First Trust SSI Strategic Convertible Securities ETF (FCVT US) – Portfolio Construction Methodology

The investment process guiding the actively managed First Trust SSI Strategic Convertible Securities ETF (FCVT) seeks total return from a diversified book of U.S. and non-U.S. convertible securities, emphasizing day-to-day exposure to traditional converts, mandatories, preferreds and selected 144A issues. Security selection blends quantitative reward-per-unit-risk screens with fundamental equity and credit work to favor names with improving credit profiles or supportive equity optionality; the team actively adjusts equity-beta and rate sensitivity. Portfolio construction typically allocates ≥80% of net assets to convertibles across capitalizations and credit tiers, with an issuance-size bias (e.g., original par ≥USD 200m) to support liquidity; synthetic convertibles are capped (≤10%), while 144A usage adheres to minimum original size thresholds. The portfolio may complement converts with limited allocations to ETNs and listed equities. Rebalancing is continuous, with sector/quality/term over- or underweights and trims driven by valuation, convexity, and macro risk assessments.

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