gasoil “G” Futures
Long
73
Jun-2024
5,854,600
(114,055
)
Soybean Futures
Long
41
May-2024
2,442,575
30,961
Soybean Meal Futures
Long
151
May-2024
5,099,270
14,474
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments (Continued)
March 31, 2024  (Unaudited)
Futures Contracts at March 31, 2024 (Continued):
Futures Contracts
Position
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
Soybean Oil Futures
Long
120
May-2024
$3,452,400
$(31,144
)
Sugar #11 (World) Futures
Long
53
Apr-2024
1,336,787
42,949
WTI Crude Futures
Long
69
Apr-2024
5,738,730
278,776
WTI Crude Futures
Long
2
May-2024
164,840
3,060
Corn Futures
Short
509
May-2024
(11,248,900
)
125,940
Lean Hogs Futures
Short
60
Jun-2024
(2,434,800
)
(2,354
)
LME Aluminium Futures
Short
50
Jun-2024
(2,918,300
)
(169,050
)
Natural Gas Futures
Short
324
Apr-2024
(5,712,120
)
398,621
Natural Gas Futures
Short
193
May-2024
(3,854,210
)
(87,236
)
NY Harbor ULSD Futures
Short
22
Apr-2024
(2,423,375
)
30,640
NY Harbor ULSD Futures
Short
17
May-2024
(1,870,466
)
(13,599
)
Silver Futures
Short
12
May-2024
(1,494,960
)
(41,394
)
Wheat Futures
Short
262
May-2024
(7,339,275
)
(235,787
)
 
 
 
 
$74,520,873
$1,787,307
 
(a)
Rate shown reflects yield as of March 31, 2024.
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 March 31, 2024 is as follows:
 
ASSETS TABLE
 
Total
Value at
3/31/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
U.S. Government Bonds and Notes
$92,558,595
$—
$92,558,595
$—
Money Market Funds
48,557,986
48,557,986
—
—
Total Investments
141,116,581
48,557,986
92,558,595
—
Futures Contracts
3,260,157
3,260,157
—
—
Total
$144,376,738
$51,818,143
$92,558,595
$—
 
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments (Continued)
March 31, 2024  (Unaudited)
LIABILITIES TABLE
 
Total
Value at
3/31/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Futures Contracts
$(1,472,850
)
$(1,472,850
)
$—
$—