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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 811-22559

	First Trust Exchange-Traded Fund IV
	(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: October 31

Date of reporting period: April 30, 2018

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 semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:

FIRST TRUST

First Trust Exchange-Traded Fund IV
--------------------------------------------------------------------------------

First Trust North American
Energy Infrastructure Fund
(EMLP)

Semi-Annual Report
For the Six Months Ended
April 30, 2018

Energy Income Partners, LLC
---------------------------

<PAGE>

--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
SEMI-ANNUAL REPORT
APRIL 30, 2018

Shareholder Letter........................................................... 1
Fund Performance Overview.................................................... 2
Portfolio Management......................................................... 4
Understanding Your Fund Expenses............................................. 5
Portfolio of Investments..................................................... 6
Statement of Assets and Liabilities.......................................... 8
Statement of Operations...................................................... 9
Statements of Changes in Net Assets.......................................... 10
Financial Highlights......................................................... 11
Notes to Financial Statements................................................ 12
Additional Information....................................................... 18

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and/or Energy Income Partners, LLC ("EIP" or the
"Sub-Advisor") and their respective representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the series of First Trust Exchange-Traded Fund IV (the "Trust") described in
this report (First Trust North American Energy Infrastructure Fund; hereinafter
referred to as the "Fund") to be materially different from any future results,
performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and/or Sub-Advisor and their respective
representatives only as of the date hereof. We undertake no obligation to
publicly revise or update these forward-looking statements to reflect events and
circumstances that arise after the date hereof.

PERFORMANCE AND RISK DISCLOSURE

There is no assurance that the Fund will achieve its investment objective. The
Fund is subject to market risk, which is the possibility that the market values
of securities owned by the Fund will decline and that the value of the Fund
shares may therefore be less than what you paid for them. Accordingly, you can
lose money investing in the Fund. See "Risk Considerations" in the Additional
Information section of this report for a discussion of other risks of investing
in the Fund.

Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund
performance on the Fund's webpage at www.ftportfolios.com.

HOW TO READ THIS REPORT

This report contains information that may help you evaluate your investment in
the Fund. It includes details about the Fund and presents data and analysis that
provide insight into the Fund's performance and investment approach.

The statistical information that follows may help you understand the Fund's
performance compared to that of relevant market benchmarks.

It is important to keep in mind that the opinions expressed by personnel of the
Advisor and/or Sub-Advisor are just that: informed opinions. They should not be
considered to be promises or advice. The opinions, like the statistics, cover
the period through the date on the cover of this report. The material risks of
investing in the Fund are spelled out in the prospectus, the statement of
additional information, this report and other Fund regulatory filings.

<PAGE>

--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
APRIL 30, 2018

Dear Shareholders:

First Trust is pleased to provide you with the semi-annual report for the First
Trust North American Energy Infrastructure Fund, which contains detailed
information about your investment for the period ended April 30, 2018. We
encourage you to read this report carefully and discuss it with your financial
advisor.

As you are no doubt aware, 2017 was a very strong year for both the U.S. and
global markets. The three major U.S. indices - the S&P 500(R) Index, the Dow
Jones Industrial Average and the Nasdaq Composite - posted their best
performance since 2013. And there was more good news for Wall Street as the year
ended and analysts collected stock market data:

o The S&P 500(R) Index did something it had never previously done,
finishing 2017 with 12 months of gains;

o The Dow Jones Industrial Average achieved a milestone as well,
closing above 24,000 for the first time ever on November 30;

o The Nasdaq Composite set a record by having 11 months of gains in
2017 (June was the only down month, and by just 0.86%); and

o The MSCI AC World Index (containing constituents from 47 countries)
ended 2017 at an all-time high and was up 22% at year-end.

As 2017 ended, President Trump signed the "Tax Cuts and Jobs Act of 2017" tax
reform bill. As 2018 began, there was much enthusiasm for this tax reform
package and the potential increase in take-home pay for many Americans, as well
as the reduction in the federal corporate tax rate from 35% to 21%. Early in the
year, many investors were also watching the Federal Reserve (the "Fed") and its
signaled intent to continue raising interest rates at a gradual pace. Based on
strong job growth and the economic outlook in the U.S., the Fed did, in fact,
raise interest rates on March 21, 2018.

For the entire first quarter of 2018, increased volatility was the norm. The S&P
500(R) Index was off to a strong start in January as it returned over 7.5% from
January 2 to January 26. February, however, was a different story. Early in the
month, the Dow Jones Industrial Average plunged 567 points and sank into
"correction" territory (defined as a drop of 10% from the index's high) and in
just two weeks, was down more than 3,200 points. However, as February came to a
close, the Dow Jones Industrial Average was back on track and up from the lows
experienced earlier in the month. Volatility continued in March and April with
the Dow Jones Industrial Average ending April with a small gain. Across the
globe, the first quarter saw the Emerging Market and Developing Market
countries, as well as Europe, continue with the strong performances experienced
in 2017.

This market volatility is why we believe that one should invest for the long
term and be prepared for market movements, which can happen at any time. This
can be accomplished by keeping current on your portfolio and investing goals and
by speaking regularly with your investment professional. It's important to keep
in mind that past performance of the U.S. and global stock markets or investment
products can never guarantee future results. As we've said before, markets go up
and they also go down, but savvy investors are prepared for either through
careful attention to their portfolios and investment goals.

At First Trust, we continue to be optimistic about the U.S. economy and we thank
you for giving us the opportunity to be a part of your financial plan. We value
our relationship with you and will report on your investment again in six
months.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.

Page 1

<PAGE>

--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)

The Fund's investment objective is to seek total return. The Fund pursues its
objective by investing, under normal market conditions, at least 80% of its net
assets (including investment borrowings) in equity securities of companies
deemed by Energy Income Partners, LLC ("EIP" or the "Sub-Advisor") to be engaged
in the energy infrastructure sector. These companies principally include
publicly traded master limited partnerships and limited liability companies
taxed as partnerships ("MLPs"), MLP affiliates, pipeline companies, utilities
and other companies that derive at least 50% of their revenues from operating or
providing services in support of infrastructure assets such as pipelines, power
transmission and petroleum and natural gas storage in the petroleum, natural gas
and power generation industries (collectively, "Energy Infrastructure
Companies"). The Fund will be generally concentrated in Energy Infrastructure
Companies. Under normal market conditions, the Fund will invest at least 80% of
its net assets (including investment borrowings) in equity securities of
companies headquartered or incorporated in the United States and Canada. There
can be no assurance that the Fund's investment objective will be achieved. The
Fund may not be appropriate for all investors.

<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended 5 Years Ended Inception (6/20/12) 5 Years Ended Inception (6/20/12)
4/30/18 4/30/18 4/30/18 to 4/30/18 4/30/18 to 4/30/18

<S> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -5.78% -6.58% 2.37% 5.80% 12.40% 39.15%
Market Price -5.65% -6.54% 2.39% 5.82% 12.53% 39.31%

INDEX PERFORMANCE
Blended Benchmark(1) -2.25% -3.83% 2.11% 5.34% 11.01% 35.63%
S&P 500(R) Index 3.82% 13.27% 12.96% 14.48% 83.93% 120.87%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>

Total returns for the period since inception are calculated from the inception
date of the Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated.

The Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed 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 outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of the Fund did not trade in the
secondary market until after the Fund's inception, for the period from inception
to the first day of secondary market trading in shares of the Fund, the NAV of
the Fund is used as a proxy for the secondary market trading price to calculate
market returns. NAV and market returns assume that all distributions have been
reinvested in the Fund at NAV and Market Price, respectively.

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. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. 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. The investment return and principal value of shares of the
Fund will vary with changes in market conditions. Shares of the Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. The Fund's past performance is no guarantee of future performance.

-----------------------------

(1) The Blended Benchmark consists of the following two indices: 50% of the
PHLX Utility Sector Index which is a market capitalization weighted index
composed of geographically diverse public U.S. utility stocks; and 50% of
the Alerian MLP Total Return Index which is a float-adjusted,
capitalization-weighted composite of the 50 most prominent energy Master
Limited Partnerships (MLPs). Indices are unmanaged and an investor cannot
invest directly in an index. All index returns assume that distributions
are reinvested when they are received.

Page 2

<PAGE>

--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP) (CONTINUED)

-----------------------------------------------------------
% OF TOTAL
INDUSTRY CLASSIFICATION INVESTMENTS
-----------------------------------------------------------
Electric Power & Transmission 40.05%
Natural Gas Transmission 22.36
Petroleum Product Transmission 15.15
Crude Oil Transmission 12.67
Propane 3.88
Natural Gas Gathering & Processing 3.04
Coal 1.64
Other 1.21
-------
Total 100.00%
=======

-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS INVESTMENTS
-----------------------------------------------------------
Enbridge Energy Management, LLC 5.33%
Enterprise Products Partners, L.P. 5.28
TransCanada Corp. 5.05
ONEOK, Inc. 4.34
NextEra Energy Partners, L.P. 4.14
Williams (The) Cos., Inc. 3.65
Exelon Corp. 3.56
Public Service Enterprise Group, Inc. 3.43
Kinder Morgan, Inc. 3.39
Enbridge Income Fund Holdings, Inc. 3.33
-------
Total 41.50%
=======

<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JUNE 20, 2012 - APRIL 30, 2018

First Trust North American Blended S&P 500(R)
Energy Infrastructure Fund Benchmark Index
<S> <C> <C> <C>
6/20/12 $10,000 $10,000 $10,000
10/31/12 10,690 10,609 10,495
4/30/13 12,379 12,218 12,008
10/31/13 12,138 12,041 13,347
4/30/14 13,341 13,356 14,463
10/31/14 14,861 14,356 15,652
4/30/15 15,005 13,777 16,341
10/31/15 12,793 12,018 16,467
4/30/16 13,004 12,510 16,538
10/31/16 14,330 13,065 17,209
4/30/17 14,896 14,102 19,501
10/31/17 14,768 13,874 21,276
4/30/18 13,914 13,562 22,089
</TABLE>

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.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV THROUGH APRIL 30, 2018

The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period November 1, 2012, through
April 30, 2018. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.

<TABLE>
<CAPTION>
NUMBER OF DAYS BID/ASK MIDPOINT NUMBER OF DAYS BID/ASK MIDPOINT
AT/ABOVE NAV BELOW NAV
---------------------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.00%- 0.50%- 1.00%- 0.00%- 0.50%- 1.00%-
FOR THE PERIOD 0.49% 0.99% 1.99% >=2.00% 0.49% 0.99% 1.99% >=2.00%
11/1/12 - 10/31/13 226 2 0 0 24 0 0 0
11/1/13 - 10/31/14 231 0 0 0 21 0 0 0
11/1/14 - 10/31/15 158 0 0 0 93 0 0 0
11/1/15 - 10/31/16 213 0 0 0 39 0 0 0
11/1/16 - 10/31/17 209 0 0 0 43 0 0 0
11/1/17 - 4/30/18 91 0 0 0 32 0 0 0
</TABLE>

Page 3

<PAGE>

--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
SEMI-ANNUAL REPORT
APRIL 30, 2018 (UNAUDITED)

ADVISOR

First Trust Advisors, L.P. ("First Trust") is the investment advisor to the
First Trust North American Energy Infrastructure Fund (the "Fund"). First Trust
is responsible for the ongoing monitoring of the Fund's investment portfolio,
managing the Fund's business affairs and providing certain administrative
services necessary for the management of the Fund.

SUB-ADVISOR

ENERGY INCOME PARTNERS, LLC

Energy Income Partners, LLC ("EIP or the "Sub-Advisor"), located in Westport,
CT, serves as the investment sub-advisor to the First Trust North American
Energy Infrastructure Fund ("EMLP" or the "Fund"). EIP was founded in 2003 and
provides professional asset management services in the area of energy-related
master limited partnerships ("MLPs") and other high-payout securities such as
pipeline companies, power utilities, YieldCos, and energy infrastructure real
estate investment trusts ("REITs"). EIP mainly focuses on investments in
energy-related infrastructure assets such as pipelines, power transmission and
distribution, petroleum storage and terminals that receive fee-based or
regulated income from their corporate and individual customers. As of April 30,
2018, EIP had approximately $6.0 billion of assets under management or
supervision. EIP advises two privately offered partnerships for U.S. high net
worth individuals and an open-end mutual fund. EIP also manages separately
managed accounts and provides its model portfolio to unified managed accounts.
Finally, in addition to the Fund, EIP serves as a sub-advisor to four closed-end
management investment companies, a sleeve of an actively managed exchange-traded
fund, a sleeve of a series of a variable insurance trust, and an open-end UCITS
fund incorporated in Ireland. EIP is a registered investment advisor with the
Securities and Exchange Commission.

PORTFOLIO MANAGEMENT TEAM

JAMES J. MURCHIE -- CO-PORTFOLIO MANAGER, FOUNDER AND CEO OF ENERGY INCOME
PARTNERS, LLC

EVA PAO -- CO-PORTFOLIO MANAGER AND PRINCIPAL OF ENERGY INCOME
PARTNERS, LLC

JOHN TYSSELAND -- CO-PORTFOLIO MANAGER AND PRINCIPAL OF ENERGY INCOME
PARTNERS, LLC

The portfolio managers are primarily and jointly responsible for the day-to-day
management of the Fund.

Page 4

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)

UNDERSTANDING YOUR FUND EXPENSES
APRIL 30, 2018 (UNAUDITED)

As a shareholder of First Trust North American Energy Infrastructure Fund (the
"Fund"), you incur two types of costs: (1) transaction costs; and (2) ongoing
costs, including management fees, distribution and/or service fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Fund and to compare these costs with the
ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended April 30, 2018.

ACTUAL EXPENSES

The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.

Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.

<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
NOVEMBER 1, 2017 APRIL 30, 2018 PERIOD PERIOD (a)
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST NORTH AMERICAN ENERGY
INFRASTRUCTURE FUND (EMLP)
Actual $1,000.00 $ 942.20 0.95% $4.57
Hypothetical (5% return before expenses) $1,000.00 $1,020.08 0.95% $4.76
</TABLE>

(a) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (November 1,
2017 through April 30, 2018), multiplied by 181/365 (to reflect the
six-month period).

Page 5

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)

PORTFOLIO OF INVESTMENTS
APRIL 30, 2018 (UNAUDITED)

SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 69.3%
ELECTRIC UTILITIES -- 22.2%
441,572 Alliant Energy Corp. $ 18,965,517
911,832 American Electric Power Co.,
Inc. 63,810,003
656,451 Duke Energy Corp. 52,621,112
123,459 Edison International 8,089,034
1,245,418 Emera, Inc. (CAD) 38,789,880
98,275 Eversource Energy 5,921,069
1,915,133 Exelon Corp. 75,992,477
842,619 Fortis, Inc. (CAD) 28,285,275
1,082,274 Hydro One Ltd. (CAD) (a) 17,187,248
256,808 IDACORP, Inc. 23,883,144
411,886 NextEra Energy, Inc. 67,512,234
546,870 PPL Corp. 15,913,917
847,355 Southern (The) Co. 39,080,013
676,168 Xcel Energy, Inc. 31,671,709
--------------
487,722,632
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 0.9%
182,999 CorEnergy Infrastructure Trust,
Inc. 7,052,781
567,196 InfraREIT, Inc. 12,086,947
--------------
19,139,728
--------------
GAS UTILITIES -- 4.6%
179,942 Atmos Energy Corp. 15,635,160
170,208 Chesapeake Utilities Corp. 12,935,808
542,162 New Jersey Resources Corp. 22,418,399
1,032,105 UGI Corp. 49,943,561
--------------
100,932,928
--------------
MULTI-UTILITIES -- 13.2%
808,557 ATCO Ltd., Class I (CAD) 24,465,469
1,186,627 Canadian Utilities Ltd., Class A
(CAD) 30,221,351
736,234 CMS Energy Corp. 34,742,883
811,730 National Grid PLC, ADR 47,226,451
824,747 NiSource, Inc. 20,115,579
1,402,326 Public Service Enterprise Group,
Inc. 73,131,301
210,972 Sempra Energy 23,586,670
555,119 WEC Energy Group, Inc. 35,683,049
--------------
289,172,753
--------------
OIL, GAS & CONSUMABLE FUELS
-- 28.2%
11,611,137 Enbridge Energy Management,
LLC (b) 113,556,920
3,322,251 Enbridge Income Fund
Holdings, Inc. (CAD) 71,053,400
719,118 Enbridge, Inc. 21,767,702
1,179,426 Inter Pipeline Ltd. (CAD) 21,265,401
744,997 Keyera Corp. (CAD) 20,058,839
4,574,896 Kinder Morgan, Inc. 72,374,855
1,534,643 ONEOK, Inc. 92,416,201
436,632 Targa Resources Corp. 20,508,605

SHARES/
UNITS DESCRIPTION VALUE
------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
2,535,850 TransCanada Corp. $ 107,646,833
3,020,359 Williams (The) Cos., Inc. 77,713,837
--------------
618,362,593
--------------
WATER UTILITIES -- 0.2%
63,371 American Water Works Co., Inc. 5,486,661
--------------
TOTAL COMMON STOCKS
-- 69.3% 1,520,817,295
(Cost $1,554,748,124) --------------

MASTER LIMITED PARTNERSHIPS
-- 27.8%
CHEMICALS -- 0.1%
111,327 Westlake Chemical Partners,
L.P. 2,510,424
--------------
GAS UTILITIES -- 1.5%
767,209 AmeriGas Partners, L.P. 32,836,545
--------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 4.0%
2,119,938 NextEra Energy Partners,
L.P. (c) 88,337,816
--------------
OIL, GAS & CONSUMABLE FUELS
-- 22.2%
708,088 Alliance Holdings GP, L.P. 18,112,891
949,247 Alliance Resource Partners, L.P. 16,754,210
347,329 BP Midstream Partners, L.P. 6,588,831
312,826 Buckeye Partners, L.P. 12,997,920
4,195,063 Enterprise Products Partners,
L.P. 112,595,491
1,152,598 EQT Midstream Partners, L.P. 64,845,164
1,218,709 Holly Energy Partners, L.P. 35,720,361
1,051,825 Magellan Midstream Partners,
L.P. 69,241,640
504,633 Phillips 66 Partners, L.P. 25,019,704
222,070 Plains All American Pipeline,
L.P. 5,220,866
266,763 Shell Midstream Partners, L.P. 5,759,413
849,955 Spectra Energy Partners, L.P. 30,300,896
1,676,482 TC PipeLines, L.P. 58,827,753
276,519 TransMontaigne Partners, L.P. 10,687,459
402,068 Williams Partners, L.P. 14,635,275
--------------
487,307,874
--------------
TOTAL MASTER LIMITED
PARTNERSHIPS -- 27.8% 610,992,659
(Cost $614,156,648) --------------

TOTAL INVESTMENTS -- 97.1% 2,131,809,954
(Cost $2,168,904,772) (d)
NET OTHER ASSETS AND
LIABILITIES -- 2.9% 63,575,209
--------------
NET ASSETS -- 100.0% $2,195,385,163
==============

Page 6 See Notes to Financial Statements

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

(a) This security is restricted in the U.S. and cannot be offered for public
sale without first being registered under the Securities Act of 1933, as
amended. 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.

(b) Non-income producing security which makes payment-in-kind ("PIK")
distributions. For the six months ended April 30, 2018, the Fund received
509,452 PIK shares of Enbridge Energy Management, LLC.

(d) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of April 30, 2018, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $171,250,085 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $208,344,903. The net unrealized depreciation
was $37,094,818.

ADR American Depositary Receipt

CAD Canadian Dollar - Security is denominated in Canadian Dollars and is
translated into U.S. Dollars based upon the current exchange rate.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of April 30,
2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs

LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $1,520,817,295 $ -- $ --
Master Limited
Partnerships* 610,992,659 -- --
------------------------------------------
Total Investments $2,131,809,954 $ -- $ --
==========================================

* See Portfolio of Investments for industry breakout.

All transfers in and out of the Levels during the period are assumed to occur on
the last day of the period at their current value. There were no transfers
between Levels at April 30, 2018.

See Notes to Financial Statements Page 7

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)

STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at value.................................................. $ 2,131,809,954
Cash................................................................... 58,018,043
Dividends receivable................................................... 7,230,065
----------------
Total Assets........................................................ 2,197,058,062
----------------
LIABILITIES:
Due to custodian foreign currency...................................... 4,471
Investment advisory fees payable....................................... 1,668,428
----------------
Total Liabilities................................................... 1,672,899
----------------
NET ASSETS............................................................. $ 2,195,385,163
================
NET ASSETS CONSIST OF:
Paid-in capital........................................................ $ 2,358,941,010
Par value.............................................................. 967,550
Accumulated net investment income (loss)............................... (32,284,412)
Accumulated net realized gain (loss) on investments and foreign
currency transactions............................................... (95,142,802)
Net unrealized appreciation (depreciation) on investments and
foreign currency translation........................................ (37,096,183)
----------------
NET ASSETS............................................................. $ 2,195,385,163
================
NET ASSET VALUE, per share............................................. $ 22.69
================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share).............................. 96,755,000
================
Investments, at cost................................................... $ 2,168,904,772
================
Foreign currency, at cost (proceeds)................................... $ (4,574)
================
</TABLE>

Page 8 See Notes to Financial Statements

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)

STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Dividends.............................................................. $ 30,993,047
Foreign withholding tax................................................ (1,538,973)
----------------
Total investment income............................................. 29,454,074
----------------
EXPENSES:
Investment advisory fees............................................... 10,223,420
----------------
Total expenses...................................................... 10,223,420
----------------
NET INVESTMENT INCOME (LOSS)........................................... 19,230,654
----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments......................................................... 6,626,192
In-kind redemptions................................................. 11,838,378
Foreign currency transactions....................................... (58,762)
----------------
Net realized gain (loss)............................................... 18,405,808
----------------
Net change in unrealized appreciation (depreciation) on:
Investments......................................................... (176,662,169)
Foreign currency translation........................................ 4,139
----------------
Net change in unrealized appreciation (depreciation)................... (176,658,030)
----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (158,252,222)
----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS..................................................... $ (139,021,568)
================
</TABLE>

See Notes to Financial Statements Page 9

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)

STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
SIX MONTHS
ENDED
4/30/2018 YEAR ENDED
(UNAUDITED) 10/31/2017
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)........................................... $ 19,230,654 $ 26,171,504
Net realized gain (loss)............................................... 18,405,808 (3,013,599)
Net change in unrealized appreciation (depreciation)................... (176,658,030) 24,010,675
-------------- --------------
Net increase (decrease) in net assets resulting from operations........ (139,021,568) 47,168,580
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................................. (41,760,103) (32,195,764)
Return of capital...................................................... -- (32,255,683)
-------------- --------------
Total distributions to shareholders.................................... (41,760,103) (64,451,447)
-------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.............................................. 523,075,954 557,930,381
Cost of shares redeemed................................................ (57,885,683) (8,699,809)
-------------- --------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................................ 465,190,271 549,230,572
-------------- --------------
Total increase (decrease) in net assets................................ 284,408,600 531,947,705

NET ASSETS:
Beginning of period.................................................... 1,910,976,563 1,379,028,858
-------------- --------------
End of period.......................................................... $2,195,385,163 $1,910,976,563
============== ==============
Accumulated net investment income (loss) at end of period.............. $ (32,284,412) $ (9,754,963)
============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................................ 77,855,000 55,705,000
Shares sold............................................................ 21,450,000 22,500,000
Shares redeemed........................................................ (2,550,000) (350,000)
-------------- --------------
Shares outstanding, end of period...................................... 96,755,000 77,855,000
============== ==============
</TABLE>

Page 10 See Notes to Financial Statements

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)

FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
4/30/2018 ------------------------------------------------------------------------
(UNAUDITED) 2017 2016 2015 2014 2013
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 24.55 $ 24.76 $ 23.03 $ 27.72 $ 23.40 $ 21.26
---------- ---------- ---------- ---------- ---------- ----------
Net investment income (loss) 0.24 0.44 0.30 0.39 0.45 0.39
Net realized and unrealized gain (loss) (1.65) 0.32 2.37 (4.18) 4.71 2.46
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (1.41) 0.76 2.67 (3.79) 5.16 2.85
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.45) (0.48) (0.30) (0.90) (0.84) (0.71)
Return of capital -- (0.49) (0.64) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions (0.45) (0.97) (0.94) (0.90) (0.84) (0.71)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 22.69 $ 24.55 $ 24.76 $ 23.03 $ 27.72 $ 23.40
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (5.78)% 3.06% 12.01% (13.92)% 22.44% 13.54%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $2,195,385 $1,910,977 $1,379,029 $ 952,609 $ 946,947 $ 433,099
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.95% (b) 0.95% 0.95% 0.95% 0.95% 0.95%
Ratio of net investment income (loss) to
average net assets 1.79% (b) 1.59% 1.44% 1.47% 1.11% 1.28%
Portfolio turnover rate (c) 12% 24% 40% 34% 7% 22%
</TABLE>

(a) 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.

(b) Annualized.

(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.

See Notes to Financial Statements Page 11

<PAGE>

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

1. ORGANIZATION

First Trust Exchange-Traded Fund IV (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on September 15,
2010, 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 consists of eight funds that are offering shares. This
report covers the First Trust North American Energy Infrastructure Fund (the
"Fund"), which trades under the ticker "EMLP" on the NYSE Arca, Inc. ("NYSE
Arca"). Unlike conventional mutual funds, the Fund issues and redeems shares on
a continuous basis, at net asset value ("NAV"), only in large specified blocks
consisting of 50,000 shares called a "Creation Unit." Creation Units are
generally issued and redeemed in-kind for securities in which the Fund invests
and, in certain circumstances, for cash, and only to and from broker-dealers and
large institutional investors that have entered into participation agreements.
Except when aggregated in Creation Units, the Fund's shares are not redeemable
securities.

The Fund is an actively managed exchange-traded fund. The investment objective
of the Fund is to seek total return. Under normal market conditions, the Fund
will invest at least 80% of its net assets (including investment borrowings) in
energy infrastructure companies, which principally include publicly-traded
master limited partnerships and limited liability companies taxed as
partnerships ("MLPs"), MLP affiliates, pipeline companies, utilities, and other
companies that derive at least 50% of their revenues from operating or providing
services in support of infrastructure assets such as pipelines, power
transmission and petroleum and natural gas storage in the petroleum, natural gas
and power generation industries (collectively, "Energy Infrastructure
Companies").

2. SIGNIFICANT ACCOUNTING POLICIES

The Fund is considered an investment company and follows accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Fund in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.

A. PORTFOLIO VALUATION

The Fund's 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. If the NYSE closes early on a valuation day, the NAV
is determined as of that time. Foreign securities are priced using data
reflecting the earlier closing of the principal markets for those securities.
The Fund's 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 the absence of
the 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 Portfolio of Investments. The Fund's investments are valued as
follows:

Common stocks, MLPs and other equity securities listed on any national or
foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the
London Stock Exchange Alternative Investment Market ("AIM")) are valued at
the last sale price on the exchange on which they are principally traded
or, for Nasdaq and AIM securities, the official closing price. Securities
traded on more than one securities exchange are valued at the last sale
price or official closing price, as applicable, at the close of the
securities exchange representing the principal market for such securities.

Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.

Page 12

<PAGE>

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of the Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:

1) the type of security;

2) the size of the holding;

3) the initial cost of the security;

4) transactions in comparable securities;

5) price quotes from dealers and/or third-party pricing services;

6) relationships among various securities;

7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;

8) an analysis of the issuer's financial statements; and

9) the existence of merger proposals or tender offers that might affect
the value of the security.

If the securities in question are foreign securities, the following additional
information may be considered:

1) the value of similar foreign securities traded on other foreign
markets;

2) ADR trading of similar securities;

3) closed-end fund trading of similar securities;

4) foreign currency exchange activity;

5) the trading prices of financial products that are tied to baskets of
foreign securities;

6) factors relating to the event that precipitated the pricing problem;

7) whether the event is likely to recur; and

8) whether the effects of the event are isolated or whether they affect
entire markets, countries or regions.

Because foreign markets may be open on different days than the days during which
investors may transact in the shares of the Fund, the value of the Fund's
securities may change on the days when investors are not able to transact in the
shares of the Fund. The value of securities denominated in foreign currencies is
converted into U.S. dollars using exchange rates determined daily as of the
close of regular trading on the NYSE.

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 April 30, 2018, is
included with the Fund's Portfolio of Investments.

Page 13

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Distributions received from the Fund's investments in MLPs generally are
comprised of return of capital and investment income. The Fund records estimated
return of capital and investment income based on historical information
available from each MLP. These estimates may subsequently be revised based on
information received from the MLPs after their tax reporting periods are
concluded.

C. FOREIGN CURRENCY

The books and records of the Fund are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investments and items of income and expense are
translated on the respective dates of such transactions. Unrealized gains and
losses on assets and liabilities, other than investments in securities, which
result from changes in foreign currency exchange rates have been included in
"Net change in unrealized appreciation (depreciation) on foreign currency
translation" on the Statement of Operations. Unrealized gains and losses on
investments in securities which result from changes in foreign exchange rates
are included with fluctuations arising from changes in market price and are
shown in "Net change in unrealized appreciation (depreciation) on investments"
on the Statement of Operations. Net realized foreign currency gains and losses
include the effect of changes in exchange rates between trade date and
settlement date on investment security transactions, foreign currency
transactions and interest and dividends received and is included in "Net
realized gain (loss) on foreign currency transactions" on the Statement of
Operations. The portion of foreign currency gains and losses related to
fluctuations in exchange rates between the initial purchase settlement date and
subsequent sale trade date is included in "Net realized gain (loss) on
investments" on the Statement of Operations.

D. DIVIDENDS AND DISTRIBUTION TO SHAREHOLDERS

Dividends from net investment income of the Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by the Fund, if any, are distributed
at least annually.

Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on significantly modified portfolio securities
held by the Fund and have no impact on net assets or NAV per share. Temporary
differences, which arise from recognizing certain items of income, expense and
gain/loss in different periods for financial statement and tax purposes, will
reverse at some time in the future.

The tax character of distributions paid during the fiscal year ended October 31,
2017 was as follows:

Distributions paid from:
Ordinary income................................. $ 32,195,764
Capital gains................................... --
Return of capital............................... 32,255,683

As of October 31, 2017, the components of distributable earnings on a tax basis
for the Fund were as follows:

Undistributed ordinary income................... $ --
Accumulated capital and other gain (loss)....... (97,983,016)
Net unrealized appreciation (depreciation)...... 114,241,290

E. INCOME TAXES

The Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, the Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of the Fund's taxable income exceeds
the distributions from such taxable income for the calendar year.

Page 14

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

The Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
The Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At October 31, 2017, the
Fund had non-expiring capital loss carryforwards available for federal income
tax purposes of $97,983,016.

Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended October 31, 2017, the Fund had no
net ordinary losses.

The Fund is subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. The taxable years ended 2014,
2015, 2016 and 2017 remain open to federal and state audit. As of April 30,
2018, management has evaluated the application of these standards to the Fund
and has determined that no provision for income tax is required in the Fund's
financial statements for uncertain tax positions.

F. EXPENSES

Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).

G. NEW AND AMENDED FINANCIAL REPORTING RULES AND FORMS

On October 13, 2016, the SEC adopted new rules and forms, and amended existing
rules and forms. The new and amended rules and forms are intended to modernize
the reporting of information provided by funds and to improve the quality and
type of information that funds provide to the SEC and investors. In part, the
new and amended rules and forms amend Regulation S-X and require standardized,
enhanced disclosures about derivatives in a fund's financial statements, as well
as other amendments. The compliance date for the amendments of Regulation S-X
was August 1, 2017, which resulted in no change to the financial statements. The
new form types and other rule amendments will be effective for the First Trust
funds, including the Fund, for reporting periods beginning on and after June 1,
2018. Management is evaluating the new form types and other rule amendments that
are effective on and after June 1, 2018 to determine the impact to the Fund.

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Fund, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the ongoing monitoring of the securities in the Fund's
portfolio, managing the Fund's business affairs and providing certain
administrative services necessary for the management of the Fund.

The Fund and First Trust have retained Energy Income Partners, LLC ("EIP" or the
"Sub-Advisor"), an affiliate of First Trust, to serve as the Fund's investment
sub-advisor. In this capacity, EIP is responsible for the selection and on-going
monitoring of the securities in the Fund's investment portfolio. Pursuant to the
Investment Management Agreement between the Trust and the Advisor, First Trust
will supervise EIP and its management of the investment of the Fund's assets and
will pay EIP for its services as the Fund's sub-advisor. First Trust will also
be responsible for the Fund's expenses, including the cost of transfer agency,
custody, fund administration, legal, audit and other services, but excluding fee
payments under the Investment Management Agreement, interest, taxes, acquired
fund fees and expenses, if any, brokerage commissions and other expenses
connected with the execution of portfolio transactions, distribution and service
fees payable pursuant to a 12b-1 plan, if any, and extraordinary expenses. The
Fund has agreed to pay First Trust an annual unitary management fee equal to
0.95% of its average daily net assets. EIP receives a sub-advisory fee from
First Trust equal to 45% of any remaining monthly investment management fee paid
to First Trust after the average Fund expenses accrued during the most recent
twelve months are subtracted from the investment management fee in a given
month.

First Trust Capital Partners, LLC ("FTCP"), an affiliate of First Trust, owns,
through a wholly-owned subsidiary, a 15% ownership interest in each of EIP and
EIP Partners, LLC, an affiliate of EIP.

The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
the Fund. As custodian, BNYM is responsible for custody of the Fund's assets. As
fund accountant and administrator, BNYM is responsible for maintaining the books
and records of the Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for the Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.

Page 15

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
or is an index fund.

Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.

4. PURCHASES AND SALES OF SECURITIES

For the six months ended April 30, 2018, the cost of purchases and proceeds from
sales of investments, excluding short-term investments and in-kind transactions,
were $271,142,787 and $252,835,977 respectively.

For the six months ended April 30, 2018, the cost of in-kind purchases and
proceeds from in-kind sales were $494,725,791 and $55,783,517, respectively.

5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES

Shares are created and redeemed by the Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker-dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). In order to purchase Creation Units of the Fund, an
Authorized Participant must deposit (i) a designated portfolio of equity
securities determined by First Trust (the "Deposit Securities") and generally
make or receive a cash payment referred to as the "Cash Component," which is an
amount equal to the difference between the NAV of the Fund Shares (per Creation
Unit Aggregation) and the market value of the Deposit Securities, and/or (ii)
cash in lieu of all or a portion of the Deposit Securities. If the Cash
Component is a positive number (i.e., the NAV per Creation Unit Aggregation
exceeds the Deposit Amount), the Authorized Participant will deliver the Cash
Component. If the Cash Component is a negative number (i.e., the NAV per
Creation Unit Aggregation is less than the Deposit Amount), the Authorized
Participant will receive the Cash Component. Authorized Participants purchasing
Creation Units must pay to BNYM, as transfer agent, a creation transaction fee
(the "Creation Transaction Fee") regardless of the number of Creation Units
purchased in the transaction. The Creation Transaction Fee is based on the
composition of the securities included in the Fund's portfolio and the countries
in which the transactions are settled. The Creation Transaction Fee is currently
$500. The price for each Creation Unit will equal the daily NAV per share times
the number of shares in a Creation Unit plus the fees described above and, if
applicable, any operational processing and brokerage costs, transfer fees or
stamp taxes. When the Fund permits an Authorized Participant to substitute cash
or a different security in lieu of depositing one or more of the requisite
Deposit Securities, the Authorized Participant may also be assessed an amount to
cover the cost of purchasing the Deposit Securities and/or disposing of the
substituted securities, including operational processing and brokerage costs,
transfer fees, stamp taxes, and part or all of the spread between the expected
bid and offer side of the market related to such Deposit Securities and/or
substitute securities.

Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a redemption transaction fee (the "Redemption Transaction Fee"),
regardless of the number of Creation Units redeemed in the transaction. The
Redemption Transaction Fee may vary and is based on the composition of the
securities included in the Fund's portfolio and the countries in which the
transactions are settled. The Redemption Transaction Fee is currently $500. The
Fund reserves the right to effect redemptions in cash. An Authorized Participant
may request cash redemption in lieu of securities; however, the Fund may, in its
discretion, reject any such request.

6. DISTRIBUTION PLAN

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is
authorized to pay an amount up to 0.25% of its average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Fund, for amounts expended to finance activities primarily intended to result in
the sale of Creation Units or the provision of investor services. FTP may also
use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.

Page 16

<PAGE>

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before March 31, 2019.

7. INDEMNIFICATION

The Trust, on behalf of the Fund, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.

8. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through
the date the financial statements were issued, and has determined that there
were no subsequent events requiring recognition or disclosure in the financial
statements that have not already been disclosed.

Page 17

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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how the Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
the Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.

PORTFOLIO HOLDINGS

The Trust files its complete schedule of the Fund's portfolio holdings with the
SEC for the first and third quarters of each fiscal year on Form N-Q. The
Trust's Form N-Qs are available (1) by calling (800) 988-5891; (2) on the Fund's
website at www.ftportfolios.com; (3) on the SEC's website at www.sec.gov; and
(4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling (800) SEC-0330.

RISK CONSIDERATIONS

RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER THE FUND'S INVESTMENT
OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN
DOWNLOAD THE FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST
PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS
AND OTHER INFORMATION ABOUT THE FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS
ASSOCIATED WITH INVESTING IN THE FUND, PLEASE SEE THE FUND'S STATEMENT OF
ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE
DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE
DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED FUND IV.

The following summarizes some of the risks that should be considered for the
Fund.

AUTHORIZED PARTICIPANT CONCENTRATION RISK. Only an authorized participant (as
defined in the "Creations, Redemptions and Transaction Fees" Note to Financial
Statements) may engage in creation or redemption transactions directly with the
Fund. The Fund has a limited number of institutions that act as authorized
participants. To the extent that these institutions exit the business or are
unable to proceed with creation and/or redemption orders with respect to the
Fund and no other authorized participant is able to step forward to create or
redeem, in either of these cases, Fund shares may trade at a discount to the
Fund's net asset value and possibly face delisting.

CONCENTRATION RISK. A fund concentrated in one or more industries or sectors is
likely to present more risks than a fund that is broadly diversified over
several industries or sectors. Compared to the broad market, an individual
industry or sector may be more strongly affected by changes in the economic
climate, broad market shifts, moves in a particular dominant stock, or
regulatory changes.

CURRENCY RISK. The Fund may hold investments that are denominated in non-U.S.
currencies, or in securities that provide exposure to such currencies, currency
exchange rates or interest rates denominated in such currencies. Changes in
currency exchange rates and the relative value of non-U.S. currencies will
affect the value of the Fund's investments and the value of Fund shares.
Currency exchange rates can be very volatile and can change quickly and
unpredictably. As a result, the value of an investment in the Fund may change
quickly and without warning and you may lose money.

CYBER SECURITY RISK. As the use of Internet technology has become more prevalent
in the course of business, the Fund has become more susceptible to potential
operational risks through breaches in cyber security. A breach in cyber security
refers to both intentional and unintentional events that may cause the Fund to
lose proprietary information, suffer data corruption or lose operational
capacity. Such events could cause the Fund to incur regulatory penalties,
reputational damage, additional compliance costs associated with corrective
measures and/or financial loss. Cyber security breaches may involve unauthorized
access to the Fund's digital information systems through "hacking" or malicious
software coding, but may also result from outside attacks such as
denial-of-service attacks through efforts to make network services unavailable
to intended users. In addition, cyber security breaches of the Fund's
third-party service providers, such as its administrator, transfer agent,
custodian, or sub-advisor, as applicable, or issuers in which the Fund invests,
can also subject the Fund to many of the same risks associated with direct cyber
security breaches. The Fund has established risk management systems designed to
reduce the risks associated with cyber security. However, there is no guarantee
that such efforts will succeed, especially because the Fund does not directly
control the cyber security systems of issuers or third-party service providers.

Page 18

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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

depositary receipts because such restrictions may limit the ability to convert
the equity shares into depositary receipts and vice versa. Such restrictions may
cause the equity shares of the underlying issuer to trade at a discount or
premium to the market price of the depositary receipts.

DERIVATIVES RISK. The use of futures, options, forward contracts, swaps and
other derivatives can lead to losses because of adverse movements in the price
or value of the underlying asset, index or rate, which may be magnified by
certain features of the derivatives. These risks are heightened when the Fund's
portfolio managers use derivatives to enhance the Fund's return or as a
substitute for a position or security, rather than solely to hedge (or offset)
the risk of a position or security held by the Fund.

ENERGY INFRASTRUCTURE COMPANIES RISK. Energy Infrastructure Companies may be
directly affected by energy commodity prices, especially those companies that
own the underlying energy commodity. A decrease in the production or
availability of natural gas, natural gas liquids, crude oil, coal or other
energy commodities or a decrease in the volume of such commodities available for
transportation, processing, storage or distribution may adversely impact the
financial performance of Energy Infrastructure Companies. Energy Infrastructure
Companies are subject to significant federal, state and local government
regulation in virtually every aspect of their operations, including how
facilities are constructed, maintained and operated, environmental and safety
controls, and the prices and methodologies they may charge for products and
services. Companies that own interstate pipelines are subject to regulation by
the Federal Energy Regulatory Commission (FERC) with respect to the tariff rates
that they may charge to their customers. FERC recently changed its tax allowance
policy which no longer permits such companies to include in their cost of
service an income tax allowance to the extent that their owners have an actual
or potential tax liability on the income generated by them. This has had a
negative impact on the performance of some Energy Companies affected by this
decision.

Various governmental authorities have the power to enforce compliance with these
regulations and the permits issued under them and violators are subject to
administrative, civil and criminal penalties, including civil fines, injunctions
or both. Stricter laws, regulations or enforcement policies could be enacted in
the future which would likely increase compliance costs and may adversely affect
the financial performance of Energy Infrastructure Companies. Natural disasters,
such as hurricanes in the Gulf of Mexico, also may impact Energy Infrastructure
Companies.

Certain Energy Infrastructure Companies in the utilities industry are subject to
the imposition of rate caps, increased competition due to deregulation, the
difficulty in obtaining an adequate return on invested capital or in financing
large construction projects, the limitations on operations and increased costs
and delays attributable to environmental considerations, and the capital
market's ability to absorb utility debt. In addition, taxes, government
regulation, international politics, price and supply fluctuations, volatile
interest rates and energy conservation may cause difficulties for these
companies. Such issuers have been experiencing certain of these problems to
varying degrees.

EQUITY SECURITIES RISK. Because the Fund invests in equity securities, the value
of the Fund's shares will fluctuate with changes in the value of these equity
securities. Equity securities prices fluctuate for several reasons, including
changes in investors' perceptions of the financial condition of an issuer or the
general condition of the relevant stock market, such as market volatility, or
when political or economic events affecting the issuers occur. In addition,
common stock prices may be particularly sensitive to rising interest rates, as
the cost of capital rises and borrowing costs increase.

FLUCTUATION OF NET ASSET VALUE RISK. The net asset value of shares of the Fund
will generally fluctuate with changes in the market value of the Fund's
holdings. The market prices of shares will generally fluctuate in accordance
with changes in net asset value as well as the relative supply of and demand for
shares on the Exchange. The Fund's investment advisor cannot predict whether
shares will trade below, at or above their net asset value because the shares
trade on the Exchange at market prices and not at net asset value. Price
differences may be due, in large part, to the fact that supply and demand forces
at work in the secondary trading market for shares will be closely related to,
but not identical to, the same forces influencing the prices of the holdings of
the Fund trading individually or in the aggregate at any point in time. However,
given that shares can only be purchased and redeemed either in-kind or for cash
in Creation Units, and only to and from broker-dealers and large institutional
investors that have entered into participation agreements (unlike shares of
closed-end funds, which frequently trade at appreciable discounts from, and
sometimes at premiums to, their net asset value), the Fund's investment advisor
believes that large discounts or premiums to the net asset value of shares
should not be sustained.

Page 19

<PAGE>

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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

GEOGRAPHIC REGION RISK. The Fund invests primarily in securities of companies
headquartered or incorporated in the United States and Canada. An investment in
a particular geographic region may be particularly susceptible to changes in the
political, diplomatic and economic conditions of that region or any new
regulatory requirements of the region. Accordingly, an investment in the Fund
may be more volatile than an investment diversified across several geographic
regions.

INTEREST RATE RISK. Rising interest rates could adversely impact the financial
performance of master limited partnerships ("MLPs"), MLP-related entities and
energy companies. Rising interest rates may increase an MLP's, MLP-related
entity's or energy company's cost of capital, which would increase operating
costs and may reduce an MLP's, MLP-related entity's or energy company's ability
to execute acquisitions or expansion projects in a cost-effective manner. Rising
interest rates may also impact the price of MLP units, MLP-related entity
securities and energy company shares as the yields on alternative investments
increase.

MANAGEMENT RISK. The Fund is subject to management risk because it is an
actively managed portfolio. In managing the Fund's investment portfolio, the
Fund's sub-advisor will apply investment techniques and risk analyses that may
not have the desired result. There can be no guarantee that the Fund will meet
its investment objective.

MARKET MAKER RISK. If the Fund has lower average daily trading volumes, it may
rely on a small number of third-party market makers to provide a market for the
purchase and sale of shares. Any trading halt or other problem relating to the
trading activity of these market makers could result in a dramatic change in the
spread between the Fund's net asset value and the price at which the Fund's
shares are trading on the Exchange which could result in a decrease in value of
the Fund's shares. In addition, decisions by market makers or authorized
participants to reduce their role or step away from these activities in times of
market stress could inhibit the effectiveness of the arbitrage process in
maintaining the relationship between the underlying values of the Fund's
portfolio securities and the Fund's market price. This reduced effectiveness
could result in Fund shares trading at a discount to net asset value and also in
greater than normal intraday bid-ask spreads for Fund shares.

MARKET RISK. Market risk is the risk that a particular security owned by the
Fund or shares of the Fund in general may fall in value. Securities are subject
to market fluctuations caused by such factors as economic, political, regulatory
or market developments, changes in interest rates and perceived trends in
securities prices. Shares of the Fund could decline in value or underperform
other investments.

MLP RISK. An investment in MLP units involves risks which differ from an
investment in common stock of a corporation. Holders of MLP units have limited
control and voting rights on matters affecting the Fund. In addition, there are
certain tax risks associated with an investment in MLP units and conflicts of
interest may exist between common unit holders and the general partner,
including those arising from incentive distribution payments. In addition, there
is the risk that an MLP could be, contrary to its intention, taxed as a
corporation, resulting in decreased returns from such MLP.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
1940 Act. As a result, the Fund is only limited as to the percentage of its
assets which may be invested in the securities of any one issuer by the
diversification requirements imposed by the Internal Revenue Code of 1986, as
amended. The Fund may invest a relatively high percentage of its assets in a
limited number of issuers. As a result, the Fund may be more susceptible to a
single adverse economic or regulatory occurrence affecting one or more of these
issuers, experience increased volatility and be highly invested in certain
issuers.

NON-U.S. SECURITIES AND EMERGING MARKETS RISK. Non-U.S. securities are subject
to higher volatility than securities of domestic issuers due to possible adverse
political, social or economic developments; restrictions on foreign investment
or exchange of securities; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; different legal or accounting standards;
and less government supervision and regulation of exchanges in foreign
countries. These risks may be heightened for securities of companies located in,
or with significant operations in, emerging market countries.

SMALLER COMPANIES RISK. Small and/or mid capitalization companies may be more
vulnerable to adverse general market or economic developments, and their
securities may be less liquid and may experience greater price volatility than
larger, more established companies as a result of several factors, including
limited trading volumes, products or financial resources, management
inexperience and less publicly available information. Accordingly, such
companies are generally subject to greater market risk than larger, more
established companies.

Page 20

<PAGE>

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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST NORTH AMERICAN ENERGY INFRASTRUCTURE FUND (EMLP)
APRIL 30, 2018 (UNAUDITED)

TRADING ISSUES RISK. Although the shares of the Fund are listed for trading on
the Exchange, there can be no assurance that an active trading market for such
shares will develop or be maintained. Trading in shares on the Exchange may be
halted due to market conditions or for reasons that, in the view of the
Exchange, make trading in shares inadvisable. In addition, trading in shares on
the Exchange is subject to trading halts caused by extraordinary market
volatility pursuant to the Exchange's "circuit breaker" rules. Market makers are
under no obligation to make a market in the Fund's shares, and authorized
participants are not obligated to submit purchase or redemption orders for
Creation Units. There can be no assurance that the requirements of the Exchange
necessary to maintain the listing of the Fund will continue to be met or will
remain unchanged. In particular, if the Fund does not comply with any provision
of the listing standards of the Exchange that are applicable to the Fund, and
cannot bring itself into compliance within a reasonable period after discovering
the matter, the Exchange may remove the shares of the Fund from listing. The
Fund may have difficulty maintaining its listing on the Exchange in the event
the Fund's assets are small or the Fund does not have enough shareholders.

UTILITIES COMPANIES RISK. Utilities companies are subject to the imposition of
rate caps, increased competition due to deregulation, the difficulty in
obtaining an adequate return on invested capital or in financing large
construction projects, the limitations on operations and increased costs and
delays attributable to environmental considerations and the capital market's
ability to absorb utility debt. In addition, taxes, government regulation,
international politics, price and supply fluctuations, volatile interest rates
and energy conservation may cause difficulties for utilities. All of such
issuers have been experiencing certain of these problems in varying degrees.

Page 21

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<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187

INVESTMENT SUB-ADVISOR
Energy Income Partners, LLC
10 Wright Street
Westport, CT 06880

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603

<PAGE>

[BLANK BACK COVER]

<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

--------------------------------------------------------------------------------

First Trust Senior Loan Fund (FTSL)

Semi-Annual Report
For the Six Months Ended
April 30, 2018

<PAGE>

--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------

FIRST TRUST SENIOR LOAN FUND (FTSL)
SEMI-ANNUAL REPORT
APRIL 30, 2018

Shareholder Letter........................................................... 1
Fund Performance Overview.................................................... 2
Portfolio Management......................................................... 5
Understanding Your Fund Expenses............................................. 6
Portfolio of Investments..................................................... 7
Statement of Assets and Liabilities.......................................... 22
Statement of Operations...................................................... 23
Statements of Changes in Net Assets.......................................... 24
Financial Highlights......................................................... 25
Notes to Financial Statements................................................ 26
Additional Information....................................................... 32

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the series of First Trust Exchange-Traded Fund IV (the "Trust") described in
this report (First Trust Senior Loan Fund; hereinafter referred to as the
"Fund") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.

PERFORMANCE AND RISK DISCLOSURE

There is no assurance that the Fund will achieve its investment objectives. The
Fund is subject to market risk, which is the possibility that the market values
of securities owned by the Fund will decline and that the value of the Fund
shares may therefore be less than what you paid for them. Accordingly, you can
lose money investing in the Fund. See "Risk Considerations" in the Additional
Information section of this report for a discussion of other risks of investing
in the Fund.

The Advisor may also periodically provide additional information on Fund
performance on the Fund's webpage at www.ftportfolios.com.

HOW TO READ THIS REPORT

The statistical information that follows may help you understand the Fund's
performance compared to that of relevant market benchmarks.

It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in the
Fund are spelled out in the prospectus, the statement of additional information,
this report and other Fund regulatory filings.

<PAGE>

--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------

FIRST TRUST SENIOR LOAN FUND (FTSL)
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
APRIL 30, 2018

Dear Shareholders:

First Trust is pleased to provide you with the semi-annual report for the First
Trust Senior Loan Fund, which contains detailed information about your
investment for the period ended April 30, 2018. We encourage you to read this
report carefully and discuss it with your financial advisor.

o The S&P 500(R) Index did something it had never previously done,
finishing 2017 with 12 months of gains;

o The Dow Jones Industrial Average achieved a milestone as well,
closing above 24,000 for the first time ever on November 30;

o The Nasdaq Composite set a record by having 11 months of gains in
2017 (June was the only down month, and by just 0.86%); and

o The MSCI AC World Index (containing constituents from 47 countries)
ended 2017 at an all-time high and was up 22% at year-end.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.

Page 1

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FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------

FIRST TRUST SENIOR LOAN FUND (FTSL)

The First Trust Senior Loan Fund's (the "Fund") primary investment objective is
to provide high current income. The Fund's secondary investment objective is the
preservation of capital. Under normal market conditions, the Fund seeks to
outperform each of the S&P/LSTA U.S. Leveraged Loan 100 Index and the Markit
iBoxx USD Liquid Leveraged Loan Index by investing at least 80% of its net
assets (including investment borrowings) in first lien senior floating rate bank
loans ("Senior Loans"). The S&P/LSTA U.S. Leveraged Loan 100 Index (the "Primary
Index") is a market value-weighted index designed to measure the performance of
the largest segment of the U.S. syndicated leveraged loan market. The Primary
Index consists of 100 loan facilities drawn from a larger benchmark, the
S&P/LSTA Leveraged Loan Index. The Markit iBoxx USD Liquid Leveraged Loan Index
(the "Secondary Index") selects the 100 most liquid Senior Loans in the market.
The Fund does not seek to track either the Primary or Secondary Index. It is
anticipated that the Fund, in accordance with its principal investment strategy,
will invest approximately 50% to 75% of its net assets in Senior Loans that are
eligible for inclusion in and meet the liquidity thresholds of the Primary
and/or the Secondary Indices at the time of investment.

A Senior Loan is an advance or commitment of funds made by one or more banks or
similar financial institutions to one or more corporations, partnerships or
other business entities and typically pays interest at a floating or adjusting
rate that is determined periodically at a designated premium above a base
lending rate, most commonly the London Interbank Offered Rate ("LIBOR"). The
Fund invests primarily in Senior Loans that are below investment grade quality
at the time of investment. The Fund invests in Senior Loans made predominantly
to businesses operating in North America, but may also invest in Senior Loans
made to businesses operating outside of North America.

The Fund invests primarily in Senior Loans that are below investment grade
quality at the time of investment. Securities rated below investment grade,
commonly referred to as "junk" or "high-yield" securities, include securities
that are rated Ba1/BB+/BB+ or below by Moody's Investors Service, Inc., Fitch,
Inc., or Standard & Poor's Ratings Group, respectively. The Fund invests in
Senior Loans made predominantly to businesses operating in North America, but
may also invest in Senior Loans made to businesses operating outside of North
America. The Senior Loans included in the Fund's portfolio often maintain an
average interest rate duration of less than 90 days; however, the inclusion of
LIBOR floors on certain Senior Loans or other factors may cause interest rate
duration to be longer than 90 days. The Fund may also invest up to 20% of its
net assets in (1) non-Senior Loan debt securities, which may be fixed- rate or
floating-rate income-producing securities (including, without limitation, U.S.
government debt securities and corporate debt securities), (2) warrants and
equity securities issued by a borrower or its affiliates, and/or (3) securities
of other investment companies.

<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
---------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (5/1/13) Inception (5/1/13)
4/30/18 4/30/18 to 4/30/18 to 4/30/18
<S> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 1.56% 3.06% 3.00% 15.92%
Market Price 1.48% 3.02% 3.02% 16.01%

INDEX PERFORMANCE
Markit iBoxx USD Liquid Leveraged Loan Index 2.18% 3.43% 2.67% 14.05%
S&P/LSTA U.S. Leveraged Loan 100 Index 2.21% 3.96% 3.20% 17.07%
---------------------------------------------------------------------------------------------------------------------------
</TABLE>

Total returns for the period since inception are calculated from the inception
date of the Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the period indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the period
indicated.

Page 2

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

-------------------------------------------------------
% OF SENIOR LOANS
AND OTHER
INDUSTRY CLASSIFICATION SECURITIES(1)
-------------------------------------------------------
Health Care Providers & Services 17.1%
Hotels, Restaurants & Leisure 12.6
Software 12.2
Media 6.9
Pharmaceuticals 6.2
Insurance 4.7
Diversified Financial Services 4.3
Life Sciences Tools & Services 3.8
Food & Staples Retailing 3.5
Containers & Packaging 3.4
Professional Services 3.3
Diversified Telecommunication Services 2.5
Commercial Services & Supplies 1.9
Food Products 1.8
Building Products 1.7
Auto Components 1.5
Health Care Equipment & Supplies 1.5
Household Products 1.4
Technology Hardware, Storage &
Peripherals 1.3
Diversified Consumer Services 1.1
Industrial Conglomerates 1.1
Capital Markets 1.0
Electric Utilities 1.0
Specialty Retail 0.9
Real Estate Management & Development 0.7
Chemicals 0.7
Wireless Telecommunication Services 0.4
Independent Power and Renewable
Electricity Producers 0.4
Aerospace & Defense 0.3
Semiconductors & Semiconductor
Equipment 0.3
Oil, Gas & Consumable Fuels 0.2
Health Care Technology 0.2
Construction Materials 0.1
Construction & Engineering 0.0*
Trading Companies & Distributors 0.0*
--------
Total 100.0%
========

* Amount represents less than 0.1%.

-------------------------------------------------------
% OF SENIOR LOANS
AND OTHER
ASSET CLASSIFICATION SECURITIES(1)
-------------------------------------------------------
Senior Floating-Rate Loan Interests 92.4%
Corporate Bonds 7.2
Foreign Corporate Bonds 0.4
Rights 0.0*
--------
Total 100.0%
========

-------------------------------------------------------
% OF SENIOR LOANS
AND OTHER
CREDIT QUALITY (S&P RATINGS)(2) DEBT SECURITIES(1)
-------------------------------------------------------
BBB+ 0.2%
BBB- 5.8
BB+ 5.9
BB 8.4
BB- 17.1
B+ 26.4
B 21.9
B- 12.1
CCC+ 1.2
CCC 0.4
CCC- 0.3
D 0.2
Not Rated 0.1
--------
Total 100.0%
========

-------------------------------------------------------
% OF SENIOR LOANS
AND OTHER
TOP 10 ISSUERS SECURITIES(1)
-------------------------------------------------------
MultiPlan, Inc. (MPH Acquisition
Holdings LLC) 3.0%
Reynolds Group Holdings, Inc. 2.6
Amaya Holdings B.V. 2.5
BMC Software Finance, Inc. 2.5
Valeant Pharmaceuticals International,
Inc. 2.4
AlixPartners LLP 2.3
Tenet Healthcare Corp. 1.9
CHS/Community Health Systems, Inc. 1.8
Caesars Resort Collection 1.8
BJ's Wholesale Club, Inc. 1.8
--------
Total 22.6%
========

(1) Percentages are based on long-term positions. Money market funds are
excluded.

(2) The ratings are by Standard & Poor's Ratings Group, a division of The
McGraw-Hill Companies, Inc. 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 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. The credit ratings shown relate to the credit worthiness
of the issuers of the underlying securities in the Fund, and not to the
Fund or its shares. Credit ratings are subject to change.

Page 3

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 1, 2013 - APRIL 30, 2018

First Trust Senior Markit iBoxx USD Liquid S&P/LSTA U.S. Leveraged
Loan Fund Leveraged Loan Index Loan 100 Index
<S> <C> <C> <C>
5/1/13 $10,000 $10,000 $10,000
10/31/13 10,092 10,103 10,122
4/30/14 10,275 10,323 10,338
10/31/14 10,385 10,389 10,434
4/30/15 10,637 10,594 10,589
10/31/15 10,567 10,280 10,268
4/30/16 10,763 10,484 10,527
10/31/16 11,034 10,826 10,968
4/30/17 11,247 11,026 11,260
10/31/17 11,414 11,161 11,452
4/30/18 11,592 11,404 11,708
</TABLE>

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV THROUGH APRIL 30, 2018

The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 2, 2013 (commencement of
trading) through April 30, 2018. Shareholders may pay more than NAV when they
buy Fund shares and receive less than NAV when they sell those shares because
shares are bought and sold at current market price. Data presented represents
past performance and cannot be used to predict future results.

<TABLE>
<CAPTION>
NUMBER OF DAYS BID/ASK MIDPOINT NUMBER OF DAYS BID/ASK MIDPOINT
AT/ABOVE NAV BELOW NAV
---------------------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.00%- 0.50%- 1.00%- 0.00%- 0.50%- 1.00%-
FOR THE PERIOD 0.49% 0.99% 1.99% >=2.00% 0.49% 0.99% 1.99% >=2.00%
5/2/13 - 10/31/13 97 20 4 0 7 0 0 0
11/1/13 - 10/31/14 197 0 0 0 54 1 0 0
11/1/14 - 10/31/15 180 20 1 0 50 0 0 0
11/1/15 - 10/31/16 185 2 0 0 65 0 0 0
11/1/16 - 10/31/17 231 0 0 0 21 0 0 0
11/1/17 - 4/30/18 118 0 0 0 5 0 0 0
</TABLE>

Page 4

<PAGE>

--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT
--------------------------------------------------------------------------------

FIRST TRUST SENIOR LOAN FUND (FTSL)
SEMI-ANNUAL REPORT
APRIL 30, 2018 (UNAUDITED)

ADVISOR

The First Trust Advisors L.P. ("First Trust") Leveraged Finance Team is
comprised of 15 experienced investment professionals specializing in below
investment grade securities. The team is comprised of portfolio management,
research, trading and operations personnel. As of April 30, 2018, the First
Trust Leveraged Finance Team managed or supervised approximately $4.03 billion
in senior secured bank loans and high-yield bonds. These assets are managed
across various strategies, including two closed-end funds, an open-end fund,
four exchange-traded funds, one UCITS fund and a series of unit investment
trusts on behalf of retail and institutional clients.

PORTFOLIO MANAGEMENT TEAM

WILLIAM HOUSEY, CFA - SENIOR VICE PRESIDENT, SENIOR PORTFOLIO MANAGER
SCOTT D. FRIES, CFA - SENIOR VICE PRESIDENT, PORTFOLIO MANAGER

Page 5

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

UNDERSTANDING YOUR FUND EXPENSES
APRIL 30, 2018 (UNAUDITED)

As a shareholder of First Trust Senior Loan Fund (the "Fund"), you incur two
types of costs: (1) transaction costs; and (2) ongoing costs, including
management fees, distribution and/or service fees, if any, and other Fund
expenses. This Example is intended to help you understand your ongoing costs of
investing in the Fund and to compare these costs with the ongoing costs of
investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended April 30, 2018.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
NOVEMBER 1, 2017 APRIL 30, 2018 PERIOD (a) PERIOD (a) (b)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST SENIOR LOAN FUND (FTSL)
Actual $1,000.00 $1,015.60 0.85% $4.25
Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26
</TABLE>

(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 (November 1,
2017 through April 30, 2018), multiplied by 181/365 (to reflect the
six-month period).

Page 6

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
SENIOR FLOATING-RATE LOAN INTERESTS -- 87.5%

AEROSPACE & DEFENSE -- 0.3%
$ 2,979,352 TransDigm, Inc., Term Loan F, 1 Mo. LIBOR + 2.75%,
0.00% Floor.................................................. 4.65% 06/09/23 $ 2,991,210
1,560,242 TransDigm, Inc., Term Loan F, 3 Mo. LIBOR + 2.75%,
0.00% Floor.................................................. 5.05% 06/09/23 1,566,452
---------------
4,557,662
---------------
ALTERNATIVE CARRIERS -- 0.7%
9,974,718 Level 3 Financing, Inc., Tranche B 2024 Term Loan, 1 Mo.
LIBOR + 2.25%, 0.00% Floor................................... 4.15% 02/22/24 10,016,312
---------------
APPLICATION SOFTWARE -- 4.6%
12,348,087 CCC Information Resources, Inc., Term Loan B, 1 Mo. LIBOR +
3.00%, 1.00% Floor........................................... 4.91% 03/31/24 12,407,235
2,068,742 Hyland Software, Term-3 Loans, 1 Mo. LIBOR + 3.25%,
0.75% Floor.................................................. 5.14% 07/01/22 2,085,561
10,389,224 Infor (US), Inc., Term Loan B, 1 Mo. LIBOR + 2.75%,
1.00% Floor.................................................. 4.65% 02/02/22 10,430,366
1,157,167 Informatica Corp. (Ithacalux S.A.R.L.), Term Loan B, 1 Mo.
LIBOR + 3.25%, 0.00% Floor................................... 5.15% 08/06/22 1,164,943
14,163,652 JDA Software Group (RP Crown Parent, Inc.), Term Loan B,
1 Mo. LIBOR + 2.75%, 1.00% Floor............................. 4.65% 10/12/23 14,246,226
2,756,212 Kronos, Inc., Term Loan B, 2 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 4.88% 11/01/23 2,779,530
1,225,881 LANDesk Software, Inc., Term Loan B, 1 Mo. LIBOR + 4.25%,
1.00% Floor.................................................. 6.16% 01/18/24 1,206,574
4,735,184 Micro Focus International (MA Finance LLC), Seattle Spinco,
Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor................ 4.65% 06/21/24 4,718,611
701,171 Micro Focus International (MA Finance LLC), Term Loan B3,
1 Mo. LIBOR + 2.75%, 0.00% Floor............................. 4.65% 06/21/24 698,717
1,312,389 Mitchell International, Inc., Delayed Draw Term Loan (c)........ 3.25% (d) 11/30/24 1,311,575
16,273,623 Mitchell International, Inc., Term Loan (First Lien), 1 Mo.
LIBOR + 3.25%, 0.00% Floor.................................. 5.15% 11/30/24 16,263,532
1,871,571 Qlik Technologies (Project Alpha Intermediate Holdings, Inc.),
Term Loan B, 6 Mo. LIBOR + 3.50%, 1.00% Floor................ 5.99% 04/26/24 1,864,553
---------------
69,177,423
---------------
ASSET MANAGEMENT & CUSTODY BANKS -- 1.0%
2,913,879 American Beacon Advisors, Inc. (Resolute Investment Managers),
Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor................ 5.55% 04/30/22 2,928,448
1,826,200 First Eagle Investment Management, Term Loan B, 3 Mo. LIBOR
+ 3.00%, 0.75% Floor......................................... 5.30% 12/01/22 1,841,047
2,715,799 Harbourvest Partners L.P., Term Loan B, 3 Mo. LIBOR + 2.25%,
0.00% Floor.................................................. 4.55% 02/28/25 2,714,659
2,056,211 Victory Capital Holdings (VCH Holdings LLC), Term Loan B,
3 Mo. LIBOR + 2.75%, 0.00% Floor............................. 5.05% 02/15/25 2,071,633
777,293 Virtus Investment Partners, Inc., Delayed Draw Term Loan (c).... 1.25% (d) 06/01/24 776,321
4,416,625 Virtus Investment Partners, Inc., Term Loan B, 1 Mo. LIBOR
+ 2.50%, 0.75% Floor......................................... 4.40% 06/01/24 4,427,666
---------------
14,759,774
---------------
AUTO PARTS & EQUIPMENT -- 1.4%
21,175,074 Gates Global LLC, Term Loan B, 3 Mo. LIBOR + 2.75%,
1.00% Floor.................................................. 5.05% 03/31/24 21,287,091
</TABLE>

See Notes to Financial Statements Page 7

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

AUTO PARTS & EQUIPMENT (CONTINUED)
$ 315,730 Tower Automotive Holdings USA LLC, Term Loan B, 1 Mo.
LIBOR + 2.75%, 0.00% Floor................................... 4.69% 03/06/24 $ 316,519
---------------
21,603,610
---------------
AUTOMOTIVE RETAIL -- 0.1%
996,972 KAR Auction Services, Inc., Term Loan B5, 3 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.81% 03/09/23 1,000,711
---------------
BROADCASTING -- 2.2%
317,382 Nexstar Broadcasting, Inc., Mission Term Loan, 1 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.39% 01/17/24 318,651
2,470,818 Nexstar Broadcasting, Inc., Nexstar Term Loan, 1 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.39% 01/17/24 2,480,701
13,058,000 Sinclair Television Group, Inc., Incremental Tranche B Term
Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor....................... 4.41% 12/07/24 13,112,453
4,394,375 Sinclair Television Group, Inc., Term Loan B-2, 1 Mo. LIBOR +
2.25%, 0.00% Floor........................................... 4.16% 01/03/24 4,406,723
4,849,986 Tribune Media Co., Extended Term Loan C, 1 Mo. LIBOR +
3.00%, 0.75% Floor........................................... 4.90% 01/27/24 4,856,048
9,726 Tribune Media Co., Term B Loan, 1 Mo. LIBOR + 3.00%,
0.75% Floor.................................................. 4.90% 12/27/20 9,726
7,268,964 Univision Communications, Inc., Term Loan C5, 1 Mo. LIBOR +
2.75%, 1.00% Floor........................................... 4.65% 03/15/24 7,163,855
---------------
32,348,157
---------------
BUILDING PRODUCTS -- 1.6%
2,368,386 Beacon Roofing Supply, Term Loan B, 2 Mo. LIBOR + 2.25%,
0.00% Floor.................................................. 4.13% 01/02/25 2,381,081
5,863,348 Jeld-Wen, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00%
Floor........................................................ 4.30% 12/14/24 5,889,029
16,329,366 Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%,
0.00% Floor.................................................. 4.65% 11/15/23 16,390,601
---------------
24,660,711
---------------
CABLE & SATELLITE -- 1.6%
913,100 Cable One, Inc., Term Loan B, 3 Mo. LIBOR + 1.75%,
0.00% Floor.................................................. 4.06% 05/01/24 917,666
2,571,429 Cablevision Systems Corp. (CSC Holdings, Inc.), New Term
Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor..................... 4.40% 01/31/26 2,571,429
2,970,000 Cablevision Systems Corp. (CSC Holdings, Inc.), Term Loan B,
1 Mo. LIBOR + 2.25%, 0.00% Floor............................. 4.15% 07/17/25 2,959,605
5,985,000 Charter Communications Operating LLC, Term Loan B, 1 Mo.
LIBOR + 2.00%, 0.00% Floor................................... 3.91% 04/13/25 6,008,521
992,500 Mediacom Broadband LLC, Term Loan N, 1 Mo. LIBOR +
1.75%, 0.75% Floor........................................... 3.50% 02/15/24 994,981
3,784,615 UPC Financing Partnership, Term Loan AR, 1 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.40% 01/15/26 3,792,487
7,460,000 Virgin Media Finance PLC, Term Loan K, 1 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.40% 01/31/26 7,491,854
---------------
24,736,543
---------------
CASINOS & GAMING -- 7.7%
35,777,504 Amaya Holdings B.V., Term Loan B, 3 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 5.32% 03/28/25 35,892,351
</TABLE>

Page 8 See Notes to Financial Statements

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

CASINOS & GAMING (CONTINUED)
$ 6,744,297 Aristocrat Technologies, Incremental 2024 Term Loan, 3 Mo.
LIBOR + 2.00%, 0.00% Floor................................... 4.36% 09/30/24 $ 6,778,018
25,712,934 Caesars Resort Collection, Term Loan B, 1 Mo. LIBOR + 2.75%,
0.00% Floor.................................................. 4.65% 12/22/24 25,916,581
6,943,277 CityCenter Holdings LLC , Term Loan B, 1 Mo. LIBOR + 2.50%,
0.75% Floor.................................................. 4.40% 04/15/24 6,973,202
7,156,540 Golden Nugget, Term Loan B, 1 Mo. LIBOR + 2.75%,
0.75% Floor.................................................. 4.65% 10/04/23 7,214,079
3,957,836 MGM Growth Properties Operating Partnership LP, Term Loan B,
1 Mo. LIBOR + 2.00%, 0.00% Floor............................. 3.90% 03/31/25 3,978,258
2,395,076 Penn National Gaming, Inc., Term Loan B, 1 Mo. LIBOR +
2.50%, 0.75% Floor........................................... 4.40% 01/19/24 2,413,039
1,331,251 Scientific Games International, Inc., Term Loan B5, 1 Mo. LIBOR
+ 2.75%, 0.00% Floor......................................... 4.65% 08/14/24 1,338,946
5,615,493 Scientific Games International, Inc., Term Loan B5, 2 Mo. LIBOR
+ 2.75%, 0.00% Floor......................................... 4.74% 08/14/24 5,647,950
10,288,885 Station Casinos, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%,
0.75% Floor.................................................. 4.41% 06/08/23 10,319,957
9,488,296 VICI Properties (Caesars), Term Loan B, 1 Mo. LIBOR + 2.00%,
0.00% Floor.................................................. 3.90% 12/31/24 9,521,221
---------------
115,993,602
---------------
COAL & CONSUMABLE FUELS -- 0.1%
838,773 Arch Coal, Inc., Term Loan, 1 Mo. LIBOR + 2.75%,
1.00% Floor.................................................. 4.65% 03/07/24 837,984
605,629 Peabody Energy Corp., Term Loan B, 1 Mo. LIBOR + 2.75%,
0.00% Floor.................................................. 4.65% 03/31/25 606,647
---------------
1,444,631
---------------
COMMERCIAL PRINTING -- 0.2%
2,830,946 Multi-Color Corp., Term Loan B, 1 Mo. LIBOR + 2.25%,
0.00% Floor.................................................. 4.15% 11/01/24 2,842,751
---------------
CONSTRUCTION & ENGINEERING -- 0.0%
501,902 Pike Electric, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%,
1.00% Floor.................................................. 5.41% 03/31/25 507,965
---------------
CONSTRUCTION MATERIALS -- 0.1%
891,753 Summit Materials, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%,
0.00% Floor.................................................. 4.15% 11/10/24 898,067
---------------
DIVERSIFIED CHEMICALS -- 0.1%
1,102,500 Ineos US Finance LLC, Term Loan B, 1 Mo. LIBOR + 2.00%,
0.00% Floor.................................................. 3.90% 03/31/24 1,105,411
---------------
DIVERSIFIED SUPPORT SERVICES -- 1.1%
15,931,662 Brickman Group Holdings, Inc., Initial Term Loan (First Lien),
1 Mo. LIBOR + 3.00%, 1.00% Floor............................. 4.89% - 4.90% 12/18/20 16,013,391
406,505 Brickman Group Holdings, Inc., Term Loan (Second Lien),
1 Mo. LIBOR + 6.50%, 1.00% Floor............................. 8.39% 12/18/21 408,537
---------------
16,421,928
---------------
EDUCATION SERVICES -- 0.0%
220,584 Bright Horizons Family Solutions, Inc., Term Loan B,
1 Mo. LIBOR + 2.00%, 0.75% Floor............................. 3.90% 11/03/23 222,146
---------------
</TABLE>

See Notes to Financial Statements Page 9

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

ELECTRIC UTILITIES -- 0.9%
$ 3,200,585 Dayton Power & Light Co., Term Loan B, 1 Mo. LIBOR +
2.00%, 0.75% Floor........................................... 3.91% 08/24/22 $ 3,213,931
10,168,159 Vistra Energy Corp. (TXU), Term Loan B-2, 1 Mo. LIBOR +
2.25%, 0.00% Floor........................................... 4.15% 12/14/23 10,231,710
---------------
13,445,641
---------------
ENVIRONMENTAL & FACILITIES SERVICES -- 0.5%
3,992,244 PSSI (Packers Holdings LLC), Term Loan B, 1 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.13% 12/04/24 4,002,225
2,504,318 ServiceMaster Co., Tranche C Term Loan, 1 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.40% 11/02/23 2,519,970
680,733 WTG Holdings III Corp. (EWT Holdings III Corp.), Term Loan B,,
3 Mo. LIBOR + 3.00%, 1.00% Floor............................. 5.30% 12/31/24 685,273
---------------
7,207,468
---------------
FOOD DISTRIBUTORS -- 0.2%
1,287,000 TKC Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 4.25%,
1.00% Floor.................................................. 6.16% 01/31/23 1,296,974
1,179,000 US Foods, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%,
0.00% Floor.................................................. 4.40% 06/27/23 1,189,022
---------------
2,485,996
---------------
FOOD RETAIL -- 1.4%
7,235,838 Albertsons LLC, Term Loan B5, 3 Mo. LIBOR + 3.00%,
0.75% Floor.................................................. 5.29% 12/21/22 7,177,083
14,055,178 Albertsons LLC, Term Loan B6, 3 Mo. LIBOR + 3.00%,
0.75% Floor.................................................. 4.96% 06/22/23 13,897,057
---------------
21,074,140
---------------
HEALTH CARE EQUIPMENT -- 1.4%
10,874,669 DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial
Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor.................. 5.15% 06/08/20 10,918,820
9,243,974 DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial
Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor.................. 5.56% 06/08/20 9,281,505
446,625 Kinetic Concepts, Inc. (Acelity L.P., Inc.), Term Loan B, 3 Mo.
LIBOR + 3.25%, 1.00% Floor................................... 5.55% 01/31/24 449,305
---------------
20,649,630
---------------
HEALTH CARE FACILITIES -- 3.6%
260,524 Acadia Healthcare Co., Inc., Term Loan B3, 1 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.40% 02/11/22 262,913
2,144,616 Acadia Healthcare Co., Inc., Term Loan B4, 1 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.40% 02/16/23 2,164,282
23,892,554 CHS/Community Health Systems, Inc., Incremental 2021 Term H
Loan, 2 Mo. LIBOR + 3.25%, 1.00% Floor....................... 5.23% 01/27/21 23,155,946
2,823,651 CHS/Community Health Systems, Inc., Term Loan G, 2 Mo.
LIBOR + 3.00%, 1.00% Floor................................... 4.98% 12/06/19 2,776,892
3,053,184 Concentra, Inc. (MJ Acquisition Corp.), Term Loan B, 3 Mo.
LIBOR + 2.75%, 1.00% Floor................................... 4.53% 06/01/22 3,078,617
5,927,296 HCA, Inc., Term Loan B10, 1 Mo. LIBOR + 2.00%, 0.00%
Floor........................................................ 3.90% 03/07/25 5,987,398
16,142,487 Kindred Healthcare, Inc., New Term Loan, 3 Mo. LIBOR +
3.50%, 1.00% Floor........................................... 5.88% 04/09/21 16,162,666
</TABLE>

Page 10 See Notes to Financial Statements

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

HEALTH CARE FACILITIES (CONTINUED)
$ 1,098,220 National Veterinary Associates (NVA Holdings, Inc.), Term
Loan B3, 3 Mo. LIBOR + 2.75%, 1.00% Floor.................... 5.05% 01/29/25 $ 1,102,339
---------------
54,691,053
---------------
HEALTH CARE SERVICES -- 4.3%
1,172,115 21st Century Oncology, Inc., Tranche B Term Loan, 3 Mo.
LIBOR + 6.13%, 1.00% Floor................................... 8.48% 01/16/23 1,124,058
312,351 Air Medical Group Holdings, Inc., 2018 New Term Loan B,
1 Mo. LIBOR + 4.25%, 1.00% Floor............................. 6.15% 03/14/25 315,605
294,764 Air Medical Group Holdings, Inc., Term Loan B, 1 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.13% 04/28/22 296,091
4,044,478 Air Methods Corp. (ASP AMC Intermediate Holdings, Inc.),
Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor................ 5.80% 04/30/24 4,055,843
7,624 CHG Healthcare Services, Inc., Term Loan B, 2 Mo. LIBOR +
3.00%, 1.00% Floor........................................... 5.06% 06/07/23 7,684
3,026,606 CHG Healthcare Services, Inc., Term Loan B, 3 Mo. LIBOR +
3.00%, 1.00% Floor........................................... 5.36% 06/07/23 3,050,577
4,179,268 Curo Health Services Holdings, Inc., Term Loan B, 3 Mo. LIBOR
+ 4.00%, 1.00% Floor......................................... 5.81% 02/05/22 4,189,717
7,210,033 DuPage Medical Group (Midwest Physician), Term Loan B,
1 Mo. LIBOR + 2.75%, 0.75% Floor............................. 4.65% 08/15/24 7,210,033
6,967,567 Envision Healthcare Corp., Term Loan B, 1 Mo. LIBOR + 3.00%,
0.75% Floor.................................................. 4.91% 12/01/23 6,990,212
3,422,255 ExamWorks Group, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%,
1.00% Floor.................................................. 5.15% 07/27/23 3,447,922
3,222,108 Healogics, Inc. (CDRH Parent, Inc.), Initial Term Loan (First
Lien), 3 Mo. LIBOR + 4.25%, 1.00% Floor...................... 6.28% 07/01/21 2,877,762
7,848,497 Surgery Center Holdings, Inc., Term Loan B, 1 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.16% 08/31/24 7,860,740
14,451,894 Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%,
1.00% Floor.................................................. 4.65% 02/06/24 13,982,208
8,532,965 U.S. Renal Care, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%,
1.00% Floor.................................................. 6.55% 12/30/22 8,490,300
---------------
63,898,752
---------------
HEALTH CARE SUPPLIES -- 0.0%
431,243 ConvaTec, Inc., Term Loan B, 3 Mo. LIBOR + 2.25%,
0.75% Floor.................................................. 4.55% 10/31/23 433,399
---------------
HEALTH CARE TECHNOLOGY -- 1.5%
19,834,952 Change Healthcare Holdings, Inc., Term Loan B, 1 Mo. LIBOR +
2.75%, 1.00% Floor........................................... 4.65% 03/01/24 19,909,334
2,407,331 Cotiviti Corp., Term Loan B, 3 Mo. LIBOR + 2.25%,
0.00% Floor.................................................. 4.56% 09/28/23 2,419,367
---------------
22,328,701
---------------
HOTELS, RESORTS & CRUISE LINES -- 0.7%
3,446,264 Extended Stay America (ESH Hospitality, Inc.), Term Loan B,
1 Mo. LIBOR + 2.25%, 0.00% Floor............................. 4.15% 08/30/23 3,461,117
3,666,094 Four Seasons Holdings, Inc., Term Loan B, 1 Mo. LIBOR +
2.00%, 0.00% Floor........................................... 3.90% 11/30/23 3,689,007
3,980,782 Wyndham Hotels & Resorts, Term Loan B, 1 Mo. LIBOR +
1.75%, 0.00% Floor........................................... 3.73% 03/28/25 4,010,160
---------------
11,160,284
---------------
</TABLE>

See Notes to Financial Statements Page 11

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

HOUSEHOLD APPLIANCES -- 0.4%
$ 391,467 Traeger Grills, Delayed Draw Term Loan (c)...................... 4.25% (d) 09/25/24 $ 393,424
3,289,950 Traeger Grills, Incremental Term Loan, 1 Mo. LIBOR + 4.25%,
1.00% Floor.................................................. 6.15% 09/25/24 3,306,400
2,489,361 Traeger Grills, Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00%
Floor........................................................ 6.15% 09/25/24 2,501,808
---------------
6,201,632
---------------
HOUSEHOLD PRODUCTS -- 1.3%
15,153,174 Spectrum Brands, Inc., Term Loan B, 2 Mo. LIBOR + 2.00%,
0.00% Floor.................................................. 3.99% - 4.08% 06/23/22 15,162,645
4,846,826 Spectrum Brands, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%,
0.00% Floor.................................................. 4.36% 06/23/22 4,849,855
---------------
20,012,500
---------------
HUMAN RESOURCE & EMPLOYMENT SERVICES -- 0.2%
2,339,464 Tempo Acquisition, Term Loan B, 1 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 4.90% 05/01/24 2,352,144
---------------
HYPERMARKETS & SUPER CENTERS -- 1.7%
23,364,481 BJ's Wholesale Club, Inc., Term Loan (First Lien), 1 Mo. LIBOR
+ 3.50%, 1.00% Floor......................................... 5.39% 01/31/24 23,454,434
1,799,866 BJ's Wholesale Club, Inc., Term Loan (Second Lien), 1 Mo.
LIBOR + 7.50%, 1.00% Floor................................... 9.39% 02/03/25 1,815,615
---------------
25,270,049
---------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3%
4,987,310 NRG Energy, Inc., Term Loan B, 3 Mo. LIBOR + 1.75%,
0.00% Floor.................................................. 4.05% 06/30/23 4,998,830
---------------
INDUSTRIAL CONGLOMERATES -- 1.0%
277,674 Accudyne Industries, Term Loan B, 1 Mo. LIBOR + 3.25%,
1.00% Floor.................................................. 5.15% 08/18/24 279,371
15,094,575 Gardner Denver, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%,
0.00% Floor.................................................. 5.05% 07/30/24 15,079,933
---------------
15,359,304
---------------
INSURANCE BROKERS -- 4.4%
20,877,644 Amwins Group LLC, Term Loan B (First Lien), 1 Mo. LIBOR +
2.75%, 1.00% Floor........................................... 4.64% - 4.65% 01/31/24 21,000,404
571,429 Amwins Group LLC, Term Loan B (Second Lien), 1 Mo. LIBOR
+ 6.75%, 1.00% Floor......................................... 8.65% 01/25/25 576,789
17,763,852 HUB International Ltd., Term Loan B, 2 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 5.36% 04/25/25 17,867,415
10,381,475 National Financial Partners Corp., Term Loan B, 1 Mo. LIBOR +
3.00%, 0.00% Floor........................................... 4.90% 01/06/24 10,422,585
16,122,987 USI, Inc. (Compass Investors, Inc.), Term Loan B, 3 Mo. LIBOR
+ 3.00%, 0.00% Floor......................................... 5.30% 05/15/24 16,176,677
---------------
66,043,870
---------------
INTEGRATED TELECOMMUNICATION SERVICES -- 1.6%
13,707,722 Century Link (Qwest), Term Loan B, 1 Mo. LIBOR + 2.75%,
0.00% Floor.................................................. 4.65% 01/31/25 13,496,349
2,142,558 Numericable U.S. LLC (Altice France S.A.), Term Loan B12,
3 Mo. LIBOR + 3.00%, 0.00% Floor............................. 5.35% 01/06/26 2,108,749
</TABLE>

Page 12 See Notes to Financial Statements

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

INTEGRATED TELECOMMUNICATION SERVICES (CONTINUED)
$ 8,295,313 Zayo Group LLC, Term Loan B2, 1 Mo. LIBOR + 2.25%,
1.00% Floor.................................................. 4.15% 01/19/24 $ 8,349,731
---------------
23,954,829
---------------
LEISURE FACILITIES -- 1.3%
14,218,973 ClubCorp Club Operations, Inc., Term Loan B, 3 Mo. LIBOR +
2.75%, 0.00% Floor........................................... 4.89% 09/18/24 14,245,704
4,693,873 Planet Fitness Holdings LLC, 2016 Term Loan, 1 Mo. LIBOR +
2.75%, 0.75% Floor........................................... 4.65% 03/31/21 4,726,166
1,096,406 Planet Fitness Holdings LLC, 2016 Term Loan, 3 Mo. LIBOR +
2.75%, 0.75% Floor........................................... 5.05% 03/31/21 1,103,950
---------------
20,075,820
---------------
LIFE SCIENCES TOOLS & SERVICES -- 4.4%
1,720,156 Immucor, Inc., Term Loan B, 3 Mo. LIBOR + 5.00%, 1.00%
Floor........................................................ 7.30% 07/30/21 1,756,710
3,786,970 IMS Health (Quintiles International), Term B-2 Loan, 3 Mo.
LIBOR + 2.00%, 0.00% Floor................................... 4.30% 01/17/25 3,804,011
11,343,306 Ortho-Clinical Diagnostics, Inc. (Crimson Merger Sub, Inc.),
Initial Term Loan, 1 Mo. LIBOR + 3.75%, 1.00% Floor.......... 5.63% 06/30/21 11,414,202
13,425,588 Parexel, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor.......... 4.65% 09/27/24 13,467,610
8,672,695 Pharmaceutical Product Development, Inc., Term Loan B, 1 Mo.
LIBOR + 2.50%, 1.00% Floor................................... 4.40% 08/18/22 8,717,013
9,558,293 Pharmaceutical Product Development, Inc., Term Loan B, 3 Mo.
LIBOR + 2.50%, 1.00% Floor................................... 4.80% 08/18/22 9,582,188
16,985,515 Sterigenics International (STHI Intermediate Holding Corp.),
Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor................ 4.90% 05/15/22 17,070,443
---------------
65,812,177
---------------
MANAGED HEALTH CARE -- 2.6%
7,063,540 Davis Vision (Wink Holdco, Inc.), Initial Term Loan,
1 Mo. LIBOR + 3.00%, 1.00% Floor............................. 4.90% 12/02/24 7,034,862
32,482,224 MultiPlan, Inc. (MPH Acquisition Holdings LLC), Term Loan B,
3 Mo. LIBOR + 2.75%, 1.00% Floor............................. 5.05% 06/07/23 32,640,088
---------------
39,674,950
---------------
METAL & GLASS CONTAINERS -- 0.5%
7,408,057 Berlin Packaging LLC, Term Loan B, 1 Mo. LIBOR + 3.25%,
1.00% Floor.................................................. 5.00% - 5.14% 10/01/21 7,414,205
511,163 Crown Holdings, Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00%
Floor........................................................ 4.31% 01/19/25 515,319
---------------
7,929,524
---------------
MOVIES & ENTERTAINMENT -- 0.6%
1,402,250 AMC Entertainment, Inc., 2016 Incremental Term Loan,
1 Mo. LIBOR + 2.25%, 0.00% Floor............................. 4.15% 12/15/23 1,407,508
211,250 AMC Entertainment, Inc., Initial Term Loan, 1 Mo. LIBOR +
2.25%, 0.00% Floor........................................... 4.15% 12/15/22 211,977
5,160,000 Cineworld Group PLC (Crown), Term Loan B, 1 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.40% 02/05/25 5,151,951
2,913,199 Creative Artists Agency LLC (CAA Holdings LLC), Term Loan B,
1 Mo. LIBOR + 3.00%, 0.00% Floor............................. 4.90% 02/15/24 2,931,406
---------------
9,702,842
---------------
</TABLE>

See Notes to Financial Statements Page 13

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

OTHER DIVERSIFIED FINANCIAL SERVICES -- 4.0%
$ 32,120,045 AlixPartners LLP, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00%
Floor........................................................ 5.05% 04/04/24 $ 32,255,591
16,063,483 Duff & Phelps Corp., Restatement Term Loan, 3 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.55% 02/13/25 16,076,816
6,343,995 First Data Corp., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00%
Floor........................................................ 4.15% 04/26/24 6,365,502
1,962,152 iPayment, Inc., Term Loan B, 6 Mo. LIBOR + 5.00%, 1.00%
Floor........................................................ 6.62% 04/11/23 1,969,510
3,144,000 Wex, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor........ 4.15% 07/01/23 3,162,770
---------------
59,830,189
---------------
PACKAGED FOODS & MEATS -- 1.6%
13,325,236 New HB Acquisition LLC (Hostess), Term Loan B, 1 Mo. LIBOR
+ 2.25%, 0.75% Floor......................................... 4.15% 08/03/22 13,421,844
10,578,415 Post Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%,
0.00% Floor.................................................. 3.90% 05/24/24 10,623,796
---------------
24,045,640
---------------
PAPER PACKAGING -- 2.4%
35,950,548 Reynolds Group Holdings, Inc., Term Loan B, 1 Mo. LIBOR +
2.75%, 0.00% Floor........................................... 4.65% 02/05/23 36,175,239
---------------
PHARMACEUTICALS -- 5.7%
1,128,313 Akorn, Inc., Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor............. 6.19% 04/16/21 1,105,747
3,336,390 Amneal Pharmaceuticals LLC, Term Loan B, 1 Mo. LIBOR +
3.50%, 1.00% Floor........................................... 5.40% 11/01/19 3,346,133
3,609,904 Catalent Pharma Solutions, Inc., Term Loan B, 1 Mo. LIBOR +
2.25%, 1.00% Floor........................................... 4.15% 05/20/24 3,624,019
3,898,721 Concordia Healthcare Corp., Initial Dollar Term Loan, 1 Mo.
LIBOR + 4.25%, 1.00% Floor (e)............................... 6.15% 10/21/21 3,522,144
19,603,855 Endo LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor......... 6.19% 04/29/24 19,481,331
5,633,324 Grifols Worldwide Operations Ltd., Term Loan B, 1 Mo. LIBOR
+ 2.25%, 0.00% Floor......................................... 3.99% 01/31/25 5,661,491
12,968,570 Horizon Pharma, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%,
1.00% Floor.................................................. 5.19% 03/29/24 13,060,388
2,427,184 Mallinckrodt International Finance S.A., Incremental Term
Loan B, 1 Mo. LIBOR + 3.00%, 0.75% Floor..................... 4.82% 02/24/25 2,441,335
2,427,184 Mallinckrodt International Finance S.A., Term Loan B, 6 Mo.
LIBOR + 2.75%, 0.75% Floor.................................. 5.20% 09/24/24 2,405,947
30,010,079 Valeant Pharmaceuticals International, Inc., Series F-1
Tranche B Term Loan, 1 Mo. LIBOR + 3.50%, 0.75% Floor........ 5.39% 04/01/22 30,329,086
---------------
84,977,621
---------------
REAL ESTATE SERVICES -- 0.1%
987,125 Realogy Corp., Term Loan B, 1 Mo. LIBOR + 2.25%,
0.00% Floor.................................................. 4.15% 01/25/25 992,218
---------------
RESEARCH & CONSULTING SERVICES -- 3.0%
7,947,358 Acosta, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00%
Floor........................................................ 5.15% 09/26/21 6,480,911
19,625,184 Advantage Sales & Marketing, Inc., Initial Term Loan
(First Lien), 1 Mo. LIBOR + 3.25%, 1.00% Floor............... 5.15% 07/23/21 18,746,172
2,196,467 Advantage Sales & Marketing, Inc., Term Loan B2, 1 Mo. LIBOR
+ 3.25%, 1.00% Floor......................................... 5.15% 07/23/21 2,099,340
</TABLE>

Page 14 See Notes to Financial Statements

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

RESEARCH & CONSULTING SERVICES (CONTINUED)
$ 17,374,500 Information Resources, Inc., Term Loan B, 3 Mo. LIBOR +
4.25%, 1.00% Floor........................................... 6.19% 01/18/24 $ 17,510,194
---------------
44,836,617
---------------
RESTAURANTS -- 2.0%
14,964,687 Burger King (1011778 B.C. Unlimited Liability Company), Term
Loan B, 1 Mo. LIBOR + 2.25%, 1.00% Floor..................... 4.15% 02/17/24 15,002,098
456,978 IRB Holding Corp. (Arby's), Term Loan B, 1 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.13% 01/18/25 461,835
571,222 IRB Holding Corp. (Arby's), Term Loan B, 2 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.25% 01/18/25 577,295
13,723,556 Portillo's Holdings LLC, Term B Loan (First Lien), 3 Mo. LIBOR
+ 4.50%, 1.00% Floor......................................... 6.80% 08/02/21 13,826,483
---------------
29,867,711
---------------
SECURITY & ALARM SERVICES -- 0.2%
2,759,215 Garda World Security Corp., Term Loan B, 3 Mo. LIBOR +
3.50%, 1.00% Floor........................................... 5.51% 05/26/24 2,786,807
---------------
SEMICONDUCTORS -- 0.3%
1,499,575 Micron Technology, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%,
0.00% Floor.................................................. 3.66% 04/26/22 1,510,192
2,359,049 Western Digital Corp., Term Loan B, 1 Mo. LIBOR + 2.00%,
0.00% Floor.................................................. 3.90% 04/29/23 2,371,694
---------------
3,881,886
---------------
SPECIALIZED CONSUMER SERVICES -- 1.0%
806,071 Aramark Corp., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00%
Floor........................................................ 3.90% 03/28/24 810,610
3,491,250 Aramark Corp., Term Loan B1, 1 Mo. LIBOR + 2.00%, 0.00%
Floor........................................................ 3.90% 03/07/25 3,513,070
165,000 Asurion LLC, Term Loan (Second Lien), 1 Mo. LIBOR + 6.00%,
0.00% Floor.................................................. 7.90% 07/31/25 169,455
1,332,096 Asurion LLC, Term Loan B4, 1 Mo. LIBOR + 2.75%, 1.00%
Floor........................................................ 4.65% 08/04/22 1,340,635
9,826,771 Asurion LLC, Term Loan B6, 1 Mo. LIBOR + 2.75%, 0.00%
Floor........................................................ 4.65% 11/03/23 9,894,379
---------------
15,728,149
---------------
SPECIALIZED FINANCE -- 0.1%
813,750 Alliant Holdings I, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 4.93% 05/15/25 818,112
---------------
SPECIALTY CHEMICALS -- 0.6%
8,281,098 H.B. Fuller, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00%
Floor........................................................ 3.90% 10/20/24 8,303,292
881,751 Platform Specialty Products Corp. (fka: Macdermid, Inc.), Term
Loan B6, 1 Mo. LIBOR + 3.00%, 1.00% Floor.................... 4.90% 06/07/23 887,482
---------------
9,190,774
---------------
SPECIALTY STORES -- 0.4%
531,041 Party City Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%,
0.75% Floor.................................................. 4.66% 08/19/22 534,031
744,342 Party City Holdings, Inc., Term Loan B, 2 Mo. LIBOR + 2.75%,
0.75% Floor.................................................. 4.75% - 4.81% 08/19/22 748,532
</TABLE>

See Notes to Financial Statements Page 15

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

SPECIALTY STORES (CONTINUED)
$ 628,255 Party City Holdings, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%,
0.75% Floor.................................................. 5.28% 08/19/22 $ 631,692
3,929,140 Toys "R" US -Delaware, Inc., Term B-2 Loan, 3 Mo. Prime Rate
+ 2.75%, 1.50% Floor (e) (f)................................. 7.25% 05/25/18 1,453,781
1,553,224 Toys "R" US -Delaware, Inc., Term B-3 Loan, 3 Mo. Prime Rate
+ 2.75%, 1.50% Floor (e) (f)................................. 7.25% 05/25/18 574,693
3,253,846 Toys "R" US -Delaware, Inc., Term B-4 Loan, 3 Mo. Prime Rate
+ 7.75%, 1.00% Floor (e) (f)................................. 12.25% 04/25/20 1,435,174
---------------
5,377,903
---------------
SYSTEMS SOFTWARE -- 6.8%
1,935,872 Applied Systems, Inc., Term Loan (First Lien), 3 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.55% 09/13/24 1,952,211
1,331,175 Applied Systems, Inc., Term Loan (Second Lien), 3 Mo. LIBOR
+ 7.00%, 1.00% Floor......................................... 9.30% 09/13/25 1,372,442
4,426,528 Avast Software B.V. (Sybil Software LLC), Term Loan B, 3 Mo.
LIBOR + 2.75%, 1.00% Floor................................... 5.05% 09/30/23 4,447,422
35,426,616 BMC Software Finance, Inc., Term Loan B, 1 Mo. LIBOR +
3.25%, 0.00% Floor........................................... 5.15% 09/10/22 35,546,711
20,185,515 Compuware Corp., Term Loan B3, 1 Mo. LIBOR + 3.50%,
1.00% Floor.................................................. 5.40% 12/15/21 20,422,694
7,794,167 Misys Financial Software Ltd. (Almonde, Inc.), Term Loan B,
3 Mo. LIBOR + 3.50%, 1.00% Floor............................. 5.48% 06/13/24 7,786,217
1,628,356 Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%,
1.00% Floor.................................................. 5.16% 04/24/22 1,620,898
12,922,366 SS&C Technologies Holdings, Inc., Term Loan B-3, 1 Mo.
LIBOR + 2.50%, 0.00% Floor................................... 4.40% 03/15/25 13,003,131
4,681,378 SS&C Technologies Holdings, Inc., Term Loan B-4, 1 Mo.
LIBOR + 2.50%, 0.00% Floor................................... 4.40% 03/15/25 4,710,637
11,323,290 Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00%
Floor........................................................ 5.15% 06/30/23 11,408,215
---------------
102,270,578
---------------
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.3%
18,849,869 Dell, Inc. (Diamond 1 Finance Corp.), Term Loan B, 1 Mo.
LIBOR + 2.00%, 0.75% Floor................................... 3.91% 09/07/23 18,902,837
---------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
5,336,000 SBA Finance Communications, Term Loan B, 1 Mo. LIBOR +
2.00%, 0.00% Floor........................................... 3.90% 04/11/25 5,348,593
---------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS................................................... 1,312,091,813
(Cost $1,316,752,116) ---------------
</TABLE>

AGRICULTURAL PRODUCTS -- 0.1%
1,000,000 Lamb Weston Holdings, Inc. (g).................................. 4.63% 11/01/24 996,250
---------------
ALTERNATIVE CARRIERS -- 0.1%
500,000 Level 3 Financing, Inc.......................................... 5.13% 05/01/23 496,875
813,000 Level 3 Parent LLC.............................................. 5.75% 12/01/22 821,130
---------------
1,318,005
---------------
</TABLE>

Page 16 See Notes to Financial Statements

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

APPLICATION SOFTWARE -- 0.1%
$ 500,000 Infor US, Inc................................................... 6.50% 05/15/22 $ 510,000
1,333,000 RP Crown Parent LLC (g)......................................... 7.38% 10/15/24 1,386,320
---------------
1,896,320
---------------
AUTO PARTS & EQUIPMENT -- 0.0%
254,000 Cooper-Standard Automotive, Inc. (g)............................ 5.63% 11/15/26 252,730
---------------
BROADCASTING -- 1.3%
7,343,000 Gray Television, Inc. (g)....................................... 5.13% 10/15/24 7,021,743
2,148,000 Gray Television, Inc. (g)....................................... 5.88% 07/15/26 2,072,820
125,000 LIN Television Corp............................................. 5.88% 11/15/22 129,063
100,000 Nexstar Broadcasting, Inc. (g).................................. 6.13% 02/15/22 103,375
6,949,000 Nexstar Broadcasting, Inc. (g).................................. 5.63% 08/01/24 6,862,137
2,994,000 Sinclair Television Group, Inc. (g)............................. 5.63% 08/01/24 2,971,545
791,000 Sinclair Television Group, Inc. (g)............................. 5.88% 03/15/26 784,079
---------------
19,944,762
---------------
BUILDING PRODUCTS -- 0.1%
745,000 Lennar Corp. (g)................................................ 5.88% 11/15/24 772,938
---------------
CABLE & SATELLITE -- 0.4%
2,975,000 Altice US Finance I Corp. (g)................................... 5.50% 05/15/26 2,915,500
2,350,000 CCO Holdings LLC / CCO Holdings Capital Corp.................... 5.75% 01/15/24 2,377,965
600,000 CCO Holdings LLC / CCO Holdings Capital Corp. (g)............... 5.88% 04/01/24 609,840
---------------
5,903,305
---------------
DIVERSIFIED REAL ESTATE ACTIVITIES -- 0.1%
250,000 KB Home......................................................... 7.00% 12/15/21 266,563
626,000 PulteGroup, Inc................................................. 5.50% 03/01/26 638,489
---------------
905,052
---------------
FOOD RETAIL -- 0.1%
1,000,000 Albertsons Cos. LLC / Safeway, Inc. / New Albertson's, Inc. /
Albertson's LLC.............................................. 5.75% 03/15/25 876,250
---------------
HEALTH CARE FACILITIES -- 2.4%
3,000,000 Encompass Health Corp........................................... 5.75% 11/01/24 3,063,750
500,000 HCA, Inc........................................................ 5.88% 05/01/23 522,500
605,000 HCA, Inc........................................................ 5.38% 02/01/25 603,488
1,750,000 Kindred Healthcare, Inc......................................... 8.00% 01/15/20 1,883,438
2,472,000 LifePoint Health, Inc........................................... 5.38% 05/01/24 2,363,849
1,500,000 Select Medical Corp............................................. 6.38% 06/01/21 1,524,375
170,000 Tenet Healthcare Corp........................................... 6.00% 10/01/20 176,086
16,873,000 Tenet Healthcare Corp. (g)...................................... 7.50% 01/01/22 17,843,197
8,080,000 Tenet Healthcare Corp........................................... 8.13% 04/01/22 8,443,599
---------------
36,424,282
---------------
HEALTH CARE SERVICES -- 0.3%
3,296,000 Envision Healthcare Corp. (g)................................... 5.13% 07/01/22 3,271,280
1,000,000 Envision Healthcare Corp. (g)................................... 6.25% 12/01/24 1,045,000
---------------
4,316,280
---------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.0%
472,000 Calpine Corp.................................................... 5.50% 02/01/24 434,830
---------------
</TABLE>

See Notes to Financial Statements Page 17

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

LIFE SCIENCES TOOLS & SERVICES -- 0.1%
$ 1,821,000 Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical
Diagnostics SA (g)........................................... 6.63% 05/15/22 $ 1,811,895
---------------
MANAGED HEALTH CARE -- 0.7%
10,000,000 MPH Acquisition Holdings LLC (g)................................ 7.13% 06/01/24 10,224,999
---------------
MOVIES & ENTERTAINMENT -- 0.2%
3,390,000 AMC Entertainment Holdings, Inc................................. 5.75% 06/15/25 3,301,013
---------------
OIL & GAS EXPLORATION & PRODUCTION -- 0.1%
1,307,000 Tallgrass Energy Partners LP / Tallgrass Energy Finance
Corp. (g).................................................... 5.50% 09/15/24 1,333,140
---------------
OIL & GAS STORAGE & TRANSPORTATION -- 0.0%
250,000 Crestwood Midstream Partners LP / Crestwood Midstream
Finance Corp................................................. 5.75% 04/01/25 249,063
---------------
PAPER PACKAGING -- 0.1%
250,000 Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC /
Reynolds Group Issuer Lu, 3 Mo. LIBOR + 3.50% (g) (h)........ 5.85% 07/15/21 254,063
1,000,000 Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC /
Reynolds Group Issuer Lu (g)................................. 7.00% 07/15/24 1,043,125
---------------
1,297,188
---------------
PHARMACEUTICALS -- 0.1%
2,184,000 Valeant Pharmaceuticals International (g)....................... 6.75% 08/15/21 2,205,840
---------------
REAL ESTATE SERVICES -- 0.5%
7,759,000 Realogy Group LLC / Realogy Co-Issuer Corp. (g)................. 4.88% 06/01/23 7,538,256
---------------
TRADING COMPANIES & DISTRIBUTORS -- 0.0%
250,000 United Rentals North America, Inc............................... 5.88% 09/15/26 261,563
---------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.0%
93,000 Sprint Communications, Inc. (g)................................. 9.00% 11/15/18 95,732
150,000 T-Mobile USA, Inc............................................... 6.00% 03/01/23 155,813
---------------
251,545
---------------
TOTAL CORPORATE BONDS........................................................................ 102,515,506
(Cost $103,008,081) ---------------

FOREIGN CORPORATE BONDS -- 0.4%

CABLE & SATELLITE -- 0.2%
500,000 Virgin Media Secured Finance PLC (g)............................ 5.25% 01/15/26 478,125
1,500,000 Virgin Media Secured Finance PLC (g)............................ 5.50% 08/15/26 1,447,499
733,000 Ziggo Secured Finance BV (g).................................... 5.50% 01/15/27 692,685
---------------
2,618,309
---------------
DIVERSIFIED REAL ESTATE ACTIVITIES -- 0.0%
250,000 Taylor Morrison Communities, Inc. / Taylor Morrison
Holdings II, Inc. (g)........................................ 5.88% 04/15/23 256,875
---------------
METAL & GLASS CONTAINERS -- 0.0%
128,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA,
Inc. (g)..................................................... 7.25% 05/15/24 135,520
---------------
PACKAGED FOODS & MEATS -- 0.0%
377,000 JBS USA LUX SA / JBS USA Finance, Inc. (g)...................... 5.88% 07/15/24 367,104
---------------
</TABLE>

Page 18 See Notes to Financial Statements

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

PHARMACEUTICALS -- 0.1%
$ 250,000 Mallinckrodt International Finance SA / Mallinckrodt CB
LLC, (g)..................................................... 5.63% 10/15/23 $ 196,875
1,240,000 Valeant Pharmaceuticals International, Inc. (g)................. 5.50% 11/01/25 1,238,450
---------------
1,435,325
---------------
RESTAURANTS -- 0.1%
170,000 1011778 BC ULC / New Red Finance, Inc. (g)...................... 4.25% 05/15/24 162,138
1,000,000 1011778 BC ULC / New Red Finance, Inc. (g)...................... 5.00% 10/15/25 967,190
---------------
1,129,328
---------------
TOTAL FOREIGN CORPORATE BONDS................................................................ 5,942,461
(Cost $6,153,414) ---------------
</TABLE>

<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
---------------- --------------------------------------------------------------------------------------------- ---------------
<S> <C> <C>
RIGHTS -- 0.0%

ELECTRIC UTILITIES -- 0.0%
4,887 Vistra Energy Corp. (i)...................................................................... 3,362
8,105 Vistra Energy Corp. Claim (i) (j) (k)........................................................ 0
---------------
3,362
---------------
LIFE SCIENCES TOOLS & SERVICES -- 0.0%
1 New Millennium Holdco, Inc., Corporate Claim Trust (i) (j) (k) (l)........................... 0
1 New Millennium Holdco, Inc., Corporate Claim Trust (i) (j) (k) (l)........................... 0
---------------
0
---------------
TOTAL RIGHTS................................................................................. 3,362
(Cost $8,491) ---------------

MONEY MARKET FUNDS -- 13.7%

205,034,500 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio -
Institutional Class - 1.59% (m).......................................................... 205,034,500
(Cost $205,034,500) ---------------

TOTAL INVESTMENTS -- 108.4%.................................................................. 1,625,587,642
(Cost $1,630,956,602) (n)

NET OTHER ASSETS AND LIABILITIES -- (8.4)%................................................... (125,954,522)
---------------
NET ASSETS -- 100.0%......................................................................... $ 1,499,633,120
===============
</TABLE>

-----------------------------

(a) 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 London Interbank Offered Rate
("LIBOR"), (ii) the prime rate offered by one or more United States banks
or (iii) the certificate of deposit rate. Certain Senior Loans are subject
to a LIBOR floor that establishes a minimum LIBOR rate. When a range of
rates is disclosed, the Fund holds more than one contract within the same
tranche with identical LIBOR period, spread and floor, but different LIBOR
reset dates.

(b) 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.

(d) Represents commitment fee rate on unfunded loan commitment. The commitment
fee rate steps up at predetermined time intervals.

(e) This issuer has filed for protection in federal bankruptcy court.

(f) This issuer is in default and interest is not being accrued by the Fund
nor paid by the issuer.

See Notes to Financial Statements Page 19

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

(g) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under 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
"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 April 30, 2018, securities noted as such amounted
to $79,358,265 or 5.3% of net assets.

(h) Floating or variable rate security.

(i) Non-income producing security.

(j) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940, as
amended. At April 30, 2018, securities noted as such amounted to $0 or
0.0% of net assets.

(k) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).

(l) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by the Advisor.

(m) Rate shown reflects yield as of April 30, 2018.

(n) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of April 30, 2018, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $5,491,916 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $10,860,876. The net unrealized depreciation
was $5,368,960.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of April 30,
2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
4/30/2018 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Senior Floating-Rate Loan Interests*.............. $1,312,091,813 $ -- $1,312,091,813 $ --
Corporate Bonds*.................................. 102,515,506 -- 102,515,506 --
Foreign Corporate Bonds*.......................... 5,942,461 -- 5,942,461 --
Rights
Electric Utilities............................. 3,362 -- 3,362 --**
Life Science Tools & Services.................. --** -- -- --**
Money Market Funds................................ 205,034,500 205,034,500 -- --
-------------- -------------- -------------- --------------
Total Investments................................. $1,625,587,642 $ 205,034,500 $1,420,553,142 $ --**
============== ============== ============== ==============
</TABLE>

* See Portfolio of Investments for industry breakout.
** Investment is valued at $0.

All transfers in and out of the Levels during the period are assumed to occur on
the last day of the period at their current value. There were no transfers
between Levels at April 30, 2018.

Level 3 Rights are fair valued by the Advisor's Pricing Committee and are
footnoted in the Portfolio of Investments. The Level 3 Rights values are based
on unobservable and non-quantitative inputs. The Trust's Board of Trustees has
adopted valuation procedures that are utilized by the Advisor's Pricing
Committee to oversee the day-to-day valuation of the Fund's investments. The
Advisor's Pricing Committee, through the Fund's fund accounting agent, monitors
the daily pricing via tolerance checks and stale and unchanged price reviews.
The Advisor's Pricing Committee also reviews monthly back testing of third-party
pricing service prices by comparing sales prices of the Fund's investments to
prior day third-party pricing service prices. Additionally, the Advisor's
Pricing Committee reviews periodic information from the Fund's third-party
pricing service that compares secondary market trade prices to their daily
valuations.

Page 20 See Notes to Financial Statements

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

The following table presents the activity of the Fund's investments measured at
fair value on a recurring basis using significant unobservable inputs (Level 3)
for the period presented:

BEGINNING BALANCE AT OCTOBER 31, 2017
Rights $ --*
Net Realized Gain (Loss) --
Change in Unrealized Appreciation /(Depreciation) --
Purchases --
Sales --
Transfers In --
Transfers Out --
--------------
ENDING BALANCE AT APRIL 30, 2018
Rights --*
--------------
Total Level 3 Holdings $ --*
==============

* Investment is valued at $0.

There was no net change in unrealized appreciation (depreciation) from Level 3
investments held as of April 30, 2018.

See Notes to Financial Statements Page 21

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at value..................................................... $1,625,587,642
Cash...................................................................... 502,370
Receivables:
Investment securities sold............................................. 30,404,917
Capital shares sold.................................................... 2,403,271
Interest............................................................... 4,330,941
Dividends.............................................................. 299,926
--------------
Total Assets........................................................ 1,663,529,067
--------------
LIABILITIES:
Payables:
Investment securities purchased........................................ 160,382,948
Investment advisory fees............................................... 1,031,679
Unfunded loan commitments.............................................. 2,481,320
--------------
Total Liabilities................................................... 163,895,947
--------------
NET ASSETS................................................................ $1,499,633,120
==============
NET ASSETS CONSIST OF:
Paid-in capital........................................................... $1,515,542,683
Par value................................................................. 312,000
Accumulated net investment income (loss).................................. (257,188)
Accumulated net realized gain (loss) on investments....................... (10,595,415)
Net unrealized appreciation (depreciation) on investments................. (5,368,960)
--------------
NET ASSETS................................................................ $1,499,633,120
==============
NET ASSET VALUE, per share................................................ $ 48.07
==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)................................. 31,200,002
==============
Investments, at cost...................................................... $1,630,956,602
==============
</TABLE>

Page 22 See Notes to Financial Statements

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Interest.................................................................. $ 30,772,176
Dividends................................................................. 1,005,715
--------------
Total investment income................................................ 31,777,891
--------------
EXPENSES:
Investment advisory fees.................................................. 5,816,078
--------------
Total expenses......................................................... 5,816,078
--------------
NET INVESTMENT INCOME (LOSS).............................................. 25,961,813
--------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments................................... (3,747,570)
Net change in unrealized appreciation (depreciation) on investments....... (1,027,693)
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................... (4,775,263)
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................................ $ 21,186,550
==============
</TABLE>

See Notes to Financial Statements Page 23

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
SIX MONTHS
ENDED
4/30/2018 YEAR ENDED
(UNAUDITED) 10/31/2017
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss).............................................. $ 25,961,813 $ 40,103,054
Net realized gain (loss).................................................. (3,747,570) (2,293,309)
Net change in unrealized appreciation (depreciation)...................... (1,027,693) (1,610,792)
-------------- --------------
Net increase (decrease) in net assets resulting from operations........... 21,186,550 36,198,953
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................................... (26,967,127) (40,155,753)
-------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................................. 163,815,180 751,278,508
Cost of shares redeemed................................................... -- --
-------------- --------------
Net increase (decrease) in net assets resulting from shareholder
transactions........................................................... 163,815,180 751,278,508
-------------- --------------
Total increase (decrease) in net assets................................... 158,034,603 747,321,708

NET ASSETS:
Beginning of period....................................................... 1,341,598,517 594,276,809
-------------- --------------
End of period............................................................. $1,499,633,120 $1,341,598,517
============== ==============
Accumulated net investment income (loss) at end of period................. $ (257,188) $ 748,126
============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................................... 27,800,002 12,300,002
Shares sold............................................................... 3,400,000 15,500,000
Shares redeemed........................................................... -- --
-------------- --------------
Shares outstanding, end of period......................................... 31,200,002 27,800,002
============== ==============
</TABLE>

Page 24 See Notes to Financial Statements

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)

FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, PERIOD
4/30/2018 --------------------------------------------------------- ENDED
(UNAUDITED) 2017 2016 2015 2014 10/31/2013 (a)
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $ 48.26 $ 48.32 $ 48.07 $ 49.09 $ 49.45 $ 50.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)............ 0.90 1.68 1.80 1.90 1.77 0.90
Net realized and unrealized gain
(loss)............................... (0.15) (0.04) 0.27 (1.03) (0.36) (0.45)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations........ 0.75 1.64 2.07 0.87 1.41 0.45
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................... (0.94) (1.70) (1.82) (1.89) (1.77) (0.85)
Return of capital....................... -- -- -- -- -- (0.15)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions paid to
shareholders......................... (0.94) (1.70) (1.82) (1.89) (1.77) (1.00)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period.......... $ 48.07 $ 48.26 $ 48.32 $ 48.07 $ 49.09 $ 49.45
========== ========== ========== ========== ========== ==========
TOTAL RETURN (b)........................ 1.56% 3.43% 4.43% 1.75% 2.91% 0.92%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).... $1,499,633 $1,341,599 $ 594,277 $ 362,899 $ 196,342 $ 96,432
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets (c)....................... 0.85% (d) 0.85% 0.85% 0.85% 0.85% 0.85%(d)
Ratio of net investment income (loss) to
average net assets................... 3.79% (d) 3.53% 3.84% 3.97% 3.61% 3.29%(d)
Portfolio turnover rate (e)............. 49% 110% 67% 71% 97% 51%
</TABLE>

(a) Inception date is May 1, 2013, which is consistent with the commencement
of investment operations and is the date the initial creation units were
established.

(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.

(c) 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.

(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.

See Notes to Financial Statements Page 25

<PAGE>

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

1. ORGANIZATION

The Trust currently consists of eight funds that are offering shares. This
report covers the First Trust Senior Loan Fund (the "Fund"), a diversified
series of the Trust, which trades under the ticker "FTSL" on The Nasdaq Stock
Market LLC ("Nasdaq"). Unlike conventional mutual funds, the Fund issues and
redeems shares on a continuous basis, at net asset value ("NAV"), only in large
specified blocks consisting of 50,000 shares called a "Creation Unit." Creation
Units are generally issued and redeemed for cash and, in certain circumstances,
in-kind for securities in which the Fund invests. Except when aggregated in
Creation Units, the shares are not redeemable securities of the Fund.

The Fund's primary investment objective is to provide high current income. The
Fund's secondary investment objective is the preservation of capital. Under
normal market conditions, the Fund seeks to outperform each of the S&P/LSTA U.S.
Leveraged Loan 100 Index and the Markit iBoxx USD Liquid Leveraged Loan Index by
investing at least 80% of its net assets (including investment borrowings) in a
portfolio of first lien senior floating rate bank loans ("Senior Loans")(1). The
S&P/LSTA U.S. Leveraged Loan 100 Index (the "Primary Index") is a market
value-weighted index designed to measure the performance of the largest segment
of the U.S. syndicated leveraged loan market. The Primary Index consists of 100
loan facilities drawn from a larger benchmark, the S&P/LSTA Leveraged Loan
Index. The Markit iBoxx USD Liquid Leveraged Loan Index (the "Secondary Index")
selects the 100 most liquid Senior Loans in the market. The Fund does not seek
to track either the Primary or Secondary Index. It is anticipated that the Fund,
in accordance with its principal investment strategy, will invest approximately
50% to 75% of its net assets in Senior Loans that are eligible for inclusion in
and meet the liquidity thresholds of the Primary and/or the Secondary Indices at
the time of investment.

2. SIGNIFICANT ACCOUNTING POLICIES

A. PORTFOLIO VALUATION

The Fund's 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. If the NYSE closes early on a valuation day, the NAV
is determined as of that time. Domestic debt securities and foreign securities
are priced using data reflecting the earlier closing of the principal markets
for those securities. The Fund's 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.

-----------------------------

(1) The terms "security" and "securities" used throughout the Notes to
Financial Statements include Senior Loans.

Page 26

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

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 Portfolio of Investments. The Fund's investments are valued as
follows:

Senior Loans in which the Fund invests are not listed on any securities
exchange or board of trade. Senior Loans are typically bought and sold by
institutional investors in individually negotiated private transactions
that function in many respects like an over-the-counter secondary market,
although typically no formal market-makers exist. This market, while
having grown substantially since its inception, generally has fewer trades
and less liquidity than the secondary market for other types of
securities. Some Senior Loans have few or no trades, or trade
infrequently, and information regarding a specific Senior Loan may not be
widely available or may be incomplete. Accordingly, determinations of the
market value of Senior Loans may be based on infrequent and dated
information. Because there is less reliable, objective data available,
elements of judgment may play a greater role in valuation of Senior Loans
than for other types of securities. Typically, Senior Loans are valued
using information provided by a third-party pricing service. The
third-party pricing service primarily uses over-the-counter pricing from
dealer runs and broker quotes from indicative sheets to value the Senior
Loans.

Corporate bonds, corporate notes and other debt securities are fair valued
on the basis of valuations provided by dealers who make markets in such
securities or by a third-party pricing service approved by the Trust's
Board of Trustees, which may use the following valuation inputs when
available:

1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.

Shares of open-end funds are valued at fair value which is based on NAV
per share.

Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.

Fixed income and other debt securities having a remaining maturity of
sixty 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.

Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of the Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would

Page 27

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

appear to be the amount which the owner might reasonably expect to receive for
the security upon its current sale. When fair value prices are used, generally
they will differ from market quotations or official closing prices on the
applicable exchanges. A variety of factors may be considered in determining the
fair value of such securities, including, but not limited to, the following:

1) the fundamental business data relating to the borrower/issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the borrower/issuer;
5) the credit quality and cash flow of the borrower/issuer, based on
the Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities (or
equity securities) of the borrower/issuer, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the borrower/issuer, including any ability
to obtain money or resources from a parent or affiliate and an
assessment of the borrower's/issuer's management;
11) the prospects for the borrower's/issuer's industry, and multiples
(of earnings and/or cash flows) being paid for similar businesses in
that industry;
12) borrower's/issuer's competitive position within the industry;
13) borrower's/issuer's ability to access additional liquidity through
public and/or private markets; and
14) other relevant factors.

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 Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-date. Interest income is recorded daily on
the accrual basis. Amortization of premiums and accretion of discounts are
recorded using the effective interest method over the expected life of each
respective borrowing for loans and bonds.

Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. Due
to the nature of the Senior Loan market, the actual settlement date may not be
certain at the time of the purchase or sale for some of the Senior Loans.
Interest income on such Senior Loans is not accrued until settlement date. The
Fund maintains liquid assets with a current value at least equal to the amount
of its when-issued, delayed delivery or forward purchase commitments. The Fund
had no when-issued, delayed-delivery, or forward purchase commitments (other
than unfunded loan commitments discussed below) as of April 30, 2018.

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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

C. UNFUNDED LOAN COMMITMENTS

The Fund may enter into certain credit agreements, all or a portion of which may
be unfunded. The Fund is obligated to fund these loan commitments at the
borrower's discretion. The Fund had unfunded delayed draw term loan commitments,
which are marked to market daily, of $2,481,320 as of April 30, 2018. In
connection with these commitments, the Fund earns a commitment fee typically set
as a percentage of the commitment amount.

D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Dividends from net investment income, if any, are declared and paid monthly by
the Fund. The Fund distributes its net realized capital gains, if any, to
shareholders at least annually.

Distributions in cash may be reinvested automatically in additional whole shares
only if the broker through whom the shares were purchased makes such option
available. Such shares will generally be reinvested by the broker based upon the
market price of those shares and investors may be subject to customary brokerage
commissions charged by the broker.

Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Fund and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.

The tax character of distributions paid during the fiscal year ended October 31,
2017 was as follows:

Distributions paid from:
Ordinary income................................. $ 40,155,753
Capital gains................................... --
Return of capital............................... --

As of October 31, 2017, the components of distributable earnings on a tax basis
for the Fund were as follows:

Undistributed ordinary income................... $ 744,772
Accumulated capital and other gain (loss)....... (5,650,226)
Net unrealized appreciation (depreciation)...... (5,535,532)

E. INCOME TAXES

The Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
The Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. As of October 31, 2017, the
Fund had $5,650,226 of non-expiring capital loss carryforwards that may be
carried forward indefinitely.

Page 29

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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

F. EXPENSES

Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).

G. NEW AND AMENDED FINANCIAL REPORTING RULES AND FORMS

On October 13, 2016, the SEC adopted new rules and forms, and amended existing
rules and forms. The new and amended rules and forms are intended to modernize
the reporting of information provided by funds and to improve the quality and
type of information that funds provide to the SEC and investors. In part, the
new and amended rules and forms amend Regulation S-X and require standardized,
enhanced disclosures about derivatives in a fund's financial statements, as well
as other amendments. The compliance date for the amendments of Regulation S-X
was August 1, 2017, which resulted in additional disclosure for variable
interest rate securities within the Portfolio of Investments. The new form types
and other rule amendments will be effective for the First Trust funds, including
the Fund, for reporting periods beginning on and after June 1, 2018. Management
is evaluating the new form types and other rule amendments that are effective on
and after June 1, 2018 to determine the impact to the Fund.

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Fund, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in the Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Fund.

Pursuant to the Investment Management Agreement between the Trust and the
Advisor, First Trust manages the investment of the Fund's assets and is
responsible for the Fund's expenses, including the cost of transfer agency,
custody, fund administration, legal, audit and other services, but excluding fee
payments under the Investment Management Agreement, interest, taxes, pro rata
share of fees and expenses attributable to investments in other investment
companies ("acquired fund fees and expenses"), brokerage commissions and other
expenses connected with the execution of portfolio transactions, distribution
and service fees payable pursuant to a 12b-1 plan, if any, and extraordinary
expenses. The Fund has agreed to pay First Trust an annual unitary management
fee equal to 0.85% of its average daily net assets. In addition, the Fund incurs
acquired fund fees and expenses. The total of the unitary management fee and
acquired fund fees and expenses represents the Fund's total annual operating
expenses.

Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and the Valuation Committee are
paid annual fees to serve in such capacities, with such compensation allocated
pro rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.

4. PURCHASES AND SALES OF SECURITIES

For the six months ended April 30, 2018, the cost of purchases and proceeds from
sales of investments, excluding short-term investments and in-kind transactions,
were $832,315,438 and $634,753,639, respectively.

For the six months ended April 30, 2018, there were no in-kind transactions.

Page 30

<PAGE>

FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

5. BORROWINGS

The Trust, on behalf of the Fund, along with First Trust Exchange-Traded Fund
III and First Trust Series Fund entered into a $320 million Credit Agreement
with The Bank of Nova Scotia ("Scotia") as administrative agent for a group of
lenders. Prior to March 7, 2018, the commitment amount was $220 million. Scotia
charges a commitment fee of 0.25% of the daily amount of the excess of the
commitment amount over the outstanding principal balance of the loans and an
agency fee. First Trust allocates the commitment fee and agency fee amongst the
funds that have access to the credit line. To the extent that the Fund accesses
the credit line, there would also be an interest fee charged. The Fund did not
have any borrowings outstanding during the six months ended April 30, 2018.

6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES

Shares are created and redeemed by the Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). Due to the nature of the Fund's investments, the
Fund's Creation Units are generally issued and redeemed for cash, although
Creation Units may be issued in-kind for securities in which the Fund invests in
limited circumstances. Authorized Participants purchasing Creation Units must
pay to BNYM, as transfer agent, a creation transaction fee (the "Creation
Transaction Fee") regardless of the number of Creation Units purchased in the
transaction. The Creation Transaction Fee may vary and is based on the
composition of the securities included in the Fund's portfolio and/or the
countries in which the transactions are settled. The Creation Transaction Fee is
currently $500. The price for each Creation Unit will equal the daily NAV per
share times the number of shares in a Creation Unit plus the fees described
above and, if applicable, any operational processing and brokerage costs,
transfer fees or stamp taxes. When Creation Units are issued for cash, the
Authorized Participant may also be assessed an amount to cover the cost of
purchasing portfolio securities, including operational processing and brokerage
costs, transfer fees, stamp taxes, and part or all of the spread between the
expected bid and offer side of the market related to such securities. Authorized
Participants redeeming Creation Units must pay to BNYM, as transfer agent, a
standard redemption transaction fee (the "Redemption Transaction Fee"),
regardless of the number of Creation Units redeemed in the transaction. The
Redemption Transaction Fee may vary and is based on the composition of the
securities included in the Fund's portfolio and/or the countries in which the
transactions are settled. The Redemption Transaction Fee is currently $500. When
shares are redeemed for cash, the Authorized Participant may also be assessed an
amount to cover other costs, including operational processing and brokerage
costs, transfer fees, stamp taxes and part or all of the spread between the
expected bid and offer side of the market related to portfolio securities sold
in connection with the redemption.

7. DISTRIBUTION PLAN

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before March 31, 2019.

8. INDEMNIFICATION

9. SUBSEQUENT EVENTS

Page 31

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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how the Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
the Fund's website at www.ftportfolios.com; and (3) on Securities and Exchange
Commission's ("SEC") website at www.sec.gov.

PORTFOLIO HOLDINGS

RISK CONSIDERATIONS

RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER THE FUND'S INVESTMENT
OBJECTIVES, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN
DOWNLOAD THE FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST
PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS
AND OTHER INFORMATION ABOUT THE FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS
ASSOCIATED WITH INVESTING IN THE FUND, PLEASE SEE THE FUND'S STATEMENT OF
ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE
DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE
DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED FUND IV.

The following summarizes some of the risks that should be considered for the
Fund.

BANK LOANS RISK. An investment in bank loans subjects the Fund to credit risk,
which is heightened for bank loans in which the Fund invests because companies
that issue such loans tend to be highly leveraged and thus are more susceptible
to the risks of interest deferral, default and/or bankruptcy. First lien senior
floating rate bank loans ("Senior Loans"), in which the Fund may invest, are
usually rated below investment grade but may also be unrated. As a result, the
risks associated with these Senior Loans are similar to the risks of high yield
fixed income instruments. An economic downturn would generally lead to a higher
non-payment rate, and a Senior Loan may lose significant market value before a
default occurs. Moreover, any specific collateral used to secure a Senior Loan
may decline in value or become illiquid, which would adversely affect the Senior
Loan's value. Unlike the securities markets, there is no central clearinghouse
for loan trades, and the loan market has not established enforceable settlement
standards or remedies for failure to settle. Therefore, portfolio transactions
in Senior Loan may have uncertain settlement time periods. Senior Loans are
subject to a number of risks described elsewhere in this prospectus, including
liquidity risk and the risk of investing in below investment grade fixed income
instruments.

CALL RISK. If an issuer calls higher-yielding securities held by the Fund,
performance could be adversely impacted. During periods of falling interest
rates, issuers of callable securities may call (redeem) securities with higher
coupon rates or interest rates before their maturity dates. The Fund would then
lose any price appreciation above the bond's call price and would be forced to
reinvest the unanticipated proceeds at lower interest rates, resulting in a
decline in the Fund's income. Such redemptions and subsequent reinvestments
would also increase the Fund's portfolio turnover rate.

CASH TRANSACTIONS RISK. The Fund will, under most circumstances, effect a
significant portion of creations and redemptions for cash, rather than in-kind
securities. As a result, an investment in the Fund may be less tax-efficient
than an investment in an exchange-traded fund that effects its creations and
redemptions for in-kind securities. Because the Fund may effect a portion of
redemptions for cash, it may be required to sell portfolio securities in order
to obtain the cash needed to distribute redemption proceeds. A sale of shares
may result in capital gains or losses and may also result in higher brokerage
costs.

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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

CONVERTIBLE BONDS RISK. The market values of convertible bonds tend to decline
as interest rates increase and, conversely, to increase as interest rates
decline. A convertible bond's market value also tends to reflect the market
price of the common stock of the issuing company.

CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments. Credit risk may be heightened
for the Fund because it invests a substantial portion of its net assets in high
yield or "junk" debt. Such securities, while generally offering higher yields
than investment grade debt with similar maturities, involve greater risks,
including the possibility of dividend or interest deferral, default or
bankruptcy, and are regarded as predominantly speculative with respect to the
issuer's capacity to pay dividends or interest and repay principal. Credit risk
is heightened for loans in which the Fund invests because companies that issue
such loans tend to be highly leveraged and thus are more susceptible to the
risks of interest deferral, default and/or bankruptcy.

CURRENCY RISK. The Fund may hold investments that are denominated in non-U.S.
currencies, or in securities that provide exposure to such currencies, currency
exchange rates or interest rates denominated in such currencies. Changes in
currency exchange rates and the relative value of non-U.S. currencies will
affect the value of the Fund's investments and the value of your Fund shares.
Currency exchange rates can be very volatile and can change quickly and
unpredictably. As a result, the value of an investment in the Fund may change
quickly and without warning and you may lose money. You may lose money if the
local currency of a foreign market depreciates against the U.S. dollar, even if
the local currency value of the Fund's holdings goes up. The Fund intends to
hedge certain of its non-U.S. dollar holdings.

CYBER SECURITY RISK. As the use of Internet technology has become more prevalent
in the course of business, the Fund has become more susceptible to potential
operational risks through breaches in cyber security. A breach in cyber security
refers to both intentional and unintentional events that may cause the Fund to
lose proprietary information, suffer data corruption or lose operational
capacity. Such events could cause the Fund to incur regulatory penalties,
reputational damage, additional compliance costs associated with corrective
measures and/or financial loss. Cyber security breaches may involve unauthorized
access to the Fund's digital information systems through "hacking" or malicious
software coding, but may also result from outside attacks such as
denial-of-service attacks through efforts to make network services unavailable
to intended users. In addition, cyber security breaches of the Fund's
third-party service providers, such as its administrator, transfer agent,
custodian or sub-advisor, as applicable, or issuers in which the Fund invests,
can also subject the Fund to many of the same risks associated with direct cyber
security breaches. The Fund has established risk management systems designed to
reduce the risks associated with cyber security. However, there is no guarantee
that such efforts will succeed, especially because the Fund does not directly
control the cyber security systems of issuers or third-party service providers.

EXTENSION RISK. Extension risk is the risk that, when interest rates rise,
certain obligations will be paid off by the issuer (or obligor) more slowly than
anticipated, causing the value of these securities to fall. Rising interest
rates tend to extend the duration of securities, making them more sensitive to
changes in interest rates. The value of longer-term securities generally changes
more in response to changes in interest rates than shorter-term securities. As a
result, in a period of rising interest rates, securities may exhibit additional
volatility and may lose value.

Page 33

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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

periodic interest and principal at maturity. If the economy slows down or dips
into recession, the issuers of high yield securities may not have sufficient
resources to continue making timely payment of periodic interest and principal
at maturity. The market for high yield securities is generally smaller and less
liquid than that for investment grade securities. High yield securities are
generally not listed on a national securities exchange but trade in the
over-the-counter markets. Due to the smaller, less liquid market for high yield
securities, the bid-offer spread on such securities is generally greater than it
is for investment grade securities and the purchase or sale of such securities
may take longer to complete. In general, high yield securities may have a
greater risk of default than other types of securities.

ILLIQUID SECURITIES RISK. Illiquid securities involve the risk that the
securities will not be able to be sold at the time desired by the Fund or at
prices approximately the value at which the Fund values the securities.

INCOME RISK. If interest rates fall, the income from the Fund's portfolio will
likely decline if the Fund holds floating rate debt that will adjust lower with
falling interest rates. For loans, interest rates typically reset periodically.

INTEREST RATE RISK. Interest rate risk is the risk that the value of the debt
securities in the Fund's portfolio will decline because of rising market
interest rates. Interest rate risk is generally lower for shorter term debt
securities and higher for longer term debt securities. Duration is a measure of
the expected price volatility of a debt instrument as a result of changes in
market rates of interest, based on, among other factors, the weighted average
timing of the instrument's expected principal and interest payments. In general,
duration represents the expected percentage change in the value of a security
for an immediate 1% change in interest rates. Therefore, prices of debt
securities with shorter durations tend to be less sensitive to interest rate
changes than debt securities with longer durations. As the value of a debt
security changes over time, so will its duration.

LIQUIDITY RISK. The Fund invests a substantial portion of its assets in
lower-quality debt issued by companies that are highly leveraged. Lower-quality
debt tends to be less liquid than higher-quality debt. Moreover, smaller debt
issues tend to be less liquid than larger debt issues. If the economy
experiences a sudden downturn, or if the debt markets for such companies become
distressed, the Fund may have particular difficulty selling its assets in
sufficient amounts, at reasonable prices and in a sufficiently timely manner to
raise the cash necessary to meet any potentially heavy redemption requests by
Fund shareholders.

MANAGEMENT RISK. The Fund is subject to management risk because it is an
actively managed portfolio. In managing the Fund's investment portfolio, the
Fund's investment advisor will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that the Fund
will meet its investment objectives.

NON-U.S. SECURITIES RISK. Non-U.S. securities are subject to higher volatility
than securities of domestic issuers due to possible adverse political, social or
economic developments, restrictions on foreign investment or exchange of
securities, lack of liquidity, currency exchange rates, excessive taxation,
government seizure of assets, different legal or accounting standards, and less
government supervision and regulation of exchanges in foreign countries.

Page 34

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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2018 (UNAUDITED)

OTHER DEBT SECURITIES RISK. Secured loans that are not first lien loans,
unsecured loans and other debt securities are subject to many of the same risks
that affect Senior Loans; however they are often unsecured and/or lower in the
issuer's capital structure than Senior Loans, and thus may be exposed to greater
risk of default and lower recoveries in the event of a default. This risk can be
further heightened in the case of below investment grade instruments.
Additionally, most fixed income securities are fixed-rate and thus are generally
more susceptible than floating rate loans to price volatility related to changes
in prevailing interest rates.

PORTFOLIO TURNOVER RISK. The Fund's strategy may frequently involve buying and
selling portfolio securities to rebalance the Fund's exposure to various market
sectors. Portfolio turnover may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for shareholders.
Portfolio turnover risk may cause the Fund's performance to be less than you
expect.

PREPAYMENT RISK. Loans are subject to prepayment risk. The degree to which
borrowers prepay loans, whether as a contractual requirement or at their
election, may be affected by general business conditions, the financial
condition of the borrower and competitive conditions among loan investors, among
others. As such, prepayments cannot be predicted with accuracy. Upon a
prepayment, either in part or in full, the actual outstanding debt on which the
Fund derives interest income will be reduced. The Fund may not be able to
reinvest the proceeds received on terms as favorable as the prepaid loan.

Page 35

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<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603

<PAGE>

[BLANK BACK COVER]

<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

--------------------------------------------------------------------------------

First Trust Tactical High
Yield ETF (HYLS)

Semi-Annual Report
For the Six Months Ended
April 30, 2018

<PAGE>

--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
SEMI-ANNUAL REPORT
APRIL 30, 2018

Shareholder Letter........................................................... 1
Fund Performance Overview.................................................... 2
Portfolio Management......................................................... 5
Understanding Your Fund Expenses............................................. 6
Portfolio of Investments..................................................... 7
Statement of Assets and Liabilities.......................................... 23
Statement of Operations...................................................... 24
Statements of Changes in Net Assets.......................................... 25
Statement of Cash Flows...................................................... 26
Financial Highlights......................................................... 27
Notes to Financial Statements................................................ 28
Additional Information....................................................... 34

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the series of First Trust Exchange-Traded Fund IV (the "Trust") described in
this report (First Trust Tactical High Yield ETF; hereinafter referred to as the
"Fund") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.

PERFORMANCE AND RISK DISCLOSURE

Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund
performance on the Fund's webpage at www.ftportfolios.com.

HOW TO READ THIS REPORT

The statistical information that follows may help you understand the Fund's
performance compared to that of a relevant market benchmark.

<PAGE>

--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS) SEMI-ANNUAL
LETTER FROM THE CHAIRMAN AND CEO
APRIL 30, 2018

Dear Shareholders:

First Trust is pleased to provide you with the semi-annual report for the First
Trust Tactical High Yield ETF, which contains detailed information about your
investment for the period ended April 30, 2018. We encourage you to read this
report carefully and discuss it with your financial advisor.

o The S&P 500(R) Index did something it had never previously done,
finishing 2017 with 12 months of gains;

o The Dow Jones Industrial Average achieved a milestone as well,
closing above 24,000 for the first time ever on November 30;

o The Nasdaq Composite set a record by having 11 months of gains in
2017 (June was the only down month, and by just 0.86%); and

o The MSCI AC World Index (containing constituents from 47 countries)
ended 2017 at an all-time high and was up 22% at year-end.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.

Page 1

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FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

The primary investment objective of the First Trust Tactical High Yield ETF (the
"Fund") is to provide current income. The Fund's secondary investment objective
is to provide capital appreciation. The Fund seeks to achieve its investment
objectives by investing, under normal market conditions, at least 80% of its net
assets (including investment borrowings) in high yield debt securities that are
rated below investment grade at the time of purchase or unrated securities
deemed by the Fund's advisor to be of comparable quality. Below investment grade
securities are those that, at the time of purchase, are rated lower than "BBB-"
by Standard & Poor's Ratings Group, a division of the McGraw Hill Companies,
Inc., or lower than "Baa3" by Moody's Investors Service, Inc., or comparably
rated by another nationally recognized statistical rating organization. High
yield debt securities that are rated below investment grade are commonly
referred to as "junk" debt. Such securities may include U.S. and non-U.S.
corporate debt obligations, bank loans and convertible bonds. The Fund may
invest up to 10% of its net assets (including investment borrowings) in non-U.S.
securities denominated in non-U.S. currencies. Companies whose financial
condition is troubled or uncertain and that may be involved in bankruptcy
proceedings, reorganizations or financial restructurings are referred to herein
as "Distressed Securities." The Fund invests no more than 15% of its net assets
in Distressed Securities, as determined at the time of the investment. The Fund
may also invest in investment grade corporate debt obligations and government
securities to manage overall credit and duration risk. The Fund does not have
any portfolio maturity limitation and may invest its assets in securities with
short-term, medium-term or long-term maturities. For purposes of determining
whether a security is below investment grade, the lowest available rating will
be considered. The Fund may, under normal market conditions, invest up to 40% of
its net assets (including investment borrowings) in bank loans; however the Fund
invests no more than 15% of its net assets (including investment borrowings) in
junior loans, and all other bank loans in which the Fund invests are first lien
senior secured floating rate bank loans. The Fund may, under normal market
conditions, invest up to 30% of its net assets (including investment borrowings)
in U.S. exchange-traded options on futures contracts and U.S. exchange-traded
futures contracts. There can be no assurance that the Fund's investment
objective will be achieved. The Fund may not be appropriate for all investors.

<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months 1 Year 5 Years Inception 5 Years Inception
Ended Ended Ended (2/25/13) Ended (2/25/13)
4/30/18 4/30/18 4/30/18 to 4/30/18 4/30/18 to 4/30/18
<S> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 0.03% 2.55% 4.15% 4.80% 22.53% 27.47%
Market Price 0.11% 2.50% 4.12% 4.78% 22.39% 27.35%

INDEX PERFORMANCE
ICE BofAML US High Yield
Constrained Index -0.23% 3.25% 4.77% 5.22% 26.23% 30.12%
------------------------------------------------------------------------------------------------------------------------
</TABLE>

Total returns for the period since inception are calculated from the inception
date of the Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Annual
Total Returns" represent the total change in value of an investment over the
periods indicated.

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. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the index. 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. The investment return and principal value of the shares of
the Fund will vary with changes in market conditions. Shares of the Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. The Fund's past performance is no guarantee of future performance.

Page 2

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

-----------------------------------------------------------
% OF TOTAL LONG-TERM
INDUSTRY CLASSIFICATION INVESTMENTS(1)
-----------------------------------------------------------
Health Care Providers & Services 18.6%
Media 13.4
Hotels, Restaurants & Leisure 12.6
Software 6.8
Pharmaceuticals 6.1
Oil, Gas & Consumable Fuels 3.9
Real Estate Management &
Development 3.5
Food & Staples Retailing 3.1
Professional Services 2.8
Diversified Telecommunication
Services 2.7
Containers & Packaging 2.4
Life Sciences Tools & Services 2.0
Diversified Financial Services 1.9
Food Products 1.9
Technology Hardware, Storage &
Peripherals 1.7
Wireless Telecommunication Services 1.6
Health Care Equipment & Supplies 1.5
Metals & Mining 1.5
Insurance 1.4
Building Products 1.3
Auto Components 1.3
Independent Power and Renewable
Electricity Producers 1.0
Household Products 0.9
Specialty Retail 0.9
Diversified Consumer Services 0.8
Capital Markets 0.8
Trading Companies & Distributors 0.7
Commercial Services & Supplies 0.6
Road & Rail 0.6
Equity Real Estate Investment Trusts
(REITs) 0.5
Automobiles 0.3
Internet Software & Services 0.3
Machinery 0.1
Distributors 0.1
Chemicals 0.1
IT Services 0.1
Energy Equipment & Services 0.1
Aerospace & Defense 0.1
Consumer Finance 0.0*
Construction Materials 0.0*
Industrial Conglomerates 0.0*
Electric Utilities 0.0*
--------
Total 100.0%
========

* Amount is less than 0.1%.

-----------------------------------------------------------
% OF TOTAL LONG-TERM
ASSET CLASSIFICATION INVESTMENTS(1)
-----------------------------------------------------------
Corporate Bonds 65.5%
Senior Floating-Rate Loan Interests 26.8
Foreign Corporate Bonds 7.7
Rights 0.0*
--------
Total 100.0%
========

-----------------------------------------------------------
% OF TOTAL LONG-TERM
CREDIT QUALITY (S&P RATINGS)(2) INVESTMENTS(1)
-----------------------------------------------------------
BBB- 1.7%
BB+ 4.4
BB 10.2
BB- 15.8
B+ 20.2
B 13.7
B- 20.6
CCC+ 9.9
CCC 2.5
CCC- 0.6
D 0.4
--------
Total 100.0%
========

-----------------------------------------------------------
% OF TOTAL LONG-TERM
TOP 10 ISSUERS INVESTMENTS(1)
-----------------------------------------------------------
Tenet Healthcare Corp. 3.3%
Amaya Holdings B.V. 2.5
MPH Acquisition Holdings LLC 2.4
Valeant Pharmaceuticals International, Inc. 2.4
BMC Software Finance, Inc. 2.3
Cequel Communications LLC 2.2
Gray Television, Inc. 1.9
Sinclair Television Group, Inc. 1.9
Dell International LLC / EMC Corp. 1.7
Six Flags Entertainment Corp. 1.7
--------
Total 22.3%
========

(1) Percentages are based on the long positions only. Money market funds and
short positions are excluded.

(2) The ratings are by Standard & Poor's Rating Group, a division of the
McGraw-Hill Companies, Inc. 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. 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.

Page 3

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 25, 2013 - APRIL 30, 2018

First Trust Tactical ICE BofAML US High
High Yield ETF Yield Constrained Index
<S> <C> <C>
2/25/13 $10,000 $10,000
4/30/13 10,403 10,308
10/31/13 10,676 10,458
4/30/14 11,167 10,956
10/31/14 11,285 11,070
4/30/15 11,493 11,238
10/31/15 11,376 10,845
4/30/16 11,519 11,089
10/31/16 11,933 11,950
4/30/17 12,431 12,602
10/31/17 12,744 13,042
4/30/18 12,748 13,012
</TABLE>

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.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV THROUGH APRIL 30, 2018

The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period February 27, 2013
(commencement of trading) through April 30, 2018. Shareholders may pay more than
NAV when they buy Fund shares and receive less than NAV when they sell those
shares because shares are bought and sold at current market price. Data
presented represents past performance and cannot be used to predict future
results.

<TABLE>
<CAPTION>
NUMBER OF DAYS BID/ASK MIDPOINT NUMBER OF DAYS BID/ASK MIDPOINT
AT/ABOVE NAV BELOW NAV
---------------------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.00%- 0.50%- 1.00%- 0.00%- 0.50%- 1.00%-
FOR THE PERIOD 0.49% 0.99% 1.99% >=2.00% 0.49% 0.99% 1.99% >=2.00%
2/27/13 - 10/31/13 94 37 0 0 37 5 0 0
11/1/13 - 10/31/14 158 29 0 0 63 2 0 0
11/1/14 - 10/31/15 177 8 2 0 60 4 0 0
11/1/15 - 10/31/16 201 7 0 0 42 2 0 0
11/1/16 - 10/31/17 197 1 0 0 53 1 0 0
11/1/17 - 4/30/18 53 0 0 0 70 0 0 0
</TABLE>

Page 4

<PAGE>

--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT
--------------------------------------------------------------------------------

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
SEMI-ANNUAL REPORT
APRIL 30, 2018 (UNAUDITED)

ADVISOR

First Trust Advisors L.P. ("First Trust") Leveraged Finance Team is comprised of
15 experienced investment professionals specializing in below investment grade
securities. The team is comprised of portfolio management, research, trading and
operations personnel. As of April 30, 2018, the First Trust Leveraged Finance
Team managed or supervised approximately $4.03 billion in senior secured bank
loans and high-yield bonds. These assets are spread across various strategies,
including two closed-end funds, an open-end fund, four exchange-traded funds,
one UCITS fund and a series of unit investment trusts on behalf of retail and
institutional clients.

PORTFOLIO MANAGEMENT TEAM

WILLIAM HOUSEY, CFA - SENIOR VICE PRESIDENT, SENIOR PORTFOLIO MANAGER
SCOTT D. FRIES, CFA - SENIOR VICE PRESIDENT, PORTFOLIO MANAGER
ORLANDO PURPURA, CFA, CPA, CMT - SENIOR VICE PRESIDENT, PORTFOLIO MANAGER

Page 5

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

UNDERSTANDING YOUR FUND EXPENSES
APRIL 30, 2018 (UNAUDITED)

As a shareholder of First Trust Tactical High Yield ETF (the "Fund"), you incur
two types of costs: (1) transaction costs; and (2) ongoing costs, including
management fees, distribution and/or service fees, if any, and other Fund
expenses. This Example is intended to help you understand your ongoing costs of
investing in the Fund and to compare these costs with the ongoing costs of
investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended April 30, 2018.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO
BEGINNING ENDING BASED ON THE EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH DURING THE
NOVEMBER 1, 2017 APRIL 30, 2018 PERIOD SIX-MONTH PERIOD (a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
Actual $1,000.00 $1,000.30 1.12% $5.55
Hypothetical (5% return before expenses) $1,000.00 $1,019.24 1.12% $5.61
</TABLE>

Page 6

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS
APRIL 30, 2018 (UNAUDITED)

AEROSPACE & DEFENSE -- 0.0%
$ 214,000 BBA US Holdings, Inc. (a)....................................... 5.38% 05/01/26 $ 215,729
---------------
AGRICULTURAL PRODUCTS -- 0.1%
1,450,000 Lamb Weston Holdings, Inc. (a).................................. 4.63% 11/01/24 1,444,563
---------------
ALTERNATIVE CARRIERS -- 0.9%
500,000 Level 3 Financing, Inc.......................................... 5.38% 08/15/22 503,750
500,000 Level 3 Financing, Inc.......................................... 5.13% 05/01/23 496,875
2,000,000 Level 3 Financing, Inc.......................................... 5.38% 01/15/24 1,985,000
7,437,000 Level 3 Parent LLC (b).......................................... 5.75% 12/01/22 7,511,370
---------------
10,496,995
---------------
APPLICATION SOFTWARE -- 1.8%
250,000 Infor US, Inc. (a).............................................. 5.75% 08/15/20 255,313
8,400,000 Infor US, Inc. (b).............................................. 6.50% 05/15/22 8,568,000
12,989,000 RP Crown Parent LLC (a)......................................... 7.38% 10/15/24 13,508,559
---------------
22,331,872
---------------
AUTO PARTS & EQUIPMENT -- 0.7%
425,000 American Axle & Manufacturing, Inc. (b)......................... 7.75% 11/15/19 450,500
1,000,000 American Axle & Manufacturing, Inc.............................. 6.63% 10/15/22 1,035,000
7,514,000 Cooper-Standard Automotive, Inc. (a)............................ 5.63% 11/15/26 7,476,430
---------------
8,961,930
---------------
AUTOMOTIVE RETAIL -- 0.1%
815,000 KAR Auction Services, Inc. (a).................................. 5.13% 06/01/25 792,588
---------------
BROADCASTING -- 6.3%
26,086,000 Gray Television, Inc. (a) (b)................................... 5.88% 07/15/26 25,172,989
1,375,000 LIN Television Corp............................................. 5.88% 11/15/22 1,419,688
4,200,000 Nexstar Broadcasting, Inc. (a).................................. 6.13% 02/15/22 4,341,750
16,392,000 Nexstar Broadcasting, Inc. (a) (b).............................. 5.63% 08/01/24 16,187,099
495,000 Sinclair Television Group, Inc.................................. 5.38% 04/01/21 501,188
11,463,000 Sinclair Television Group, Inc. (a)............................. 5.63% 08/01/24 11,377,027
10,599,000 Sinclair Television Group, Inc. (a)............................. 5.88% 03/15/26 10,506,259
2,894,000 Sinclair Television Group, Inc. (a)............................. 5.13% 02/15/27 2,698,655
4,000,000 Tribune Media Co................................................ 5.88% 07/15/22 4,070,000
---------------
76,274,655
---------------
BUILDING PRODUCTS -- 1.2%
1,000,000 CEMEX Finance LLC (a)........................................... 6.00% 04/01/24 1,030,500
235,000 Jeld-Wen, Inc. (a).............................................. 4.63% 12/15/25 225,600
2,085,000 Jeld-Wen, Inc. (a).............................................. 4.88% 12/15/27 1,970,325
745,000 Lennar Corp. (a)................................................ 5.88% 11/15/24 772,938
9,695,000 Lennar Corp. (a) (b)............................................ 5.25% 06/01/26 9,525,337
417,000 Standard Industries, Inc. (a)................................... 5.38% 11/15/24 424,558
295,000 Standard Industries, Inc. (a)................................... 6.00% 10/15/25 307,538
892,000 Standard Industries, Inc. (a)................................... 5.00% 02/15/27 862,037
---------------
15,118,833
---------------
CABLE & SATELLITE -- 4.2%
16,855,000 Altice US Finance I Corp. (a) (b)............................... 5.50% 05/15/26 16,517,900
7,500,000 CCO Holdings LLC / CCO Holdings Capital Corp. (b)............... 5.75% 01/15/24 7,589,249
6,700,000 CCO Holdings LLC / CCO Holdings Capital Corp. (a)............... 5.88% 04/01/24 6,809,880
1,000,000 CCO Holdings LLC / CCO Holdings Capital Corp. (a)............... 5.75% 02/15/26 995,000
1,500,000 CCO Holdings LLC / CCO Holdings Capital Corp. (a)............... 5.50% 05/01/26 1,464,300
2,828,000 CCO Holdings LLC / CCO Holdings Capital Corp. (a)............... 5.13% 05/01/27 2,656,821
</TABLE>

See Notes to Financial Statements Page 7

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

CABLE & SATELLITE (CONTINUED)
$ 10,107,000 Cequel Communications Holdings I LLC / Cequel Capital
Corp. (a).................................................... 7.75% 07/15/25 $ 10,662,885
800,000 Cequel Communications Holdings I LLC / Cequel Capital
Corp. (a).................................................... 7.50% 04/01/28 815,000
1,000,000 CSC Holdings LLC (a)............................................ 10.13% 01/15/23 1,111,250
819,000 CSC Holdings LLC (a)............................................ 5.50% 04/15/27 788,124
1,800,000 CSC Holdings LLC (a)............................................ 5.38% 02/01/28 1,687,500
100,000 Mediacom Broadband LLC / Mediacom Broadband Corp................ 5.50% 04/15/21 101,500
---------------
51,199,409
---------------
CASINOS & GAMING -- 4.5%
2,100,000 Boyd Gaming Corp................................................ 6.38% 04/01/26 2,203,887
19,770,000 Caesars Resort Collection LLC / CRC Finco, Inc. (a)............. 5.25% 10/15/25 18,929,774
1,863,000 Eldorado Resorts, Inc........................................... 6.00% 04/01/25 1,856,014
150,000 GLP Capital LP / GLP Financing II, Inc.......................... 5.38% 04/15/26 151,500
8,600,000 MGM Resorts International (b)................................... 7.75% 03/15/22 9,567,500
2,200,000 MGM Resorts International (b)................................... 6.00% 03/15/23 2,307,250
2,439,000 Penn National Gaming, Inc. (a).................................. 5.63% 01/15/27 2,341,440
4,152,000 Scientific Games International, Inc. (a)........................ 5.00% 10/15/25 4,021,004
9,045,000 Station Casinos LLC (a)......................................... 5.00% 10/01/25 8,683,200
4,500,000 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (a)........... 5.50% 03/01/25 4,490,550
410,000 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (a)........... 5.25% 05/15/27 397,311
---------------
54,949,430
---------------
COAL & CONSUMABLE FUELS -- 0.1%
483,000 Peabody Energy Corp. (a)........................................ 6.00% 03/31/22 497,949
967,000 Peabody Energy Corp. (a)........................................ 6.38% 03/31/25 1,011,724
---------------
1,509,673
---------------
COMPUTER & ELECTRONICS RETAIL -- 0.4%
4,850,000 Energizer Holdings, Inc. (a).................................... 5.50% 06/15/25 4,825,750
---------------
CONSTRUCTION MATERIALS -- 0.0%
300,000 Summit Materials LLC / Summit Materials Finance Corp............ 6.13% 07/15/23 308,160
81,000 Summit Materials LLC / Summit Materials Finance Corp. (a)....... 5.13% 06/01/25 78,773
---------------
386,933
---------------
CONSUMER FINANCE -- 0.0%
406,000 FirstCash, Inc. (a)............................................. 5.38% 06/01/24 414,120
---------------
DISTRIBUTORS -- 0.1%
1,450,000 HD Supply, Inc. (a)............................................. 5.75% 04/15/24 1,526,125
---------------
DIVERSIFIED METALS & MINING -- 0.7%
8,111,000 Freeport-McMoRan, Inc........................................... 6.88% 02/15/23 8,739,603
---------------
DIVERSIFIED REAL ESTATE ACTIVITIES -- 1.8%
5,810,000 KB Home (b)..................................................... 7.00% 12/15/21 6,194,912
1,725,000 KB Home......................................................... 7.63% 05/15/23 1,903,969
1,000,000 Meritage Homes Corp............................................. 7.00% 04/01/22 1,102,500
4,302,000 PulteGroup, Inc................................................. 5.50% 03/01/26 4,387,825
7,914,000 TRI Pointe Group, Inc. / TRI Pointe Homes, Inc. (b)............. 5.88% 06/15/24 8,062,388
---------------
21,651,594
---------------
ENVIRONMENTAL & FACILITIES SERVICES -- 0.3%
3,285,000 Wrangler Buyer Corp. (a)........................................ 6.00% 10/01/25 3,252,150
---------------
</TABLE>

Page 8 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

FERTILIZERS & AGRICULTURAL CHEMICALS -- 0.0%
$ 100,000 Scotts Miracle-Gro (The) Co..................................... 6.00% 10/15/23 $ 105,103
---------------
FINANCIAL EXCHANGES & DATA -- 0.1%
1,741,000 MSCI, Inc. (a).................................................. 5.75% 08/15/25 1,827,528
---------------
FOOD RETAIL -- 0.3%
3,535,000 Albertsons Cos. LLC / Safeway, Inc. / New Albertson's, Inc. /
Albertson's LLC.............................................. 5.75% 03/15/25 3,097,544
---------------
HEALTH CARE EQUIPMENT -- 0.7%
6,950,000 DJO Finance LLC / DJO Finance Corp. (a) (b)..................... 8.13% 06/15/21 6,993,438
700,000 Hill-Rom Holdings, Inc. (a)..................................... 5.75% 09/01/23 726,250
419,000 Teleflex, Inc................................................... 4.63% 11/15/27 401,716
---------------
8,121,404
---------------
HEALTH CARE FACILITIES -- 9.7%
250,000 Acadia Healthcare Co., Inc...................................... 6.50% 03/01/24 260,000
250,000 Encompass Health Corp........................................... 5.13% 03/15/23 255,000
14,303,000 Encompass Health Corp. (b)...................................... 5.75% 11/01/24 14,606,939
250,000 Encompass Health Corp........................................... 5.75% 09/15/25 256,875
1,000,000 HCA, Inc........................................................ 7.50% 02/15/22 1,102,500
3,524,000 HCA, Inc........................................................ 5.88% 05/01/23 3,682,580
7,019,000 HCA, Inc. (b)................................................... 5.38% 02/01/25 7,001,452
6,530,000 HCA, Inc........................................................ 5.88% 02/15/26 6,627,950
6,750,000 Kindred Healthcare, Inc......................................... 8.00% 01/15/20 7,264,688
9,500,000 Kindred Healthcare, Inc. (b).................................... 6.38% 04/15/22 9,796,875
500,000 LifePoint Health, Inc........................................... 5.50% 12/01/21 503,125
1,500,000 LifePoint Health, Inc........................................... 5.88% 12/01/23 1,486,875
3,828,000 LifePoint Health, Inc........................................... 5.38% 05/01/24 3,660,525
17,914,000 Select Medical Corp. (b)........................................ 6.38% 06/01/21 18,205,102
3,000,000 Tenet Healthcare Corp........................................... 6.75% 02/01/20 3,101,250
10,139,000 Tenet Healthcare Corp. (a)...................................... 7.50% 01/01/22 10,721,992
27,514,000 Tenet Healthcare Corp. (b)...................................... 8.13% 04/01/22 28,752,129
1,000,000 Universal Health Services, Inc. (a)............................. 5.00% 06/01/26 982,500
---------------
118,268,357
---------------
HEALTH CARE SERVICES -- 1.8%
1,680,000 DaVita, Inc..................................................... 5.13% 07/15/24 1,630,650
1,976,000 DaVita, Inc..................................................... 5.00% 05/01/25 1,877,595
5,638,000 Envision Healthcare Corp. (a)................................... 5.13% 07/01/22 5,595,715
2,700,000 Envision Healthcare Corp. (b)................................... 5.63% 07/15/22 2,720,250
3,800,000 Envision Healthcare Corp. (a)................................... 6.25% 12/01/24 3,971,000
6,701,000 MEDNAX, Inc. (a)................................................ 5.25% 12/01/23 6,667,495
---------------
22,462,705
---------------
HEALTH CARE TECHNOLOGY -- 1.2%
14,663,000 Change Healthcare Holdings LLC / Change Healthcare
Finance, Inc. (a) (b)........................................ 5.75% 03/01/25 14,388,069
---------------
HOTELS, RESORTS & CRUISE LINES -- 0.4%
3,600,000 ESH Hospitality, Inc. (a)....................................... 5.25% 05/01/25 3,528,000
820,000 Hilton Worldwide Finance LLC / Hilton Worldwide Finance
Corp......................................................... 4.63% 04/01/25 797,286
---------------
4,325,286
---------------
</TABLE>

See Notes to Financial Statements Page 9

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

HOUSEHOLD PRODUCTS -- 0.2%
$ 2,000,000 Spectrum Brands, Inc............................................ 6.13% 12/15/24 $ 2,040,000
---------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 1.1%
1,346,000 Calpine Corp.................................................... 5.50% 02/01/24 1,240,003
942,000 Calpine Corp. (a)............................................... 5.25% 06/01/26 904,909
8,700,000 NRG Energy, Inc. (b)............................................ 6.25% 07/15/22 8,961,000
1,881,000 NRG Energy, Inc. (a)............................................ 5.75% 01/15/28 1,866,892
---------------
12,972,804
---------------
INDUSTRIAL CONGLOMERATES -- 0.0%
235,000 RBS Global, Inc. / Rexnord LLC (a).............................. 4.88% 12/15/25 227,363
---------------
INDUSTRIAL MACHINERY -- 0.1%
858,000 SPX FLOW, Inc. (a).............................................. 5.63% 08/15/24 873,015
858,000 SPX FLOW, Inc. (a).............................................. 5.88% 08/15/26 879,450
---------------
1,752,465
---------------
INSURANCE BROKERS -- 0.1%
1,000,000 HUB International Ltd. (a)...................................... 7.88% 10/01/21 1,042,700
86,000 HUB International Ltd. (a)...................................... 7.00% 05/01/26 86,323
---------------
1,129,023
---------------
INTEGRATED TELECOMMUNICATION SERVICES -- 2.0%
9,000,000 Frontier Communications Corp.................................... 8.13% 10/01/18 9,135,000
4,000,000 Frontier Communications Corp.................................... 7.13% 03/15/19 4,000,000
10,851,000 Zayo Group LLC / Zayo Capital, Inc. (a)......................... 5.75% 01/15/27 10,800,868
---------------
23,935,868
---------------
INVESTMENT BANKING & BROKERAGE -- 0.5%
5,740,000 LPL Holdings, Inc. (a).......................................... 5.75% 09/15/25 5,582,150
---------------
IT CONSULTING & OTHER SERVICES -- 0.1%
924,000 Gartner, Inc. (a)............................................... 5.13% 04/01/25 928,343
---------------
LEISURE FACILITIES -- 2.9%
1,850,000 Cedar Fair LP / Canada's Wonderland Co. / Magnum
Management Corp. / Millennium Op (a)......................... 5.38% 04/15/27 1,845,375
12,320,000 Constellation Merger Sub, Inc. (a).............................. 8.50% 09/15/25 12,073,600
12,300,000 Six Flags Entertainment Corp. (a)............................... 4.88% 07/31/24 12,050,309
9,354,000 Six Flags Entertainment Corp. (a)............................... 5.50% 04/15/27 9,307,230
---------------
35,276,514
---------------
LIFE SCIENCES TOOLS & SERVICES -- 1.2%
1,360,000 inVentiv Group Holdings, Inc. / inVentiv Health, Inc. / inVentiv
Health Clinical, Inc. (a).................................... 7.50% 10/01/24 1,451,800
800,000 IQVIA, Inc. (a)................................................. 5.00% 10/15/26 792,000
7,683,000 Jaguar Holding Co. II / Pharmaceutical Product Development
LLC (a)...................................................... 6.38% 08/01/23 7,798,245
4,292,000 Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical
Diagnostics SA (a) (b)....................................... 6.63% 05/15/22 4,270,540
412,000 West Street Merger Sub, Inc. (a)................................ 6.38% 09/01/25 406,850
---------------
14,719,435
---------------
MANAGED HEALTH CARE -- 3.5%
2,667,000 Centene Corp.................................................... 6.13% 02/15/24 2,800,350
27,702,000 MPH Acquisition Holdings LLC (a) (b)............................ 7.13% 06/01/24 28,325,294
1,675,000 Polaris Intermediate Corp. (a) (c).............................. 8.50% 12/01/22 1,704,313
</TABLE>

Page 10 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

MANAGED HEALTH CARE (CONTINUED)
$ 9,110,000 WellCare Health Plans, Inc...................................... 5.25% 04/01/25 $ 9,179,236
---------------
42,009,193
---------------
METAL & GLASS CONTAINERS -- 0.2%
961,000 Berry Global, Inc. (a).......................................... 4.50% 02/15/26 920,158
961,000 Crown Americas LLC / Crown Americas Capital Corp. VI (a)........ 4.75% 02/01/26 929,767
795,000 Owens-Brockway Glass Container, Inc. (a)........................ 5.88% 08/15/23 815,869
350,000 Owens-Brockway Glass Container, Inc. (a)........................ 6.38% 08/15/25 368,375
---------------
3,034,169
---------------
MOVIES & ENTERTAINMENT -- 1.6%
3,000,000 AMC Entertainment Holdings, Inc................................. 5.88% 02/15/22 3,048,750
12,690,000 AMC Entertainment Holdings, Inc................................. 5.75% 06/15/25 12,356,888
2,254,000 Cinemark USA, Inc. (b).......................................... 4.88% 06/01/23 2,237,095
1,100,000 Live Nation Entertainment, Inc. (a) (b)......................... 5.38% 06/15/22 1,128,875
828,000 Live Nation Entertainment, Inc. (a)............................. 5.63% 03/15/26 828,000
---------------
19,599,608
---------------
OIL & GAS EXPLORATION & PRODUCTION -- 2.3%
3,700,000 Murphy Oil Corp................................................. 6.88% 08/15/24 3,926,625
3,250,000 Sanchez Energy Corp............................................. 7.75% 06/15/21 3,030,625
3,125,000 Sanchez Energy Corp............................................. 6.13% 01/15/23 2,272,500
11,239,000 Tallgrass Energy Partners LP / Tallgrass Energy Finance
Corp. (a).................................................... 5.50% 09/15/24 11,463,780
7,712,000 Tallgrass Energy Partners LP / Tallgrass Energy Finance
Corp. (a).................................................... 5.50% 01/15/28 7,712,000
---------------
28,405,530
---------------
OIL & GAS REFINING & MARKETING -- 0.0%
415,000 Murphy Oil USA, Inc............................................. 5.63% 05/01/27 414,481
---------------
OIL & GAS STORAGE & TRANSPORTATION -- 1.7%
14,533,000 Crestwood Midstream Partners LP / Crestwood Midstream
Finance Corp................................................. 6.25% 04/01/23 14,823,660
4,000,000 Crestwood Midstream Partners LP / Crestwood Midstream
Finance Corp................................................. 5.75% 04/01/25 3,985,000
1,035,000 Holly Energy Partners LP / Holly Energy Finance Corp. (a)....... 6.00% 08/01/24 1,042,763
312,000 Summit Midstream Holdings LLC / Summit Midstream
Finance Corp................................................. 5.50% 08/15/22 304,200
---------------
20,155,623
---------------
PACKAGED FOODS & MEATS -- 1.6%
2,040,000 B&G Foods, Inc.................................................. 5.25% 04/01/25 1,871,700
6,315,000 Post Holdings, Inc. (a)......................................... 5.50% 03/01/25 6,220,275
8,996,000 Post Holdings, Inc. (a)......................................... 5.00% 08/15/26 8,456,240
3,240,000 Post Holdings, Inc. (a)......................................... 5.75% 03/01/27 3,180,222
---------------
19,728,437
---------------
PAPER PACKAGING -- 1.4%
16,543,000 Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC /
Reynolds Group Issuer Lu (a) (b)............................. 7.00% 07/15/24 17,256,417
---------------
PHARMACEUTICALS -- 3.5%
4,028,000 Eagle Holding Co. II LLC (a) (d)................................ 7.63% 05/15/22 4,088,420
17,865,000 Endo Finance LLC / Endo Finco, Inc. (a) (b)..................... 7.25% 01/15/22 15,229,913
6,248,000 Horizon Pharma, Inc............................................. 6.63% 05/01/23 6,279,240
</TABLE>

See Notes to Financial Statements Page 11

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

PHARMACEUTICALS (CONTINUED)
$ 17,273,000 Valeant Pharmaceuticals International (a)....................... 6.75% 08/15/21 $ 17,445,729
---------------
43,043,302
---------------
REAL ESTATE SERVICES -- 0.7%
8,916,000 Realogy Group LLC / Realogy Co-Issuer Corp. (a)................. 4.88% 06/01/23 8,662,340
---------------

RESEARCH & CONSULTING SERVICES -- 0.1%
625,000 Nielsen Finance LLC / Nielsen Finance Co. (a)................... 5.00% 04/15/22 631,313
---------------
RESTAURANTS -- 0.3%
661,000 Brinker International, Inc. (a)................................. 5.00% 10/01/24 649,433
3,418,000 IRB Holding Corp. (a)........................................... 6.75% 02/15/26 3,306,915
---------------
3,956,348
---------------
SECURITY & ALARM SERVICES -- 0.0%
291,000 Brink's (The) Co. (a)........................................... 4.63% 10/15/27 268,448
---------------
SPECIALIZED CONSUMER SERVICES -- 0.2%
2,000,000 Aramark Services, Inc........................................... 4.75% 06/01/26 1,945,000
481,000 Aramark Services, Inc. (a)...................................... 5.00% 02/01/28 469,576
---------------
2,414,576
---------------
SPECIALTY CHEMICALS -- 0.1%
900,000 Valvoline, Inc.................................................. 5.50% 07/15/24 924,750
---------------
SYSTEMS SOFTWARE -- 1.7%
20,029,000 BMC Software Finance, Inc. (a) (b).............................. 8.13% 07/15/21 20,079,073
82,000 Symantec Corp. (a).............................................. 5.00% 04/15/25 82,581
---------------
20,161,654
---------------
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.8%
1,850,000 Dell International LLC / EMC Corp. (a).......................... 5.88% 06/15/21 1,907,970
12,850,000 Dell International LLC / EMC Corp. (a) (b)...................... 7.13% 06/15/24 13,697,455
6,440,000 Dell International LLC / EMC Corp. (a).......................... 6.02% 06/15/26 6,840,615
---------------
22,446,040
---------------
TRADING COMPANIES & DISTRIBUTORS -- 0.8%
5,000,000 United Rentals North America, Inc............................... 5.75% 11/15/24 5,181,250
250,000 United Rentals North America, Inc............................... 5.50% 07/15/25 257,188
2,948,000 United Rentals North America, Inc............................... 5.88% 09/15/26 3,084,345
945,000 United Rentals North America, Inc............................... 5.50% 05/15/27 942,638
---------------
9,465,421
---------------
TRUCKING -- 0.6%
2,300,000 Avis Budget Car Rental LLC / Avis Budget Finance, Inc. (a)...... 5.13% 06/01/22 2,297,125
4,875,000 Avis Budget Car Rental LLC / Avis Budget Finance, Inc. (b)...... 5.50% 04/01/23 4,844,531
250,000 Hertz (The) Corp................................................ 7.38% 01/15/21 248,750
100,000 Hertz (The) Corp. (a)........................................... 5.50% 10/15/24 84,250
---------------
7,474,656
---------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.7%
205,000 SBA Communications Corp. (a).................................... 4.00% 10/01/22 196,288
9,469,000 SBA Communications Corp......................................... 4.88% 09/01/24 9,125,748
4,000,000 Sprint Capital Corp............................................. 6.90% 05/01/19 4,129,999
1,020,000 Sprint Communications, Inc. (a)................................. 9.00% 11/15/18 1,049,963
2,250,000 Sprint Communications, Inc. (b)................................. 7.00% 08/15/20 2,376,833
150,000 T-Mobile USA, Inc............................................... 6.00% 03/01/23 155,813
</TABLE>

Page 12 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

WIRELESS TELECOMMUNICATION SERVICES (CONTINUED)
$ 1,180,000 T-Mobile USA, Inc............................................... 5.13% 04/15/25 $ 1,191,800
416,000 T-Mobile USA, Inc............................................... 4.50% 02/01/26 400,920
1,872,000 T-Mobile USA, Inc............................................... 4.75% 02/01/28 1,803,765
---------------
20,431,129
---------------
TOTAL CORPORATE BONDS....................................................................... 845,735,348
(Cost $849,139,722) ---------------

FOREIGN CORPORATE BONDS -- 8.2%

ALUMINUM -- 0.9%
9,376,000 Alcoa Nederland Holding BV (a).................................. 7.00% 09/30/26 10,266,720
---------------
AUTO PARTS & EQUIPMENT -- 0.1%
965,000 Delphi Technologies PLC (a)..................................... 5.00% 10/01/25 930,622
---------------
AUTOMOBILE MANUFACTURERS -- 0.3%
4,000,000 Fiat Chrysler Automobiles NV.................................... 5.25% 04/15/23 4,165,000
---------------
BUILDING PRODUCTS -- 0.9%
9,000,000 Cemex SAB de C.V. (a) (b)....................................... 7.75% 04/16/26 9,891,000
1,283,000 Masonite International Corp. (a)................................ 5.63% 03/15/23 1,327,905
---------------
11,218,905
---------------
CABLE & SATELLITE -- 1.8%
200,000 Unitymedia GmbH (a)............................................. 6.13% 01/15/25 211,000
3,703,000 UPCB Finance IV Ltd. (a)........................................ 5.38% 01/15/25 3,638,198
2,000,000 Virgin Media Finance PLC (a).................................... 6.38% 04/15/23 2,025,000
2,480,000 Virgin Media Finance PLC (a).................................... 6.00% 10/15/24 2,439,699
1,654,000 Virgin Media Finance PLC (a).................................... 5.75% 01/15/25 1,573,368
2,000,000 Virgin Media Secured Finance PLC (a)............................ 5.25% 01/15/26 1,912,500
7,073,000 Virgin Media Secured Finance PLC (a)............................ 5.50% 08/15/26 6,825,444
3,766,000 Ziggo Secured Finance BV (a).................................... 5.50% 01/15/27 3,558,870
---------------
22,184,079
---------------
CASINOS & GAMING -- 0.4%
250,000 International Game Technology PLC (a)........................... 5.63% 02/15/20 257,188
3,329,000 International Game Technology PLC (a)........................... 6.25% 02/15/22 3,510,014
1,673,000 Melco Resorts Finance Ltd. (a).................................. 4.88% 06/06/25 1,570,148
---------------
5,337,350
---------------
DIVERSIFIED REAL ESTATE ACTIVITIES -- 0.4%
1,275,000 Taylor Morrison Communities, Inc. / Taylor Morrison
Holdings II, Inc. (a) (b).................................... 5.25% 04/15/21 1,286,156
3,000,000 Taylor Morrison Communities, Inc. / Taylor Morrison
Holdings II, Inc. (a)........................................ 5.88% 04/15/23 3,082,500
804,000 Taylor Morrison Communities, Inc. / Taylor Morrison
Holdings II, Inc. (a)........................................ 5.63% 03/01/24 808,020
---------------
5,176,676
---------------
DIVERSIFIED SUPPORT SERVICES -- 0.1%
950,000 Ritchie Bros Auctioneers, Inc. (a).............................. 5.38% 01/15/25 947,625
---------------
INTERNET SOFTWARE & SERVICES -- 0.3%
2,507,000 Open Text Corp. (a)............................................. 5.63% 01/15/23 2,610,414
1,000,000 Open Text Corp. (a)............................................. 5.88% 06/01/26 1,042,200
---------------
3,652,614
---------------
</TABLE>

See Notes to Financial Statements Page 13

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

METAL & GLASS CONTAINERS -- 0.7%
$ 2,715,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA,
Inc. (a)..................................................... 7.25% 05/15/24 $ 2,874,506
5,288,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA,
Inc. (a)..................................................... 6.00% 02/15/25 5,360,710
---------------
8,235,216
---------------
OIL & GAS DRILLING -- 0.1%
900,000 Weatherford International Ltd................................... 9.88% 02/15/24 870,750
---------------
PACKAGED FOODS & MEATS -- 0.2%
2,849,000 JBS USA LUX SA / JBS USA Finance, Inc. (a) (b).................. 5.88% 07/15/24 2,774,214
---------------
PHARMACEUTICALS -- 1.0%
970,000 Concordia International Corp. (a) (e)........................... 9.00% 04/01/22 887,550
4,250,000 Mallinckrodt International Finance SA/Mallinckrodt CB
LLC (a)...................................................... 5.75% 08/01/22 3,559,375
1,000,000 Mallinckrodt International Finance SA/Mallinckrodt CB
LLC, (a)..................................................... 5.63% 10/15/23 787,500
1,750,000 Mallinckrodt International Finance SA/Mallinckrodt CB
LLC (a)...................................................... 5.50% 04/15/25 1,324,531
5,878,000 Valeant Pharmaceuticals International, Inc. (a)................. 7.50% 07/15/21 5,995,560
---------------
12,554,516
---------------
RESEARCH & CONSULTING SERVICES -- 0.2%
405,000 IHS Markit Ltd. (a)............................................. 4.75% 02/15/25 408,078
825,000 Nielsen Co. Luxembourg S.A.R.L. (The) (a)....................... 5.50% 10/01/21 839,438
813,000 Nielsen Co. Luxembourg S.A.R.L. (The) (a)....................... 5.00% 02/01/25 802,838
---------------
2,050,354
---------------
RESTAURANTS -- 0.8%
9,458,000 1011778 BC ULC / New Red Finance, Inc. (a)...................... 5.00% 10/15/25 9,147,683
---------------
TOTAL FOREIGN CORPORATE BONDS................................................................ 99,512,324
(Cost $100,630,816) ---------------
</TABLE>

<TABLE>
<CAPTION>
PRINCIPAL STATED
VALUE DESCRIPTION RATE (g) MATURITY (h) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
SENIOR FLOATING-RATE LOAN INTERESTS -- 28.5%

AEROSPACE & DEFENSE -- 0.0%
282,954 TransDigm, Inc., Term Loan F, 1 Mo. LIBOR + 2.75%, 0.00%
Floor........................................................ 4.65% 06/09/23 284,080
148,179 TransDigm, Inc., Term Loan F, 3 Mo. LIBOR + 2.75%, 0.00%
Floor........................................................ 5.05% 06/09/23 148,768
---------------
432,848
---------------
APPLICATION SOFTWARE -- 2.0%
2,420,000 CCC Information Services, Inc. Term Loan B, 1 Mo. LIBOR +
3.00%, 1.00% Floor........................................... 4.91% 03/31/24 2,431,592
333,598 Informatica Corp. (Ithacalux S.A.R.L.), Term Loan B,
1 Mo. LIBOR + 3.25%, 0.00% Floor............................. 5.15% 08/06/22 335,839
462,828 JDA Software Group (RP Crown Parent, Inc.), Term Loan B,
1 Mo. LIBOR + 2.75%, 1.00% Floor............................. 4.65% 10/12/23 465,527
5,179,778 Kronos, Inc., Term Loan B, 2 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 4.88% 11/01/23 5,223,599
</TABLE>

Page 14 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

APPLICATION SOFTWARE (CONTINUED)
$ 486,316 Micro Focus International (MA Finance LLC), MA Finance
Term Loan B3, 1 Mo. LIBOR + 2.75%, 0.00% Floor............... 4.65% 06/21/24 $ 484,614
3,284,211 Micro Focus International (MA Finance LLC), Seattle Spinco,
Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor................ 4.65% 06/21/24 3,272,716
11,458,002 Mitchell International, Inc., 1st Lien Term Loan, 1 Mo. LIBOR +
3.25%, 0.00% Floor........................................... 5.15% 11/30/24 11,450,897
924,032 Mitchell International, Inc., Delayed Draw Term Loan (i)........ 3.25% (j) 11/30/24 923,460
---------------
24,588,244
---------------
ASSET MANAGEMENT & CUSTODY BANKS -- 0.2%
2,200,000 Victory Capital Holdings (VCH Holdings LLC), Term Loan B,
3 Mo. LIBOR + 2.75%, 0.00% Floor............................. 5.05% 02/15/25 2,216,500
---------------
AUTO PARTS & EQUIPMENT -- 0.5%
6,000,000 Gates Global LLC, Term Loan B, 3 Mo. LIBOR + 2.75%,
1.00% Floor.................................................. 5.05% 03/31/24 6,031,740
---------------
BROADCASTING -- 0.2%
2,512,556 Tribune Media Co., Extended Term Loan C, 1 Mo. LIBOR +
3.00%, 0.75% Floor........................................... 4.90% 01/27/24 2,515,696
201,589 Tribune Media Co., Term B Loan, 1 Mo. LIBOR + 3.00%,
0.75% Floor.................................................. 4.90% 12/27/20 201,589
---------------
2,717,285
---------------
BUILDING PRODUCTS -- 0.0%
121,419 Jeld-Wen, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%,
0.00% Floor.................................................. 4.30% 12/14/24 121,950
---------------
CASINOS & GAMING -- 3.2%
32,039,100 Amaya Holdings B.V., Term Loan B, 3 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 5.32% 03/28/25 32,141,946
1,263,158 Caesars Resort Collection LLC, Term Loan B, 1 Mo. LIBOR +
2.75%, 0.00% Floor........................................... 4.65% 12/22/24 1,273,162
4,941,176 Golden Nugget, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%,
0.75% Floor.................................................. 4.65% 10/04/23 4,980,904
---------------
38,396,012
---------------
DIVERSIFIED SUPPORT SERVICES -- 0.3%
3,222,817 Brickman Group Holdings, Inc., Second Lien Term Loan,
1 Mo. LIBOR + 6.50%, 1.00% Floor............................. 8.39% 12/18/21 3,238,931
---------------
ENVIRONMENTAL & FACILITIES SERVICES -- 0.0%
169,950 PSSI (Packers Holdings LLC), Term Loan B, 1 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.13% 12/04/24 170,375
---------------
FOOD RETAIL -- 1.4%
2,276,798 Albertsons LLC, Term Loan B5, 3 Mo. LIBOR + 3.00%,
0.75% Floor.................................................. 5.29% 12/21/22 2,258,311
15,205,419 Albertsons LLC, Term Loan B6, 3 Mo. LIBOR + 3.00%,
0.75% Floor.................................................. 4.96% 06/22/23 15,034,358
---------------
17,292,669
---------------
HEALTH CARE EQUIPMENT -- 0.9%
5,551,845 DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial
Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor.................. 5.15% 06/08/20 5,574,386
5,624,436 DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial
Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor.................. 5.56% 06/08/20 5,647,271
---------------
11,221,657
---------------
</TABLE>

See Notes to Financial Statements Page 15

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

HEALTH CARE FACILITIES -- 0.7%
$ 954,136 Acadia Healthcare Co., Inc., Term Loan B4, 1 Mo. LIBOR +
2.50%, 0.00% Floor........................................... 4.40% 02/16/23 $ 962,885
7,311,751 CHS/Community Health Systems, Inc., Incremental 2021 Term H
Loan, 2 Mo. LIBOR + 3.25%, 1.00% Floor....................... 5.23% 01/27/21 7,086,330
863,848 CHS/Community Health Systems, Inc., Term Loan G,
2 Mo. LIBOR + 3.00%, 1.00% Floor............................. 4.98% 12/06/19 849,543
---------------
8,898,758
---------------
HEALTH CARE SERVICES -- 2.5%
2,209,550 21st Century Oncology, Inc., Tranche B Term Loan,
3 Mo. LIBOR + 6.13%, 1.00% Floor............................. 8.48% 01/16/23 2,118,958
103,807 Air Medical Group Holdings, Inc., 2018 New Term Loan B,
1 Mo. LIBOR + 4.25%, 1.00% Floor............................. 6.15% 03/14/25 104,888
589,529 Air Medical Group Holdings, Inc., Term Loan B, 1 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.13% 04/28/22 592,181
2,033 CHG Healthcare Services, Inc., Term Loan B, 2 Mo. LIBOR +
3.00%, 1.00% Floor........................................... 5.06% 06/07/23 2,049
807,160 CHG Healthcare Services, Inc., Term Loan B, 3 Mo. LIBOR +
3.00%, 1.00% Floor........................................... 5.36% 06/07/23 813,553
3,304,815 Curo Health Services Holdings, Inc., Term Loan B, 3 Mo. LIBOR
+ 4.00%, 1.00% Floor......................................... 5.81% 02/05/22 3,313,077
1,797,000 Dupage Medical Group (Midwest Physician), Term Loan B,
1 Mo. LIBOR + 2.75%, 0.75% Floor............................. 4.65% 08/15/24 1,797,000
244,447 ExamWorks Group, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%,
1.00% Floor.................................................. 5.15% 07/27/23 246,280
3,443,043 Healogics, Inc. (CDRH Parent, Inc.), Initial Term Loan (First
Lien), 3 Mo. LIBOR + 4.25%, 1.00% Floor...................... 6.28% 07/01/21 3,075,085
4,209,640 Surgery Center Holdings, Inc., Term Loan B, 1 Mo. LIBOR +
3.25%, 1.00% Floor........................................... 5.16% 08/31/24 4,216,207
6,115,687 Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%,
1.00% Floor.................................................. 4.65% 02/06/24 5,916,928
8,776,533 U.S. Renal Care, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%,
1.00% Floor.................................................. 6.55% 12/30/22 8,732,651
---------------
30,928,857
---------------
HOUSEHOLD APPLIANCES -- 0.2%
353,583 Traeger Grills, Delayed Draw Term Loan (i)...................... 4.25% (j) 09/25/24 355,351
261,890 Traeger Grills, Incremental Term Loan, 1 Mo. LIBOR + 4.25%,
1.00% Floor.................................................. 6.15% 09/25/24 263,200
2,248,455 Traeger Grills, Term Loan B, 1 Mo. LIBOR + 4.25%,
1.00% Floor.................................................. 6.15% 09/25/24 2,259,697
---------------
2,878,248
---------------
HOUSEHOLD PRODUCTS -- 0.8%
7,576,587 Spectrum Brands, Inc., Term Loan B, 2 Mo. LIBOR + 2.00%,
0.00% Floor.................................................. 3.99% - 4.08% 06/23/22 7,568,328
2,423,413 Spectrum Brands, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%,
0.00% Floor.................................................. 4.36% 06/23/22 2,420,772
---------------
9,989,100
---------------
HYPERMARKETS & SUPER CENTERS -- 1.6%
9,350,072 BJ's Wholesale Club, Inc., 1st Lien Term Loan, 1 Mo. LIBOR +
3.50%, 1.00% Floor........................................... 5.39% 01/31/24 9,386,070
</TABLE>

Page 16 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

HYPERMARKETS & SUPER CENTERS (CONTINUED)
$ 10,130,289 BJ's Wholesale Club, Inc., 2nd Lien Term Loan, 1 Mo. LIBOR +
7.50%, 1.00% Floor........................................... 9.39% 02/03/25 $ 10,218,929
---------------
19,604,999
---------------
INSURANCE BROKERS -- 1.4%
428,571 Amwins Group LLC, Term Loan B (Second Lien), 1 Mo. LIBOR
+ 6.75%, 1.00% Floor......................................... 8.65% 01/25/25 432,591
10,413,906 HUB International Ltd., Term Loan B, 2 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 5.36% 04/25/25 10,474,620
5,870,289 USI, Inc. (fka Compass Investors, Inc.), Term Loan B,
3 Mo. LIBOR + 3.00%, 0.00% Floor............................. 5.30% 05/15/24 5,889,837
---------------
16,797,048
---------------
LEISURE FACILITIES -- 0.1%
766,768 Planet Fitness Holdings LLC, 2016 Term Loan, 1 Mo. LIBOR +
2.75%, 0.75% Floor........................................... 4.65% 03/31/21 772,043
179,104 Planet Fitness Holdings LLC, 2016 Term Loan, 3 Mo. LIBOR +
2.75%, 0.75% Floor........................................... 5.05% 03/31/21 180,336
---------------
952,379
---------------
LIFE SCIENCES TOOLS & SERVICES -- 0.7%
399,613 Immucor, Inc., Term Loan B (First Lien), 3 Mo. LIBOR + 5.00%,
1.00% Floor.................................................. 7.30% 07/30/21 408,105
1,929,925 Ortho-Clinical Diagnostics, Inc. (Crimson Merger Sub, Inc.),
Initial Term Loan, 1 Mo. LIBOR + 3.75%, 1.00% Floor.......... 5.63% 06/30/21 1,941,987
5,585,542 Parexel (West Street Merger), Term Loan B, 1 Mo. LIBOR +
2.75%, 0.00% Floor........................................... 4.65% 09/27/24 5,603,024
---------------
7,953,116
---------------
MANAGED HEALTH CARE -- 0.3%
2,906,574 Davis Vision (Wink Holdco, Inc.), Initial Term Loan,
1 Mo. LIBOR + 3.00%, 1.00% Floor............................. 4.90% 12/02/24 2,894,774
405,303 MultiPlan, Inc. (MPH Acquisition Holdings LLC), Term Loan B,
3 Mo. LIBOR + 2.75%, 1.00% Floor............................. 5.05% 06/07/23 407,272
---------------
3,302,046
---------------
OTHER DIVERSIFIED FINANCIAL SERVICES -- 2.1%
12,703,776 AlixPartners LLP, Term Loan B, 3 Mo. LIBOR + 2.75%,
0.00% Floor.................................................. 5.05% 04/04/24 12,757,387
10,406,250 Duff & Phelps Corp. (Deerfield Dakota), Restatement Term Loan,
3 Mo. LIBOR + 3.25%, 1.00% Floor............................. 5.55% 02/13/25 10,414,887
824,950 First Data Corp., Term Loan B, 1 Mo. LIBOR + 2.25%,
0.00% Floor.................................................. 4.15% 04/26/24 827,746
1,046,747 iPayment, Inc., Term Loan B, 6 Mo. LIBOR + 5.00%,
1.00% Floor.................................................. 6.62% 04/11/23 1,050,672
---------------
25,050,692
---------------
PAPER PACKAGING -- 0.2%
2,730,814 Reynolds Group Holdings, Inc., U.S. Term Loan B, 1 Mo. LIBOR
+ 2.75%, 0.00% Floor......................................... 4.65% 02/05/23 2,747,882
---------------
</TABLE>

See Notes to Financial Statements Page 17

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

PHARMACEUTICALS -- 2.2%
$ 8,048,968 Concordia Healthcare Corp., Initial Dollar Term Loan,
1 Mo. LIBOR + 4.25%, 1.00% Floor (e)......................... 6.15% 10/21/21 $ 7,271,518
2,334,451 Endo LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor......... 6.19% 04/29/24 2,319,861
8,693,641 Horizon Pharma, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%,
1.00% Floor.................................................. 5.19% 03/29/24 8,755,191
291,262 Mallinckrodt International Finance S.A., 2018 Incremental Term
Loan, 1 Mo. LIBOR + 3.00%, 0.75% Floor....................... 4.82% 02/24/25 292,960
291,262 Mallinckrodt International Finance S.A., Term Loan B,
6 Mo. LIBOR + 2.75%, 0.75% Floor............................. 5.20% 09/24/24 288,714
8,018,075 Valeant Pharmaceuticals International, Inc., Series F-1
Tranche B Term Loan, 1 Mo. LIBOR + 3.50%, 0.75% Floor........ 5.39% 04/01/22 8,103,307
---------------
27,031,551
---------------
RESEARCH & CONSULTING SERVICES -- 3.0%
12,491,146 Acosta, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%,
1.00% Floor.................................................. 5.15% 09/26/21 10,186,280
11,350,480 Advantage Sales & Marketing, Inc., Initial Term Loan (First
Lien), 1 Mo. LIBOR + 3.25%, 1.00% Floor...................... 5.15% 07/23/21 10,842,091
5,055,508 Advantage Sales & Marketing, Inc., Term Loan (Second Lien),
1 Mo. LIBOR + 6.50%, 1.00% Floor............................. 8.40% 07/25/22 4,656,679
1,969,040 Advantage Sales & Marketing, Inc., Term Loan B2, 1 Mo. LIBOR
+ 3.25%, 1.00% Floor......................................... 5.15% 07/23/21 1,881,969
7,850,000 Information Resources, Inc., Second Lien Term Loan,
3 Mo. LIBOR + 8.25%, 1.00% Floor............................. 10.19% 01/20/25 7,869,624
792,000 Information Resources, Inc., Term Loan B, 3 Mo. LIBOR +
4.25%, 1.00% Floor........................................... 6.19% 01/18/24 798,186
---------------
36,234,829
---------------
RESTAURANTS -- 0.8%
1,685,000 Portillo's Holdings LLC, Second Lien Term Loan, 3 Mo. LIBOR
+ 8.00%, 1.00% Floor......................................... 10.30% 08/15/22 1,685,000
8,066,380 Portillo's Holdings LLC, Term B Loan (First Lien), 3 Mo. LIBOR
+ 4.50%, 1.00% Floor......................................... 6.80% 08/02/21 8,126,878
---------------
9,811,878
---------------
RETAIL REIT'S -- 0.5%
6,067,613 Capital Automotive LLC, 2nd Lien Term Loan, 1 Mo. LIBOR +
6.00%, 1.00% Floor........................................... 7.91% 03/24/25 6,128,289
---------------
SPECIALIZED CONSUMER SERVICES -- 0.7%
3,900,000 Asurion LLC, Term Loan (Second Lien), 1 Mo. LIBOR + 6.00%,
0.00% Floor.................................................. 7.90% 07/31/25 4,005,300
1,336,572 Asurion LLC, Term Loan B4, 1 Mo. LIBOR + 2.75%,
1.00% Floor.................................................. 4.65% 08/04/22 1,345,140
2,963,106 Asurion LLC, Term Loan B6, 1 Mo. LIBOR + 2.75%,
0.00% Floor.................................................. 4.65% 11/03/23 2,983,492
---------------
8,333,932
---------------
SPECIALTY STORES -- 0.3%
3,704,830 Toys "R" US-Delaware, Inc., Term B-2 Loan, 3 Mo. Prime Rate +
2.75%, 1.50% Floor (e) (f)................................... 7.25% 05/25/18 1,370,787
891,667 Toys "R" US-Delaware, Inc., Term B-3 Loan, 3 Mo. Prime Rate +
2.75%, 1.50% Floor (e) (f)................................... 7.25% 05/25/18 329,917
</TABLE>

Page 18 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

SPECIALTY STORES (CONTINUED)
$ 3,666,657 Toys "R" US-Delaware, Inc., Term B-4 Loan, 3 Mo. Prime Rate +
7.75%, 1.00% Floor (e) (f)................................... 12.25% 04/25/20 $ 1,617,253
---------------
3,317,957
---------------
SYSTEMS SOFTWARE -- 1.7%
1,262,391 Applied Systems, Inc., Term Loan (Second Lien), 3 Mo. LIBOR
+ 7.00%, 1.00% Floor......................................... 9.30% 09/13/25 1,301,525
4,727,360 Avast Software B.V. (Sybil Software LLC), Term Loan B,
3 Mo. LIBOR + 2.75%, 1.00% Floor............................. 5.05% 09/30/23 4,749,674
9,823,260 BMC Software Finance, Inc., Term Loan B, 1 Mo. LIBOR +
3.25%, 0.00% Floor........................................... 5.15% 09/10/22 9,856,561
4,285,127 Compuware Corp., Term Loan B3, 1 Mo. LIBOR + 3.50%,
1.00% Floor.................................................. 5.40% 12/15/21 4,335,477
---------------
20,243,237
---------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS.................................................... 346,633,009
(Cost $353,638,046) ---------------
</TABLE>

<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
---------------- --------------------------------------------------------------------------------------------- ---------------
<S> <C> <C>
RIGHTS -- 0.0%
ELECTRIC UTILITIES -- 0.0%
1,629 Vistra Energy Corp. (k)...................................................................... 1,121
2,702 Vistra Energy Corp. Claim (k) (l) (m)........................................................ 0
---------------
TOTAL RIGHTS................................................................................. 1,121
(Cost $2,830) ---------------

MONEY MARKET FUNDS -- 0.4%
4,654,475 Morgan Stanley Institutional Liquidity Fund - Treasury
Portfolio - Institutional Class - 1.59% (n)............................................... 4,654,475
(Cost $4,654,475) ---------------

TOTAL INVESTMENTS -- 106.5%.................................................................. 1,296,536,277
(Cost $1,308,065,889) (o) ---------------
</TABLE>

$ (35,187,500) United States Treasury Note..................................... 1.50% 04/15/20 (34,522,236)
(11,000,000) United States Treasury Note..................................... 1.88% 04/30/22 (10,644,863)
(10,000,000) United States Treasury Note..................................... 2.25% 02/15/27 (9,472,266)
---------------
TOTAL U.S. GOVERNMENT NOTES SOLD SHORT....................................................... (54,639,365)
(Proceeds $56,183,432) ---------------

U.S. TREASURY BILLS SOLD SHORT -- (2.5%)

(30,000,000) U.S. Treasury Bill.............................................. (p) 05/17/18 (29,978,800)
(Proceeds $29,978,425) ---------------

TOTAL INVESTMENTS SOLD SHORT -- (7.0%)....................................................... (84,618,165)
(Proceeds $86,161,857) ---------------

NET OTHER ASSETS AND LIABILITIES -- 0.5%..................................................... 5,682,105
---------------
NET ASSETS -- 100.0%......................................................................... $ 1,217,600,217
===============
</TABLE>

See Notes to Financial Statements Page 19

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

-----------------------------

(a) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under 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. ("First Trust"
or 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 April 30, 2018, securities noted as such
amounted to $613,480,602 or 50.4% of net assets.

(b) This security or a portion of this security is segregated as collateral
for investments sold short.

(c) These notes are Senior Payment-In-Kind ("PIK") Toggle Notes whereby the
issuer may, at its option, elect to pay interest on the notes (1) entirely
in cash or (2) entirely in PIK interest. Interest paid in cash will accrue
at the rate of 8.50% per annum ("Cash Interest Rate") and PIK interest
will accrue on the notes at a rate per annum equal to the Cash Interest
Rate plus 75 basis points. The first interest payment is scheduled for
June 1, 2018.

(d) These notes are Senior PIK Toggle Notes whereby the issuer may, at its
option, elect to pay interest on the notes (1) entirely in cash or (2)
entirely in PIK interest. Interest paid in cash will accrue at the rate of
7.63% per annum ("Cash Interest Rate") and PIK interest will accrue on the
notes at a rate per annum equal to the Cash Interest Rate plus 75 basis
points. For the six months ended April 30, 2018, this security paid all of
its interest in cash.

(e) This issuer has filed for protection in federal bankruptcy court.

(f) This issuer is in default and interest is not being accrued by the Fund
nor paid by the issuer.

(g) 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 London Interbank Offered Rate
("LIBOR"), (ii) the prime rate offered by one or more United States banks
or (iii) the certificate of deposit rate. Certain Senior Loans are subject
to a LIBOR floor that establishes a minimum LIBOR rate. When a range of
rates is disclosed, the Fund holds more than one contract within the same
tranche with identical LIBOR period, spread and floor, but different LIBOR
reset dates.

(h) 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.

(i) Delayed Draw Term Loan (See Note 2D - Unfunded Loan Commitments in the
Notes to Financial Statements).

(j) Represents commitment fee rate on unfunded loan commitment. The commitment
fee rate steps up at predetermined time intervals.

(k) Non-income producing security.

(l) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940, as
amended. At April 30, 2018, securities noted as such amounted to $0 or
0.0% of net assets.

(m) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).

(n) Rate shown reflects yield as of April 30, 2018.

(o) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of April 30, 2018, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $13,377,050 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $23,362,970. The net unrealized depreciation
was $9,985,920. The amounts presented are inclusive of investments sold
short.

(p) Zero coupon security.

Page 20 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of April 30,
2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
4/30/2018 PRICES INPUTS INPUTS
--------------- --------------- --------------- ---------------
U.S. Government Notes Sold Short.................. $ (54,639,365) $ -- $ (54,639,365) $ --
U.S. Treasury Bills Sold Short.................... (29,978,800) -- (29,978,800) --
--------------- --------------- --------------- ---------------
Total Investments................................. $ (84,618,165) $ -- $ (84,618,165) --
=============== =============== =============== ===============
</TABLE>

* See Portfolio of Investments for industry breakout.
** Investment is valued at $0.

All transfers in and out of the Levels during the period are assumed to occur on
the last day of the period at their current value. There were no transfers
between Levels at April 30, 2018.

Level 3 Rights are fair valued by the Advisor's Pricing Committee and are
footnoted in the Portfolio of Investments. The Level 3 Rights value is based on
unobservable and non-quantitative inputs. The Trust's Board of Trustees has
adopted valuation procedures that are utilized by the Advisor's Pricing
Committee to oversee the day-to-day valuation of the Fund's investments. The
Advisor's Pricing Committee, through the Fund's fund accounting agent, monitors
the daily pricing via tolerance checks and stale and unchanged price reviews.
The Advisor's Pricing Committee also reviews monthly back testing of third-party
pricing service prices by comparing sales prices of the Fund's investments to
prior day third-party pricing service prices. Additionally, the Advisor's
Pricing Committee reviews periodic information from the Fund's third-party
pricing service that compares secondary market trade prices to their daily
valuations.

See Notes to Financial Statements Page 21

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

The following table presents the activity of the Fund's investments measured at
fair value on a recurring basis using significant unobservable inputs (Level 3)
for the period presented:

BEGINNING BALANCE AT OCTOBER 31, 2017
Rights $ --*
Net Realized Gain (Loss) --
Change in Unrealized Appreciation /(Depreciation) --
Purchases --
Sales --
Transfers In --
Transfers Out --
------------------
ENDING BALANCE AT APRIL 30, 2018
Rights --*
------------------
Total Level 3 Holdings $ --*
==================

* Investment is valued at $0.

There was no net change in unrealized appreciation (depreciation) from Level 3
investments held as of April 30, 2018.

Page 22 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at value..................................................... $ 1,296,536,277
Cash...................................................................... 289,714
Restricted cash........................................................... 34,165,924
Receivables:
Investment securities sold............................................. 27,945,629
Interest............................................................... 15,740,794
Margin interest rebate................................................. 26,299
Dividends.............................................................. 9,933
---------------
Total Assets........................................................ 1,374,714,570
---------------
LIABILITIES:
Investments sold short, at value (proceeds $86,161,857)................... 84,618,165
Payables:
Investment securities purchased........................................ 70,182,697
Investment advisory fees............................................... 953,886
Unfunded loan commitment............................................... 1,278,811
Interest on investments sold short..................................... 70,250
Margin interest expense................................................ 10,544
---------------
Total Liabilities................................................... 157,114,353
---------------
NET ASSETS................................................................ $ 1,217,600,217
===============
NET ASSETS CONSIST OF:
Paid-in capital........................................................... $ 1,247,634,101
Par value................................................................. 256,000
Accumulated net investment income (loss).................................. (2,120,169)
Accumulated net realized gain (loss) on investments and
investments sold short................................................. (18,183,795)
Net unrealized appreciation (depreciation) on investments and
investments sold short................................................. (9,985,920)
---------------
NET ASSETS................................................................ $ 1,217,600,217
===============
NET ASSET VALUE, per share................................................ $ 47.56
===============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)................................. 25,600,002
===============
Investments, at cost...................................................... $ 1,308,065,889
===============
</TABLE>

See Notes to Financial Statements Page 23

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Interest.................................................................. $ 38,000,532
Margin interest rebate.................................................... 411,051
Dividends................................................................. 64,996
---------------
Total investment income................................................... 38,476,579
---------------
EXPENSES:
Investment advisory fees.................................................. 5,778,455
Interest on investments sold short........................................ 694,896
Margin interest expense................................................... 339,466
---------------
Total expenses............................................................ 6,812,817
---------------
NET INVESTMENT INCOME (LOSS).............................................. 31,663,762
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments............................................................ (7,241,528)
Investments sold short................................................. 817,680
In-kind redemptions.................................................... 423,835
---------------
Net realized gain (loss).................................................. (6,000,013)
---------------
Net change in unrealized appreciation (depreciation) on:
Investments............................................................ (26,386,343)
Investments sold short................................................. 1,076,515
---------------
Net change in unrealized appreciation (depreciation)...................... (25,309,828)
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................... (31,309,841)
---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................................ $ 353,921
===============
</TABLE>

Page 24 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
4/30/2018 ENDED
(UNAUDITED) 10/31/2017
--------------- ---------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss).............................................. $ 31,663,762 $ 61,562,151
Net realized gain (loss).................................................. (6,000,013) 36,707
Net change in unrealized appreciation (depreciation)...................... (25,309,828) 14,986,926
--------------- ---------------
Net increase (decrease) in net assets resulting from operations........... 353,921 76,585,784
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................................... (35,721,253) (62,006,005)
--------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................................. 36,162,784 327,849,490
Cost of shares redeemed................................................... (33,760,385) (169,160,707)
--------------- ---------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................................... 2,402,399 158,688,783
--------------- ---------------
Total increase (decrease) in net assets................................... (32,964,933) 173,268,562

NET ASSETS:
Beginning of period....................................................... 1,250,565,150 1,077,296,588
--------------- ---------------
End of period............................................................. $ 1,217,600,217 $ 1,250,565,150
=============== ===============
Accumulated net investment income (loss) at end of period................. $ (2,120,169) $ 1,937,322
=============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................................... 25,550,002 22,300,002
Shares sold............................................................... 750,000 6,750,000
Shares redeemed........................................................... (700,000) (3,500,000)
--------------- ---------------
Shares outstanding, end of period......................................... 25,600,002 25,550,002
=============== ===============
</TABLE>

See Notes to Financial Statements Page 25

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

STATEMENT OF CASH FLOWS
FOR THE SIX MONTHS ENDED APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
CASH FLOWS FROM OPERATING ACTIVITIES:
<S> <C> <C>
Net increase (decrease) in net assets resulting from operations........... $ 353,921
Adjustments to reconcile net increase (decrease) in net assets resulting
from operations to net cash provided by operating activities:
Purchases of investments............................................ (668,867,068)
Borrowed investments sold short..................................... 42,540,955
Cost to cover short positions....................................... (46,967,731)
Sales, maturities and paydowns of investments....................... 632,071,919
Net amortization/accretion of premiums/discounts on investments..... (54,774)
Net realized gain/loss on investments and investments sold short.... 6,000,013
Net change in unrealized appreciation/depreciation on investments... 26,386,343
Net change in unrealized appreciation/depreciation on investments
sold short....................................................... (1,076,515)
Decrease in restricted cash......................................... 41,768,724

CHANGES IN ASSETS AND LIABILITIES
Decrease in interest receivable..................................... 1,448,181
Increase in dividends receivable.................................... (6,112)
Increase in margin interest rebate receivable....................... (6,855)
Decrease in interest payable on investments sold short.............. (27,311)
Increase in margin interest expense payable......................... 4,041
Decrease in investment advisory fees payable........................ (54,896)
---------------
CASH PROVIDED BY OPERATING ACTIVITIES..................................... $ 33,512,835
---------------

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from shares sold........................................... 36,162,784
Cost of shares redeemed............................................. (33,760,385)
Distributions to shareholders from net investment income............ (35,721,253)
---------------
CASH USED IN FINANCING ACTIVITIES ........................................ (33,318,854)
---------------
Increase in cash.......................................................... 193,981
Cash at beginning of period............................................... 95,733
---------------
CASH AT END OF PERIOD..................................................... $ 289,714
===============
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid during the period for interest.................................. $ 335,425
===============
</TABLE>

Page 26 See Notes to Financial Statements

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)

FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, PERIOD
4/30/2018 --------------------------------------------------------- ENDED
(UNAUDITED) 2017 2016 2015 2014 10/31/2013 (a)
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 48.95 $ 48.31 $ 48.69 $ 51.30 $ 51.16 $ 50.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.25 2.56 2.41 2.64 2.58 1.93
Net realized and unrealized gain (loss) (1.23) 0.66 (0.14) (2.23) (b) 0.29 1.38
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.02 3.22 2.27 0.41 2.87 3.31
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.41) (2.58) (2.48) (2.84) (2.73) (2.15)
Net realized gain -- -- -- (0.14) -- --
Return of capital -- -- (0.17) (0.04) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions (1.41) (2.58) (2.65) (3.02) (2.73) (2.15)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 47.56 $ 48.95 $ 48.31 $ 48.69 $ 51.30 $ 51.16
========== ========== ========== ========== ========== ==========
TOTAL RETURN (c) 0.03% 6.79% 4.89% 0.80% (b) 5.72% 6.76%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,217,600 $1,250,565 $1,077,297 $ 520,954 $ 179,533 $ 74,178
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 1.12% (d) 1.10% 1.11% 1.23% 1.29% 1.28% (d)
Ratio of total expenses to average net
assets excluding interest expense 0.95% (d) 0.95% 0.95% 0.95% 0.95% 0.95% (d)
Ratio of net investment income (loss) to
average net assets 5.21% (d) 5.25% 5.04% 5.49% 5.02% 5.10% (d)
Portfolio turnover rate (e) 24% 75% 45% 34% 54% 52%
</TABLE>

(a) Inception date is February 25, 2013, which is consistent with the
commencement of investment operations and is the date the initial creation
units were established.

(b) The Fund received a payment from the advisor in the amount of $24,541 in
connection with a trade error. The payment from the advisor represents
less than $0.01 per share and had 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) Annualized.

See Notes to Financial Statements Page 27

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NOTES TO FINANCIAL STATEMENTS
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FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

1. ORGANIZATION

The Trust currently consists of eight funds that are offering shares. This
report covers the First Trust Tactical High Yield ETF (the "Fund"), a
diversified series of the Trust, which trades under the ticker "HYLS" on The
Nasdaq Stock Market LLC ("Nasdaq"). Unlike conventional mutual funds, the Fund
issues and redeems shares on a continuous basis, at net asset value ("NAV"),
only in large specified blocks consisting of 50,000 shares called a "Creation
Unit." Creation Units are generally issued and redeemed for cash and, in certain
circumstances, in-kind for securities in which the Fund invests. Except when
aggregated in Creation Units, the Fund's shares are not redeemable securities.

The primary investment objective of the Fund is to provide current income. The
Fund's secondary investment objective is to provide capital appreciation. Under
normal market conditions, the Fund invests at least 80% of its net assets
(including investment borrowings) in high yield debt securities that are rated
below investment grade at the time of purchase or unrated securities deemed by
the Fund's advisor to be of comparable quality. Below investment grade
securities are those that, at the time of purchase, are rated lower than "BBB-"
by Standard & Poor's Ratings Group, a division of the McGraw Hill Companies,
Inc., or lower than "Baa3" by Moody's Investors Service, Inc., or comparably
rated by another nationally recognized statistical rating organization. High
yield debt securities that are rated below investment grade are commonly
referred to as "junk" debt. Such securities may include U.S. and non-U.S.
corporate debt obligations, bank loans and convertible bonds. For purposes of
determining whether a security is below investment grade, the lowest available
rating will be considered.

2. SIGNIFICANT ACCOUNTING POLICIES

A. PORTFOLIO VALUATION

The Fund's 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. If the NYSE closes early on a valuation day, the NAV
is determined as of that time. Domestic debt securities and foreign securities
are priced using data reflecting the earlier closing of the principal markets
for those securities. The Fund's 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 the 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 Advisor's 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 Portfolio of Investments. The Fund's investments are valued as
follows:

Corporate bonds, corporate notes, U.S. government securities and other
debt securities are fair valued on the basis of valuations provided by
dealers who make markets in such securities or by a third-party pricing
service approved by the Trust's Board of Trustees, which may use the
following valuation inputs when available:

1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.

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FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

Shares of open-end funds are valued at fair value which is based on NAV
per share.

Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.

Senior Floating-Rate Loan Interests ("Senior Loans")(1) are not listed on
any securities exchange or board of trade. Senior Loans are typically
bought and sold by institutional investors in individually negotiated
private transactions that function in many respects like an
over-the-counter secondary market, although typically no formal
market-makers exist. This market, while having grown substantially since
its inception, generally has fewer trades and less liquidity than the
secondary market for other types of securities. Some Senior Loans have few
or no trades, or trade infrequently, and information regarding a specific
Senior Loan may not be widely available or may be incomplete. Accordingly,
determinations of the market value of Senior Loans may be based on
infrequent and dated information. Because there is less reliable,
objective data available, elements of judgment may play a greater role in
valuation of Senior Loans than for other types of securities. Typically,
Senior Loans are fair valued using information provided by a third-party
pricing service. The third-party pricing service primarily uses
over-the-counter pricing from dealer runs and broker quotes from
indicative sheets to value the Senior Loans.

1) the fundamental business data relating to the borrower/issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the borrower/issuer;
5) the credit quality and cash flow of the borrower/issuer, based on
the Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities of the
issuer/borrower, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the borrower/issuer, including any ability
to obtain money or resources from a parent or affiliate and an
assessment of the issuer's management;
11) the prospects for the borrower's/issuer's industry, and multiples
(of earnings and/or cash flows) being paid for similar businesses in
that industry;
12) borrower's/issuer's competitive position within the industry;

-----------------------------

(1) The terms "security" and "securities" used throughout the Notes to
Financial Statements include Senior Loans.

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FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

13) borrower's/issuer's ability to access additional liquidity through
public and/or private markets; and

14) other relevant factors.

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 Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded using the effective interest method over the expected life of each
respective borrowing for loans and bonds.

Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. Due
to the nature of the Senior Loan market, the actual settlement date may not be
certain at the time of the purchase or sale for some of the Senior Loans.
Interest income on such Senior Loans is not accrued until settlement date. The
Fund maintains liquid assets with current value at least equal to the amount of
its when-issued, delayed-delivery or forward purchase commitments. The Fund had
no when-issued, delayed-delivery, or forward purchase commitments (other than
unfunded loan commitments discussed below) as of April 30, 2018.

C. SHORT SALES

Short sales are utilized for investment and risk management purposes and are
transactions in which securities or other instruments (such as options,
forwards, futures or other derivative contracts) are sold that are not currently
owned in the Fund's portfolio. When the Fund engages in a short sale, the Fund
must borrow the security sold short and deliver the security to the
counterparty. Short selling allows the Fund to profit from a decline in a market
price to the extent such decline exceeds the transaction costs and the costs of
borrowing the securities. The Fund is charged a fee or premium to borrow the
securities sold short and is obligated to repay the lenders of the securities.
Any dividends or interest that accrues on the securities during the period of
the loan are due to the lenders. A gain, limited to the price at which the
security was sold short, or a loss, unlimited in size, will be recognized upon
the termination of the short sale; which is effected by the Fund purchasing the
security sold short and delivering the security to the lender. Any such gain or
loss may be offset, completely or in part, by the change in the value of the
long portion of the Fund's portfolio. The Fund is subject to the risk it may be
unable to reacquire a security to terminate a short position except at a price
substantially in excess of the last quoted price. Also, there is the risk that
the counterparty to a short sale may fail to honor its contractual terms,
causing a loss to the Fund.

The Fund has established an account with Pershing, LLC for the purpose of
purchasing or borrowing securities on margin. The Fund pays interest on any
margin balance, which is calculated as the daily margin account balance times
the broker's margin interest rate. At April 30, 2018, the Fund had $34,165,924
in restricted cash associated with investments sold short and $84,618,165 of
investments sold short as shown on the Statement of Asset and Liabilities. The
Fund is charged interest on debit margin balances at a rate equal to the
Overnight Bank Funding Rate plus 75 basis points and is charged interest on
payable credit margin balances at a rate equal to the Overnight Bank Funding
Rate less 40 basis points. At April 30, 2018, the Fund had a debit margin

Page 30

<PAGE>

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

balance of $35,337,883 with an interest rate of 2.44%. For the six months ended
April 30, 2018, margin interest expense was $339,466, which is shown in "Margin
interest expense" on the Statement of Operations. For the six months ended April
30, 2018, the average margin balance and interest rates were $31,876,213 and
2.16%, respectively.

D. UNFUNDED LOAN COMMITMENTS

E. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Dividends from net investment income, if any, are declared and paid monthly by
the Fund. The Fund distributes its net realized capital gains, if any, to
shareholders at least annually.

The tax character of distributions paid during the fiscal year ended October 31,
2017 was as follows:

Distributions paid from:
Ordinary income................................. $ 62,006,005
Capital gains................................... --
Return of capital............................... --

As of October 31, 2017, the components of distributable earnings on a tax basis
for the Fund were as follows:

Undistributed ordinary income................... $ 1,937,322
Accumulated capital and other gain (loss)....... (8,283,925)
Net unrealized appreciation (depreciation)...... 11,424,051

F. INCOME TAXES

The Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
The Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. As of October 31, 2017, the
Fund had $8,283,925 of non-expiring capital loss carryforwards that may be
carried forward indefinitely.

Page 31

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FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

G. EXPENSES

Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3). The Fund is subject to an interest expense
due to the costs associated with the Fund's short positions in securities.

H. NEW AND AMENDED FINANCIAL REPORTING RULES AND FORMS

On October 13, 2016, the SEC adopted new rules and forms, and amended existing
rules and forms. The new and amended rules and forms are intended to modernize
the reporting of information provided by funds and to improve the quality and
type of information that funds provide to the SEC and investors. In part, the
new and amended rules and forms amend Regulation S-X and require standardized,
enhanced disclosures about derivatives in a fund's financial statements, as well
as other amendments. The compliance date for the amendments of Regulation S-X
was August 1, 2017, which resulted in additional disclosure for variable
interest rate securities within the Portfolio of Investments. The new form types
and other rule amendments will be effective for the First Trust funds, including
the Fund, for reporting periods beginning on and after June 1, 2018. Management
is evaluating the new form types and other rule amendments that are effective on
and after June 1, 2018 to determine the impact to the Fund.

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Fund, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in the Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Fund.

4. PURCHASES AND SALES OF SECURITIES

For the six months ended April 30, 2018, the cost of purchases and proceeds from
sales of investments, excluding short-term investments, investments sold short
and in-kind transactions, were $438,975,320 and $324,104,302 respectively. The
cost of purchases to cover short sales and the proceeds of short sales were
$46,967,731 and $12,567,344, respectively.

For the six months ended April 30, 2018, the cost of in-kind purchases and
proceeds from in-kind sales were $10,258,856 and $10,712,788, respectively.

Page 32

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FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

5. BORROWINGS

The Trust, on behalf of the Fund, along with the First Trust Series Fund and
First Trust Variable Insurance Trust, entered into a $200 million Credit
Agreement ("Line of Credit") with BNYM, to be a liquidity backstop during
periods of high redemption volume. A commitment fee of 0.15% of the daily amount
of the excess of the commitment amount over the outstanding principal balance of
the loans will be charged by BNYM, which First Trust allocates amongst the funds
that had access to the Line of Credit. To the extent that the Fund accesses the
Line of Credit, there would also be an interest fee charged. The Fund did not
have any borrowings outstanding during the six months ended April 30, 2018.

6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES

7. DISTRIBUTION PLAN

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before March 31, 2019.

8. INDEMNIFICATION

9. SUBSEQUENT EVENTS

Page 33

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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

PROXY VOTING POLICIES AND PROCEDURES

PORTFOLIO HOLDINGS

The Trust files its complete schedule of the Fund's portfolio holdings with SEC
for the first and third quarters of each fiscal year on Form N-Q. The Trust's
Form N-Qs are available (1) by calling (800) 988-5891; (2) on the Fund's website
at www.ftportfolios.com; (3) on the SEC's website at www.sec.gov; and (4) for
review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC.
Information regarding the operation of the PRR may be obtained by calling (800)
SEC-0330.

RISK CONSIDERATIONS

The following summarizes some of the risks that should be considered for the
Fund.

BANK LOANS RISK. An investment in bank loans subjects the Fund to credit risk,
which is heightened for bank loans in which the Fund invests because companies
that issue such loans tend to be highly leveraged and thus are more susceptible
to the risks of interest deferral, default and/or bankruptcy. First Lien senior
secured floating rate bank loans ("Senior Loans"), in which the Fund may invest,
are usually rated below investment grade but may also be unrated. As a result,
the risks associated with these Senior Loans are similar to the risks of high
yield fixed income instruments. An economic downturn would generally lead to a
higher non-payment rate, and a Senior Loan may lose significant market value
before a default occurs. Moreover, any specific collateral used to secure a
Senior Loan may decline in value or become illiquid, which would adversely
affect the Senior Loan's value. Unlike the securities markets, there is no
central clearinghouse for loan trades, and the loan market has not established
enforceable settlement standards or remedies for failure to settle. Therefore,
portfolio transactions in Senior Loans may have uncertain settlement time
periods. Senior Loans are subject to a number of risks described elsewhere in
this prospectus, including liquidity risk and the risk of investing in below
investment grade fixed income instruments.

CALL RISK. If an issuer calls higher-yielding debt instruments held by the Fund,
performance could be adversely impacted. During periods of falling interest
rates, issuers of callable securities may call (redeem) securities with higher
coupon rates or interest rates before their maturity dates. The Fund would then
lose any price appreciation above the bond's call price and would be forced to
reinvest the unanticipated proceeds at lower interest rates, resulting in a
decline in the Fund's income. Such redemptions and subsequent reinvestments
would also increase the Fund's portfolio turnover rate.

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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

COUNTERPARTY RISK. The Fund invests in U.S. exchange-traded options on future
contracts and U.S. exchange-traded futures contracts, ("Derivative
Instruments"). Certain Derivative Instruments that involve counterparties
subject the Fund to the risk that the counterparty could default on its
obligations under the agreement, either through the counterparty's bankruptcy or
failure to perform its obligations. In the event of default, the Fund could
experience lengthy delays in recovering some or all of its assets or no recovery
at all. The Fund's investments in the futures markets also introduce the risk
that its futures commission merchant ("FCM") would default on an obligation set
forth in an agreement between the Fund and the FCM, including the FCM's
obligation to return margin posted in connection with the Fund's futures
contracts.

CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments. Credit risk may be heightened
for the Fund because it invests a substantial portion of its net assets in "high
yield" or "junk" securities; such securities, while generally offering higher
yields than investment grade debt with similar maturities, involve greater
risks, including the possibility of dividend or interest deferral, default or
bankruptcy, and are regarded as predominantly speculative with respect to the
issuer's capacity to pay dividends or interest and repay principal. Credit risk
is heightened for loans in which the Fund invests because companies that issue
such loans tend to be highly leveraged and thus are more susceptible to the
risks of interest deferral, default and/or bankruptcy.

CURRENCY RISK. The Fund may hold investments that are denominated in non-U.S.
currencies, or in securities that provide exposure to such currencies, currency
exchange rates or interest rates denominated in such currencies. Changes in
currency exchange rates and the relative value of non-U.S. currencies will
affect the value of the Fund's investments and the value of your Fund shares.
Currency exchange rates can be very volatile and can change quickly and
unpredictably. As a result, the value of an investment in the Fund may change
quickly and without warning and you may lose money. You may lose money if the
local currency of a foreign market depreciates against the U.S. dollar, even if
the local currency value of the Fund's holdings goes up.

CYBER SECURITY RISK. As the use of Internet technology has become more prevalent
in the course of business, the Fund has become more susceptible to potential
operational risks through breaches in cyber security. A breach in cyber security
refers to both intentional and unintentional events that may cause the Fund to
lose proprietary information, suffer data corruption or lose operational
capacity. Such events could cause the Fund to incur regulatory penalties,
reputational damage, additional compliance costs associated with corrective
measures and/or financial loss. Cyber security breaches may involve unauthorized
access to the Fund's digital information systems through "hacking" or malicious
software coding, but may also result from outside attacks such as
denial-of-service attacks through efforts to make network services unavailable
to intended users. In addition, cyber security breaches of the Fund's
third-party service providers, such as its administrator, transfer agent,
custodian or sub-advisor, as applicable, or issuers in which the Fund invests,
can also subject the Fund to many of the same risks associated with direct cyber
security breaches. The Fund has established risk management systems designed to
reduce the risks associated with cyber security. However, there is no guarantee
that such efforts will succeed, especially because the Fund does not directly
control the cyber security systems of issuers or third-party service providers.

DERIVATIVES RISK. The use of Derivative Instruments can lead to losses because
of adverse movements in the price or value of the underlying asset, index or
rate, which may be magnified by certain features of the Derivatives Instruments.
These risks are heightened when the Fund's portfolio managers use derivatives to
enhance the Fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
Fund.

DISTRESSED SECURITIES RISK. The Fund may invest in companies whose financial
condition is troubled or uncertain and that may be involved in bankruptcy
proceedings, reorganizations or financial restructurings, ("Distressed
Securities") including stressed, distressed and bankrupt issuers and debt
obligations that are in default. In any investment involving Distressed
Securities, there exists the risk that the transaction involving such securities
will be unsuccessful. Distressed Securities might be repaid only after lengthy
workout or bankruptcy proceedings, during which the issuer might not make any
interest or other payments. Many Distressed Securities are illiquid or trade in
low volumes and thus may be more difficult to value.

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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

HIGH YIELD SECURITIES RISK. High yield securities, or "junk" bonds, are subject
to greater market fluctuations and risk of loss than securities with higher
ratings, and therefore, are considered to be highly speculative. These
securities are issued by companies that may have limited operating history,
narrowly focused operations and/or other impediments to the timely payment of
periodic interest and principal at maturity. If the economy slows down or dips
into recession, the issuers of high yield securities may not have sufficient
resources to continue making timely payment of periodic interest and principal
at maturity. The market for high yield securities is generally smaller and less
liquid than that for investment grade securities. High yield securities are
generally not listed on a national securities exchange but trade in the
over-the-counter markets. Due to the smaller, less liquid market for high yield
securities, the bid-offer spread on such securities is generally greater than it
is for investment grade securities and the purchase or sale of such securities
may take longer to complete. In general, high yield securities may have a
greater risk of default than other types of securities.

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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST TACTICAL HIGH YIELD ETF (HYLS)
APRIL 30, 2018 (UNAUDITED)

the Fund's shares. In addition, decisions by market makers or authorized
participants to reduce their role or step away from these activities in times of
market stress could inhibit the effectiveness of the arbitrage process in
maintaining the relationship between the underlying values of the Fund's
portfolio securities and the Fund's market price. This reduced effectiveness
could result in Fund shares trading at a discount to net asset value and also in
greater than normal intraday bid-ask spreads for Fund shares.

OTHER DEBT SECURITIES RISK. Secured loans that are not first lien loans,
unsecured loans and other debt securities are subject to many of the same risks
that affect Senior Loans; however, they are often unsecured and/or lower in the
issuer's capital structure than Senior Loans, and thus may be exposed to greater
risk of default and lower recoveries in the event of a default. This risk can be
further heightened in the case of below investment grade instruments.
Additionally, most fixed income securities are fixed-rate and thus are generally
more susceptible than floating rate loans to price volatility related to changes
in prevailing interest rates.

PREPAYMENT RISK. Loans and other fixed income investments are subject to
prepayment risk. The degree to which borrowers prepay loans, whether as a
contractual requirement or at their election, may be affected by general
business conditions, the financial condition of the borrower and competitive
conditions among loan investors, among others. As such, prepayments cannot be
predicted with accuracy. Upon a prepayment, either in part or in full, the
actual outstanding debt on which the Fund derives interest income will be
reduced. The Fund may not be able to reinvest the proceeds received on terms as
favorable as the prepaid loan.

SHORT SALE RISK. The Fund uses short sales for investment and risk management
purposes, including when the Fund's advisor anticipates that the market price of
securities will decline or in the aggregate will underperform the Index. In
times of unusual or adverse market, economic, regulatory or political
conditions, the Fund may not be able, fully or partially, to implement its short
selling strategy. Periods of unusual or adverse market, economic, regulatory or
political conditions may exist for relatively long periods of time. The Fund
will have substantial short positions and must borrow those securities to make
delivery to the buyer. The Fund may not be able to borrow a security that it
needs to deliver or it may not be able to close out a short position at an
acceptable price and may have to sell related long positions before it had
intended to do so. Thus, the Fund may not be able to successfully implement its
short sale strategy due to limited availability of desired securities or for
other reasons. Also, there is the risk that the counterparty to a short sale may
fail to honor its contractual terms, causing a loss to the Fund. The potential
loss related to short sale investments is theoretically unlimited.

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<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603

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[BLANK BACK COVER]

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FIRST TRUST

First Trust Exchange-Traded Fund IV

--------------------------------------------------------------------------------

First Trust Enhanced Short
Maturity ETF (FTSM)

Semi-Annual Report
For the Six Months Ended
April 30, 2018

<PAGE>

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TABLE OF CONTENTS
--------------------------------------------------------------------------------

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
SEMI-ANNUAL REPORT
APRIL 30, 2018

Shareholder Letter........................................................... 1
Fund Performance Overview.................................................... 2
Portfolio Management......................................................... 5
Understanding Your Fund Expenses............................................. 6
Portfolio of Investments..................................................... 7
Statement of Assets and Liabilities.......................................... 27
Statement of Operations...................................................... 28
Statements of Changes in Net Assets.......................................... 29
Financial Highlights......................................................... 30
Notes to Financial Statements................................................ 31
Additional Information....................................................... 37

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the series of First Trust Exchange-Traded Fund IV (the "Trust") described in
this report (First Trust Enhanced Short Maturity ETF; hereinafter referred to as
the "Fund") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.

PERFORMANCE AND RISK DISCLOSURE

The Advisor may also periodically provide additional information on Fund
performance on the Fund's webpage at www.ftportfolios.com.

HOW TO READ THIS REPORT

The statistical information that follows may help you understand the Fund's
performance compared to that of a relevant market benchmark.

<PAGE>

--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
APRIL 30, 2018

Dear Shareholders:

First Trust is pleased to provide you with the semi-annual report for the First
Trust Enhanced Short Maturity ETF, which contains detailed information about
your investment for the period ended April 30, 2018. We encourage you to read
this report carefully and discuss it with your financial advisor.

o The S&P 500(R) Index did something it had never previously done,
finishing 2017 with 12 months of gains;

o The Dow Jones Industrial Average achieved a milestone as well,
closing above 24,000 for the first time ever on November 30;

o The Nasdaq Composite set a record by having 11 months of gains in
2017 (June was the only down month, and by just 0.86%); and

o The MSCI AC World Index (containing constituents from 47 countries)
ended 2017 at an all-time high and was up 22% at year-end.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.

Page 1

<PAGE>

--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

The investment objective of First Trust Enhanced Short Maturity ETF (the "Fund")
is to seek current income, consistent with preservation of capital and daily
liquidity. Under normal market conditions, the Fund intends to achieve its
investment objective by investing at least 80% of its net assets in a portfolio
of U.S. dollar-denominated fixed- and variable-rate instruments (collectively,
"Fixed Income Securities") issued by U.S. and non-U.S. public and private sector
entities. Fixed Income Securities will include the following types of fixed- and
variable-rate debt securities: corporate and government bonds and notes; agency
securities; instruments of non-U.S. issuers in developed markets; privately
issued securities; asset-backed securities; mortgage-related securities;
municipal bonds; and money market securities. Shares of the Fund are listed on
The Nasdaq Stock Market LLC under the ticker symbol "FTSM."

The Fund's investment advisor, First Trust Advisors L.P. (the "Advisor") selects
securities for the portfolio by evaluating fixed income sectors and macro market
trends while completing bottom-up analysis of individual securities. Portfolio
securities are selected based upon relative value in the context of overall
portfolio duration. Key inputs for the screens in the securities selection
process include, but are not limited to, credit quality, yield, interest rate
sensitivity and liquidity. The Fund's holdings are systematically monitored for
meaningful changes in performance and risk measures. A security will generally
be sold when the Advisor believes that a security can be substituted for a
similar investment that represents better relative value; it lacks adequate
compensation for embedded credit risk; or when rebalancing the portfolio to
maintain diversification. Under normal market conditions, the Fund's average
duration is expected to be below one year and the average maturity of the Fund's
portfolio is expected to be below three years.

<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------------------------
ANNUAL AVERAGE CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (8/5/14) Inception (8/5/14)
4/30/18 4/30/18 to 4/30/18 to 4/30/18
<S> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 0.80% 1.61% 0.98% 3.72%
Market Price 0.80% 1.63% 0.98% 3.72%

INDEX PERFORMANCE
ICE BofAML 0-1 Year U.S. Treasury Index 0.59% 1.09% 0.55% 2.07%
--------------------------------------------------------------------------------------------------------------------------
</TABLE>

Total returns for the period since inception are calculated from the inception
date of the Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the period indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the period
indicated.

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. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. 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. The investment return and principal value of shares of the
Fund will vary with changes in market conditions. Shares of the Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. The Fund's past performance is no guarantee of future performance.

Page 2

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

--------------------------------------------------------
% OF TOTAL
ASSET CLASSIFICATION INVESTMENTS & CASH
--------------------------------------------------------
Commercial Paper 45.43%
Corporate Bonds 31.20
Foreign Corporate Bonds 10.62
Asset-Backed Securities 6.19
U.S. Government Notes 4.85
U.S. Government Agency
Mortgage-Backed Securities 1.44
Certificate of Deposit 0.24
Mortgage-Backed Securities 0.02
Cash 0.01
-------
Total 100.00%
=======

--------------------------------------------------------
% OF TOTAL
CREDIT QUALITY(1) INVESTMENTS & CASH
--------------------------------------------------------
Government 6.28%
AAA 3.17
AA+ 0.46
AA 0.44
AA- 2.57
A+ 3.84
A 6.04
A- 7.79
BBB+ 10.77
BBB 7.21
BBB- 2.58
A-1+ (Short Term) 0.64
A-1 (Short Term) 2.81
A-2 (Short Term) 33.33
A-3 (Short Term) 8.27
Not Rated 3.79
Cash 0.01
-------
Total 100.00%
=======

--------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS INVESTMENTS
--------------------------------------------------------
U.S. Treasury Note 1.25%, 11/15/2018 2.49%
U.S. Treasury Note 1.13%, 01/31/2019 1.22
U.S. Treasury Note 0.75%, 02/15/2019 0.87
Ford Credit Auto Lease Trust,
Series 2017-A, Class A3 0.64
Canadian Natural Resources Ltd. 0.49
Enterprise Products Operating LLC 0.49
Questar Gas Co. 0.49
Verizon Communications, Inc. 0.44
CVS Health Corp. 0.44
LeasePlan Corp. N.V. 0.43
-------
Total 8.00%
=======

-----------------------------

(1) The ratings are by standard & poor's ratings group, a division of the
mcgraw-hill companies, inc. 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. Ratings
are measured highest to lowest on a scale that generally ranges from aaa
to d for long-term ratings and a-1+ to c for short-term ratings.
Investment grade is defined as those issuers that have a long-term credit
rating of bbb- or higher or a short-term credit rating of a-3 or higher.
The credit ratings shown relate to the credit worthiness of the issuers of
the underlying securities in the fund, and not to the fund or its shares.
U.s. Treasury and u.s. Agency mortgage-backed securities appear under
"government". Credit ratings are subject to change.

Page 3

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
AUGUST 5, 2014 - APRIL 30, 2018

First Trust Enhanced ICE BofAML 0-1 Year
Short Maturity ETF U.S. Treasury Index
<S> <C> <C>
8/5/14 $10,000 $10,000
10/31/14 10,016 10,002
4/30/15 10,047 10,011
10/31/15 10,045 10,020
4/30/16 10,079 10,045
10/31/16 10,139 10,073
4/30/17 10,206 10,096
10/31/17 10,289 10,147
4/30/18 10,371 10,207
</TABLE>

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.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV THROUGH APRIL 30, 2018

The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 6, 2014 (commencement
of trading) through April 30, 2018. Shareholders may pay more than NAV when they
buy Fund shares and receive less than NAV when they sell those shares because
shares are bought and sold at current market price. Data presented represents
past performance and cannot be used to predict future results.

<TABLE>
<CAPTION>
NUMBER OF DAYS BID/ASK MIDPOINT NUMBER OF DAYS BID/ASK MIDPOINT
AT/ABOVE NAV BELOW NAV
---------------------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.00%- 0.50%- 1.00%- 0.00%- 0.50%- 1.00%-
FOR THE PERIOD 0.49% 0.99% 1.99% >=2.00% 0.49% 0.99% 1.99% >=2.00%
8/6/14 - 10/31/14 47 0 0 0 15 0 0 0
11/1/14 - 10/31/15 54 0 0 0 197 0 0 0
11/1/15 - 10/31/16 101 0 0 0 151 0 0 0
11/1/16 - 10/31/17 173 0 0 0 79 0 0 0
11/1/17 - 4/30/18 84 0 0 0 39 0 0 0
</TABLE>

Page 4

<PAGE>

--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT
--------------------------------------------------------------------------------

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
SEMI-ANNUAL REPORT
APRIL 30, 2018 (UNAUDITED)

ADVISOR

First Trust Advisors L.P. ("First Trust") is the investment advisor to the First
Trust Enhanced Short Maturity ETF (the "Fund" or "FTSM"). In this capacity,
First Trust is responsible for the selection and ongoing monitoring of the
investments in the Fund's portfolio and certain other services necessary for the
management of the portfolio. First Trust serves as advisor for seven mutual fund
portfolios, ten exchange-traded trusts consisting of 130 series and 16
closed-end funds and is also the portfolio supervisor of certain unit investment
trusts sponsored by First Trust Portfolios L.P. ("FTP").

PORTFOLIO MANAGEMENT TEAM

TODD LARSON, CFA - VICE PRESIDENT, PORTFOLIO MANAGER
JEREMIAH CHARLES - SENIOR VICE PRESIDENT, PORTFOLIO MANAGER
JAMES SNYDER - SENIOR VICE PRESIDENT, PORTFOLIO MANAGER
ERIC MAISEL, CFA - VICE PRESIDENT, PORTFOLIO MANAGER

Page 5

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

UNDERSTANDING YOUR FUND EXPENSES
APRIL 30, 2018 (UNAUDITED)

As a shareholder of First Trust Enhanced Short Maturity ETF (the "Fund"), you
incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service fees, if any, and other
Fund expenses. This Example is intended to help you understand your ongoing
costs of investing in the Fund and to compare these costs with the ongoing costs
of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended April 30, 2018.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
NOVEMBER 1, 2017 APRIL 30, 2018 PERIOD (a) PERIOD (b)
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
Actual $1,000.00 $1,008.00 0.29% $1.44
Hypothetical (5% return before expenses) $1,000.00 $1,023.36 0.29% $1.45
</TABLE>

(a) These expense ratios reflect expense waivers. See Note 3 in the Notes to
the Financial Statements.

Page 6

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON DATE STATED
VALUE DESCRIPTION OF PURCHASE MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER -- 46.4%

AEROSPACE/DEFENSE -- 0.3%
$ 6,000,000 Rockwell Collins, Inc........................................... 2.39% 05/18/18 $ 5,993,397
---------------
AGRICULTURE -- 0.6%
7,000,000 BAT International Finance PLC................................... 2.47% 05/16/18 6,992,996
6,000,000 Bunge Asset Funding Corp........................................ 2.52% 06/11/18 5,983,247
---------------
12,976,243
---------------
AUTO MANUFACTURERS -- 1.2%
2,000,000 Ford Motor Credit Co. LLC....................................... 2.07% 09/05/18 1,985,797
6,000,000 Hyundai Capital America......................................... 2.47% 05/02/18 5,999,600
6,000,000 VW Credit, Inc.................................................. 2.42% 05/08/18 5,997,243
6,000,000 VW Credit, Inc.................................................. 2.53% 05/30/18 5,988,096
5,000,000 VW Credit, Inc.................................................. 2.73% 06/25/18 4,979,730
---------------
24,950,466
---------------
CHEMICALS -- 4.1%
5,000,000 Albemarle Corp. .............................................. 2.47% 05/25/18 4,991,998
7,000,000 Cabot Corp...................................................... 2.47% 05/14/18 6,993,928
7,000,000 Cabot Corp...................................................... 2.38% 05/31/18 6,986,466
6,000,000 Dow Chemical (The) Co........................................... 2.47% 05/04/18 5,998,799
5,000,000 Dow Chemical (The) Co........................................... 2.65% 05/22/18 4,992,493
5,000,000 Dow Chemical (The) Co........................................... 2.62% 07/18/18 4,972,473
7,000,000 Eastman Chemical Co............................................. 2.45% 05/08/18 6,996,758
5,000,000 Eastman Chemical Co............................................. 2.43% 05/10/18 4,997,035
7,000,000 EI du Pont de Nemours & Co...................................... 2.42% 06/07/18 6,983,081
6,300,000 FMC Corp........................................................ 2.52% 05/01/18 6,300,000
5,000,000 LyondellBasell Investment LLC................................... 2.31% 05/31/18 4,990,621
7,000,000 LyondellBasell Investment LLC................................... 2.42% 06/19/18 6,977,595
5,000,000 Sherwin-Williams (The) Co....................................... 2.59% 05/07/18 4,997,898
5,000,000 Sherwin-Williams (The) Co....................................... 2.37% 05/16/18 4,995,197
---------------
82,174,342
---------------
COMPUTERS -- 0.8%
5,000,000 HP, Inc......................................................... 2.53% 05/02/18 4,999,658
5,000,000 HP, Inc......................................................... 2.62% 05/10/18 4,996,808
5,000,000 HP, Inc......................................................... 2.65% 05/23/18 4,992,135
---------------
14,988,601
---------------
DIVERSIFIED FINANCIAL SERVICES -- 1.1%
5,000,000 Hitachi Capital America Corp.................................... 2.43% 05/04/18 4,999,012
7,000,000 Hitachi Capital America Corp.................................... 2.45% 05/30/18 6,986,578
5,000,000 Nasdaq, Inc..................................................... 2.62% 05/01/18 5,000,000
5,000,000 Nasdaq, Inc..................................................... 2.65% 05/22/18 4,992,493
---------------
21,978,083
---------------
ELECTRIC -- 5.6%
8,000,000 American Electric Power Co., Inc................................ 2.41% 05/22/18 7,989,033
6,000,000 Commonwealth Edison Co.......................................... 2.47% 05/18/18 5,993,198
5,000,000 Commonwealth Edison Co.......................................... 2.42% 05/24/18 4,992,458
3,075,000 Commonwealth Edison Co.......................................... 2.36% 05/25/18 3,070,284
6,000,000 Dominion Energy, Inc............................................ 2.46% 06/13/18 5,982,863
6,000,000 Duke Energy Corp................................................ 2.31% 05/07/18 5,997,748
5,000,000 Duke Energy Corp................................................ 2.56% 05/23/18 4,992,383
7,000,000 Electricite de France S.A....................................... 2.39% 05/03/18 6,999,094
7,000,000 Electricite de France S.A....................................... 2.41% 06/06/18 6,983,546
</TABLE>

See Notes to Financial Statements Page 7

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

ELECTRIC (CONTINUED)
$ 6,000,000 Entergy Corp.................................................... 2.59% 05/17/18 $ 5,993,274
7,000,000 Florida Power & Light Co........................................ 2.45% 06/05/18 6,983,788
6,000,000 Kentucky Utilities Co........................................... 2.45% 06/18/18 5,980,952
7,000,000 Kentucky Utilities Co........................................... 2.45% 06/27/18 6,973,617
6,000,000 Louisville Gas & Electric Co.................................... 2.47% 06/19/18 5,980,391
5,710,000 Oncor Electric Delivery Co. LLC................................. 2.31% 05/29/18 5,700,006
5,000,000 Oncor Electric Delivery Co. LLC................................. 2.36% 06/26/18 4,982,109
5,000,000 Public Service Electric & Gas Co................................ 2.36% 05/08/18 4,997,762
6,000,000 Southern (The) Co............................................... 2.68% 07/23/18 5,964,027
6,000,000 Southern Co. Funding Corp....................................... 2.43% 05/09/18 5,996,838
---------------
112,553,371
---------------
ELECTRICAL COMPONENT & EQUIPMENT -- 1.1%
5,000,000 Molex Electronic Technologies LLC............................... 2.64% 05/03/18 4,999,285
6,873,000 Molex Electronic Technologies LLC............................... 2.45% - 2.49% 05/08/18 6,869,787
5,560,000 Molex Electronic Technologies LLC............................... 2.62% 05/11/18 5,556,058
5,000,000 Molex Electronic Technologies LLC............................... 2.43% 05/17/18 4,994,731
---------------
22,419,861
---------------
ELECTRONICS -- 1.6%
5,000,000 Arrow Electronics, Inc.......................................... 2.67% 05/01/18 5,000,000
5,000,000 Arrow Electronics, Inc.......................................... 2.67% 05/03/18 4,999,277
7,000,000 Arrow Electronics, Inc.......................................... 2.67% 05/07/18 6,996,963
7,000,000 Arrow Electronics, Inc.......................................... 2.67% 05/09/18 6,995,952
5,000,000 Arrow Electronics, Inc.......................................... 2.67% 05/17/18 4,994,218
3,000,000 Arrow Electronics, Inc.......................................... 2.67% 05/24/18 2,995,015
---------------
31,981,425
---------------
FOOD -- 1.3%
5,000,000 Mondelez International, Inc..................................... 2.40% 05/21/18 4,993,496
5,000,000 Mondelez International, Inc..................................... 2.36% 06/05/18 4,988,818
5,000,000 Mondelez International, Inc..................................... 2.28% 06/12/18 4,987,023
5,000,000 Mondelez International, Inc..................................... 2.21% 06/13/18 4,987,130
6,000,000 Mondelez International, Inc..................................... 2.48% 06/28/18 5,976,699
---------------
25,933,166
---------------
GAS -- 2.7%
5,000,000 CenterPoint Energy Resources Corp............................... 2.31% 05/03/18 4,999,374
5,000,000 CenterPoint Energy Resources Corp............................... 2.18% 05/23/18 4,993,510
4,000,000 CenterPoint Energy Resources Corp............................... 2.37% 05/31/18 3,992,319
6,000,000 CenterPoint Energy Resources Corp............................... 2.59% 06/06/18 5,984,865
8,000,000 Dominion Energy Gas Holdings LLC................................ 2.49% 06/26/18 7,969,878
5,000,000 NiSource, Inc................................................... 2.70% 05/08/18 4,997,450
10,000,000 Questar Gas Co.................................................. 2.39% 06/11/18 9,973,463
4,343,000 Sempra Global................................................... 2.36% 05/18/18 4,338,282
6,000,000 Sempra Global................................................... 2.57% 07/09/18 5,971,242
---------------
53,220,383
---------------
HEALTH CARE PRODUCTS -- 1.3%
7,000,000 Boston Scientific Corp.......................................... 2.67% 05/02/18 6,999,494
6,000,000 Boston Scientific Corp.......................................... 2.67% 05/03/18 5,999,132
5,000,000 Boston Scientific Corp.......................................... 2.62% 05/09/18 4,997,165
7,500,000 Boston Scientific Corp.......................................... 2.65% 05/24/18 7,487,635
---------------
25,483,426
---------------
</TABLE>

Page 8 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

HEALTH CARE SERVICES -- 1.7%
$ 6,700,000 Anthem, Inc..................................................... 2.30% 05/07/18 $ 6,697,498
5,000,000 Cigna Corp...................................................... 2.62% 06/05/18 4,987,592
5,000,000 Cigna Corp...................................................... 2.78% 07/17/18 4,971,111
5,000,000 Humana, Inc..................................................... 2.59% 05/29/18 4,990,200
5,000,000 Humana, Inc..................................................... 2.45% 06/14/18 4,985,452
7,000,000 Humana, Inc..................................................... 2.73% 06/18/18 6,975,253
---------------
33,607,106
---------------
HOME FURNISHINGS -- 0.3%
7,000,000 Whirlpool Corp.................................................. 2.21% - 2.22% 05/21/18 6,991,594
---------------
HOUSEWARES -- 0.6%
5,000,000 Newell Brands, Inc.............................................. 2.57% 05/03/18 4,999,305
6,000,000 Newell Brands, Inc.............................................. 2.59% 05/18/18 5,992,859
---------------
10,992,164
---------------
INSURANCE -- 0.9%
5,000,000 Aon Corp........................................................ 2.36% 05/21/18 4,993,609
6,000,000 Marsh & McLennan Cos., Inc...................................... 2.43% 05/02/18 5,999,605
7,000,000 Marsh & McLennan Cos., Inc...................................... 2.68% 06/29/18 6,970,140
---------------
17,963,354
---------------
LODGING -- 0.8%
6,000,000 Marriott International, Inc..................................... 2.52% 05/02/18 5,999,591
5,000,000 Marriott International, Inc..................................... 2.63% 05/29/18 4,990,071
5,000,000 Marriott International, Inc..................................... 2.40% 06/07/18 4,987,718
---------------
15,977,380
---------------
MEDIA -- 1.6%
5,000,000 Thomson Reuters Corp............................................ 2.11% 05/14/18 4,996,291
5,000,000 Thomson Reuters Corp............................................ 2.37% 05/17/18 4,994,876
5,000,000 Time Warner, Inc................................................ 2.12% 05/16/18 4,995,700
5,000,000 Time Warner, Inc................................................ 2.45% 06/14/18 4,985,454
5,000,000 Time Warner, Inc................................................ 2.73% 06/18/18 4,982,310
7,000,000 Viacom, Inc..................................................... 2.62% 05/04/18 6,998,511
---------------
31,953,142
---------------
MISCELLANEOUS MANUFACTURING -- 0.5%
6,000,000 Parker-Hannifin Corp............................................ 2.36% 06/14/18 5,983,129
5,000,000 Parker-Hannifin Corp............................................ 2.36% 06/21/18 4,983,706
---------------
10,966,835
---------------
OIL & GAS -- 3.7%
8,000,000 Canadian Natural Resources Ltd.................................. 2.54% - 2.62% 05/17/18 7,991,036
5,000,000 Canadian Natural Resources Ltd.................................. 2.52% 05/22/18 4,992,853
10,000,000 Canadian Natural Resources Ltd.................................. 2.52% - 2.68% 05/24/18 9,983,859
7,000,000 Canadian Natural Resources Ltd.................................. 2.73% 05/25/18 6,987,621
6,000,000 Eni Finance USA, Inc............................................ 2.37% 06/04/18 5,986,906
6,000,000 Eni Finance USA, Inc............................................ 2.68% 06/20/18 5,978,307
5,000,000 Eni Finance USA, Inc............................................ 1.80% 07/05/18 4,984,117
7,000,000 Suncor Energy, Inc.............................................. 2.01% 05/01/18 7,000,001
4,000,000 Suncor Energy, Inc.............................................. 2.47% 05/10/18 3,997,598
3,000,000 Suncor Energy, Inc.............................................. 2.19% 05/18/18 2,996,976
3,500,000 Suncor Energy, Inc.............................................. 2.27% 05/24/18 3,495,048
4,000,000 Suncor Energy, Inc.............................................. 2.38% 05/30/18 3,992,542
</TABLE>

See Notes to Financial Statements Page 9

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

OIL & GAS (CONTINUED)
$ 5,000,000 Suncor Energy, Inc.............................................. 2.55% 06/14/18 $ 4,984,835
---------------
73,371,699
---------------
OIL & GAS SERVICES -- 1.3%
7,000,000 FMC Technologies, Inc........................................... 2.47% 05/23/18 6,989,730
7,000,000 FMC Technologies, Inc........................................... 2.36% 05/30/18 6,987,028
6,000,000 Schlumberger Holdings Corp...................................... 2.19% 05/17/18 5,994,309
7,000,000 Schlumberger Holdings Corp...................................... 2.57% 07/16/18 6,963,051
---------------
26,934,118
---------------
PIPELINES -- 5.9%
7,000,000 Enable Midstream Partners, L.P.................................. 2.73% 05/07/18 6,996,902
4,000,000 Enable Midstream Partners, L.P.................................. 2.99% 05/09/18 3,997,419
5,000,000 Enbridge Energy Partners, L.P................................... 2.91% 05/10/18 4,996,460
5,000,000 Enbridge Energy Partners, L.P................................... 2.88% 05/21/18 4,992,218
4,500,000 Enbridge US, Inc................................................ 2.81% 05/02/18 4,499,659
5,000,000 Enbridge US, Inc................................................ 2.86% 05/04/18 4,998,841
6,000,000 Enbridge US, Inc................................................ 2.97% 06/04/18 5,983,670
7,000,000 Energy Transfer, L.P............................................ 2.72% 05/04/18 6,998,454
7,000,000 Energy Transfer, L.P............................................ 2.78% 05/07/18 6,996,848
6,000,000 Energy Transfer, L.P............................................ 2.73% 05/14/18 5,994,257
7,000,000 Energy Transfer, L.P............................................ 2.73% 05/16/18 6,992,270
5,000,000 Enterprise Products Operating LLC............................... 2.39% 05/15/18 4,995,466
5,000,000 Enterprise Products Operating LLC............................... 2.41% 05/18/18 4,994,448
10,000,000 Enterprise Products Operating LLC............................... 2.41% 06/04/18 9,977,801
7,000,000 Plains All American Pipeline, L.P............................... 2.83% 05/03/18 6,998,930
7,500,000 Plains All American Pipeline, L.P............................... 2.99% 05/09/18 7,495,166
7,000,000 TransCanada American Investments Ltd. ......................... 2.57% 06/06/18 6,982,485
7,000,000 TransCanada PipeLines Ltd....................................... 2.41% 05/11/18 6,995,427
5,000,000 TransCanada PipeLines Ltd....................................... 2.36% 06/07/18 4,988,179
---------------
116,874,900
---------------
RETAIL -- 2.5%
8,500,000 AutoNation, Inc................................................. 2.38% 05/01/18 8,500,000
7,000,000 AutoNation, Inc................................................. 2.57% 05/11/18 6,995,136
7,000,000 AutoNation, Inc................................................. 2.57% 05/15/18 6,993,190
5,000,000 Walgreens Boots Alliance, Inc................................... 2.17% 05/14/18 4,996,179
5,000,000 Walgreens Boots Alliance, Inc................................... 2.41% 05/16/18 4,995,102
5,000,000 Walgreens Boots Alliance, Inc................................... 2.17% 05/21/18 4,994,122
5,000,000 Walgreens Boots Alliance, Inc................................... 2.21% 06/11/18 4,987,727
7,000,000 Walgreens Boots Alliance, Inc................................... 2.68% 07/25/18 6,957,021
---------------
49,418,477
---------------
SEMICONDUCTORS -- 0.4%
8,000,000 Lam Research Corp............................................... 2.44% 05/10/18 7,995,237
---------------
TELECOMMUNICATIONS -- 2.5%
5,000,000 Bell Canada, Inc................................................ 2.21% 05/29/18 4,991,623
2,500,000 Bell Canada, Inc................................................ 2.56% 07/11/18 2,487,720
5,000,000 Rogers Communications, Inc...................................... 2.44% 05/01/18 5,000,000
6,500,000 Rogers Communications, Inc...................................... 2.39% 05/15/18 6,494,107
7,000,000 Rogers Communications, Inc...................................... 2.36% 05/22/18 6,990,604
5,000,000 TELUS Corp...................................................... 2.26% 05/24/18 4,992,958
6,000,000 TELUS Corp...................................................... 2.78% 06/25/18 5,975,218
</TABLE>

Page 10 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

TELECOMMUNICATIONS (CONTINUED)
$ 7,000,000 Verizon Communications, Inc..................................... 2.28% 05/10/18 $ 6,996,113
3,000,000 Vodafone Group PLC.............................................. 1.75% 09/04/18 2,982,050
3,000,000 Vodafone Group PLC.............................................. 1.77% 09/13/18 2,980,550
---------------
49,890,943
---------------
TRANSPORTATION -- 1.6%
7,000,000 Kansas City Southern............................................ 2.52% 05/04/18 6,998,570
5,000,000 Kansas City Southern............................................ 2.67% 05/09/18 4,997,109
7,000,000 Ryder System, Inc............................................... 2.47% 05/09/18 6,996,263
7,000,000 Ryder System, Inc............................................... 2.35% 05/29/18 6,987,529
6,000,000 Union Pacific Corp.............................................. 2.36% 05/22/18 5,991,948
---------------
31,971,419
---------------
WATER -- 0.4%
7,000,000 American Water Capital Corp..................................... 2.33% 05/25/18 6,989,405
---------------
TOTAL COMMERCIAL PAPER....................................................................... 926,550,537
(Cost $926,550,537) ---------------
</TABLE>

AEROSPACE/DEFENSE -- 0.2%
2,550,000 Lockheed Martin Corp............................................ 1.85% 11/23/18 2,541,120
715,000 United Technologies Corp., 3 Mo. LIBOR + 0.35% (a).............. 2.12% 11/01/19 718,476
---------------
3,259,596
---------------
AGRICULTURE -- 0.7%
7,500,000 BAT Capital Corp., 3 Mo. LIBOR + 0.59% (a) (b).................. 2.42% 08/14/20 7,537,867
5,800,000 Reynolds American, Inc.......................................... 2.30% 06/12/18 5,798,972
---------------
13,336,839
---------------
AUTO MANUFACTURERS -- 4.6%
330,000 American Honda Finance Corp., Medium-Term Note,
3 Mo. LIBOR + 0.46% (a)...................................... 2.80% 07/13/18 330,374
1,000,000 American Honda Finance Corp., Medium-Term Note,
3 Mo. LIBOR + 0.28% (a)...................................... 2.16% 11/19/18 1,001,366
1,000,000 American Honda Finance Corp., Medium-Term Note,
3 Mo. LIBOR + 0.83% (a)...................................... 2.73% 02/22/19 1,006,079
2,000,000 American Honda Finance Corp., Medium-Term Note,
3 Mo. LIBOR + 0.15% (a)...................................... 1.97% 11/13/19 2,001,656
3,000,000 American Honda Finance Corp., Medium-Term Note,
3 Mo. LIBOR + 0.35% (a)...................................... 2.14% 11/05/21 3,005,633
2,932,000 Daimler Finance North America LLC (b)........................... 2.00% 08/03/18 2,929,048
1,250,000 Daimler Finance North America LLC,
3 Mo. LIBOR + 0.25% (a) (b).................................. 2.04% 11/05/18 1,250,729
1,417,000 Daimler Finance North America LLC,
3 Mo. LIBOR + 0.74% (a) (b).................................. 3.06% 07/05/19 1,426,870
4,000,000 Daimler Finance North America LLC,
3 Mo. LIBOR + 0.62% (a) (b).................................. 2.98% 10/30/19 4,025,113
2,000,000 Daimler Finance North America LLC,
3 Mo. LIBOR + 0.39% (a) (b) (c).............................. 2.75% 05/04/20 2,000,000
1,500,000 Daimler Finance North America LLC,
3 Mo. LIBOR + 0.53% (a) (b).................................. 2.32% 05/05/20 1,508,307
</TABLE>

See Notes to Financial Statements Page 11

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

AUTO MANUFACTURERS (CONTINUED)
$ 4,000,000 Daimler Finance North America LLC,
3 Mo. LIBOR + 0.43% (a) (b).................................. 2.24% 02/12/21 $ 4,010,275
2,000,000 Ford Motor Credit Co. LLC....................................... 2.24% 06/15/18 1,999,446
1,000,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 0.90% (a).............. 3.02% 06/15/18 1,000,992
3,122,000 Ford Motor Credit Co. LLC....................................... 2.55% 10/05/18 3,121,693
1,230,000 Ford Motor Credit Co. LLC, Medium-Term Note..................... 2.94% 01/08/19 1,230,881
1,500,000 Ford Motor Credit Co. LLC, Medium-Term Note,
3 Mo. LIBOR + 1.58% (a)...................................... 3.91% 01/08/19 1,512,529
5,000,000 Ford Motor Credit Co. LLC....................................... 2.38% 03/12/19 4,980,443
4,500,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 0.83% (a).............. 2.90% 03/12/19 4,515,820
1,000,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 0.43% (a).............. 2.21% 11/02/20 997,661
8,530,000 General Motors Co............................................... 3.50% 10/02/18 8,562,027
5,398,000 General Motors Financial Co., Inc............................... 3.25% 05/15/18 5,399,785
1,500,000 General Motors Financial Co., Inc............................... 3.10% 01/15/19 1,503,221
2,000,000 General Motors Financial Co., Inc.,
3 Mo. LIBOR + 2.06% (a)...................................... 4.41% 01/15/19 2,023,950
1,000,000 General Motors Financial Co., Inc.,
3 Mo. LIBOR + 1.45% (a)...................................... 3.25% 05/09/19 1,010,722
2,000,000 General Motors Financial Co., Inc.,
3 Mo. LIBOR + 1.27% (a)...................................... 3.58% 10/04/19 2,025,169
3,000,000 General Motors Financial Co., Inc.,
3 Mo. LIBOR + 0.54% (a)...................................... 2.33% 11/06/20 2,997,148
2,250,000 General Motors Financial Co., Inc.,
3 Mo. LIBOR + 0.99% (a)...................................... 3.31% 01/05/23 2,263,165
4,500,000 Nissan Motor Acceptance Corp.,
3 Mo. LIBOR + 0.52% (a) (b).................................. 2.61% 09/13/19 4,517,955
2,700,000 Nissan Motor Acceptance Corp.,
3 Mo. LIBOR + 0.39% (a) (b).................................. 2.68% 09/28/20 2,705,231
3,000,000 Nissan Motor Acceptance Corp.,
3 Mo. LIBOR + 0.69% (a) (b).................................. 2.98% 09/28/22 3,012,664
500,000 Toyota Motor Credit Corp., 3 Mo. LIBOR + 0.26% (a).............. 2.61% 04/17/20 502,149
1,000,000 Toyota Motor Credit Corp., Medium-Term Note,
3 Mo. LIBOR + 0.44% (a)...................................... 2.80% 10/18/19 1,005,122
4,000,000 Toyota Motor Credit Corp., Medium-Term Note,
3 Mo. LIBOR + 0.28% (a)...................................... 2.62% 04/13/21 4,015,336
6,400,000 Volkswagen Group of America Finance LLC (b)..................... 1.65% 05/22/18 6,397,593
---------------
91,796,152
---------------
BANKS -- 10.1%
3,000,000 Bank of America Corp............................................ 6.50% 07/15/18 3,023,613
296,000 Bank of America Corp., 3 Mo. LIBOR + 1.04% (a).................. 3.39% 01/15/19 298,086
4,289,000 Bank of America Corp., 3 Mo. LIBOR + 0.38% (a).................. 2.74% 01/23/22 4,273,544
2,000,000 Bank of America Corp., Global Medium-Term Note
3 Mo. LIBOR + 0.66% (a)...................................... 3.02% 07/21/21 2,011,670
7,522,000 Bank of America Corp., Medium-Term Note,
3 Mo. LIBOR + 0.87% (a)...................................... 3.18% 04/01/19 7,578,525
5,000,000 Bank of America Corp., Medium-Term Note,
3 Mo. LIBOR + 0.65% (a)...................................... 2.96% 10/01/21 5,028,239
1,000,000 Bank of America Corp., Medium-Term Note,
3 Mo. LIBOR + 1.18% (a)...................................... 3.54% 10/21/22 1,019,988
3,575,000 BB&T Corp., Medium-Term Note,
3 Mo. LIBOR + 0.86% (a)...................................... 2.98% 06/15/18 3,575,972
</TABLE>

Page 12 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

BANKS (CONTINUED)
$ 1,000,000 Branch Banking & Trust Co., Medium-Term Note,
3 Mo. LIBOR + 0.53% (a)...................................... 2.30% 05/01/19 $ 1,003,899
6,000,000 Capital One Financial Corp., 3 Mo. LIBOR + 0.76% (a)............ 2.57% 05/12/20 6,031,510
1,000,000 Capital One Financial Corp., 3 Mo. LIBOR + 0.45% (a)............ 2.81% 10/30/20 997,685
1,000,000 Capital One Financial Corp., 3 Mo. LIBOR + 0.95% (a)............ 3.01% 03/09/22 1,004,168
1,500,000 Capital One N.A................................................. 2.35% 08/17/18 1,499,447
3,860,000 Capital One N.A., 3 Mo. LIBOR + 1.15% (a)....................... 3.03% 08/17/18 3,868,067
3,285,000 Capital One N.A., 3 Mo. LIBOR + 0.77% (a)....................... 2.85% 09/13/19 3,304,714
4,000,000 Citibank N.A., 3 Mo. LIBOR + 0.32% (a).......................... 2.68% 05/01/20 4,004,096
3,000,000 Citibank N.A., 3 Mo. LIBOR + 0.30% (a).......................... 2.66% 10/20/20 3,002,533
3,000,000 Citibank N.A., 3 Mo. LIBOR + 0.35% (a).......................... 2.19% 02/12/21 3,003,256
1,000,000 Citigroup, Inc., 3 Mo. LIBOR + 1.70% (a)........................ 3.54% 05/15/18 1,000,584
6,500,000 Citigroup, Inc., 3 Mo. LIBOR + 0.93% (a)........................ 2.96% 06/07/19 6,546,639
4,675,000 Citigroup, Inc., 3 Mo. LIBOR + 0.79% (a)........................ 3.13% 01/10/20 4,709,325
1,000,000 Citigroup, Inc., 3 Mo. LIBOR + 1.19% (a)........................ 2.97% 08/02/21 1,018,382
2,000,000 Citigroup, Inc., 3 Mo. LIBOR + 1.07% (a)........................ 3.12% 12/08/21 2,031,256
2,000,000 Citigroup, Inc., 3 Mo. LIBOR + 0.96% (a)........................ 3.32% 04/25/22 2,031,751
1,000,000 Citizens Bank N.A./Providence RI,
3 Mo. LIBOR + 0.54% (a)...................................... 2.56% 03/02/20 1,001,333
3,425,000 Citizens Bank N.A./Providence RI,
3 Mo. LIBOR + 0.57% (a)...................................... 2.51% 05/26/20 3,444,667
2,000,000 Citizens Bank N.A./Providence RI, Medium-Term Note.............. 2.30% 12/03/18 1,996,996
7,002,000 Discover Bank................................................... 2.60% 11/13/18 7,000,661
1,500,000 Fifth Third Bank/Cincinnati OH,
3 Mo. LIBOR + 0.59% (a)...................................... 2.88% 09/27/19 1,507,317
2,925,000 Fifth Third Bank/Cincinnati OH, Medium-Term Note................ 2.15% 08/20/18 2,922,010
3,000,000 Goldman Sachs Group, (The), Inc................................. 2.90% 07/19/18 3,003,742
4,500,000 Goldman Sachs Group, (The), Inc.,
3 Mo. LIBOR + 1.04% (a)...................................... 3.40% 04/25/19 4,531,562
3,000,000 Goldman Sachs Group, (The), Inc.,
3 Mo. LIBOR + 0.80% (a)...................................... 2.89% 12/13/19 3,023,650
1,500,000 Goldman Sachs Group, (The), Inc.,
3 Mo. LIBOR + 1.16% (a)...................................... 3.52% 04/23/20 1,522,542
2,000,000 Goldman Sachs Group, (The), Inc.,
3 Mo. LIBOR + 1.20% (a)...................................... 3.32% 09/15/20 2,037,668
4,308,000 Goldman Sachs Group, (The), Inc.,
3 Mo. LIBOR + 1.17% (a)...................................... 3.01% 11/15/21 4,373,755
2,000,000 Goldman Sachs Group, (The), Inc.,
3 Mo. LIBOR + 0.78% (a)...................................... 3.14% 10/31/22 2,008,504
1,600,000 Goldman Sachs Group, (The), Inc.,
3 Mo. LIBOR + 0.75% (a)...................................... 2.56% 02/23/23 1,601,741
5,000,000 Huntington Bancshares, Inc./OH.................................. 2.60% 08/02/18 5,001,370
3,000,000 Huntington National Bank (The).................................. 2.20% 11/06/18 2,994,737
4,500,000 JPMorgan Chase & Co., 3 Mo. LIBOR + 0.84% (a)................... 3.09% 03/22/19 4,527,273
1,000,000 JPMorgan Chase & Co., 3 Mo. LIBOR + 1.21% (a)................... 3.56% 10/29/20 1,021,015
4,500,000 JPMorgan Chase & Co., 3 Mo. LIBOR + 0.55% (a)................... 2.61% 03/09/21 4,520,929
5,000,000 JPMorgan Chase & Co., 3 Mo. LIBOR + 0.68% (a)................... 2.69% 06/01/21 5,031,901
1,000,000 JPMorgan Chase Bank N.A., 3 Mo. LIBOR + 0.45% (a)............... 2.67% 09/21/18 1,001,406
3,500,000 JPMorgan Chase Bank N.A., 3 Mo. LIBOR + 0.59% (a)............... 2.86% 09/23/19 3,522,359
2,562,000 JPMorgan Chase Bank N.A., 3 Mo. LIBOR + 0.29% (a)............... 2.06% 02/01/21 2,565,133
5,000,000 JPMorgan Chase Bank N.A. ,3 Mo. LIBOR + 0.34% (a)............... 2.70% 04/26/21 5,003,944
</TABLE>

See Notes to Financial Statements Page 13

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

BANKS (CONTINUED)
$ 3,300,000 KeyBank N.A./Cleveland OH,
3 Mo. LIBOR + 0.81% (a)...................................... 2.71% 11/22/21 $ 3,335,500
3,000,000 Morgan Stanley, 3 Mo. LIBOR + 0.85% (a)......................... 3.21% 01/24/19 3,015,394
6,000,000 Morgan Stanley, 3 Mo. LIBOR + 1.14% (a)......................... 3.51% 01/27/20 6,084,363
7,000,000 Morgan Stanley, 3 Mo. LIBOR + 0.80% (a)......................... 2.63% 02/14/20 7,025,593
4,625,000 Morgan Stanley, 3 Mo. LIBOR + 1.18% (a)......................... 3.54% 01/20/22 4,696,586
3,000,000 Morgan Stanley, Global Medium-Term Note,
3 Mo. LIBOR + 0.55% (a)...................................... 2.29% 02/10/21 3,010,945
2,000,000 Morgan Stanley, Global Medium-Term Note,
3 Mo. LIBOR + 1.40% (a)...................................... 3.76% 04/21/21 2,056,862
2,000,000 PNC Bank N.A., 3 Mo. LIBOR + 0.36% (a).......................... 2.24% 05/19/20 2,008,587
7,347,000 Regions Bank/Birmingham AL...................................... 2.25% 09/14/18 7,336,462
7,000,000 Regions Bank/Birmingham AL,
3 Mo. LIBOR + 0.38% (a)...................................... 2.69% 04/01/21 7,003,706
2,000,000 US Bank N.A./Cincinnati OH, 3 Mo. LIBOR + 0.32% (a)............. 2.68% 04/26/21 2,002,041
2,000,000 Wells Fargo & Co................................................ 2.15% 01/15/19 1,994,303
1,500,000 Wells Fargo & Co., 3 Mo. LIBOR + 0.93% (a)...................... 2.74% 02/11/22 1,516,064
2,500,000 Wells Fargo & Co., Medium-Term Note,
3 Mo. LIBOR + 0.68% (a)...................................... 3.04% 01/30/20 2,515,802
1,000,000 Wells Fargo Bank N.A., Medium-Term Note,
3 Mo. LIBOR + 0.50% (a)...................................... 2.48% 11/28/18 1,002,742
500,000 Wells Fargo Bank N.A., Medium-Term Note,
3 Mo. LIBOR + 0.65% (a)...................................... 2.68% 12/06/19 503,757
---------------
202,141,871
---------------
BEVERAGES -- 0.3%
3,400,000 Anheuser-Busch InBev Finance, Inc.,
3 Mo. LIBOR + 1.26% (a)...................................... 3.03% 02/01/21 3,503,920
2,000,000 Molson Coors Brewing Co......................................... 1.90% 03/15/19 1,985,619
---------------
5,489,539
---------------
BIOTECHNOLOGY -- 1.3%
2,000,000 Amgen, Inc., 3 Mo. LIBOR + 0.32% (a)............................ 2.13% 05/10/19 2,004,240
5,000,000 Amgen, Inc., 3 Mo. LIBOR + 0.45% (a)............................ 2.26% 05/11/20 5,027,956
6,950,000 Baxalta, Inc., 3 Mo. LIBOR + 0.78% (a).......................... 3.03% 06/22/18 6,954,270
4,000,000 Gilead Sciences, Inc., 3 Mo. LIBOR + 0.17% (a).................. 2.37% 09/20/18 4,000,822
3,815,000 Gilead Sciences, Inc., 3 Mo. LIBOR + 0.22% (a).................. 2.42% 03/20/19 3,819,480
4,000,000 Gilead Sciences, Inc., 3 Mo. LIBOR + 0.25% (a).................. 2.45% 09/20/19 4,007,862
---------------
25,814,630
---------------
BUILDING MATERIALS -- 0.2%
2,000,000 Martin Marietta Materials, Inc.,
3 Mo. LIBOR + 0.50% (a)...................................... 2.70% 12/20/19 2,006,316
2,000,000 Vulcan Materials Co., 3 Mo. LIBOR + 0.60% (a)................... 2.72% 06/15/20 1,997,732
---------------
4,004,048
---------------
CHEMICALS -- 0.2%
2,000,000 Chevron Phillips Chemical Co. LLC / Chevron Phillips
Chemical Co., L.P., 3 Mo. LIBOR + 0.75% (a) (b).............. 2.52% 05/01/20 2,016,103
2,860,000 EI du Pont de Nemours & Co., 3 Mo. LIBOR + 0.53% (a)............ 2.30% 05/01/20 2,868,488
---------------
4,884,591
---------------
COMMERCIAL SERVICES -- 0.2%
4,650,000 Moody's Corp., 3 Mo. LIBOR + 0.35% (a).......................... 2.37% 09/04/18 4,653,531
---------------
</TABLE>

Page 14 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

COMPUTERS -- 0.4%
$ 6,140,000 Hewlett Packard Enterprise Co................................... 2.85% 10/05/18 $ 6,149,229
1,000,000 IBM Credit LLC, 3 Mo. LIBOR + 0.26% (a)......................... 2.62% 01/20/21 1,004,672
---------------
7,153,901
---------------
DIVERSIFIED FINANCIAL SERVICES -- 1.6%
5,000,000 Air Lease Corp.................................................. 3.38% 01/15/19 5,016,309
800,000 American Express Co., 3 Mo. LIBOR + 0.59% (a)................... 2.49% 05/22/18 800,239
4,000,000 American Express Co., 3 Mo. LIBOR + 0.33% (a)................... 2.69% 10/30/20 4,006,102
910,000 American Express Credit Corp.................................... 2.13% 07/27/18 909,450
4,500,000 American Express Credit Corp.,
3 Mo. LIBOR + 0.55% (a)...................................... 2.73% 03/18/19 4,517,391
2,500,000 American Express Credit Corp., Medium-Term Note,
3 Mo. LIBOR + 0.33% (a)...................................... 2.12% 05/03/19 2,503,163
2,000,000 American Express Credit Corp., Medium-Term Note,
3 Mo. LIBOR + 0.57% (a)...................................... 2.93% 10/30/19 2,010,181
3,000,000 Bear Stearns Cos. LLC (The)..................................... 4.65% 07/02/18 3,011,439
2,324,000 International Lease Finance Corp. (b)........................... 7.13% 09/01/18 2,355,363
3,200,000 Nasdaq, Inc., 3 Mo. LIBOR + 0.39% (a)........................... 2.64% 03/22/19 3,205,746
3,000,000 Synchrony Financial............................................. 2.60% 01/15/19 2,995,266
---------------
31,330,649
---------------
ELECTRIC -- 0.7%
1,500,000 Commonwealth Edison Co.......................................... 2.15% 01/15/19 1,496,266
2,000,000 Duke Energy Corp................................................ 2.10% 06/15/18 1,998,940
3,450,000 NextEra Energy Capital Holdings, Inc............................ 1.65% 09/01/18 3,438,723
1,895,000 NextEra Energy Capital Holdings, Inc............................ 2.30% 04/01/19 1,887,862
2,000,000 PSEG Power LLC.................................................. 2.45% 11/15/18 1,995,902
2,500,000 Southern (The) Co., 3 Mo. LIBOR + 0.70% (a) (b)................. 3.01% 09/30/20 2,514,838
---------------
13,332,531
---------------
ENVIRONMENTAL CONTROL -- 0.3%
5,000,000 Republic Services, Inc.......................................... 3.80% 05/15/18 5,002,546
---------------
FOOD -- 0.8%
3,775,000 Kraft Heinz Foods Co............................................ 2.00% 07/02/18 3,771,739
3,765,000 Kroger (The) Co................................................. 2.00% 01/15/19 3,744,205
1,029,000 Mondelez International, Inc., 3 Mo. LIBOR + 0.52% (a)........... 2.29% 02/01/19 1,031,340
4,620,000 Tyson Foods, Inc., 3 Mo. LIBOR + 0.55% (a)...................... 2.57% 06/02/20 4,630,727
3,000,000 Tyson Foods, Inc., 3 Mo. LIBOR + 0.45% (a)...................... 2.34% 08/21/20 3,009,175
---------------
16,187,186
---------------
HEALTH CARE PRODUCTS -- 0.2%
4,411,000 Abbott Laboratories............................................. 2.00% 09/15/18 4,400,422
---------------
HEALTH CARE SERVICES -- 0.7%
1,000,000 Aetna, Inc...................................................... 1.70% 06/07/18 999,320
3,000,000 Aetna, Inc...................................................... 2.20% 03/15/19 2,985,570
5,745,000 Anthem, Inc..................................................... 2.30% 07/15/18 5,743,498
2,800,000 Roche Holdings, Inc., 3 Mo. LIBOR + 0.34% (a) (b)............... 2.64% 09/30/19 2,813,717
1,000,000 UnitedHealth Group, Inc., 3 Mo. LIBOR + 0.07% (a)............... 2.42% 10/15/20 998,803
---------------
13,540,908
---------------
HOUSEWARES -- 0.3%
6,000,000 Newell Brands, Inc.............................................. 2.15% 10/15/18 5,982,572
---------------
</TABLE>

See Notes to Financial Statements Page 15

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

INSURANCE -- 0.8%
$ 1,000,000 Allstate (The) Corp., 3 Mo. LIBOR + 0.43% (a)................... 2.73% 03/29/21 $ 1,003,799
5,655,000 Metropolitan Life Global Funding I,
3 Mo. LIBOR + 0.43% (a) (b).................................. 2.61% 12/19/18 5,669,911
3,000,000 New York Life Global Funding,
3 Mo. LIBOR + 0.52% (a) (b).................................. 2.59% 06/10/22 3,029,926
5,056,000 Prudential Financial, Inc., Medium-Term Note.................... 2.30% 08/15/18 5,054,025
1,351,000 Prudential Financial, Inc., Medium-Term Note,
3 Mo. LIBOR + 0.78% (a)...................................... 2.62% 08/15/18 1,353,438
---------------
16,111,099
---------------
INTERNET -- 0.0%
1,000,000 eBay, Inc., 3 Mo. LIBOR + 0.48% (a)............................. 2.25% 08/01/19 1,002,185
---------------
MACHINERY-CONSTRUCTION & MINING -- 0.1%
1,000,000 Caterpillar Financial Services Corp., Global Medium-Term
Note, 3 Mo. LIBOR + 0.29% (a)................................ 2.31% 09/04/20 1,004,852
1,700,000 Caterpillar Financial Services Corp., Medium-Term Note,
3 Mo. LIBOR + 0.51% (a)...................................... 2.85% 01/10/20 1,712,690
---------------
2,717,542
---------------
MACHINERY-DIVERSIFIED -- 0.3%
7,000,000 Roper Technologies, Inc......................................... 2.05% 10/01/18 6,985,127
---------------
MEDIA -- 0.4%
8,000,000 Discovery Communications LLC,
3 Mo. LIBOR + 0.71% (a)...................................... 2.91% 09/20/19 8,043,413
---------------
OIL & GAS -- 1.5%
1,000,000 ConocoPhillips Co., 3 Mo. LIBOR + 0.33% (a)..................... 2.17% 05/15/18 999,996
6,883,000 ConocoPhillips Co., 3 Mo. LIBOR + 0.90% (a)..................... 2.74% 05/15/22 7,017,960
2,890,000 EOG Resources, Inc.............................................. 6.88% 10/01/18 2,945,059
3,000,000 EQT Corp., 3 Mo. LIBOR + 0.77% (a).............................. 3.08% 10/01/20 3,007,709
3,215,000 Phillips 66, 3 Mo. LIBOR + 0.65% (a) (b)........................ 3.00% 04/15/19 3,216,310
3,250,000 Phillips 66, 3 Mo. LIBOR + 0.75% (a) (b)........................ 3.10% 04/15/20 3,251,509
3,000,000 Phillips 66, 3 Mo. LIBOR + 0.60% (a)............................ 2.61% 02/26/21 3,006,168
6,177,000 Pioneer Natural Resources Co.................................... 6.88% 05/01/18 6,177,000
---------------
29,621,711
---------------
OIL & GAS SERVICES -- 0.4%
5,000,000 Halliburton Co.................................................. 2.00% 08/01/18 4,990,784
2,145,000 Schlumberger Holdings Corp. (b)................................. 2.35% 12/21/18 2,138,446
---------------
7,129,230
---------------
PHARMACEUTICALS -- 1.5%
7,000,000 AbbVie, Inc..................................................... 1.80% 05/14/18 6,998,939
2,000,000 AbbVie, Inc..................................................... 2.00% 11/06/18 1,994,233
5,267,000 Cardinal Health, Inc............................................ 1.95% 06/15/18 5,262,648
3,000,000 CVS Health Corp................................................. 1.90% 07/20/18 2,996,592
2,000,000 CVS Health Corp................................................. 2.25% 12/05/18 1,995,698
9,000,000 CVS Health Corp., 3 Mo. LIBOR + 0.63% (a)....................... 2.69% 03/09/20 9,044,453
2,500,000 Express Scripts Holding Co., 3 Mo. LIBOR + 0.75% (a)............ 2.76% 11/30/20 2,503,286
---------------
30,795,849
---------------
PIPELINES -- 1.4%
8,532,000 Columbia Pipeline Group, Inc.................................... 2.45% 06/01/18 8,530,966
4,791,000 Energy Transfer Partners, L.P................................... 2.50% 06/15/18 4,790,090
</TABLE>

Page 16 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

PIPELINES (CONTINUED)
$ 1,000,000 Enterprise Products Operating LLC............................... 6.50% 01/31/19 $ 1,026,412
3,446,000 Kinder Morgan Energy Partners, L.P.............................. 2.65% 02/01/19 3,444,021
3,000,000 ONEOK Partners, L.P............................................. 3.20% 09/15/18 3,004,702
2,250,000 Spectra Energy Partners, L.P.................................... 2.95% 09/25/18 2,252,424
4,000,000 Spectra Energy Partners, L.P., 3 Mo. LIBOR + 0.70% (a).......... 2.72% 06/05/20 4,032,382
---------------
27,080,997
---------------
RETAIL -- 0.3%
2,000,000 AutoZone, Inc................................................... 1.63% 04/21/19 1,981,194
3,500,000 Dollar Tree, Inc., 3 Mo. LIBOR + 0.70% (a)...................... 3.06% 04/17/20 3,510,525
---------------
5,491,719
---------------
SOFTWARE -- 0.3%
6,765,000 Fidelity National Information Services, Inc..................... 2.85% 10/15/18 6,773,202
---------------
TELECOMMUNICATIONS -- 1.6%
6,831,000 AT&T, Inc., 3 Mo. LIBOR + 0.91% (a)............................. 2.87% 11/27/18 6,858,577
5,000,000 AT&T, Inc., 3 Mo. LIBOR + 0.65% (a)............................. 3.00% 01/15/20 5,032,106
2,000,000 AT&T, Inc., 3 Mo. LIBOR + 0.93% (a)............................. 3.23% 06/30/20 2,025,007
2,000,000 AT&T, Inc., 3 Mo. LIBOR + 0.89% (a)............................. 2.72% 02/14/23 2,020,164
1,000,000 Verizon Communications, Inc.,
3 Mo. LIBOR + 0.37% (a)...................................... 2.21% 08/15/19 1,002,634
9,000,000 Verizon Communications, Inc.,
3 Mo. LIBOR + 0.55% (a)...................................... 2.45% 05/22/20 9,054,011
6,000,000 Verizon Communications, Inc.,
3 Mo. LIBOR + 1.00% (a)...................................... 3.15% 03/16/22 6,131,435
---------------
32,123,934
---------------
TRANSPORTATION -- 0.1%
1,435,000 Ryder System, Inc., Medium-Term Note............................ 2.45% 11/15/18 1,434,431
---------------
TRUCKING & LEASING -- 0.4%
6,000,000 Aviation Capital Group LLC (b).................................. 2.88% 09/17/18 6,007,398
2,730,000 Penske Truck Leasing Co., L.P. / PTL Finance
Corp., SR (b)................................................ 2.88% 07/17/18 2,731,699
---------------
8,739,097
---------------
TOTAL CORPORATE BONDS........................................................................ 636,361,048
(Cost $635,720,448) ---------------

FOREIGN CORPORATE BONDS -- 10.8%

AGRICULTURE -- 0.3%
3,000,000 BAT International Finance PLC,
3 Mo. LIBOR + 0.51% (a) (b).................................. 2.63% 06/15/18 3,000,504
3,890,000 Imperial Brands Finance PLC (b)................................. 2.05% 07/20/18 3,883,440
---------------
6,883,944
---------------
BANKS -- 8.3%
5,650,000 ABN AMRO Bank N.V. (b).......................................... 2.50% 10/30/18 5,658,774
4,000,000 ABN AMRO Bank N.V., 3 Mo. LIBOR + 0.64% (a) (b)................. 3.00% 01/18/19 4,015,868
2,000,000 Australia & New Zealand Banking Group Ltd.,
3 Mo. LIBOR + 0.66% (a) (b).................................. 2.93% 09/23/19 2,014,103
3,000,000 Australia & New Zealand Banking Group Ltd.,
3 Mo. LIBOR + 0.50% (a) (b).................................. 2.38% 08/19/20 3,017,189
500,000 Bank of Montreal, Medium-Term Note,
3 Mo. LIBOR + 0.65% (a)...................................... 3.01% 07/18/19 502,980
</TABLE>

See Notes to Financial Statements Page 17

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

BANKS (CONTINUED)
$ 250,000 Bank of Montreal, Medium-Term Note,
3 Mo. LIBOR + 0.60% (a)...................................... 2.67% 12/12/19 $ 251,600
3,500,000 Bank of Montreal, Medium-Term Note,
3 Mo. LIBOR + 0.46% (a)...................................... 2.80% 04/13/21 3,515,390
2,000,000 Bank of Montreal, Medium-Term Note,
3 Mo. LIBOR + 0.79% (a)...................................... 2.75% 08/27/21 2,022,133
250,000 Bank of Nova Scotia (The), 3 Mo. LIBOR + 0.83% (a).............. 3.18% 01/15/19 251,307
2,390,000 Bank of Nova Scotia (The), 3 Mo. LIBOR + 0.39% (a).............. 2.74% 07/14/20 2,398,159
6,960,000 Bank of Nova Scotia (The), 3 Mo. LIBOR + 0.44% (a).............. 2.80% 04/20/21 6,984,183
1,000,000 Barclays Bank PLC, 3 Mo. LIBOR + 0.46% (a)...................... 2.80% 01/11/21 1,002,356
4,000,000 BNP Paribas / BNP Paribas US, Medium-Term Note.................. 2.70% 08/20/18 4,002,724
500,000 Canadian Imperial Bank of Commerce,
3 Mo. LIBOR + 0.52% (a)...................................... 2.55% 09/06/19 502,208
2,000,000 Commonwealth Bank of Australia,
3 Mo. LIBOR + 0.64% (a) (b).................................. 2.43% 11/07/19 2,011,812
500,000 Commonwealth Bank of Australia,
3 Mo. LIBOR + 0.70% (a) (b).................................. 2.77% 03/10/22 503,913
2,000,000 Commonwealth Bank of Australia,
3 Mo. LIBOR + 0.68% (a) (b).................................. 2.86% 09/18/22 2,011,304
3,000,000 Cooperatieve Rabobank UA/NY,
3 Mo. LIBOR + 0.48% (a)...................................... 2.82% 01/10/23 3,005,525
8,000,000 Credit Agricole S.A./London (b)................................. 2.50% 04/15/19 7,986,150
1,000,000 Credit Agricole S.A./London,
3 Mo. LIBOR + 0.80% (a) (b).................................. 3.15% 04/15/19 1,005,991
1,400,000 Credit Agricole S.A./London,
3 Mo. LIBOR + 0.97% (a) (b).................................. 3.04% 06/10/20 1,419,631
3,000,000 Credit Suisse Group Funding Guernsey Ltd.,
3 Mo. LIBOR + 2.29% (a)...................................... 4.65% 04/16/21 3,152,260
3,000,000 Danske Bank A/S, 3 Mo. LIBOR + 0.58% (a) (b).................... 2.61% 09/06/19 3,016,008
1,200,000 Danske Bank A/S, 3 Mo. LIBOR + 0.51% (a) (b).................... 2.53% 03/02/20 1,205,878
1,833,000 Deutsche Bank AG, 3 Mo. LIBOR + 1.45% (a)....................... 3.81% 01/18/19 1,845,641
2,000,000 Deutsche Bank AG, 3 Mo. LIBOR + 1.91% (a)....................... 3.72% 05/10/19 2,025,132
2,000,000 HSBC Holdings PLC, 3 Mo. LIBOR + 2.24% (a)...................... 4.29% 03/08/21 2,103,605
2,500,000 HSBC Holdings PLC, 3 Mo. LIBOR + 1.50% (a)...................... 3.82% 01/05/22 2,588,635
2,000,000 ING Bank N.V. (b)............................................... 2.30% 03/22/19 1,992,882
3,000,000 ING Bank N.V., 3 Mo. LIBOR + 0.61% (a) (b)...................... 2.45% 08/15/19 3,017,663
5,000,000 Macquarie Bank Ltd., 3 Mo. LIBOR + 1.18% (a) (b)................ 3.53% 01/15/19 5,033,935
4,500,000 Macquarie Group Ltd. (b)........................................ 3.00% 12/03/18 4,508,722
4,000,000 Mitsubishi UFJ Financial Group, Inc.,
3 Mo. LIBOR + 1.06% (a)...................................... 3.15% 09/13/21 4,068,737
1,500,000 Mitsubishi UFJ Financial Group, Inc.,
3 Mo. LIBOR + 0.92% (a)...................................... 2.82% 02/22/22 1,518,767
3,000,000 Mizuho Bank Ltd. (b)............................................ 2.15% 10/20/18 2,993,449
500,000 Mizuho Bank Ltd., 3 Mo. LIBOR + 1.19% (a) (b)................... 3.55% 10/20/18 502,395
4,000,000 Mizuho Financial Group, Inc., 3 Mo. LIBOR + 1.14% (a)........... 3.23% 09/13/21 4,064,571
2,000,000 MUFG Bank Ltd. (b).............................................. 2.70% 09/09/18 2,001,261
250,000 National Australia Bank Ltd.,
3 Mo. LIBOR + 0.59% (a) (b).................................. 2.93% 01/10/20 251,488
4,223,000 National Australia Bank Ltd.,
3 Mo. LIBOR + 0.51% (a) (b).................................. 2.41% 05/22/20 4,243,306
1,000,000 Nordea Bank AB, 3 Mo. LIBOR + 0.62% (a) (b)..................... 2.92% 09/30/19 1,007,261
3,000,000 Nordea Bank AB, 3 Mo. LIBOR + 0.47% (a) (b)..................... 2.45% 05/29/20 3,015,061
</TABLE>

Page 18 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

BANKS (CONTINUED)
$ 500,000 Royal Bank of Canada, Global Medium-Term Note,
3 Mo. LIBOR + 0.71% (a)...................................... 3.06% 04/15/19 $ 502,815
1,000,000 Royal Bank of Canada, Global Medium-Term Note,
3 Mo. LIBOR + 0.48% (a)...................................... 2.84% 07/29/19 1,004,276
2,900,000 Royal Bank of Canada, Global Medium-Term Note,
3 Mo. LIBOR + 0.38% (a)...................................... 2.40% 03/02/20 2,908,675
4,800,000 Royal Bank of Canada, Global Medium-Term Note,
3 Mo. LIBOR + 0.39% (a)...................................... 2.75% 04/30/21 4,808,533
2,200,000 Skandinaviska Enskilda Banken AB,
3 Mo. LIBOR + 0.57% (a) (b).................................. 2.66% 09/13/19 2,211,803
3,000,000 Sumitomo Mitsui Banking Corp.................................... 1.76% 10/19/18 2,989,488
1,000,000 Sumitomo Mitsui Banking Corp.,
3 Mo. LIBOR + 0.54% (a)...................................... 2.88% 01/11/19 1,002,871
4,525,000 Sumitomo Mitsui Banking Corp.,
3 Mo. LIBOR + 0.31% (a)...................................... 2.67% 10/18/19 4,529,232
3,000,000 Sumitomo Mitsui Banking Corp.,
3 Mo. LIBOR + 0.35% (a)...................................... 2.70% 01/17/20 3,003,469
1,000,000 Sumitomo Mitsui Trust Bank Ltd.,
3 Mo. LIBOR + 0.44% (a) (b).................................. 2.62% 09/19/19 1,001,402
3,000,000 Sumitomo Mitsui Financial Group, Inc.,
3 Mo. LIBOR + 0.97% (a)...................................... 3.31% 01/11/22 3,042,082
2,000,000 Sumitomo Mitsui Financial Group, Inc.,
3 Mo. LIBOR + 0.74% (a)...................................... 3.09% 01/17/23 2,007,444
1,000,000 Svenska Handelsbanken AB, Medium-Term Note,
3 Mo. LIBOR + 0.49% (a)...................................... 2.52% 09/06/19 1,004,374
2,000,000 UBS AG/London, 3 Mo. LIBOR + 0.32% (a) (b)...................... 2.30% 05/28/19 2,002,284
7,000,000 UBS AG/London, 3 Mo. LIBOR + 0.58% (a) (b)...................... 2.63% 06/08/20 7,029,849
3,000,000 UBS AG/London, 3 Mo. LIBOR + 0.48% (a) (b)...................... 2.49% 12/01/20 3,005,232
6,000,000 UBS Group Funding Switzerland AG,
3 Mo. LIBOR + 1.78% (a) (b).................................. 4.13% 04/14/21 6,218,987
1,950,000 Westpac Banking Corp., 3 Mo. LIBOR + 0.43% (a).................. 2.37% 05/25/18 1,950,563
350,000 Westpac Banking Corp., 3 Mo. LIBOR + 0.71% (a).................. 2.53% 05/13/19 352,034
3,375,000 Westpac Banking Corp., 3 Mo. LIBOR + 0.34% (a).................. 2.70% 01/25/21 3,380,405
3,000,000 Westpac Banking Corp., 3 Mo. LIBOR + 0.71% (a).................. 3.00% 06/28/22 3,024,179
---------------
165,219,954
---------------
DIVERSIFIED FINANCIAL SERVICES -- 0.4%
8,741,000 LeasePlan Corp. N.V. (b)........................................ 2.50% 05/16/18 8,740,998
---------------
FOOD -- 0.2%
3,000,000 Mondelez International Holdings Netherlands BV,
3 Mo. LIBOR + 0.61% (a) (b).................................. 2.97% 10/28/19 3,013,882
---------------
MISCELLANEOUS MANUFACTURING -- 0.3%
3,000,000 Siemens Financieringsmaatschappij N.V.,
3 Mo. LIBOR + 0.32% (a) (b).................................. 2.41% 09/13/19 3,013,102
2,000,000 Siemens Financieringsmaatschappij N.V.,
3 Mo. LIBOR + 0.34% (a) (b).................................. 2.49% 03/16/20 2,009,873
---------------
5,022,975
---------------
OIL & GAS -- 0.5%
500,000 BP Capital Markets PLC, 3 Mo. LIBOR + 0.35% (a)................. 2.18% 08/14/18 500,465
1,280,000 BP Capital Markets PLC, 3 Mo. LIBOR + 0.63% (a)................. 2.92% 09/26/18 1,283,012
2,000,000 BP Capital Markets PLC, 3 Mo. LIBOR + 0.87% (a)................. 3.02% 09/16/21 2,039,740
</TABLE>

See Notes to Financial Statements Page 19

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

OIL & GAS (CONTINUED)
$ 5,000,000 BP Capital Markets PLC, 3 Mo. LIBOR + 0.65% (a)................. 2.83% 09/19/22 $ 5,069,380
1,440,000 Shell International Finance BV,
3 Mo. LIBOR + 0.35% (a)...................................... 2.42% 09/12/19 1,446,694
479,000 Total Capital International S.A.,
3 Mo. LIBOR + 0.57% (a)...................................... 2.38% 08/10/18 479,824
---------------
10,819,115
---------------
PHARMACEUTICALS -- 0.1%
2,000,000 Allergan Funding SCS, 3 Mo. LIBOR + 1.26% (a)................... 3.33% 03/12/20 2,023,014
---------------
PIPELINES -- 0.5%
5,000,000 Enbridge, Inc., 3 Mo. LIBOR + 0.40% (a)......................... 2.74% 01/10/20 5,001,205
6,000,000 TransCanada PipeLines Ltd., 3 Mo. LIBOR + 0.28% (a)............. 2.11% 11/15/19 6,000,331
---------------
11,001,536
---------------
TELECOMMUNICATIONS -- 0.2%
2,875,000 Deutsche Telekom International Finance BV,
3 Mo. LIBOR + 0.45% (a) (b).................................. 2.63% 09/19/19 2,887,363
1,000,000 Deutsche Telekom International Finance BV,
3 Mo. LIBOR + 0.58% (a) (b).................................. 2.93% 01/17/20 1,003,800
---------------
3,891,163
---------------
TOTAL FOREIGN CORPORATE BONDS................................................................ 216,616,581
(Cost $216,065,822) ---------------

ASSET-BACKED SECURITIES -- 6.3%

ACE Securities Corp. Home Equity Loan Trust
187,953 Series 2005-HE7, Class A1B2,
1 Mo. LIBOR + 0.60% (a)................................... 2.50% 11/25/35 188,264
Aegis Asset Backed Securities Trust
70,687 Series 2005-3, Class M1, 1 Mo. LIBOR + 0.47% (a)............. 2.37% 08/25/35 70,859
Ameriquest Mortgage Securities, Inc.
96,832 Series 2004-R9, Class M2, 1 Mo. LIBOR + 0.98% (a)............ 2.87% 10/25/34 97,666
117,786 Series 2005-R2, Class M2, 1 Mo. LIBOR + 0.72% (a)............ 2.62% 04/25/35 118,219
52,319 Series 2005-R11, Class A2D, 1 Mo. LIBOR + 0.33% (a).......... 2.23% 01/25/36 52,435
BMW Vehicle Lease Trust
5,443,000 Series 2016-2, Class A3...................................... 1.43% 09/20/19 5,414,510
1,950,000 Series 2016-2, Class A4...................................... 1.57% 02/20/20 1,931,097
698,303 Series 2017-1, Class A2...................................... 1.64% 07/22/19 696,666
Citigroup Mortgage Loan Trust
79,776 Series 2005-OPT3, Class M2,
1 Mo. LIBOR + 0.68% (a)................................... 2.57% 05/25/35 80,043
Encore Credit Receivables Trust
693,700 Series 2005-2, Class M2, 1 Mo. LIBOR + 0.69% (a)............. 2.59% 11/25/35 697,544
Ford Credit Auto Lease Trust
5,984,000 Series 2015-A, Class A4...................................... 1.64% 06/15/20 5,963,648
2,385,000 Series 2016-A, Class A4...................................... 1.85% 07/15/19 2,383,955
13,056,000 Series 2017-A, Class A3...................................... 1.88% 04/15/20 12,973,980
6,000,000 Series 2018-A, Class A2A..................................... 2.71% 12/15/20 5,997,878
GM Financial Automobile Leasing Trust
6,218,598 Series 2015-2, Class B....................................... 2.42% 07/22/19 6,218,035
655,205 Series 2015-3, Class A3...................................... 1.69% 03/20/19 654,804
5,030,000 Series 2015-3, Class A4...................................... 1.81% 11/20/19 5,021,207
1,220,000 Series 2015-3, Class B....................................... 2.32% 11/20/19 1,218,274
</TABLE>

Page 20 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

GM Financial Automobile Leasing Trust (Continued)
$ 2,611,817 Series 2016-1, Class A3...................................... 1.64% 07/20/19 $ 2,605,968
4,914,000 Series 2016-1, Class B....................................... 2.59% 03/20/20 4,910,814
3,021,000 Series 2016-1, Class C....................................... 3.24% 03/20/20 3,029,064
6,760,361 Series 2016-2, Class A3...................................... 1.62% 09/20/19 6,735,730
1,815,000 Series 2016-2, Class A4...................................... 1.76% 03/20/20 1,801,987
7,588,000 Series 2016-3, Class A3...................................... 1.61% 12/20/19 7,559,665
4,347,000 Series 2016-3, Class A4...................................... 1.78% 05/20/20 4,311,531
740,601 Series 2017-2, Class A2B, 1 Mo. LIBOR + 0.30% (a)............ 2.20% 01/21/20 741,331
Hyundai Auto Lease Securitization Trust
2,570,000 Series 2016-A, Class B (b)................................... 2.10% 10/15/20 2,565,636
814,555 Series 2017-B, Class A2B,
1 Mo. LIBOR + 0.28% (a) (b)............................... 2.18% 12/16/19 815,304
MASTR Asset Backed Securities Trust
1,066,783 Series 2005-OPT1, Class M2, 1 Mo. LIBOR +
0.63% (a)................................................. 2.53% 03/25/35 1,071,095
Mercedes-Benz Auto Lease Trust
2,675,000 Series 2016-B, Class A4...................................... 1.52% 06/15/22 2,652,744
1,050,000 Series 2017-A, Class A3...................................... 1.79% 04/15/20 1,042,592
4,000,000 Series 2017-A, Class A4...................................... 2.01% 01/17/23 3,962,053
4,830,000 Series 2018-A, Class A2...................................... 2.20% 04/15/20 4,816,853
Nissan Auto Lease Trust
4,576,564 Series 2016-A, Class A3...................................... 1.49% 03/15/19 4,570,238
7,910,000 Series 2016-A, Class A4...................................... 1.65% 10/15/21 7,883,295
34,130 Series 2016-B, Class A2A..................................... 1.26% 12/17/18 34,112
1,950,000 Series 2016-B, Class A4...................................... 1.61% 01/18/22 1,935,271
3,314,000 Series 2017-A, Class A3...................................... 1.91% 04/15/20 3,285,736
Nissan Auto Receivables Owner Trust
1,457,850 Series 2016-A, Class A3...................................... 1.34% 10/15/20 1,447,838
1,927,000 Series 2016-C, Class A3...................................... 1.18% 01/15/21 1,904,555
Option One Mortgage Loan Trust
48,108 Series 2005-5, Class A3, 1 Mo. LIBOR + 0.21% (a)............. 2.11% 12/25/35 48,220
Residential Asset Mortgage Product, Inc.
226,683 Series 2005-EFC1, Class M3,
1 Mo. LIBOR + 0.48% (a)................................... 2.38% 05/25/35 227,496
Structured Asset Investment Loan Trust
193,625 Series 2004-10, Class A7, 1 Mo. LIBOR + 1.06% (a)............ 2.96% 11/25/34 195,571
Wells Fargo Home Equity Trust
63,244 Series 2005-2, Class M4, 1 Mo. LIBOR + 0.81% (a)............. 2.71% 04/25/35 63,510
187,728 Series 2005-3, Class M3, 1 Mo. LIBOR + 0.69% (a)............. 2.59% 11/25/35 188,465
World Omni Automobile Lease Securitization Trust
6,000,000 Series 2018-A, Class A2...................................... 2.59% 11/16/20 5,989,555
---------------
TOTAL ASSET-BACKED SECURITIES................................................................ 126,175,313
(Cost $126,358,690) ---------------

U.S. GOVERNMENT NOTES -- 4.9%

51,000,000 U.S. Treasury Note.............................................. 1.25% 11/15/18 50,776,875
5,500,000 U.S. Treasury Note.............................................. 1.25% 12/31/18 5,467,022
25,000,000 U.S. Treasury Note.............................................. 1.13% 01/31/19 24,798,828
18,000,000 U.S. Treasury Note.............................................. 0.75% 02/15/19 17,793,281
---------------
TOTAL U.S. GOVERNMENT NOTES.................................................................. 98,836,006
(Cost $98,935,843) ---------------
</TABLE>

See Notes to Financial Statements Page 21

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.3%
Federal Home Loan Banks
$ 101,795 Series 2008-1372, Class 1.................................... 4.75% 05/18/18 $ 101,932
Federal Home Loan Mortgage Corporation
10,500 Series 2003-2614, Class BY................................... 4.50% 05/15/18 10,495
2,901 Series 2003-2629, Class AD................................... 4.50% 06/15/18 2,900
49,719 Series 2003-2638, Class AM................................... 4.50% 07/15/18 49,758
4,258 Series 2003-2672, Class NH................................... 4.00% 09/15/18 4,265
26,243 Series 2003-2695, Class DG................................... 4.00% 10/15/18 26,312
177,028 Series 2004-2764, Class UE................................... 5.00% 10/15/32 177,280
11,070 Series 2004-2773, Class HS................................... 4.50% 04/15/19 11,088
69,553 Series 2004-2828, Class JE................................... 4.50% 07/15/19 69,818
48,847 Series 2004-2861, Class BL................................... 4.00% 09/15/19 49,068
125,036 Series 2004-2874, Class BC................................... 5.00% 10/15/19 126,077
65,867 Series 2004-2877, Class JH................................... 4.75% 03/15/19 65,936
152,949 Series 2004-2885, Class PY................................... 4.50% 11/15/19 154,109
227,810 Series 2004-2895, Class EK................................... 4.00% 11/15/19 229,210
218,383 Series 2004-2900, Class PC................................... 4.50% 12/15/19 219,215
20,336 Series 2005-2920, Class HD................................... 4.50% 01/15/20 20,409
245,945 Series 2005-2931, Class DE................................... 4.00% 02/15/20 248,214
24,748 Series 2005-2945, Class HB................................... 5.00% 03/15/20 24,901
55,125 Series 2005-2981, Class BC................................... 4.50% 05/15/20 55,212
116,365 Series 2005-2995, Class JK................................... 4.50% 06/15/20 116,708
6,208 Series 2005-3005, Class GA................................... 4.50% 02/15/20 6,215
111,600 Series 2007-3266, Class D.................................... 5.00% 01/15/22 111,864
40,783 Series 2007-3294, Class DB................................... 4.50% 03/15/22 41,151
106,106 Series 2010-3705, Class CA................................... 3.00% 08/15/20 106,115
57,157 Series 2010-3726, Class DA................................... 2.00% 08/15/20 57,080
4,671,393 Series 2010-3726, Class ND................................... 3.50% 06/15/39 4,692,013
76,121 Series 2010-3755, Class AJ................................... 2.00% 11/15/20 75,574
89,190 Series 2010-3766, Class HE................................... 3.00% 11/15/20 89,168
224,027 Series 2010-3768, Class DE................................... 2.25% 11/15/28 223,919
695,851 Series 2010-3770, Class EB................................... 2.00% 01/15/38 690,966
19,046 Series 2010-3772, Class HE................................... 2.50% 10/15/18 19,035
120,780 Series 2010-3773, Class GK................................... 2.50% 12/15/20 120,350
24,988 Series 2011-3786, Class DA................................... 3.00% 02/15/24 24,979
334,327 Series 2011-3790, Class AP................................... 4.50% 01/15/37 342,022
29,160 Series 2011-3812, Class BE................................... 2.75% 09/15/18 29,157
146,680 Series 2011-3820, Class NA................................... 4.50% 02/15/38 149,276
28,257 Series 2011-3821, Class A.................................... 4.00% 01/15/29 28,383
78,061 Series 2011-3825, Class AB................................... 3.00% 08/15/20 78,088
1,733 Series 2011-3826, Class MB................................... 1.50% 07/15/18 1,731
28,869 Series 2011-3841, Class JK................................... 3.00% 10/15/38 28,940
141,926 Series 2011-3852, Class CA................................... 3.00% 10/15/39 142,006
379,802 Series 2011-3887, Class VA................................... 4.00% 12/15/23 379,915
38,188 Series 2011-3893, Class JA................................... 4.00% 01/15/29 38,220
29,836 Series 2011-3895, Class CD................................... 2.00% 10/15/18 29,815
38,482 Series 2011-3944, Class LB................................... 2.00% 02/15/25 38,433
2,978 Series 2011-3977, Class GA................................... 1.50% 07/15/19 2,967
671,072 Series 2012-4001, Class A.................................... 3.50% 11/15/38 678,110
330,181 Series 2012-4011, Class KM................................... 2.00% 03/15/22 327,763
1,202,560 Series 2014-4305, Class KN................................... 2.50% 03/15/38 1,197,846
</TABLE>

Page 22 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 204,967 Series 2014-4419, Class TB................................... 3.00% 02/15/40 $ 204,813
233,091 Series 2015-4459, Class NC................................... 5.00% 07/15/25 236,532
Federal National Mortgage Association
16,343 Series 2003-81, Class HC..................................... 4.75% 09/25/18 16,347
4,789 Series 2003-120, Class BY.................................... 4.00% 12/25/18 4,792
16,272 Series 2004-27, Class HB..................................... 4.00% 05/25/19 16,324
78,570 Series 2004-79, Class FA, 1 Mo. LIBOR + 0.29% (a)............ 2.19% 08/25/32 78,676
115,458 Series 2004-90, Class LH..................................... 5.00% 04/25/34 116,385
234,688 Series 2004-90, Class XQ..................................... 4.50% 09/25/34 235,636
3,225 Series 2005-110, Class GK.................................... 5.50% 08/25/34 3,238
4,276 Series 2008-18, Class HD..................................... 4.00% 12/25/18 4,277
4,635 Series 2008-51, Class BC..................................... 4.50% 06/25/23 4,642
61,521 Series 2008-53, Class CA..................................... 5.00% 07/25/23 62,254
228,534 Series 2008-59, Class KB..................................... 4.50% 07/25/23 229,516
1,506 Series 2009-11, Class DK..................................... 5.00% 12/25/18 1,505
986,382 Series 2009-14, Class EB..................................... 4.50% 03/25/24 994,037
127,039 Series 2009-52, Class AJ..................................... 4.00% 07/25/24 128,436
26,104 Series 2009-78, Class LE..................................... 4.00% 09/25/19 26,193
43,396 Series 2009-96, Class JA..................................... 3.50% 10/25/24 43,550
27,242 Series 2010-10, Class NB..................................... 3.00% 01/25/39 27,227
2,209 Series 2010-12, Class AC..................................... 2.50% 12/25/18 2,206
611,347 Series 2010-35, Class KA..................................... 4.50% 07/25/38 612,670
27,198 Series 2010-83, Class AJ..................................... 2.75% 11/25/18 27,159
22,849 Series 2010-110, Class AE.................................... 9.75% 11/25/18 23,093
286,055 Series 2010-116, Class AD.................................... 2.00% 08/25/20 284,568
4,022 Series 2010-123, Class HA.................................... 2.50% 03/25/24 4,018
240,171 Series 2010-145, Class MA.................................... 2.00% 12/25/20 238,650
6,431 Series 2010-153, Class AC.................................... 2.00% 11/25/18 6,418
103,572 Series 2011-3, Class EG...................................... 2.00% 05/25/20 103,128
228,189 Series 2011-13, Class AD..................................... 2.00% 07/25/21 226,850
383 Series 2011-15, Class AB..................................... 9.75% 08/25/19 387
79,096 Series 2011-15, Class HT..................................... 5.50% 03/25/26 81,052
1,067,126 Series 2011-36, Class QC..................................... 3.00% 12/25/28 1,068,239
105,120 Series 2011-60, Class UC..................................... 2.50% 09/25/39 104,079
26,828 Series 2011-68, Class AH..................................... 4.50% 12/25/20 27,026
82,090 Series 2011-71, Class KC..................................... 1.75% 08/25/21 81,030
65,967 Series 2011-79, Class AD..................................... 3.00% 11/25/37 66,269
74,073 Series 2011-86, Class DC..................................... 2.00% 09/25/21 73,016
2,267 Series 2011-89, Class LE..................................... 3.00% 03/25/39 2,267
370,120 Series 2011-111, Class DA.................................... 3.00% 12/25/38 370,568
24,499 Series 2011-117, Class DH.................................... 3.00% 06/25/29 24,564
5,144,960 Series 2013-1, Class KC...................................... 2.00% 07/25/40 5,068,616
166,718 Series 2014-76, Class AC..................................... 2.50% 02/25/34 166,920
Government National Mortgage Association
78,827 Series 2000-9, Class FG, 1 Mo. LIBOR + 0.60% (a)............. 2.50% 02/16/30 79,585
38,147 Series 2005-78, Class A...................................... 5.00% 07/16/33 38,460
105,833 Series 2006-17, Class KY..................................... 5.00% 04/20/36 106,224
87,516 Series 2008-6, Class PM...................................... 3.75% 09/20/37 87,575
24,893 Series 2009-10, Class JA..................................... 4.50% 03/16/34 24,919
190,776 Series 2009-10, Class MD..................................... 4.50% 12/16/36 194,566
</TABLE>

See Notes to Financial Statements Page 23

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 62,137 Series 2009-52, Class PA..................................... 5.00% 04/16/39 $ 62,908
127,938 Series 2009-77, Class KC..................................... 4.50% 05/20/38 128,611
6,102 Series 2009-87, Class BD..................................... 3.00% 10/20/38 6,097
141,161 Series 2010-4, Class JC...................................... 3.00% 08/16/39 141,661
10,775 Series 2010-23, Class MH..................................... 4.50% 02/20/38 10,800
18,811 Series 2010-30, Class PN..................................... 4.00% 03/20/38 18,867
6,594 Series 2010-39, Class ME..................................... 4.00% 03/20/38 6,596
20,289 Series 2010-39, Class MG..................................... 4.25% 03/20/38 20,324
69,887 Series 2010-47, Class CL..................................... 4.00% 08/20/38 70,232
118,145 Series 2010-85, Class NK..................................... 3.25% 01/20/38 118,295
171,645 Series 2010-87, Class HE..................................... 3.00% 11/20/38 172,656
25,167 Series 2010-101, Class PG.................................... 2.50% 04/20/38 25,179
25,167 Series 2010-101, Class PL.................................... 3.50% 04/20/38 25,179
103,787 Series 2010-114, Class NJ.................................... 3.00% 04/20/38 103,805
73,787 Series 2010-125, Class BA.................................... 2.08% 05/16/37 73,540
183,712 Series 2010-125, Class TE.................................... 3.00% 06/20/39 184,072
202,686 Series 2010-142, Class AJ.................................... 3.00% 09/20/39 202,601
34,004 Series 2010-164, Class LE.................................... 3.00% 10/20/38 34,013
161,648 Series 2010-164, Class LH.................................... 3.50% 10/20/38 162,205
88,664 Series 2011-21, Class AP..................................... 4.50% 05/20/38 89,407
68,715 Series 2011-21, Class QC..................................... 4.00% 05/20/38 69,008
119,073 Series 2011-24, Class NE..................................... 3.50% 04/20/39 119,504
191,167 Series 2011-37, Class PG..................................... 3.00% 05/20/40 190,730
149,195 Series 2011-40, Class CA..................................... 3.00% 12/16/25 149,672
150,782 Series 2011-115, Class PD.................................... 2.00% 10/20/38 150,325
330,880 Series 2014-180, Class PA.................................... 2.50% 04/20/43 328,419
---------------
25,807,216
---------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.0%
Government National Mortgage Association
24,728 Series 2014-28, Class A...................................... 2.00% 01/16/46 24,359
---------------
PASS-THROUGH SECURITIES -- 0.2%
Federal Home Loan Mortgage Corporation
5,688 Pool B18688.................................................. 5.00% 02/01/20 5,722
17,053 Pool E01591.................................................. 5.50% 02/01/19 17,145
603 Pool E99249.................................................. 5.50% 09/01/18 604
11,664 Pool E99582.................................................. 5.00% 09/01/18 11,733
142,099 Pool G11728.................................................. 5.50% 02/01/20 144,111
112,263 Pool G11777.................................................. 5.00% 10/01/20 114,517
48,477 Pool G11879.................................................. 5.00% 10/01/20 49,344
151,274 Pool G11902.................................................. 5.00% 08/01/20 154,185
143,654 Pool G11966.................................................. 5.50% 11/01/20 146,477
9,574 Pool G12255.................................................. 5.50% 07/01/21 9,859
87,598 Pool G13204.................................................. 6.00% 11/01/22 90,739
98,165 Pool G13235.................................................. 4.50% 08/01/20 99,066
37,403 Pool G13395.................................................. 4.50% 12/01/19 37,688
39,689 Pool G13761.................................................. 5.50% 12/01/20 40,205
37,499 Pool G14075.................................................. 4.50% 08/01/18 37,785
440,721 Pool G15821.................................................. 5.00% 07/01/25 448,244
52,933 Pool G18010.................................................. 5.50% 09/01/19 53,679
229,695 Pool J02535.................................................. 5.00% 09/01/20 233,107
</TABLE>

Page 24 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association
$ 1,379 Pool 723399.................................................. 4.50% 09/01/18 $ 1,390
22,686 Pool 725445.................................................. 4.50% 05/01/19 22,864
24,792 Pool 725793.................................................. 5.50% 09/01/19 25,052
36,116 Pool 725934.................................................. 5.00% 11/01/19 36,704
109,778 Pool 735646.................................................. 4.50% 07/01/20 110,655
4,193 Pool 739798.................................................. 4.50% 09/01/18 4,226
517,320 Pool 745735.................................................. 5.00% 03/01/21 528,816
50,781 Pool 773440.................................................. 5.00% 07/01/19 51,608
7,005 Pool 775019.................................................. 4.50% 05/01/19 7,060
78,261 Pool 847919.................................................. 5.50% 11/01/20 79,896
7,051 Pool 889191.................................................. 4.50% 04/01/21 7,106
14,641 Pool 889847.................................................. 4.50% 04/01/21 14,756
100,779 Pool 898044.................................................. 4.50% 12/01/20 101,586
351,380 Pool 962078.................................................. 4.50% 03/01/23 364,630
11,223 Pool AL0217.................................................. 5.00% 11/01/18 11,405
23,804 Pool AL8539.................................................. 4.50% 01/01/27 23,990
72,822 Pool MA0772.................................................. 4.00% 06/01/21 74,745
Government National Mortgage Association
37,461 Pool 781783.................................................. 5.50% 08/15/19 37,905
121,774 Pool 781820.................................................. 5.00% 11/15/19 123,397
131,866 Pool 783524.................................................. 5.00% 09/15/24 137,655
---------------
3,459,656
---------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES...................................... 29,291,231
(Cost $29,630,083) ---------------

CERTIFICATES OF DEPOSIT -- 0.3%

BANKS -- 0.3%
5,000,000 Intesa Sanpaolo SpA/New York NY,
3 Mo. LIBOR + 0.63% (a)...................................... 2.98% 07/17/19 5,003,833
---------------
TOTAL CERTIFICATES OF DEPOSIT................................................................ 5,003,833
(Cost $5,000,000) ---------------

MORTGAGE-BACKED SECURITIES -- 0.0%

COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.0%
RBSSP Resecuritization Trust
140,760 Series 2009-12, Class 20A1 (b) (d)........................... 3.52% 12/25/35 142,641
Wells Fargo Mortgage Loan Trust
179,770 Series 2010-RR1, Class 1A1 (b) (d)........................... 3.44% 02/27/37 180,823
---------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................. 323,464
(Cost $322,232) ---------------

TOTAL INVESTMENTS -- 102.1%.................................................................. 2,039,158,013
(Cost $2,038,583,655) (e)
NET OTHER ASSETS AND LIABILITIES -- (2.1)%................................................... (41,504,340)
---------------
NET ASSETS -- 100.0%......................................................................... $ 1,997,653,673
===============
</TABLE>

See Notes to Financial Statements Page 25

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

-----------------------------

(a) Floating or variable rate security.

(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, 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 (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 April 30, 2018, securities noted as such
amounted to $192,227,839 or 9.6% of net assets.

(c) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Trust's Board of Trustees, and
in accordance with the provisions of the Investment Company Act of 1940,
as amended. At April 30, 2018, securities noted as such are valued at
$2,000,000 or 0.1% of net assets.

(d) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.

(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of April 30, 2018, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $1,695,469 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $1,121,111. The net unrealized appreciation was
$574,358.

LIBOR - London Interbank Offered Rate

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of April 30,
2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
4/30/2018 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Commercial Paper*.................................. $ 926,550,537 $ -- $ 926,550,537 $ --
Corporate Bonds*................................... 636,361,048 -- 636,361,048 --
Foreign Corporate Bonds*........................... 216,616,581 -- 216,616,581 --
Asset-Backed Securities............................ 126,175,313 -- 126,175,313 --
U.S. Government Notes.............................. 98,836,006 -- 98,836,006 --
U.S. Government Agency Mortgage-Backed
Securities...................................... 29,291,231 -- 29,291,231 --
Certificates of Deposit*........................... 5,003,833 -- 5,003,833 --
Mortgage-Backed Securities......................... 323,464 -- 323,464 --
-------------- -------------- -------------- --------------
Total Investments.................................. $2,039,158,013 $ -- $2,039,158,013 $ --
============== ============== ============== ==============
</TABLE>

* See Portfolio of Investments for industry breakout.

All transfers in and out of the Levels during the period are assumed to occur on
the last day of the period at their current value. There were no transfers
between Levels at April 30, 2018.

Page 26 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at value..................................................... $2,039,158,013
Cash...................................................................... 303,887
Receivables:
Capital shares sold.................................................... 2,999,504
Interest............................................................... 4,391,675
Reclaims............................................................... 2,778
--------------
Total Assets........................................................... 2,046,855,857
--------------
LIABILITIES:
Payables:
Investment securities purchased ....................................... 48,804,164
Investment advisory fees............................................... 398,020
--------------
Total Liabilities...................................................... 49,202,184
--------------
NET ASSETS................................................................ $1,997,653,673
==============
NET ASSETS CONSIST OF:
Paid-in capital........................................................... $1,998,903,145
Par value................................................................. 332,997
Accumulated net investment income (loss).................................. 720,514
Accumulated net realized gain (loss) on investments....................... (2,877,341)
Net unrealized appreciation (depreciation) on investments................. 574,358
--------------
NET ASSETS................................................................ $1,997,653,673
==============
NET ASSET VALUE, per share................................................ $ 59.99
==============
Number of shares outstanding (unlimited number of shares authorized,
par value $0.01 per share)............................................. 33,299,724
==============
Investments, at cost...................................................... $2,038,583,655
==============
</TABLE>

See Notes to Financial Statements Page 27

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Interest.................................................................. $ 15,003,241
--------------
Total investment income................................................ 15,003,241
--------------
EXPENSES:
Investment advisory fees.................................................. 3,320,620
Excise tax................................................................ 22,759
--------------
Total expenses......................................................... 3,343,379
Less fees waived by the investment advisor............................. (1,192,636)
--------------
Net expenses........................................................... 2,150,743
--------------
NET INVESTMENT INCOME (LOSS).............................................. 12,852,498
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments................................ (13,469)
Net change in unrealized appreciation (depreciation) on investments.... (609,666)
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................... (623,135)
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................................ $ 12,229,363
==============
</TABLE>

Page 28 See Notes to Financial Statements

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
4/30/2018 ENDED
(UNAUDITED) 10/31/2017
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss).............................................. $ 12,852,498 $ 10,791,745
Net realized gain (loss).................................................. (13,469) 271,159
Net change in unrealized appreciation (depreciation)...................... (609,666) 1,151,667
-------------- --------------
Net increase (decrease) in net assets resulting from operations........... 12,229,363 12,214,571
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................................... (12,920,110) (10,999,531)
-------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................................. 918,061,814 815,629,647
Cost of shares redeemed................................................... (78,041,632) (116,933,051)
-------------- --------------
Net increase (decrease) in net assets resulting from shareholder
transactions........................................................... 840,020,182 698,696,596
-------------- --------------
Total increase (decrease) in net assets................................... 839,329,435 699,911,636

NET ASSETS:
Beginning of period....................................................... 1,158,324,238 458,412,602
-------------- --------------
End of period............................................................. $1,997,653,673 $1,158,324,238
============== ==============
Accumulated net investment income (loss) at end of period................. $ 720,514 $ 788,126
============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................................... 19,299,724 7,649,724
Shares sold............................................................... 15,300,000 13,600,000
Shares redeemed........................................................... (1,300,000) (1,950,000)
-------------- --------------
Shares outstanding, end of period......................................... 33,299,724 19,299,724
============== ==============
</TABLE>

See Notes to Financial Statements Page 29

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)

FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, PERIOD
4/30/2018 ------------------------------------------------ ENDED
(UNAUDITED) 2017 2016 2015 10/31/2014 (a)(b)
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period......... $ 60.02 $ 59.93 $ 59.94 $ 60.04 $ 60.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)................. 0.49 0.76 0.47 0.43 0.06
Net realized and unrealized gain (loss)...... (0.01) 0.12 0.09 (0.26) 0.04
---------- ---------- ---------- ---------- ----------
Total from investment operations............. 0.48 0.88 0.56 0.17 0.10
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income........................ (0.51) (0.79) (0.57) (0.27) (0.06)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period............... $ 59.99 $ 60.02 $ 59.93 $ 59.94 $ 60.04
========== ========== ========== ========== ==========
TOTAL RETURN (c)............................. 0.80% 1.48% 0.94% 0.29% 0.16%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)......... $1,997,654 $1,158,324 $ 458,413 $ 149,829 $ 567,353
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets.................................... 0.45% (d) 0.45% 0.45% 0.45% 0.45% (d)
Ratio of net expenses to average net assets.. 0.29% (d) 0.25% 0.25% 0.23% 0.26% (d)
Ratio of net investment income (loss) to
average net assets........................ 1.74% (d) 1.33% 1.06% 0.51% 0.64% (d)
Portfolio turnover rate (e).................. 23% 56% 115% 406% 0%
</TABLE>

(a) Inception date is August 5, 2014, which is consistent with the
commencement of investment operations and is the date the initial creation
units were established.

(b) All per share amounts and net asset values have been adjusted to reflect
the impact of the 1-for-2 reverse share split on November 10, 2014. The
net asset value reported on October 31, 2014 prior to the reverse share
split restatement was $30.02.

(d) Annualized.

Page 30 See Notes to Financial Statements

<PAGE>

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

1. ORGANIZATION

The Trust currently consists of eight funds that are offering shares. This
report covers the First Trust Enhanced Short Maturity ETF (the "Fund"), a
non-diversified series of the Trust, which trades under the ticker "FTSM" on The
Nasdaq Stock Market LLC ("Nasdaq"). Unlike conventional mutual funds, the Fund
issues and redeems shares on a continuous basis, at net asset value ("NAV"),
only in large specified blocks consisting of 50,000 shares called a "Creation
Unit." Creation Units are generally issued and redeemed for cash and, in certain
circumstances, in-kind for securities in which the Fund invests, and only to and
from broker-dealers and large institutional investors that have entered into
participation agreements. Except when aggregated in Creation Units, the Fund's
shares are not redeemable securities.

The Fund is an actively managed exchange-traded fund ("ETF"). The Fund's
investment objective is to seek current income, consistent with preservation of
capital and daily liquidity. Under normal market conditions, the Fund will
invest at least 80% of its net assets in a portfolio of U.S. dollar-denominated
fixed- and variable-rate instruments (collectively, "Fixed Income Securities")
issued by U.S. and non-U.S. public and private sector entities. Fixed Income
Securities will include the following types of fixed- and variable-rate debt
securities: corporate and government bonds and notes; agency securities;
instruments of non-U.S. issuers in developed markets; privately issued
securities; asset-backed securities; mortgage-related securities; municipal
bonds and money market securities. The Fund may also invest in investment
companies, such as ETFs, that invest in primarily Fixed Income Securities. The
Fund will limit its investments in asset-backed securities and non-agency
mortgage-backed securities (in the aggregate) to 20% of its net assets. The Fund
may also invest up to 20% of its net assets in floating rate loans. The floating
rate loans will represent amounts borrowed by companies or other entities from
banks and other lenders and a significant portion of such floating rate loans
may be rated below investment grade or unrated. Floating rate loans held by the
Fund may be senior or subordinate obligations of the borrower and may or may not
be secured by collateral. Under normal market conditions, the Fund's average
duration is expected to be below one year and the average maturity of the Fund's
portfolio is expected to be below three years.

2. SIGNIFICANT ACCOUNTING POLICIES

A. PORTFOLIO VALUATION

The Fund's 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. If the NYSE closes early on a valuation day, the NAV
is determined as of that time. Domestic debt securities and foreign securities
are priced using data reflecting the earlier closing of the principal markets
for those securities. The Fund's 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 the 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 Portfolio of Investments. The Fund's investments are valued as
follows:

Corporate bonds, corporate notes, municipal securities, U.S. government
securities, mortgage-backed securities, asset-backed securities and other
debt securities are fair valued on the basis of valuations provided by
dealers who make markets in such securities or by a third-party pricing
service approved by the Trust's Board of Trustees, which may use the
following valuation inputs when available:

Page 31

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.

Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.

Commercial paper, fixed income and other debt securities having a
remaining maturity of sixty 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 fundamental business data relating to the borrower/issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the borrower/issuer;
5) the credit quality and cash flow of the borrower/issuer, based on
the Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities of the
borrower/issuer, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the borrower/issuer, including any ability
to obtain money or resources from a parent or affiliate and an
assessment of the borrower's/issuer's management (for corporate debt
only);
11) the prospects for the borrower's/issuer's industry, and multiples
(of earnings and/or cash flows) being paid for similar businesses in
that industry (for corporate debt only);
12) the borrower's/issuer's competitive position within the industry;
13) the borrower's/issuer's ability to access additional liquidity
through public and/or private markets; and
14) other relevant factors.

Page 32

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

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 Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded using the effective interest method.

C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Dividends from net investment income, if any, are declared and paid monthly by
the Fund. The Fund distributes its net realized capital gains, if any, to
shareholders at least annually.

Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Fund and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.

The tax character of distributions paid during the fiscal year ended October 31,
2017 was as follows:

Distributions paid from:
Ordinary income................................. $ 10,999,531
Capital gains................................... --
Return of capital............................... --

As of October 31, 2017, the components of distributable earnings on a tax basis
for the Fund were as follows:

Undistributed ordinary income................... $ 788,126
Accumulated capital and other gain (loss)....... (2,855,874)
Net unrealized appreciation (depreciation)...... 1,176,026

Page 33

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

D. INCOME TAXES

The Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
The Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At October 31, 2017, the
Fund had $2,855,874 of non-expiring capital loss carryforwards that may be
carried forward indefinitely.

E. EXPENSES

Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).

F. NEW AND AMENDED FINANCIAL REPORTING RULES AND FORMS

On October 13, 2016, the SEC adopted new rules and forms, and amended existing
rules and forms. The new and amended rules and forms are intended to modernize
the reporting of information provided by funds and to improve the quality and
type of information that funds provide to the SEC and investors. In part, the
new and amended rules and forms amend Regulation S-X and require standardized,
enhanced disclosures about derivatives in a fund's financial statements, as well
as other amendments. The compliance date for the amendments of Regulation S-X
was August 1, 2017, which resulted in additional disclosure for variable
interest rate securities within the Portfolio of Investments. The new form types
and other rule amendments will be effective for the First Trust funds, including
the Fund, for reporting periods beginning on and after June 1, 2018. Management
is evaluating the new form types and other rule amendments that are effective on
and after June 1, 2018 to determine the impact to the Fund.

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Fund, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in the Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Fund.

Pursuant to the Investment Management Agreement between the Trust and Advisor,
First Trust manages the investment of the Fund's assets and is responsible for
the Fund's expenses, including the cost of transfer agency, custody, fund
administration, legal, audit and other services, but excluding fee payments
under the Investment Management Agreement, interest, taxes, acquired fund fees
and expenses with the exception of those attributable to affiliated funds,
brokerage commissions and other expenses connected with the execution of
portfolio transactions, distribution and service fees pursuant to a 12b-1 plan,
if any, and extraordinary expenses. The Fund has agreed to pay First Trust an
annual unitary management fee equal to 0.45% of its average daily net assets.
Pursuant to a contractual agreement, First Trust has agreed to waive management
fees of 0.10% of average daily net assets until March 1, 2019 and, pursuant to a
separate contractual agreement, First Trust waived an additional 0.10% of
average daily net assets until March 1, 2018. The waiver agreement may be
terminated by action of the Trust's Board of Trustees at any time upon 60 days'
written notice by the Trust on behalf of the Fund or by the Fund's investment
advisor only after March 1, 2019. Pursuant to a contractual agreement between
the Trust, on behalf of the Fund, and First Trust, the management fees paid to
First Trust will be reduced by the portion of the management fees earned by
First Trust from the Fund for assets invested in other investment companies
advised by First Trust. This contractual agreement shall continue until the
earlier of (i) its termination at the direction of the Trust's Board of Trustees

Page 34

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

or (ii) upon termination of the Fund's management agreement with First Trust;
however, it is expected to remain in place at least until March 1, 2019. First
Trust does not have the right to recover the fees waived that are attributable
to the assets invested in other investment companies advised by First Trust.

Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen will rotate every three years. The officers and "Interested" Trustee
receive no compensation from the Trust for acting in such capacities.

4. PURCHASES AND SALES OF SECURITIES

The cost of purchases of U.S. Government securities and non-U.S. Government
securities, excluding short-term investments, for the six months ended April 30,
2018, were $38,324,643 and $375,126,036, respectively. The proceeds from sales
and paydowns of U.S. Government securities and non-U.S. Government securities,
excluding short-term investments, for the six months ended April 30, 2018, were
$29,565,028 and $132,341,318, respectively.

For the six months ended April 30, 2018, the Fund had no in-kind transactions.

5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES

6. DISTRIBUTION PLAN

Page 35

<PAGE>

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

the sale of Creation Units or the provision of investor services. FTP may also
use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before March 31, 2019.

7. INDEMNIFICATION

8. SUBSEQUENT EVENTS

Page 36

<PAGE>

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how the Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30
will be available (1) without charge, upon request, by calling (800) 988-5891;
(2) on the Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.

PORTFOLIO HOLDINGS

RISK CONSIDERATIONS

The following summarizes some of the risks that should be considered for the
Fund.

ASSET-BACKED AND MORTGAGE-RELATED SECURITIES RISK. The risk of investing in
mortgage-related and other asset-backed securities includes, but is not limited
to, interest rate risk, extension risk and prepayment risk. Generally, rising
interest rates tend to extend the duration of fixed rate mortgage-related
securities, making them more sensitive to changes in interest rates. Extension
risk is prevalent when in a period of rising interest rates, the Fund holds
mortgage-related securities and such securities exhibit additional volatility.
Prepayment risk is prevalent when in a period of declining interest rates,
borrowers may pay off their mortgages sooner than expected. Prepayments can
reduce the returns of the Fund because the Fund may have to reinvest that money
at the lower prevailing interest rates. The Fund's investments in asset-backed
securities are subject to risks similar to those associated with
mortgage-related securities, as well as additional risks associated with the
nature of the assets and the servicing of those assets.

CASH TRANSACTIONS RISK. The Fund will, under most circumstances, effect a
significant portion of creations and redemptions for cash, rather than in-kind
securities. As a result, an investment in the Fund may be less tax-efficient
than an investment in an ETF that effects its creations and redemptions for
in-kind securities. Because the Fund may effect a portion of redemptions for
cash, it may be required to sell portfolio securities in order to obtain the
cash needed to distribute redemption proceeds. A sale of shares may result in
capital gains or losses and may also result in higher brokerage costs.

Page 37

<PAGE>

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

FIXED INCOME SECURITIES RISK. An investment in the Fund involves risk associated
with an investment in fixed income securities including the risk that certain of
the securities in the Fund may not have the benefit of covenants that would
prevent the issuer from engaging in capital restructurings or borrowing
transactions in connection with corporate acquisitions, leveraged buyouts or
restructurings. This limitation could reduce the ability of the issuer to meet
its payment obligations and might result in increased credit risk. In addition,
certain of the securities may be redeemed or prepaid by the issuer, resulting in
lower interest payments received by the Fund and reduced distributions to
shareholders.

FLOATING RATE LOAN RISK. An investment in floating rate loans subjects the Fund
to credit risk, which is heightened for loans in which the Fund invests because
companies that issue such loans tend to be highly leveraged and thus are more
susceptible to the risks of interest deferral, default and/or bankruptcy. The
loans are usually rated below investment grade but may also be unrated. An
economic downturn would generally lead to a higher non-payment rate, and a loan
may lose significant market value before a default occurs. Moreover, any
specific collateral used to secure a loan may decline in value or become
illiquid, which would adversely affect the loan's value. Unlike the securities
markets, there is no central clearinghouse for loan trades, and the loan market
has not established enforceable settlement standards or remedies for failure to
settle. Therefore, portfolio transactions in loans may have uncertain settlement
time periods. Loans are subject to a number of risks described elsewhere in this
prospectus, including liquidity risk and the risk of investing in below
investment grade debt instruments. Floating rate loans are subject to prepayment
risk. The degree to which borrowers prepay loans, whether as a contractual
requirement or at their election, may be affected by general business
conditions, the financial condition of the borrower and competitive conditions
among loan investors, among others. As such, prepayments cannot be predicted
with accuracy. Upon a prepayment, either in part or in full, the actual
outstanding debt on which the Fund derives interest income will be reduced. The
Fund may not be able to reinvest the proceeds received on terms as favorable as
the prepaid loan.

Page 38

<PAGE>

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

INCOME RISK. If interest rates fall, the income from the Fund's portfolio will
likely decline if the Fund holds securities that adjust lower with falling
interest rates.

INTEREST RATE RISK. Interest rate risk is the risk that the value of the fixed
income securities in the Fund's portfolio will decline because of rising market
interest rates. Interest rate risk is generally lower for shorter term fixed
income securities and higher for longer term fixed income securities. Duration
is a measure of the expected price volatility of a debt security as a result of
changes in market rates of interest, based on, among other factors, the weighted
average timing of the fixed income security's expected principal and interest
payments. In general, duration represents the expected percentage change in the
value of a security for an immediate 1% change in interest rates. Therefore,
prices of fixed income securities with shorter durations tend to be less
sensitive to interest rate changes than fixed income securities with longer
durations. As the value of a fixed income security changes over time, so will
its duration. Mortgage-related securities are particularly subject to the risk
that interest rate volatility may adversely impact the valuation and price of
such securities.

INVESTMENT COMPANIES RISK. The Fund may invest in the shares of other investment
companies, and therefore, the Fund's investment performance and risks may be
related to the investment performance and risks of the underlying funds. In
general, as a shareholder in other investment companies, the Fund bears its
ratable share of the underlying Fund's expenses, and would be subject to
duplicative expenses to the extent the Fund invests in other investment
companies. Pursuant to a contractual agreement, the Fund's investment advisor
has agreed to reduce the management fee paid by the Fund by the proportional
amount of the acquired fund fees and expenses of the shares of investment
companies held by the Fund so that the Fund would not bear the indirect costs of
holding them, provided, that, the investment companies are advised by the Fund's
investment advisor.

Page 39

<PAGE>

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM)
APRIL 30, 2018 (UNAUDITED)

SOVEREIGN DEBT RISK. Investments in sovereign bonds involve special risks
because the governmental authority that controls the repayment of the debt may
be unwilling or unable to repay the principal and/or interest when due in
accordance with the terms of such securities; the availability of sufficient
foreign exchange on the date a payment is due; the relative size of the debt
service burden to the economy as a whole; or the government debtor's policy
towards the International Monetary Fund and the political constraints to which a
government debtor may be subject. If an issuer of sovereign bonds defaults on
payments of principal and/or interest, the Fund may have limited legal recourse
against the issuer and/or guarantor. In certain cases, remedies must be pursued
in the courts of the defaulting party itself, and the Fund's ability to obtain
recourse may be limited. In times of economic uncertainty, the prices of these
securities may be more volatile than those of corporate debt obligations or of
other government debt obligations.

VOLATILITY RISK. The market price and net asset value of the Fund's shares and
the Fund's yield will change daily. There may be instances when the Fund will
experience large in-flows and out-flows, which will significantly alter the
Fund's size. At times, these fluctuations may negatively impact the Fund's
yield, result in increased transaction costs for the Fund and contribute to the
overall volatility of the Fund. The risk will be more prevalent when the Fund is
smaller in size, such as during the Fund's invest-up period. An investor may
lose money by investing in this Fund because this Fund is not a money market
fund and may experience significant fluctuations in its net asset value.

Page 40

<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603

<PAGE>

[BLANK BACK COVER]

<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

--------------------------------------------------------------------------------

First Trust Strategic Income
ETF (FDIV)

Semi-Annual Report
For the Six Months Ended
April 30, 2018

<PAGE>

--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
SEMI-ANNUAL REPORT
APRIL 30, 2018

Shareholder Letter........................................................... 1
Fund Performance Overview.................................................... 2
Portfolio Management......................................................... 4
Understanding Your Fund Expenses............................................. 5
Portfolio of Investments..................................................... 6
Statement of Assets and Liabilities.......................................... 14
Statement of Operations...................................................... 15
Statements of Changes in Net Assets.......................................... 16
Financial Highlights......................................................... 17
Notes to Financial Statements................................................ 18
Additional Information....................................................... 29

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and/or First Trust Global Portfolios Ltd. ("FTGP");
Energy Income Partners, LLC ("EIP"); Stonebridge Advisors LLC ("Stonebridge");
and/or Richard Bernstein Advisors LLC ("RBA") (each, a "Sub-Advisor" and
together, the "Sub-Advisors") and their respective representatives, taking into
account the information currently available to them. Forward-looking statements
include all statements that do not relate solely to current or historical fact.
For example, forward-looking statements include the use of words such as
"anticipate," "estimate," "intend," "expect," "believe," "plan," "may,"
"should," "would" or other words that convey uncertainty of future events or
outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the series of First Trust Exchange-Traded Fund IV (the "Trust") described in
this report (First Trust Strategic Income ETF; hereinafter referred to as the
"Fund") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and/or Sub-Advisors and their respective representatives
only as of the date hereof. We undertake no obligation to publicly revise or
update these forward-looking statements to reflect events and circumstances that
arise after the date hereof.

PERFORMANCE AND RISK DISCLOSURE

The Advisor may also periodically provide additional information on Fund
performance on the Fund's webpage at www.ftportfolios.com.

HOW TO READ THIS REPORT

The statistical information that follows may help you understand the Fund's
performance compared to that of relevant market benchmarks.

It is important to keep in mind that the opinions expressed by personnel of the
Advisor and/or Sub-Advisors are just that: informed opinions. They should not be
considered to be promises or advice. The opinions, like the statistics, cover
the period through the date on the cover of this report. The material risks of
investing in the Fund are spelled out in the prospectus, the statement of
additional information, this report and other Fund regulatory filings.

<PAGE>

--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
APRIL 30, 2018

Dear Shareholders:

First Trust is pleased to provide you with the semi-annual report for the First
Trust Strategic Income ETF, which contains detailed information about your
investment for the period ended April 30, 2018. We encourage you to read this
report carefully and discuss it with your financial advisor.

o The S&P 500(R) Index did something it had never previously done,
finishing 2017 with 12 months of gains;

o The Dow Jones Industrial Average achieved a milestone as well,
closing above 24,000 for the first time ever on November 30;

o The Nasdaq Composite set a record by having 11 months of gains in
2017 (June was the only down month, and by just 0.86%); and

o The MSCI AC World Index (containing constituents from 47 countries)
ended 2017 at an all-time high and was up 22% at year-end.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.

Page 1

<PAGE>

--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

The primary investment objective of the First Trust Strategic Income ETF (the
"Fund") is to seek risk-adjusted income. The Fund's secondary investment
objective is capital appreciation. The Fund is a multi-manager, multi-strategy
actively managed exchange-traded fund. First Trust Advisors L.P. ("First Trust"
or the "Advisor") serves as the Fund's investment advisor. The Advisor's
Investment Committee determines the Fund's strategic allocation among various
general investment categories and allocates the Fund's assets to portfolio
management teams comprised of personnel of the Advisor and/or a sub-advisor
(each, a "Management Team"), which employ their respective investment
strategies. Shares of the Fund are listed on The Nasdaq Stock Market LLC under
the ticker symbol "FDIV."

The Fund's investment categories are: (i) high yield corporate bonds, commonly
referred to as "junk" bonds, and first lien senior secured floating rate bank
loans; (ii) mortgage-related investments; (iii) preferred securities; (iv)
international sovereign bonds, including emerging markets debt; (v) equity
securities of Energy Infrastructure Companies(1), certain of which are master
limited partnerships ("MLPs"); and (vi) dividend paying U.S. exchange-traded
equity securities (including common stock) of companies (that may be domiciled
in or outside of the United States) and depositary receipts. The Management
Teams may utilize a related option overlay strategy and/or derivative
instruments in implementing their respective investment strategies for the Fund.
Additionally, the Management Teams may seek to gain exposure to the Fund's
investment categories through investments in exchange-traded funds. The Fund
seeks to achieve its objectives by having each Management Team focus on those
instruments within its respective investment category. The Fund may add or
remove investment categories or Management Teams at the discretion of the
Advisor.

<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (8/13/14) Inception (8/13/14)
4/30/18 4/30/18 to 4/30/18 to 4/30/18
<S> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -0.89% 0.58% 3.44% 13.39%
Market Price -0.92% 0.76% 3.45% 13.42%

INDEX PERFORMANCE
Blended Index(2) -0.26% 0.44% 2.67% 10.29%
Bloomberg Barclays U.S. Aggregate Bond Index -1.87% -0.32% 1.64% 6.23%
Russell 3000(R) Index 3.79% 13.05% 10.60% 45.37%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>

Total returns for the period since inception are calculated from the inception
date of the Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the period indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the period
indicated.

-----------------------------

(1) Energy Infrastructure Companies are publicly-traded MLPs or limited
liability companies that are taxed as partnerships; entities that control
MLPs, entities that own general partner interests in an MLP, or MLP
affiliates (such as I-shares or I-units); U.S. Canadian energy yield
corporations ("yieldcos"); pipeline companies; utilities; and other
companies that are involved in operating or providing services in support
of infrastructure assets such as pipeline, power transmission,
terminalling and petroleum and natural gas storage in the petroleum,
natural gas and power generation industries.

(2) The Blended Index is equally weighted to include these six indices: the
Alerian MLP Index, Dow Jones U.S. Select Dividend Index, ICE BofAML Fixed
Rate Preferred Securities Index, ICE BofAML U.S. High Yield Index,
Bloomberg Barclays EM USD Aggregate Index and Bloomberg Barclays U.S. MBS
Index. An index does not charge management fees or brokerage expenses, and
no such fees or expenses were deducted from the index performance shown.
Indices are unmanaged and an investor cannot invest directly in an index.

Page 2

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

-----------------------------------------------------------
% OF TOTAL
ASSET CLASSIFICATION INVESTMENTS
-----------------------------------------------------------
Exchange-Traded Funds 52.95%
Common Stocks 25.84
Master Limited Partnerships 9.99
U.S. Government Agency Mortgage-Backed
Securities 8.26
Real Estate Investment Trusts 2.81
Mortgage-Backed Securities 0.08
Asset-Backed Securities 0.07
-------
Total 100.00%
=======

-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS INVESTMENTS
-----------------------------------------------------------
First Trust Preferred Securities and
Income ETF 10.38%
First Trust Emerging Markets Local
Currency Bond ETF 9.50
First Trust Senior Loan ETF 9.49
First Trust Tactical High Yield ETF 9.44
iShares MBS ETF 6.25
iShares J.P. Morgan USD Emerging Markets
Bond ETF 3.93
First Trust Institutional Preferred Securities
and Income ETF 3.47
Enterprise Products Partners, L.P. 1.62
CVS Health Corp. 1.08
Telekomunikasi Indonesia Persero
Tbk PT, ADR 1.00
-------
Total 56.16%
=======

<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
AUGUST 13, 2014 - APRIL 30, 2018

First Trust Strategic Blended Bloomberg Barclays U.S. Russell 3000(R)
Income ETF Index(2) Aggregate Bond Index Index
<S> <C> <C> <C> <C>
8/13/14 $10,000 $10,002 $10,003 $10,000
10/31/14 10,177 10,129 10,080 10,371
4/30/15 10,330 10,191 10,288 10,863
10/31/15 99,89 9,735 10,280 10,837
4/30/16 10,436 10,006 10,571 10,844
10/31/16 10,856 10,446 10,731 11,297
4/30/17 11,275 10,981 10,659 12,859
10/31/17 11,442 11,058 10,827 14,006
4/30/18 11,340 11,029 10,625 14,537
</TABLE>

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV THROUGH APRIL 30, 2018

The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 14, 2014 (commencement
of trading) through April 30, 2018. Shareholders may pay more than NAV when they
buy Fund shares and receive less than NAV when they sell those shares because
shares are bought and sold at current market price. Data presented represents
past performance and cannot be used to predict future results.

<TABLE>
<CAPTION>
NUMBER OF DAYS BID/ASK MIDPOINT NUMBER OF DAYS BID/ASK MIDPOINT
AT/ABOVE NAV BELOW NAV
---------------------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.00%- 0.50%- 1.00%- 0.00%- 0.50%- 1.00%-
FOR THE PERIOD 0.49% 0.99% 1.99% >=2.00% 0.49% 0.99% 1.99% >=2.00%
8/14/14 - 10/31/14 16 0 0 0 35 5 0 0
11/1/14 - 10/31/15 36 6 6 2 152 33 9 7
11/1/15 - 10/31/16 69 16 7 3 125 27 3 2
11/1/16 - 10/31/17 142 14 0 0 95 1 0 0
11/1/17 - 4/30/18 49 0 0 0 73 1 0 0
</TABLE>

Page 3

<PAGE>

--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT
--------------------------------------------------------------------------------

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
SEMI-ANNUAL REPORT
APRIL 30, 2018 (UNAUDITED)

INVESTMENT ADVISOR

First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment
advisor to the First Trust Strategic Income ETF ("FDIV" or the "Fund"). The
following serve as investment sub-advisors (each, a "Sub-Advisor") to the Fund:
First Trust Global Portfolios Ltd. ("FTGP"); Energy Income Partners, LLC
("EIP"); Stonebridge Advisors LLC ("Stonebridge"); and Richard Bernstein
Advisors LLC ("RBA"). The Advisor's Investment Committee determines the Fund's
strategic allocation among various general investment categories and allocates
the Fund's assets to portfolio management teams comprised of personnel of the
Advisor and/or a Sub-Advisor, which employ their respective investment
strategies.

ADVISOR'S INVESTMENT COMMITTEE

The Advisor's Investment Committee, which determines the Fund's strategic
allocation among various general investment categories and allocates the Fund's
assets, consists of:

o DANIEL J. LINDQUIST, CHAIRMAN OF THE INVESTMENT COMMITTEE AND MANAGING
DIRECTOR OF FIRST TRUST;

o DAVID G. MCGAREL, CHIEF INVESTMENT OFFICER, CHIEF OPERATING OFFICER AND
MANAGING DIRECTOR OF FIRST TRUST;

o JON C. ERICKSON, SENIOR VICE PRESIDENT OF FIRST TRUST;

o ROGER F. TESTIN, SENIOR VICE PRESIDENT OF FIRST TRUST;

o TODD LARSON, CFA, VICE PRESIDENT AND PORTFOLIO MANAGER OF FIRST TRUST;

o JOHN GAMBLA, CFA, FRM, PRM, SENIOR PORTFOLIO MANAGER OF FIRST TRUST;

o ROB A. GUTTSCHOW, CFA, SENIOR PORTFOLIO MANAGER OF FIRST TRUST; AND

o CHRIS A. PETERSON, CFA, SENIOR VICE PRESIDENT OF FIRST TRUST.

ADVISOR PORTFOLIO MANAGERS

o WILLIAM HOUSEY, CFA, SENIOR VICE PRESIDENT AND SENIOR PORTFOLIO MANAGER OF
FIRST TRUST, LEVERAGED FINANCE TEAM;

o SCOTT D. FRIES, CFA, SENIOR VICE PRESIDENT AND PORTFOLIO MANAGER OF FIRST
TRUST, LEVERAGED FINANCE TEAM;

o JEREMIAH CHARLES, VICE PRESIDENT AND PORTFOLIO MANAGER OF FIRST TRUST,
FTA-MORTGAGE BACKED SECURITIES TEAM; AND

o JAMES SNYDER, VICE PRESIDENT AND PORTFOLIO MANAGER OF FIRST TRUST,
FTA-MORTGAGE BACKED SECURITIES TEAM.

SUB-ADVISOR PORTFOLIO MANAGERS

o JAMES J. MURCHIE, FOUNDER, CHIEF EXECUTIVE OFFICER, CO-PORTFOLIO MANAGER
AND PRINCIPAL OF EIP.

o EVA PAO, PORTFOLIO MANAGER AND PRINCIPAL OF EIP.

o JOHN K. TYSSELAND, PORTFOLIO MANAGER AND PRINCIPAL OF EIP.

o DEREK FULTON, CHIEF EXECUTIVE OFFICER AND CHIEF INVESTMENT OFFICER OF
FTGP.

o LEONARDO DACOSTA, PORTFOLIO MANAGER OF FTGP.

o RICHARD BERNSTEIN, CHIEF EXECUTIVE OFFICER AND CHIEF INVESTMENT OFFICER OF
RBA.

o HENRY TIMMONS, CFA, SENIOR QUANTITATIVE ANALYST OF RBA. o MATTHEW
GRISWOLD, CFA, DIRECTOR OF INVESTMENTS OF RBA.

o SCOTT T. FLEMING, PRESIDENT AND CHIEF EXECUTIVE OFFICER OF STONEBRIDGE.

o ROBERT WOLF, SENIOR VICE PRESIDENT AND CHIEF INVESTMENT OFFICER OF
STONEBRIDGE.

Page 4

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

UNDERSTANDING YOUR FUND EXPENSES
APRIL 30, 2018 (UNAUDITED)

As a shareholder of First Trust Strategic Income ETF (the "Fund"), you incur two
types of costs: (1) transaction costs; and (2) ongoing costs, including
management fees, distribution and/or service fees, if any, and other Fund
expenses. This Example is intended to help you understand your ongoing costs of
investing in the Fund and to compare these costs with the ongoing costs of
investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended April 30, 2018.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
NOVEMBER 1, 2017 APRIL 30, 2018 PERIOD (a) (b) PERIOD (b) (c)
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FIRST TRUST STRATEGIC INCOME ETF (FDIV)
Actual $1,000.00 $ 991.10 0.49% $2.42
Hypothetical (5% return before expenses) $1,000.00 $1,022.36 0.49% $2.46
</TABLE>

(a) These expense ratios reflect expense waivers. See Note 3 in the Notes to
Financial Statements.

(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) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (November 1,
2017 through April 30, 2018), multiplied by 181/365 (to reflect the
six-month period).

Page 5

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

PORTFOLIO OF INVESTMENTS
APRIL 30, 2018 (UNAUDITED)

CAPITAL MARKETS -- 52.1%
209,859 First Trust Emerging Markets Local Currency Bond ETF (a)..................................... $ 8,717,543
163,156 First Trust Institutional Preferred Securities and Income ETF (a)............................ 3,181,542
490,473 First Trust Preferred Securities and Income ETF (a).......................................... 9,524,985
180,823 First Trust Senior Loan Fund ETF (a)......................................................... 8,706,627
182,362 First Trust Tactical High Yield ETF (a)...................................................... 8,664,019
2,611 iShares 20+ Year Treasury Bond ETF........................................................... 310,970
1,534 iShares 7-10 Year Treasury Bond ETF.......................................................... 156,008
32,779 iShares J.P. Morgan USD Emerging Markets Bond ETF............................................ 3,610,279
55,250 iShares MBS ETF.............................................................................. 5,735,503
---------------
TOTAL EXCHANGE-TRADED FUNDS.................................................................. 48,607,476
(Cost $48,724,472) ---------------

COMMON STOCKS -- 25.4%

BANKS -- 4.7%
3,801 Community Trust Bancorp, Inc................................................................. 182,448
65,640 F.N.B. Corp.................................................................................. 853,320
5,910 Financial Institutions, Inc.................................................................. 183,801
58,535 Huntington Bancshares, Inc................................................................... 872,757
35,886 Old National Bancorp......................................................................... 617,239
47,180 People's United Financial, Inc............................................................... 862,922
16,359 Trustmark Corp............................................................................... 512,200
6,825 WesBanco, Inc................................................................................ 298,935
---------------
4,383,622
---------------

BIOTECHNOLOGY -- 1.0%
5,157 Amgen, Inc................................................................................... 899,793
---------------

DISTRIBUTORS -- 0.3%
7,857 Weyco Group, Inc............................................................................. 288,352
---------------

DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0%
33,531 Telekomunikasi Indonesia Persero Tbk PT, ADR................................................. 913,720
---------------

ELECTRIC UTILITIES -- 4.7%
7,969 ALLETE, Inc.................................................................................. 608,911
17,003 Alliant Energy Corp.......................................................................... 730,278
1,861 American Electric Power Co., Inc............................................................. 130,233
1,320 Duke Energy Corp............................................................................. 105,811
4,026 Emera, Inc. (CAD)............................................................................ 125,394
1,082 Eversource Energy............................................................................ 65,191
4,105 Exelon Corp.................................................................................. 162,886
4,716 Fortis, Inc. (CAD)........................................................................... 158,308
3,947 Hydro One Ltd. (CAD) (b)..................................................................... 62,681
6,750 IDACORP, Inc................................................................................. 627,750
1,561 NextEra Energy, Inc.......................................................................... 255,864
7,394 Pinnacle West Capital Corp................................................................... 595,217
2,260 PPL Corp..................................................................................... 65,766
2,857 Southern (The) Co............................................................................ 131,765
11,345 Westar Energy, Inc........................................................................... 614,672
---------------
4,440,727
---------------
</TABLE>

Page 6 See Notes to Financial Statements

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

GAS UTILITIES -- 1.9%
762 Atmos Energy Corp............................................................................ $ 66,210
1,591 New Jersey Resources Corp.................................................................... 65,788
8,262 Northwest Natural Gas Co..................................................................... 506,461
7,450 Southwest Gas Holdings, Inc.................................................................. 543,775
7,046 Spire, Inc................................................................................... 508,369
2,880 UGI Corp..................................................................................... 139,363
---------------
1,829,966
---------------

HEALTH CARE PROVIDERS & SERVICES -- 1.1%
14,214 CVS Health Corp.............................................................................. 992,564
---------------

HOTELS, RESTAURANTS & LEISURE -- 1.0%
5,529 Cracker Barrel Old Country Store, Inc........................................................ 910,018
---------------

INSURANCE -- 0.8%
6,654 Erie Indemnity Co., Class A.................................................................. 776,988
---------------

IT SERVICES -- 0.9%
14,268 Paychex, Inc................................................................................. 864,213
---------------

MULTI-UTILITIES -- 1.3%
4,519 National Grid PLC, ADR....................................................................... 262,915
3,825 Public Service Enterprise Group, Inc......................................................... 199,474
576 Sempra Energy................................................................................ 64,397
10,206 WEC Energy Group, Inc........................................................................ 656,041
---------------
1,182,827
---------------

OIL, GAS & CONSUMABLE FUELS -- 2.1%
11,779 Enbridge Income Fund Holdings, Inc. (CAD).................................................... 251,919
4,080 Enbridge, Inc................................................................................ 123,502
7,385 Inter Pipeline Ltd. (CAD).................................................................... 133,154
29,584 Kinder Morgan, Inc........................................................................... 468,019
6,743 ONEOK, Inc................................................................................... 406,063
14,018 TransCanada Corp............................................................................. 595,064
---------------
1,977,721
---------------

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.4%
4,153 NVE Corp..................................................................................... 351,219
---------------

SPECIALTY RETAIL -- 0.8%
16,680 Williams-Sonoma, Inc......................................................................... 797,304
---------------

THRIFTS & MORTGAGE FINANCE -- 1.7%
34,278 Provident Financial Services, Inc............................................................ 895,342
78,562 TrustCo Bank Corp............................................................................ 671,705
---------------
1,567,047
---------------

TOBACCO -- 0.8%
8,867 Philip Morris International, Inc............................................................. 727,094
---------------

TRADING COMPANIES & DISTRIBUTORS -- 0.9%
4,887 Watsco, Inc.................................................................................. 818,182
---------------
TOTAL COMMON STOCKS.......................................................................... 23,721,357
(Cost $24,013,257) ---------------
</TABLE>

See Notes to Financial Statements Page 7

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
UNITS DESCRIPTION VALUE
---------------- --------------------------------------------------------------------------------------------- ---------------
<S> <C> <C>
MASTER LIMITED PARTNERSHIPS -- 9.8%

CHEMICALS -- 0.3%
10,624 Westlake Chemical Partners, L.P.............................................................. $ 239,571
---------------

GAS UTILITIES -- 0.5%
9,562 AmeriGas Partners, L.P....................................................................... 409,254
4,326 Suburban Propane Partners, L.P............................................................... 100,060
---------------
509,314
---------------

INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5%
10,985 NextEra Energy Partners, L.P. (c)............................................................ 457,745
---------------

OIL, GAS & CONSUMABLE FUELS -- 8.5%
6,471 Alliance Resource Partners, L.P.............................................................. 114,213
10,761 BP Midstream Partners, L.P................................................................... 204,136
3,400 Buckeye Partners, L.P........................................................................ 141,270
59,828 Enbridge Energy Partners, L.P................................................................ 632,980
55,287 Enterprise Products Partners, L.P............................................................ 1,483,903
9,689 EQT Midstream Partners, L.P.................................................................. 545,103
23,308 Holly Energy Partners, L.P................................................................... 683,157
13,149 Magellan Midstream Partners, L.P............................................................. 865,599
11,946 Phillips 66 Partners, L.P.................................................................... 592,283
25,683 Shell Midstream Partners, L.P................................................................ 554,496
19,078 Spectra Energy Partners, L.P................................................................. 680,131
20,195 TC PipeLines, L.P............................................................................ 708,643
1,792 TransMontaigne Partners, L.P................................................................. 69,261
3,610 Valero Energy Partners, L.P.................................................................. 142,342
14,910 Williams Partners, L.P....................................................................... 542,724
---------------
7,960,241
---------------
TOTAL MASTER LIMITED PARTNERSHIPS............................................................ 9,166,871
(Cost $9,678,132) ---------------
</TABLE>

COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.2%
Federal Home Loan Mortgage Corporation
$ 15,940 Series 1998-192, Class IO, IO, STRIPS........................ 6.50% 02/01/28 3,331
102,478 Series 2003-2564, Class PK................................... 4.00% 06/15/32 103,366
3,561 Series 2003-2637, Class Z.................................... 3.38% 06/15/18 3,559
120,000 Series 2003-2669, Class LL................................... 5.50% 08/15/33 128,016
5,924 Series 2004-2776, Class QP................................... 4.00% 01/15/34 5,938
451 Series 2004-2844, Class BC................................... 5.00% 08/15/19 451
4,485 Series 2004-2877, Class JO, PO............................... (d) 03/15/19 4,468
218,812 Series 2005-2953, Class LZ................................... 6.00% 03/15/35 257,125
133,064 Series 2006-3114, Class GI, IO,
1 Mo. LIBOR x -1 + 6.60% (e).............................. 4.70% 02/15/36 23,527
9,379 Series 2006-3200, Class PO, PO............................... (d) 08/15/36 8,054
12,949 Series 2007-3373, Class TO, PO............................... (d) 04/15/37 11,588
66,206 Series 2007-3382, Class CE................................... 6.00% 11/15/37 71,267
76,175 Series 2009-3589, Class ZW................................... 4.50% 10/15/39 78,065
129,000 Series 2010-3626, Class ME................................... 5.00% 01/15/40 144,893
1,697 Series 2011-3795, Class CA................................... 4.50% 05/15/39 1,700
</TABLE>

Page 8 See Notes to Financial Statements

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 43,933 Series 2011-3816, Class D.................................... 3.50% 08/15/28 $ 44,092
146,770 Series 2011-3817, Class MA................................... 4.50% 10/15/37 150,360
19,687 Series 2011-3917, Class AI, IO............................... 4.50% 07/15/26 1,772
103,826 Series 2012-4101, Class QN................................... 3.50% 09/15/42 104,205
1,882,122 Series 2016-4619, Class IB, IO............................... 4.00% 12/15/47 260,284
Federal National Mortgage Association
6,886 Series 1992-205, Class Z..................................... 7.00% 11/25/22 7,271
31,289 Series 1993-176, Class E, PO................................. (d) 08/25/23 29,538
26,457 Series 1993-247, Class 2, IO, STRIPS......................... 7.50% 10/25/23 3,405
75,695 Series 1997-22, Class PC..................................... 4.50% 03/18/27 78,033
129,874 Series 2001-82, Class ZA..................................... 6.50% 01/25/32 142,775
25,223 Series 2002-1, Class HC...................................... 6.50% 02/25/22 26,395
123,738 Series 2003-74, Class PV..................................... 5.00% 08/25/33 129,490
244 Series 2003-97, Class CA..................................... 5.00% 10/25/18 244
104,118 Series 2003-339, Class 12, IO, STRIPS........................ 6.00% 06/25/33 26,785
17,458 Series 2003-W2, Class 1A1.................................... 6.50% 07/25/42 19,638
67,080 Series 2004-T2, Class 1PO, PO................................ (d) 11/25/43 60,513
41,058 Series 2005-45, Class SR, IO,
1 Mo. LIBOR x -1 + 6.72% (e).............................. 4.82% 06/25/35 5,698
12,060 Series 2006-125, Class FA, 1 Mo. LIBOR + 0.28% (f)........... 2.18% 01/25/37 11,999
62,524 Series 2007-32, Class KT..................................... 5.50% 04/25/37 68,476
12,414 Series 2007-42, Class AO, PO................................. (d) 05/25/37 11,237
45,600 Series 2008-24, Class WH..................................... 6.00% 02/25/38 56,836
13,739 Series 2008-44, Class PO, PO................................. (d) 05/25/38 11,336
33,221 Series 2010-9, Class EA...................................... 3.50% 01/25/24 33,240
1,476 Series 2010-83, Class AK..................................... 3.00% 11/25/18 1,475
242,703 Series 2011-30, Class MD..................................... 4.00% 02/25/39 246,532
110,292 Series 2012-409, Class C17, IO, STRIPS....................... 4.00% 11/25/41 23,518
112,463 Series 2015-14, Class IK, IO................................. 0.75% 03/25/45 12,939
146,730 Series 2015-72, Class PC..................................... 3.00% 10/25/43 146,847
Government National Mortgage Association
52,432 Series 1999-30, Class S, IO,
1 Mo. LIBOR x -1 + 8.60% (e).............................. 6.70% 08/16/29 671
42,402 Series 2003-7, Class TA...................................... 4.50% 11/16/32 43,712
30,276 Series 2003-52, Class AP, PO................................. (d) 06/16/33 25,536
85,816 Series 2003-110, Class HC.................................... 5.00% 12/20/33 93,672
54,000 Series 2004-47, Class PD..................................... 6.00% 06/16/34 59,792
87,004 Series 2004-109, Class BC.................................... 5.00% 11/20/33 89,223
17,807 Series 2005-17, Class AD..................................... 5.00% 02/20/35 18,552
384,262 Series 2006-17, Class TW..................................... 6.00% 04/20/36 425,215
240,000 Series 2008-2, Class GC...................................... 4.75% 01/16/38 253,230
77,934 Series 2009-96, Class ZG..................................... 5.50% 10/16/39 87,658
10,000 Series 2010-84, Class YB..................................... 4.00% 07/20/40 10,103
120,522 Series 2010-111, Class JA.................................... 2.50% 09/16/40 120,055
29,592 Series 2011-21, Class QH..................................... 4.50% 10/16/37 29,878
52,451 Series 2011-29, Class JA..................................... 4.50% 04/20/40 52,733
10,933 Series 2011-30, Class BK..................................... 2.50% 01/20/39 10,931
40,579 Series 2012-34, Class SD, IO,
1 Mo. LIBOR x -1 + 6.05% (e).............................. 4.15% 03/16/42 6,537
</TABLE>

See Notes to Financial Statements Page 9

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 44,620 Series 2013-20, Class KI, IO................................. 5.00% 01/20/43 $ 9,494
12,120 Series 2013-31, Class TH, 1 Mo. LIBOR + 4.35% (f)............ 6.25% 08/20/39 12,326
54,667 Series 2013-67, Class PI, IO................................. 4.00% 12/16/42 8,115
NCUA Guaranteed Notes Trust
36,141 Series 2010-R3, Class 1A, 1 Mo. LIBOR + 0.56% (f)............ 2.48% 12/08/20 36,315
---------------
3,954,029
---------------
PASS-THROUGH SECURITIES -- 3.9%
Federal Home Loan Mortgage Corporation
78,946 Pool A47829.................................................. 4.00% 08/01/35 80,806
90,063 Pool A80290.................................................. 5.00% 11/01/35 97,529
67,266 Pool A94951.................................................. 4.00% 11/01/40 69,171
35,234 Pool A95134.................................................. 4.50% 11/01/40 37,106
37,769 Pool A97601.................................................. 4.50% 03/01/41 39,924
15,145 Pool B13731.................................................. 5.00% 05/01/19 15,234
16,964 Pool G03523.................................................. 6.00% 11/01/37 18,836
44,858 Pool G06501.................................................. 4.00% 04/01/41 46,128
63,314 Pool G07286.................................................. 6.50% 09/01/39 71,800
16,847 Pool G11805.................................................. 5.50% 12/01/19 16,987
11,715 Pool G11973.................................................. 5.50% 02/01/21 12,000
58,181 Pool G13124.................................................. 6.00% 12/01/22 60,876
53,458 Pool G13465.................................................. 6.00% 01/01/24 55,538
43,416 Pool G13790.................................................. 4.50% 04/01/25 45,009
46,050 Pool G13844.................................................. 4.50% 07/01/25 47,747
39,872 Pool G14184.................................................. 5.00% 07/01/25 41,746
59,777 Pool G15725.................................................. 4.50% 09/01/26 61,857
31,189 Pool G18072.................................................. 4.50% 09/01/20 31,477
280,628 Pool G60762.................................................. 5.00% 07/01/41 300,766
13,970 Pool O20138.................................................. 5.00% 11/01/30 14,913
40,724 Pool Q05201.................................................. 4.00% 12/01/41 41,878
178,069 Pool U90316.................................................. 4.00% 10/01/42 183,228
Federal National Mortgage Association
111,838 Pool 724888.................................................. 5.50% 06/01/33 119,079
3,596 Pool 725098.................................................. 5.50% 12/01/18 3,602
23,319 Pool 725704.................................................. 6.00% 08/01/34 26,019
47,345 Pool 879398.................................................. 5.50% 02/01/21 48,597
39,986 Pool 888112.................................................. 6.50% 12/01/36 44,586
24,756 Pool 889780.................................................. 5.50% 03/01/23 25,831
16,504 Pool 890206.................................................. 5.50% 10/01/21 16,786
69,589 Pool 897936.................................................. 5.50% 08/01/21 71,556
32,534 Pool 923171.................................................. 7.50% 03/01/37 36,181
55,461 Pool 977130.................................................. 5.50% 08/01/23 57,728
39,939 Pool 983629.................................................. 4.50% 05/01/23 40,972
47,078 Pool 995400.................................................. 7.00% 06/01/23 49,273
94,697 Pool 995700.................................................. 6.50% 03/01/27 105,562
36,151 Pool AB2265.................................................. 4.00% 02/01/41 37,192
60,968 Pool AH1568.................................................. 4.50% 12/01/40 64,205
11,447 Pool AI1191.................................................. 4.50% 04/01/41 12,055
38,637 Pool AI7800.................................................. 4.50% 07/01/41 40,765
</TABLE>

Page 10 See Notes to Financial Statements

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 29,704 Pool AJ5299.................................................. 4.00% 11/01/41 $ 30,551
56,782 Pool AJ5300.................................................. 4.00% 11/01/41 58,297
45,039 Pool AK3103.................................................. 4.00% 02/01/42 46,241
104,705 Pool AL1024.................................................. 4.50% 07/01/26 108,766
49,025 Pool AL3484.................................................. 4.50% 10/01/42 51,612
47,636 Pool AL6304.................................................. 5.50% 09/01/25 49,367
102,200 Pool AL6889.................................................. 4.50% 02/01/45 107,808
134,707 Pool AL7306.................................................. 4.50% 09/01/42 141,858
23,686 Pool AO4133.................................................. 3.50% 06/01/42 23,701
272,351 Pool AP2109.................................................. 4.00% 08/01/32 280,622
17,782 Pool AP4795.................................................. 3.50% 09/01/42 17,792
17,746 Pool AT2887.................................................. 3.50% 04/01/43 17,735
23,099 Pool AU3741.................................................. 3.50% 08/01/43 23,084
62,560 Pool AU4726.................................................. 4.00% 09/01/43 64,176
166,363 Pool MA1373.................................................. 3.50% 03/01/43 166,154
Government National Mortgage Association
22,478 Pool 3500.................................................... 5.50% 01/20/34 24,670
12,701 Pool 3513.................................................... 5.00% 02/20/34 13,626
25,686 Pool 3555.................................................... 5.00% 05/20/34 27,553
74,437 Pool 3975.................................................... 5.50% 04/20/37 80,320
30,384 Pool 4230.................................................... 6.00% 09/20/23 32,016
39,705 Pool 609116.................................................. 4.50% 02/15/44 42,244
29,454 Pool MA2293.................................................. 3.50% 10/20/44 29,344
---------------
3,628,082
---------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES...................................... 7,582,111
(Cost $7,721,095) ---------------
</TABLE>

EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.8%
23,125 LTC Properties, Inc.......................................................................... 835,969
22,509 National Retail Properties, Inc.............................................................. 856,242
4,385 Public Storage............................................................................... 884,805
---------------
TOTAL REAL ESTATE INVESTMENT TRUSTS.......................................................... 2,577,016
(Cost $2,764,212) ---------------
</TABLE>

COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.1%
BCAP LLC Trust
$ 21,254 Series 2011-R11, Class 30A5 (g) (h).......................... 3.51% 01/26/34 20,916
CHL Mortgage Pass-Through Trust
3,417 Series 2004-J8, Class 1A2.................................... 4.75% 11/25/19 3,444
MASTR Asset Securitization Trust
1,624 Series 2003-11, Class 3A1.................................... 4.50% 12/25/18 1,626
</TABLE>

See Notes to Financial Statements Page 11

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Residential Accredit Loans, Inc.
$ 2,000 Series 2003-QS5, Class A2,
1 Mo. LIBOR x -1.83 + 14.76% (e).......................... 11.28% 03/25/18 $ 2,017
15,847 Series 2003-QS14, Class A1................................... 5.00% 07/25/18 15,780
3,571 Series 2003-QS20, Class CB................................... 5.00% 11/25/18 3,585
Residential Asset Securitization Trust
11,006 Series 2003-A14, Class A1.................................... 4.75% 02/25/19 10,544
Structured Asset Securities Corp.
16,620 Series 2003-37A, Class 3A7 (h)............................... 3.55% 12/25/33 16,561
---------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................. 74,473
(Cost $74,258) ---------------

ASSET-BACKED SECURITIES -- 0.1%
Ameriquest Mortgage Securities, Inc.
1,270 Series 2004-R6, Class A1, 1 Mo. LIBOR + 0.42% (f)............ 2.32% 07/25/34 1,273
Bear Stearns Asset Backed Securities I Trust
15,984 Series 2004-BO1, Class M4, 1 Mo. LIBOR + 1.20% (f)........... 3.70% 10/25/34 16,092
First Alliance Mortgage Loan Trust
37,470 Series 1999-1, Class A1...................................... 7.18% 06/20/30 37,665
Lehman XS Trust
7,594 Series 2005-2, Class 1A2, 1 Mo. LIBOR + 0.70% (f)............ 2.60% 08/25/35 7,532
---------------
TOTAL ASSET-BACKED SECURITIES................................................................ 62,562
(Cost $61,784) ---------------

TOTAL INVESTMENTS -- 98.4%................................................................... 91,791,866
(Cost $93,037,210) (i)
NET OTHER ASSETS AND LIABILITIES -- 1.6%..................................................... 1,510,882
---------------
NET ASSETS -- 100.0%......................................................................... $ 93,302,748
===============
</TABLE>

FUTURES CONTRACTS AT APRIL 30, 2018 (see Note 2D - Futures Contracts in the
Notes to Financial Statements):

<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
NUMBER OF EXPIRATION NOTIONAL (DEPRECIATION)/
FUTURES CONTRACTS POSITION CONTRACTS DATE VALUE VALUE
-------------------------------- ---------------- ------------------- ----------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
U.S. 10-Year Treasury Notes Long 7 Jun-2018 $ 837,375 $ (2,217)
U.S. Treasury Long Bond Long 2 Jun-2018 287,688 1,757
---------------- ---------------
$ 1,125,063 $ (460)
================ ===============
</TABLE>

-----------------------------

(a) Investment in an affiliated fund.

(b) This security is restricted in the U.S. and cannot be offered for public
sale without first being registered under the Securities Act of 1933, as
amended. 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.

(d) Zero coupon security.

(e) Inverse floating rate security.

(f) Floating or variable rate security.

Page 12 See Notes to Financial Statements

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

(g) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under 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 April 30, 2018, securities noted as such amounted
to $20,916 or 0.0% of net assets.

(h) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.

(i) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of April 30, 2018, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $1,535,130 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $2,780,934. The net unrealized depreciation was
$1,245,804. The amounts presented are inclusive of derivative contracts.

ADR American Depositary Receipt

IO Interest-Only Security - Principal amount shown represents par value on
which interest payments are based.

LIBOR London Interbank Offered Rate

PO Principal-Only Security

STRIPS Separate Trading of Registered Interest and Principal of Securities

Currency Abbreviations:
CAD Canadian Dollar

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of April 30,
2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

<TABLE>
<CAPTION>
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
4/30/2018 PRICES INPUTS INPUTS
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Exchange-Traded Funds*............................ $ 48,607,476 $ 48,607,476 $ -- $ --
Common Stocks*.................................... 23,721,357 23,721,357 -- --
Master Limited Partnerships*...................... 9,166,871 9,166,871 -- --
U.S. Government Agency Mortgage-Backed
Securities..................................... 7,582,111 -- 7,582,111 --
Real Estate Investment Trusts*.................... 2,577,016 2,577,016 -- --
Mortgage-Backed Securities........................ 74,473 -- 74,473 --
Asset-Backed Securities........................... 62,562 -- 62,562 --
--------------- --------------- --------------- ---------------
Total Investments................................. 91,791,866 84,072,720 7,719,146 --
Futures Contracts**............................... 1,757 1,757 -- --
--------------- --------------- --------------- ---------------
Total............................................. $ 91,793,623 $ 84,074,477 $ 7,719,146 $ --
=============== =============== =============== ===============

* 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 Statement of Assets and Liabilities.

All transfers in and out of the Levels during the period are assumed to occur on
the last day of the period at their current value. There were no transfers
between Levels at April 30, 2018.

See Notes to Financial Statements Page 13

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at value - Unaffiliated................................... $ 52,997,150
Investments, at value - Affiliated..................................... 38,794,716
Cash................................................................... 1,282,454
Cash segregated as collateral for open futures contracts............... 41,491
Foreign currency, at value............................................. 61,469
Receivables:
Dividends........................................................... 122,706
Interest............................................................ 35,596
Reclaims............................................................ 2,593
Variation margin.................................................... 2,063
Investment securities sold.......................................... 114
----------------
Total Assets..................................................... 93,340,352
----------------
LIABILITIES:
Investment advisory fees payable....................................... 37,604
----------------
Total Liabilities................................................ 37,604
----------------
NET ASSETS............................................................. $ 93,302,748
================
NET ASSETS CONSIST OF:
Paid-in capital........................................................ $ 94,616,867
Par value.............................................................. 19,000
Accumulated net investment income (loss)............................... (433,146)
Accumulated net realized gain (loss) on investments, futures contracts,
forward foreign currency contracts, foreign currency transactions
and options contracts............................................... 346,122
Net unrealized appreciation (depreciation) on investments, futures
contracts and foreign currency translation.......................... (1,246,095)
----------------
NET ASSETS............................................................. $ 93,302,748
================
NET ASSET VALUE, per share............................................. $ 49.11
================
Number of shares outstanding (unlimited number of shares authorized,
par value $0.01 per share).......................................... 1,900,002
================
Investments, at cost - Unaffiliated.................................... $ 54,161,331
================
Investments, at cost - Affiliated...................................... $ 38,875,879
================
Foreign currency, at cost (proceeds)................................... $ 61,737
================
</TABLE>

Page 14 See Notes to Financial Statements

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Dividends - Unaffiliated............................................... $ 658,329
Dividends - Affiliated................................................. 1,193,888
Interest............................................................... 142,822
Foreign withholding tax................................................ (8,709)
----------------
Total investment income............................................. 1,986,330
----------------
EXPENSES:
Investment advisory fees............................................... 409,384
Excise tax............................................................. 10,088
----------------
Total expenses...................................................... 419,472
Less fees waived by the investment advisor.......................... (181,929)
----------------
Net expenses........................................................ 237,543
----------------
NET INVESTMENT INCOME (LOSS)........................................... 1,748,787
----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments - Unaffiliated.......................................... 616,115
Investments - Affiliated............................................ (305,118)
Futures contracts................................................... (56,728)
Foreign currency transactions....................................... (246)
----------------
Net realized gain (loss)............................................... 254,023
----------------
Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated.......................................... (2,153,079)
Investments - Affiliated............................................ (766,801)
Futures contracts................................................... 17,270
Foreign currency translation........................................ 757
----------------
Net change in unrealized appreciation (depreciation)................... (2,901,853)
----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (2,647,830)
----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS..................................................... $ (899,043)
================
</TABLE>

See Notes to Financial Statements Page 15

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
4/30/2018 ENDED
(UNAUDITED) 10/31/2017
-------------- ---------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)........................................... $ 1,748,787 $ 2,701,847
Net realized gain (loss)............................................... 254,023 1,071,926
Net increase from payment by the advisor............................... -- 3,457
Net change in unrealized appreciation (depreciation)................... (2,901,853) 1,192,454
-------------- ---------------
Net increase (decrease) in net assets resulting from operations........ (899,043) 4,969,684
-------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................................. (2,183,502) (2,870,382)
Net realized gain...................................................... -- (385,872)
-------------- ---------------
Total distributions to shareholders.................................... (2,183,502) (3,256,254)
-------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.............................................. 2,556,916 82,224,257
Cost of shares redeemed................................................ (2,457,831) (5,111,884)
-------------- ---------------
Net increase (decrease) in net assets resulting from shareholder
transactions........................................................ 99,085 77,112,373
-------------- ---------------
Total increase (decrease) in net assets................................ (2,983,460) 78,825,803

NET ASSETS:
Beginning of period.................................................... 96,286,208 17,460,405
-------------- ---------------
End of period.......................................................... $ 93,302,748 $ 96,286,208
============== ===============
Accumulated net investment income (loss) at end of period.............. $ (433,146) $ 1,569
============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................................ 1,900,002 350,002
Shares sold............................................................ 50,000 1,650,000
Shares redeemed........................................................ (50,000) (100,000)
-------------- ---------------
Shares outstanding, end of period...................................... 1,900,002 1,900,002
============== ===============
</TABLE>

Page 16 See Notes to Financial Statements

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)

FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, PERIOD
4/30/2018 ------------------------------------------------- ENDED
(UNAUDITED) 2017 2016 2015 10/31/2014 (a)
-------------- --------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 50.68 $ 49.89 $ 47.76 $ 50.59 $ 50.00
---------- ----------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.91 1.56 1.60 1.67 0.29
Net realized and unrealized gain (loss) (1.34) 1.10 (c) 2.45 (2.58) (b) 0.59
---------- ----------- ---------- ---------- ----------
Total from investment operations (0.43) 2.66 4.05 (0.91) 0.88
---------- ----------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.14) (1.65) (1.92) (1.40) (0.27)
Net realized gain -- (0.22) -- -- --
Return of capital -- -- -- (0.52) (0.02)
---------- ----------- ---------- ---------- ----------
Total distributions (1.14) (1.87) (1.92) (1.92) (0.29)
---------- ----------- ---------- ---------- ----------
Net asset value, end of period $ 49.11 $ 50.68 $ 49.89 $ 47.76 $ 50.59
========== =========== ========== ========== ==========
TOTAL RETURN (d) (0.89)% 5.40% (c) 8.67% (1.85)% (b) 1.77%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 93,303 $ 96,286 $ 17,460 $ 19,102 $ 20,236
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets (e) 0.87% (f) (g) 0.85% 0.85% 0.85% 0.85% (f)
Ratio of net expenses to average net
assets (e) 0.49% (f) (g) 0.52% 0.55% 0.61% 0.69% (f)
Ratio of net investment income (loss)
to average net assets 3.63% (f) 3.10% 3.30% 3.37% 2.71% (f)
Portfolio turnover rate (h) 56% 119% 88% 125% 33%
</TABLE>

(a) Inception date is August 13, 2014, which is consistent with the
commencement of investment operations and is the date the initial creation
units were established.

(b) The Fund received a payment from the advisor in the amount of $23,478 in
connection with a trade error. The payment from the Advisor represents
$0.06 per share and had no effect on the Fund's total return.

(c) The Fund received a reimbursement from the advisor in the amount of $3,457
in connection with a trade error, which represents less than $0.01 per
share. Since the Advisor reimbursed the Fund, there was no effect on the
Fund's total return.

(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. The total returns would have been lower if certain
fees had not been waived by the Advisor.

(e) 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.

(f) Annualized.

(g) Includes excise tax. If this excise tax expense was not included, the
total and net expense ratios would have been 0.85% and 0.47%,
respectively.

(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.

See Notes to Financial Statements Page 17

<PAGE>

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

1. ORGANIZATION

The Trust currently consists of eight funds that are offering shares. This
report covers the First Trust Strategic Income ETF (the "Fund"), which trades
under the ticker "FDIV" on The Nasdaq Stock Market LLC ("Nasdaq"). Unlike
conventional mutual funds, the Fund issues and redeems shares on a continuous
basis, at net asset value ("NAV"), only in large specified blocks consisting of
50,000 shares called a "Creation Unit." Creation Units are issued and redeemed
in-kind for securities in which the Fund invests and/or cash, and only to and
from broker-dealers and large institutional investors that have entered into
participation agreements. Except when aggregated in Creation Units, the Fund's
shares are not redeemable securities.

The Fund is a multi-manager, multi-strategy actively managed exchange-traded
fund. The Fund's primary investment objective is to seek risk-adjusted income.
The Fund's secondary investment objective is capital appreciation.

First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment
advisor to the Fund. The following serve as investment sub-advisors to the Fund:
First Trust Global Portfolios Ltd. ("FTGP"); Energy Income Partners, LLC
("EIP"); Stonebridge Advisors LLC ("Stonebridge"); and Richard Bernstein
Advisors LLC ("RBA") (each, a "Sub-Advisor" and together, the "Sub-Advisors").
The Advisor's Investment Committee determines the Fund's strategic allocation
among various general investment categories and allocates the Fund's assets to
portfolio management teams comprised of personnel of the Advisor and/or a
Sub-Advisor (each, a "Management Team"), which employ their respective
investment strategies. The Fund seeks to achieve its objectives by having each
Management Team focus on those investments within its respective investment
category. The Fund may add or remove investment categories or Management Teams
at the discretion of the Advisor.

Under normal market conditions, the Fund will invest in various asset classes,
which include high-yield corporate bonds and first lien senior secured floating
rate bank loans, mortgage-related investments, preferred securities,
international sovereign bonds, equity securities of Energy Infrastructure
Companies(1), certain of which are master limited partnerships ("MLPs"), and
dividend paying U.S. exchange-traded equity securities (including common stock)
of companies (that may be domiciled in or outside of the United States) and
depositary receipts. The Management Team may utilize a related option overlay
strategy and/or derivative instruments in implementing their respective
investment strategies for the Fund. Additionally, the Management Team may seek
exposure to these asset classes through investments in exchange-traded funds
("ETFs").

2. SIGNIFICANT ACCOUNTING POLICIES

A. PORTFOLIO VALUATION

The Fund's 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. If the NYSE closes early on a valuation day, the NAV
is determined as of that time. Domestic debt securities and foreign securities
are priced using data reflecting the earlier closing of the principal markets
for those securities. The Fund's 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.

-----------------------------

Page 18

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

considered market value prices and are either obtained from a third-party
pricing service or are determined by the Advisor's Pricing Committee 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 Portfolio of Investments. All securities and other assets of the Fund
initially expressed in foreign currencies will be converted to U.S. dollars
using exchange rates in effect at the time of valuation. The Fund's investments
are valued as follows:

Corporate bonds, corporate notes, U.S. government securities,
mortgage-backed securities, asset-backed securities and other debt
securities are fair valued on the basis of valuations provided by dealers
who make markets in such securities or by a third-party pricing service
approved by the Trust's Board of Trustees, which may use the following
valuation inputs when available:

1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.

Common stocks, preferred stocks, MLPs and other equity securities listed
on any national or foreign exchange (excluding Nasdaq and the London Stock
Exchange Alternative Investment Market ("AIM")) are valued at the last
sale price on the exchange on which they are principally traded or, for
Nasdaq and AIM securities, the official closing price. Securities traded
on more than one securities exchange are valued at the last sale price or
official closing price, as applicable, at the close of the securities
exchange representing the principal market for such securities.

Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.

Forward foreign currency contracts are fair valued at the current day's
interpolated foreign exchange rate, as calculated using the current day's
spot rate, and the thirty, sixty, ninety, and one-hundred eighty day
forward rates provided by a third-party pricing service.

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.

Exchange-traded options contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded options contracts are fair valued at the mean
of their most recent bid and asked price, if available, and otherwise at
their closing bid price.

Page 19

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

before the calculation of the Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities.

Fair valuation of a debt security will be based on the consideration of all
available information, including, but not limited to, the following:

1) the fundamental business data relating to the issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the issuer;
5) the credit quality and cash flow of the issuer, based on the
Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities of the
issuer/borrower, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management (for corporate debt only);
11) the economic, political and social prospects/developments of the
country of issue and the assessment of the country's government
leaders/officials (for sovereign debt only);
12) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry (for corporate debt only); and
13) other relevant factors.

Fair valuation of an equity security will be based on the consideration of all
available information, including, but not limited to, the following:

1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.

Because foreign markets may be open on different days than the days during which
investors may transact in the shares of the Fund, the value of the Fund's
securities may change on the days when investors are not able to transact in the
shares of the Fund. The value of the securities denominated in foreign
currencies is converted into U.S. dollars using exchange rates determined daily
as of the close of regular trading on the NYSE.

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.

Page 20

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded using the effective interest method.

Distributions received from the Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. The Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by the Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.

C. FORWARD FOREIGN CURRENCY CONTRACTS

The Fund is subject to foreign currency risk in the normal course of pursuing
its investment objectives. Forward foreign currency contracts are agreements
between two parties ("Counterparties") to exchange one currency for another at a
future date and at a specified price. The Fund uses forward foreign currency
contracts to facilitate transactions in foreign securities and to manage the
Fund's foreign currency exposure. These contracts are valued daily, and the
Fund's net equity therein, representing unrealized gain or loss on the contracts
as measured by the difference between the forward foreign exchange rates at the
dates of entry into the contracts and the forward rates at the reporting date,
is included in "Unrealized appreciation (depreciation) on forward foreign
currency contracts" on the Statement of Assets and Liabilities. When the forward
contract is closed, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or the cost of) the closing transaction
and the Fund's basis in the contract. This realized gain or loss is included in
"Net realized gain (loss) on forward foreign currency contracts" on the
Statement of Operations. Risks arise from the possible inability of
Counterparties to meet the terms of their contracts and from movement in
currency and securities values and interest rates. Due to the risks, the Fund
could incur losses in excess of the net unrealized value shown on the forward
foreign currency contracts table in the Portfolio of Investments. In the event
of default by the Counterparty, the Fund will provide notice to the Counterparty
of the Fund's intent to convert the currency held by the Fund into the currency
that the Counterparty agreed to exchange with the Fund. If a Counterparty
becomes bankrupt or otherwise fails to perform its obligations due to financial
difficulties, the Fund may experience significant delays in obtaining any
recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain
only limited recovery or may obtain no recovery in such circumstances.

As of April 30, 2018, the Fund had no open forward foreign currency contracts.

D. FUTURES CONTRACTS

The Fund purchases or sells (i.e., is long or short) exchange-listed futures
contracts to hedge against changes in interest rates (interest rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or
sell a specific quantity of an underlying instrument at a specified price and at
a specified date. Depending on the terms of the contract, futures contracts are
settled either through physical delivery of the underlying instrument on the
settlement date or by payment of a cash settlement amount on the settlement
date. Open futures contracts can also be closed out prior to settlement by
entering into an offsetting transaction in a matching futures contract. If the
Fund is not able to enter into an offsetting transaction, the Fund will continue
to be required to maintain margin deposits on the futures contract. When the
contract is closed or expires, the Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed or expired. This gain or loss is included in
"Net realized gain (loss) on futures contracts" on the Statement of Operations.

Page 21

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

Upon entering into a futures contract, the Fund 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 contacts
are marked-to-market daily with the change in value recognized as a component of
"Net change in unrealized appreciation (depreciation) on futures contracts" on
the Statement of Operations. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known as
variation margin and are included in "Variation margin" receivable or payable on
the Statement of Assets and Liabilities. If market conditions change
unexpectedly, the Fund may not achieve the anticipated benefits of the futures
contract and may realize a loss. The use of futures contracts involves the risk
of imperfect correlation in movements in the price of the futures contracts,
interest rates and the underlying instruments.

E. OPTIONS CONTRACTS

The Fund may purchase or write (sell) put and call options on futures contracts
and enter into closing transactions with respect to such options to terminate an
existing position. A futures option gives the holder the right, in return for
the premium paid, to assume a long position (call) or short position (put) in a
futures contract at a specified exercise price prior to the expiration of the
option. Upon exercise of a call option, the holder acquires a long position in
the futures contract and the writer is assigned the opposite short position. In
the case of a put option, the opposite is true. Prior to exercise or expiration,
a futures contract may be closed out by an offsetting purchase or sale of a
futures option of the same series. Options are marked-to-market daily and their
value is affected by changes in the value of the underlying security, changes in
interest rates, changes in the actual or perceived volatility of the securities
markets and the underlying securities, and the remaining time to the option's
expiration. The value of options may also be adversely affected if the market
for the options becomes less liquid or the trading volume diminishes.

The Fund uses options on futures contracts in connection with hedging
strategies. Generally, these strategies are applied under the same market and
market sector conditions in which the Fund uses put and call options on
securities or indices. The purchase of put options on futures contracts is
analogous to the purchase of puts on securities or indices so as to hedge the
Fund's securities holdings against the risk of declining market prices. The
writing of a call option or the purchasing of a put option on a futures contract
constitutes a partial hedge against declining prices of securities which are
deliverable upon exercise of the futures contract. If the price at expiration of
a written call option is below the exercise price, the Fund will retain the full
amount of the option premium which provides a partial hedge against any decline
that may have occurred in the Fund's holdings of securities. If the price when
the option is exercised is above the exercise price, however, the Fund will
incur a loss, which may be offset, in whole or in part, by the increase in the
value of the securities held by the Fund that were being hedged. Writing a put
option or purchasing a call option on a futures contract serves as a partial
hedge against an increase in the value of the securities the Fund intends to
acquire. Realized gains and losses on purchased options are included in "Net
realized gain (loss) on purchased options contracts" on the Statement of
Operations.

The Fund is required to deposit and maintain margin with respect to put and call
options on futures contracts written by it. Such margin deposits will vary
depending on the nature of the underlying futures contract (and the related
initial margin requirements), the current market value of the option and other
futures positions held by the Fund. The Fund will pledge in a segregated account
at the Fund's custodian, liquid assets, such as cash, U.S. government securities
or other high-grade liquid debt obligations equal in value to the amount due on
the underlying obligation. Such segregated assets will be marked-to-market
daily, and additional assets will be pledged in the segregated account whenever
the total value of the pledged assets falls below the amount due on the
underlying obligation.

The risks associated with the use of options on future contracts include the
risk that the Fund may close out its position as a writer of an option only if a
liquid secondary market exists for such options, which cannot be assured. The
Fund's successful use of options on futures contracts depends on the Advisor's
ability to correctly predict the movement in prices on futures contracts and the
underlying instruments, which may prove to be incorrect. In addition, there may
be imperfect correlation between the instruments being hedged and the futures
contract subject to option.

As of April 30, 2018, the Fund had no open options contracts.

Page 22

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

F. FOREIGN CURRENCY

The books and records of the Fund are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investments and items of income and expense are
translated on the respective dates of such transactions. Unrealized gains and
losses on assets and liabilities, other than investments in securities, which
result from changes in foreign currency exchange rates have been included in
"Net change in unrealized appreciation (depreciation) on foreign currency
translation" on the Statement of Operations. Unrealized gains and losses on
investments in securities which result from changes in foreign exchange rates
are included with fluctuations arising from changes in market price and are
shown in "Net change in unrealized appreciation (depreciation) on investments"
on the Statement of Operations. Net realized foreign currency gains and losses
include the effect of changes in exchange rates between trade date and
settlement date on investment security transactions, foreign currency
transactions and interest and dividends received is included in "Net realized
gain (loss) on foreign currency transactions" on the Statement of Operations.
The portion of foreign currency gains and losses related to fluctuation in
exchange rates between the initial purchase settlement date and subsequent sale
trade date for fixed-income securities is included in "Net realized gain (loss)
on investments" on the Statement of Operations.

G. INTEREST-ONLY SECURITIES

An interest-only security ("IO Security") is the interest-only portion of a
mortgage-backed security that receives some or all of the interest portion of
the underlying mortgage-backed security and little or no principal. A reference
principal value called a notional value is used to calculate the amount of
interest due to the IO Security. IO Securities are sold at a deep discount to
their notional principal amount. Generally speaking, when interest rates are
falling and prepayment rates are increasing, the value of an IO Security will
fall. Conversely, when interest rates are rising and prepayment rates are
decreasing, generally the value of an IO Security will rise. These securities,
if any, are identified on the Portfolio of Investments.

H. PRINCIPAL-ONLY SECURITIES

A principal-only security ("PO Security") is the principal-only portion of a
mortgage-backed security that does not receive any interest, is priced at a deep
discount to its redemption value and ultimately receives the redemption value.
Generally speaking, when interest rates are falling and prepayment rates are
increasing, the value of a PO Security will rise. Conversely, when interest
rates are rising and prepayment rates are decreasing, generally the value of a
PO Security will fall. These securities, if any, are identified on the Portfolio
of Investments.

I. STRIPPED MORTGAGE-BACKED SECURITIES

Stripped mortgage-backed securities are created by segregating the cash flows
from underlying mortgage loans or mortgage securities to create two or more new
securities, each with a specified percentage of the underlying security's
principal or interest payments. Mortgage-backed securities may be partially
stripped so that each investor class receives some interest and some principal.
When securities are completely stripped, however, all of the interest is
distributed to holders of one type of security known as an IO Security and all
of the principal is distributed to holders of another type of security known as
a PO Security. These securities, if any, are identified on the Portfolio of
Investments.

J. AFFILIATED TRANSACTIONS

The Fund invests in securities of affiliated funds. Dividend income and realized
gains and losses, and change in appreciation (depreciation) from affiliated
funds are presented on the Statement of Operations. The Fund's investment
performance and risks are directly related to the investment performance and
risks of the affiliated funds.

Page 23

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

Amounts related to these investments for the six months ended April 30, 2018 are
as follows:

<TABLE>
<CAPTION>
CHANGE TO
SHARES VALUE UNREALIZED REALIZED VALUE
AT AT APPRECIATION GAIN AT DIVIDEND
SECURITY NAME 4/30/2018 10/31/2017 PURCHASES SALES (DEPRECIATION) (LOSS) 4/30/18 INCOME
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
First Trust
Emerging Markets
Local Currency
Bond ETF 209,859 $ 7,919,105 $ 4,095,725 $ (3,258,208) $ (8,251) $ (30,828) $ 8,717,543 $ 328,451

First Trust
Institutional
Preferred
Securities and
Income ETF 163,156 -- 4,388,768 (1,048,217) (120,589) (38,420) 3,181,542 70,228

First Trust
Low Duration
Opportunities
ETF -- -- 386,383 (386,247) -- (136) -- 386

First Trust
Preferred
Securities and
Income ETF 490,473 15,261,539 399,419 (5,666,568) (380,953) (88,452) 9,524,985 360,363

First Trust
Senior Loan
Fund 180,823 -- 8,934,342 (230,295) 2,333 247 8,706,627 27,575

First Trust
Tactical High
Yield ETF 182,362 15,183,108 396,947 (6,509,166) (259,341) (147,529) 8,664,019 406,885
--------------------------------------------------------------------------------------------------
Total Investments
in Affiliates $38,363,752 $18,601,584 $(17,098,701) $ (766,801) $(305,118) $38,794,716 $1,193,888
==================================================================================================
</TABLE>

K. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Dividends from net investment income, if any, are declared and paid monthly by
the Fund. The Fund distributes its net realized capital gains, if any, to
shareholders at least annually.

The tax character of distributions paid during the fiscal year ended October 31,
2017 was as follows:

Distributions paid from:
Ordinary income................................. $ 3,256,254
Capital gains................................... --
Return of capital............................... --

As of October 31, 2017, the components of distributable earnings on a tax basis
for the Fund were as follows:

Undistributed ordinary income................... $ 532,704
Accumulated capital and other losses............ --
Net unrealized appreciation (depreciation)...... 1,216,722

L. INCOME TAXES

Page 24

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

The Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
The Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At October 31, 2017, the
Fund had no non-expiring capital loss carryforwards for federal income tax
purposes. During the taxable year ended October 31, 2017, the Fund utilized
non-expiring capital loss carryforwards in the amount of $262,838.

M. EXPENSES

Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).

N. NEW AND AMENDED FINANCIAL REPORTING RULES AND FORMS

On October 13, 2016 the SEC adopted new rules and forms, and amended existing
rules and forms. The new and amended rules and forms are intended to modernize
the reporting of information provided by funds and to improve the quality and
type of information that funds provide to the SEC and investors. In part, the
new and amended rules and forms amend Regulation S-X and require standardized,
enhanced disclosures about derivatives in a fund's financial statements, as well
as other amendments. The compliance date for the amendments of Regulation S-X
was August 1, 2017, which resulted in additional disclosure for variable
interest rate securities and derivative instruments within the Portfolio of
Investments. The new form types and other rule amendments will be effective for
the First Trust funds, including the Fund, for reporting periods beginning on
and after June 1, 2018. Management is evaluating the new form types and other
rule amendments that are effective on and after June 1, 2018 to determine the
impact to the Fund.

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Fund, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for supervising the selection and ongoing monitoring of the
securities in the Fund's portfolio, managing the Fund's business affairs and
providing certain administrative services necessary for the management of the
Fund.

The Fund and First Trust have retained the Sub-Advisors to provide
recommendations to the Advisor regarding the selection and on-going monitoring
of the securities in the Fund's investment portfolio. First Trust executes all
transactions on behalf of the Fund, with the exception of the securities that
are selected by FTGP. EIP, an affiliate of First Trust, provides recommendations
regarding the selection of MLP securities for the Fund's investment portfolio
and provides ongoing monitoring of the MLP securities, MLP affiliate and energy
infrastructure securities in the Fund's investment portfolio selected by EIP.
EIP exercises discretion only with respect to assets of the Fund allocated to
EIP by the Advisor. FTGP, an affiliate of First Trust, selects international
sovereign debt securities for the Fund's investment portfolio and provides
ongoing monitoring of the international sovereign debt securities in the Fund's
investment portfolio selected by FTGP. RBA provides recommendations regarding
longer term investment strategies that combine top-down, macroeconomic analysis
and quantitatively-driven portfolio construction. Stonebridge, an affiliate of
First Trust, provides recommendations regarding the selection and ongoing
monitoring of the preferred and hybrid securities in the Fund's investment
portfolio.

Pursuant to the Investment Management Agreement between the Trust and Advisor,
First Trust will supervise the Sub-Advisors and their management of the
investment of the Fund's assets and will pay EIP, FTGP, RBA and Stonebridge for
their services as the Fund's sub-advisors. First Trust will also be responsible
for the Fund's expenses, including the cost of transfer agency, custody, fund
administration, legal, audit and other services, but excluding fee payments
under the Investment Management Agreement, interest, taxes, pro rata share of
fees and expenses attributable to investments in other investment companies
("acquired fund fees and expenses") with the exception of those attributable to
affiliated Funds, brokerage commissions and other expenses connected with the
execution of portfolio transactions, distribution and service fees pursuant to a
12b-1 plan, if any, and extraordinary expenses. The Fund has agreed to pay First
Trust an annual unitary management fee equal to 0.85% of its average daily net

Page 25

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

assets. The total of the unitary management fee, acquired fund fees and
expenses, and other excluded expenses represents the Fund's total annual
operating expenses. Pursuant to a contractual agreement between the Trust, on
behalf of the Fund, and First Trust, the management fees paid to First Trust
will be reduced by the proportional amount of the acquired fund fees and
expenses of the shares of investment companies held by the Fund so that the Fund
would not bear the indirect costs of holding them, provided that the investment
companies are advised by First Trust. This contractual agreement shall continue
until the earlier of (i) its termination at the direction of the Trust's Board
of Trustees or (ii) the termination of the Fund's management agreement with
First Trust. First Trust does not have the right to recover the fees waived that
are attributable to acquired fund fees and expenses on the shares of investment
companies advised by First Trust. During the six months ended April 30, 2018,
the Advisor waived fees of $181,929.

During the fiscal year ended October 31, 2017, the Fund received a reimbursement
from the Advisor of $3,457 in connection with a trade error.

Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
or is an index fund.

Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen will rotate every three years. The officers and "Interested" Trustee
receive no compensation from the Trust for acting in such capacities.

4. PURCHASES AND SALES OF SECURITIES

The cost of purchases of U.S. Government securities and non-U.S. Government
securities, excluding short-term investments and in-kind transactions, for the
six months ended April 30, 2018, were $79,003 and $53,984,760, respectively. The
proceeds from sales and paydowns of U.S. Government securities and non-U.S.
Government securities, excluding short-term investments and in-kind
transactions, for the six months ended April 30, 2018, were $965,209 and
$53,989,622, respectively.

For the six months ended April 30, 2018, the Fund had no in-kind transactions.

5. DERIVATIVE TRANSACTIONS

The following table presents the types of derivatives held by the Fund at April
30, 2018, the primary underlying risk exposure and the location of these
instruments as presented on the Statement of Assets and Liabilities.

<TABLE>
<CAPTION>
ASSET DERIVATIVES LIABILITY DERIVATIVES
------------------------------------ -----------------------------------
DERIVATIVE RISK STATEMENT OF ASSETS AND STATEMENT OF ASSETS AND
INSTRUMENTS EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE
------------------ ------------- ----------------------- ---------- ----------------------- ---------
<S> <C> <C> <C> <C> <C>
Futures contracts Interest Unrealized appreciation Unrealized depreciation
Rate Risk on futures contracts* $ 1,757 on futures contracts* $ 2,217
</TABLE>

* Includes cumulative appreciation/depreciation on futures contracts as
reported in the Portfolio of Investments. Only the current day's variation
margin is reported within the Statement of Assets and Liabilities.

Page 26

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

The following table presents the amount of net realized gain (loss) and change
in net unrealized appreciation (depreciation) recognized for the six months
ended April 30, 2018, on derivative instruments, as well as the primary
underlying risk exposure associated with the instruments.

STATEMENT OF OPERATIONS LOCATION
--------------------------------
INTEREST RATE RISK EXPOSURE
Net realized gain (loss) on futures contracts $ (56,728)
Net change in unrealized appreciation (depreciation) on
futures contracts 17,270

During the six months ended April 30, 2018, there were no forward foreign
currency contracts opened or closed.

During the six months ended April 30, 2018, the notional value of futures
contracts opened and closed were $2,930,911 and $3,112,056, respectively.

During the six months ended April 30, 2018, there were no options contracts
opened or closed.

The Fund does not have the right to offset financial assets and financial
liabilities related to futures contracts on the Statement of Assets and
Liabilities.

6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES

Shares are created and redeemed by the Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker-dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant'). In order to purchase Creation Units of the Fund, an
Authorized Participant must deposit (i) a designated portfolio of securities
determined by First Trust (the "Deposit Securities") and generally make or
receive a cash payment referred to as the "Cash Component," which is an amount
equal to the difference between the NAV of the Fund Shares (per Creation Unit
Aggregation) and the market value of the Deposit Securities, and/or (ii) cash in
lieu of all or a portion of the Deposit Securities. The Fund's Creation Units
are generally issued and redeemed for cash. If the Cash Component is a positive
number (i.e., the NAV per Creation Unit Aggregation exceeds the Deposit Amount),
the Authorized Participant will deliver the Cash Component. If the Cash
Component is a negative number (i.e., the NAV per Creation Unit Aggregation is
less than the Deposit Amount), the Authorized Participant will receive the Cash
Component. Authorized Participants purchasing Creation Units must pay to BNYM,
as transfer agent, a creation transaction fee (the "Creation Transaction Fee")
regardless of the number of Creation Units purchased in the transaction. The
Creation Transaction Fee is based on the composition of the securities included
in the Fund's portfolio and the countries in which the transactions are settled.
The Creation Transaction Fee is currently $500. The price for each Creation Unit
will equal the daily NAV per share times the number of shares in a Creation Unit
plus the fees described above and, if applicable, any operational processing and
brokerage costs, transfer fees or stamp taxes. When the Fund permits an
Authorized Participant to substitute cash or a different security in lieu of
depositing one or more of the requisite Deposit Securities, the Authorized
Participant may also be assessed an amount to cover the cost of purchasing the
Deposit Securities and/or disposing of the substituted securities, including
operational processing and brokerage costs, transfer fees, stamp taxes, and part
or all of the spread between the expected bid and offer side of the market
related to such Deposit Securities and/or substitute securities.

Page 27

<PAGE>

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

7. DISTRIBUTION PLAN

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before March 31, 2019.

8. INDEMNIFICATION

The Trust, on behalf of the Fund, has a variety of indemnification obligations
under contracts with its service providers. The Fund's maximum exposure under
these arrangements is unknown. However, the Fund has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.

9. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through
the date the financial statements were issued, and has determined there were no
subsequent events requiring recognition or disclosure in the financial
statements that have not already been disclosed.

Page 28

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ADDITIONAL INFORMATION
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FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

PROXY VOTING POLICIES AND PROCEDURES

PORTFOLIO HOLDINGS

The Trust files its complete schedule of the Fund's portfolio holdings with the
SEC for the first and third quarters of each fiscal year on Form N-Q. The
Trust's Forms N-Q are available (1) by calling (800) 988-5891; (2) on the Fund's
website at www.ftportfolios.com; (3) on the SEC's website at www.sec.gov; and
(4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling (800) SEC-0330.

RISK CONSIDERATIONS

The following summarizes some of the risks that should be considered for the
Fund.

CASH TRANSACTIONS RISK. The Fund may, under certain circumstances, effect a
portion of creations and redemptions for cash, rather than in-kind securities.
As a result, an investment in the Fund may be less tax-efficient than an
investment in an ETF that effects its creations and redemptions for in-kind
securities. Because the Fund may effect a portion of redemptions for cash, it
may be required to sell portfolio securities in order to obtain the cash needed
to distribute redemption proceeds. A sale of shares may result in capital gains
or losses and may also result in higher brokerage costs.

COVERED CALL RISK. Covered call risk is the risk that the Fund will forgo,
during the option's life, the opportunity to profit from increases in the market
value of the security covering the call option above the sum of the premium and
the strike price of the call, but has retained the risk of loss should the price
of the underlying security decline. In addition, as the Fund writes covered
calls over more of its portfolio, its ability to benefit from capital
appreciation becomes more limited. The writer of an option has no control over
the time when it may be required to fulfill its obligation as a writer of the
option. Once an option writer has received an exercise notice, it cannot effect
a closing purchase transaction in order to terminate its obligation under the
option and must deliver the underlying security at the exercise price.

Page 29

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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

while generally offering higher yields than investment grade debt with similar
maturities, involve greater risks, including the possibility of dividend or
interest deferral, default or bankruptcy, and are regarded as predominantly
speculative with respect to the issuer's capacity to pay dividends or interest
and repay principal.

CYBER SECURITY RISK. As the use of Internet technology has become more prevalent
in the course of business, the Fund has become more susceptible to potential
operational risks through breaches in cyber security. A breach in cyber security
refers to both intentional and unintentional events that may cause the Fund to
lose proprietary information, suffer data corruption or lose operational
capacity. Such events could cause the Fund to incur regulatory penalties,
reputational damage, additional compliance costs associated with corrective
measures and/or financial loss. Cyber security breaches may involve unauthorized
access to the Fund's digital information systems through "hacking" or malicious
software coding, but may also result from outside attacks such as
denial-of-service attacks through efforts to make network services unavailable
to intended users. In addition, cyber security breaches of the Fund's third
party service providers, such as its administrator, transfer agent, custodian,
or sub-advisor, as applicable, or issuers in which the Fund invests, can also
subject the Fund to many of the same risks associated with direct cyber security
breaches. The Fund has established risk management systems designed to reduce
the risks associated with cyber security. However, there is no guarantee that
such efforts will succeed, especially because the Fund does not directly control
the cyber security systems of issuers or third-party service providers.

DEPOSITARY RECEIPTS RISK. Depositary receipts may be less liquid than the
underlying shares in their primary trading market. Any distributions paid to the
holders of depositary receipts are usually subject to a fee charged by the
depositary. Holders of depositary receipts may have limited voting rights, and
investment restrictions in certain countries may adversely impact the value of
depositary receipts because such restrictions may limit the ability to convert
the equity shares into depositary receipts and vice versa. Such restrictions may
cause the equity shares of the underlying issuer to trade at a discount or
premium to the market price of the depositary receipts.

DERIVATIVES RISK. The use of exchange-listed futures contracts, exchange-listed
options, exchange-listed options on futures contracts, exchange-listed stock
index options and forward contracts can lead to losses because of adverse
movements in the price or value of the underlying asset, index or rate, which
may be magnified by certain features of the derivatives. These risks are
heightened when the Fund's portfolio managers use derivatives to enhance the
Fund's return or as a substitute for a position or security, rather than solely
to hedge (or offset) the risk of a position or security held by the Fund.

The use of derivatives presents risks different from, and greater than, the
risks associated with investing directly in traditional securities. Among the
risks presented are market risk, credit risk, management risk and liquidity
risk. The use of derivatives can lead to losses because of adverse movements in
the price or value of the underlying asset, index or rate, which may be
magnified by certain features of the derivatives. In addition, when the Fund
invests in certain derivative securities, including, but not limited to,
when-issued securities, forward commitments and futures contracts, it is
effectively leveraging its investments, which could result in exaggerated
changes in the net asset value of the Fund's shares and can result in losses
that exceed the amount originally invested. The success of the advisor's
derivatives strategies will depend on the ability of the management teams to
assess and predict the impact of market or economic developments on the
underlying asset, index or rate, and the derivative itself, without the benefit
of observing the performance of the derivative under all possible market
conditions. Liquidity risk exists when a security cannot be purchased or sold at
the time desired, or cannot be purchased or sold without adversely affecting the
price.

ENERGY INFRASTRUCTURE COMPANIES RISK. Energy infrastructure companies may be
directly affected by energy commodity prices, especially those companies that
own the underlying energy commodity. A decrease in the production or
availability of natural gas, natural gas liquids, crude oil, coal or other
energy commodities or a decrease in the volume of such commodities available for
transportation, processing, storage or distribution may adversely impact the
financial performance of energy infrastructure companies. Energy infrastructure
companies are subject to significant federal, state and local government
regulation in virtually every aspect of their operations, including how
facilities are constructed, maintained and operated, environmental and safety
controls, and the prices they may charge for products and services.

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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

Various governmental authorities have the power to enforce compliance with these
regulations and the permits issued under them and violators are subject to
administrative, civil and criminal penalties, including civil fines, injunctions
or both. Stricter laws, regulations or enforcement policies could be enacted in
the future which would likely increase compliance costs and may adversely affect
the financial performance of energy infrastructure companies. Natural disasters,
such as hurricanes in the Gulf of Mexico, also may impact energy infrastructure
companies.

Certain energy infrastructure companies in the utilities industry are subject to
the imposition of rate caps, increased competition due to deregulation, the
difficulty in obtaining an adequate return on invested capital or in financing
large construction projects, the limitations on operations and increased costs
and delays attributable to environmental considerations, and the capital
market's ability to absorb utility debt. In addition, taxes, government
regulation, international politics, price and supply fluctuations, volatile
interest rates and energy conservation may cause difficulties for these
companies. Such issuers have been experiencing certain of these problems to
varying degrees.

ETF RISK. The shares of an ETF trade like common stock and represent a portfolio
of securities. The risks of owning an ETF generally reflect the risks of owning
the underlying securities, although lack of liquidity in an ETF could result in
it being more volatile and ETFs have management fees that increase their costs.
An investment can be made in the underlying ETFs directly rather than through
the Fund. These direct investments can be made without paying the fees and
expenses associated with the Fund.

Page 31

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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

generally not listed on a national securities exchange but trade in the
over-the-counter markets. Due to the smaller, less liquid market for high yield
securities, the bid-offer spread on such securities is generally greater than it
is for investment grade securities and the purchase or sale of such securities
may take longer to complete. In general, high yield securities may have a
greater risk of default than other types of securities.

INCOME RISK. Income from the Fund's fixed income investments could decline
during periods of falling interest rates.

INVESTMENT COMPANIES RISK. The Fund may invest in the shares of other investment
companies, and therefore, the Fund's investment performance and risks may be
related to the investment performance and risks of the underlying funds. In
general, as a shareholder in other investment companies, the Fund bears its
ratable share of the underlying fund's expenses, and would be subject to
duplicative expenses to the extent the Fund invests in other investment
companies. Pursuant to a contractual agreement, the Fund's advisor has agreed to
reduce the management fee paid by the Fund by the proportional amount of the
acquired fund fees and expenses of the shares of investment companies held by
the Fund so that the Fund would not bear the indirect costs of holding them,
provided, that, the investment companies are advised by the Fund's advisor.

MANAGEMENT RISK. The Fund is subject to management risk because it is an
actively managed portfolio. In managing the Fund's investment portfolio, the
Fund's management teams will apply investment techniques and risk analyses that
may not have the desired result. There can be no guarantee that the Fund will
meet its investment objectives.

MLP RISK. An investment in master limited partnership ("MLP") units involves
risks which differ from an investment in common stock of a corporation. Holders
of MLP units have limited control and voting rights on matters affecting the
MLP. In addition, there are certain tax risks associated with an investment in
MLP units and conflicts of interest may exist between common unit holders and
the general partner, including those arising from incentive distribution
payments. In addition, there is the risk that an MLP could be, contrary to its

Page 32

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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

intention, taxed as a corporation, resulting in decreased returns from such MLP.
A significant portion of MLP income has historically been offset by tax
deductions. The Fund will recognize income with respect to that portion of a
distribution that is not offset by tax deductions, with the remaining portion of
the distribution being treated as a tax-deferred return of capital.

MORTGAGE SECURITIES RISK. The Fund invests in mortgage-related securities,
including mortgage-backed securities, which may make the Fund more susceptible
to adverse economic, political or regulatory events that affect the value of
real estate. Changes in local, state and federal policies could negatively
impact the mortgage-related securities market, which include various government
initiated and sponsored homeowner assistance programs and eminent domain issues.
Mortgage-related securities are subject to the risk that the rate of mortgage
prepayments decreases, which extends the average life of a security and
increases the interest rate exposure. Mortgage-related securities may also face
liquidity issues when the Fund seeks to sell such securities, but is unable to
find buyers at a bid-ask spread to make the transaction feasible. These
securities are also subject to the risk that the underlying borrowers may
default on their mortgages, resulting in a non-payment of principal and
interest. Finally, the mortgage-related securities market may be negatively
impacted by regulatory changes including those that are related to the mandate
or existence of the government-sponsored enterprises, Fannie Mae, Freddie Mac
and Ginnie Mae. Mortgage-related securities are subject to the risk that the
rate of mortgage prepayments decreases, which extends the average life of a
security and increases the interest rate exposure.

NON-AGENCY DEBT RISK. Non-agency debt, including mortgage-backed securities that
are not issued by a government-sponsored entity such as Fannie Mae, Freddie Mac
and Ginnie Mae, are not afforded the protections of backing by the U.S.
government. This makes such securities more susceptible to credit, liquidity and
other risks discussed in this prospectus.

PORTFOLIO TURNOVER RISK. The Fund's strategy may frequently involve buying and
selling portfolio securities to rebalance the Fund's exposure to various market
sectors. High portfolio turnover may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for shareholders.
Portfolio turnover risk may cause the Fund's performance to be less than you
expect.

PREFERRED SECURITIES RISK. Preferred securities combine some of the
characteristics of both common stocks and bonds. Preferred securities are
typically subordinated to bonds and other debt instruments in a company's
capital structure, in terms of priority to corporate income, and therefore will
be subject to greater credit risk than those debt instruments. Preferred
securities are also subject to credit risk, interest rate risk and income risk.

SENIOR LOAN RISK. An investment in senior loans subjects the Fund to credit
risk, which is heightened for loans in which the Fund invests because companies
that issue such loans tend to be highly leveraged and thus are more susceptible
to the risks of interest deferral, default and/or bankruptcy. The loans are
usually rated below investment grade but may also be unrated. An economic
downturn would generally lead to a higher non-payment rate, and a loan may lose
significant market value before a default occurs. Moreover, any specific
collateral used to secure a loan may decline in value or become illiquid, which
would adversely affect the loan's value. Unlike the securities markets, there is
no central clearing house for loan trades, and the loan market has not
established enforceable settlement standards or remedies for failure to settle.
Therefore, portfolio transactions in loans may have uncertain settlement time
periods. Loans are subject to a number of risks described elsewhere in this
prospectus, including liquidity risk and the risk of investing in below
investment grade debt instruments. Floating rate loans are subject to prepayment
risk. The degree to which borrowers prepay loans, whether as a contractual
requirement or at their election, may be affected by general business
conditions, the financial condition of the borrower and competitive conditions
among loan investors, among others. As such, prepayments cannot be predicted
with accuracy. Upon a prepayment, either in part or in full, the actual
outstanding debt on which the Fund derives interest income will be reduced. The
Fund may not be able to reinvest the proceeds received on terms as favorable as
the prepaid loan.

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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST STRATEGIC INCOME ETF (FDIV)
APRIL 30, 2018 (UNAUDITED)

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<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187

INVESTMENT SUB-ADVISORS
Energy Income Partners, LLC
10 Wright Street
Westport, CT 06880

First Trust Global Portfolios Ltd.
8 Angel Court
London EC2R 7HJ

Richard Bernstein Advisors, LLC
120 West 45th Street, 36th Floor
New York, NY 10036

Stonebridge Advisors LLC
10 Westport Road, Suite C101
Wilton, CT 06897

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603

<PAGE>

[BLANK BACK COVER]

<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

--------------------------------------------------------------------------------

First Trust Low Duration Opportunities ETF (LMBS)

Semi-Annual Report
For the Six Months Ended
April 30, 2018

<PAGE>

--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
SEMI-ANNUAL REPORT
APRIL 30, 2018

Shareholder Letter........................................................... 1
Fund Performance Overview.................................................... 2
Portfolio Management ........................................................ 5
Understanding Your Fund Expenses............................................. 6
Portfolio of Investments..................................................... 7
Statement of Assets and Liabilities.......................................... 45
Statement of Operations...................................................... 46
Statements of Changes in Net Assets.......................................... 47
Financial Highlights......................................................... 48
Notes to Financial Statements................................................ 49
Additional Information....................................................... 58

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the series of First Trust Exchange-Traded Fund IV (the "Trust") described in
this report (First Trust Low Duration Opportunities ETF; hereinafter referred to
as the "Fund") to be materially different from any future results, performance
or achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.

PERFORMANCE AND RISK DISCLOSURE

The Advisor may also periodically provide additional information on Fund
performance on the Fund's webpage at www.ftportfolios.com.

HOW TO READ THIS REPORT

The statistical information that follows may help you understand the Fund's
performance compared to that of a relevant market benchmark.

<PAGE>

--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
APRIL 30, 2018

Dear Shareholders:

First Trust is pleased to provide you with the semi-annual report for the First
Trust Low Duration Opportunities ETF which contains information about your
investment for the period ended April 30, 2018. We encourage you to read this
report carefully and discuss it with your financial advisor.

o The S&P 500(R) Index did something it had never previously done,
finishing 2017 with 12 months of gains;

o The Dow Jones Industrial Average achieved a milestone as well,
closing above 24,000 for the first time ever on November 30;

o The Nasdaq Composite set a record by having 11 months of gains in
2017 (June was the only down month, and by just 0.86%); and

o The MSCI AC World Index (containing constituents from 47 countries)
ended 2017 at an all-time high and was up 22% at year-end.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.

Page 1

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FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

The primary investment objective of the First Trust Low Duration Opportunities
ETF (the "Fund") is to generate current income. The Fund's secondary investment
objective is to provide capital appreciation. The Fund is an actively managed
exchange-traded fund. First Trust Advisors L.P. ("First Trust" or the "Advisor")
serves as the investment advisor. Jim Snyder and Jeremiah Charles are the Fund's
portfolio managers and are jointly and primarily responsible for the day-to-day
management of the Fund's investment portfolio.

Under normal market conditions, the Fund will seek to achieve its investment
objectives by investing at least 80% of its net assets (including investment
borrowings) in mortgage-related debt securities and other mortgage-related
instruments. The Fund's investment categories are: (i) mortgage-related
investments, including mortgage-backed securities that may be, but are not
required to be, issued or guaranteed by the U.S. government or its agencies or
instrumentalities; (ii) U.S. government securities, including callable agency
securities, which give the issuer (the U.S. government agency) the right to
redeem the security prior to maturity, and U.S. government inflation-indexed
securities; and (iii) high yield debt, commonly referred to as "junk" debt.
Although the Fund intends to invest primarily in investment grade securities,
the Fund may invest up to 20% of its net assets (including investment
borrowings) in securities of any credit quality, including securities that are
below investment grade (as described in (iii) above), illiquid securities, and
derivative instruments. The Fund is non-diversified.

<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (11/4/14) Inception (11/4/14)
4/30/18 4/30/18 to 4/30/18 to 4/30/18
<S> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 0.18% 0.97% 3.55% 12.94%
Market Price 0.16% 0.91% 3.57% 13.02%

INDEX PERFORMANCE
ICE BofAML 1-5 Year US Treasury & Agency Index -0.99% -0.71% 0.58% 2.05%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>

Total returns for the period since inception are calculated from the inception
date of the Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the period indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the period
indicated.

The Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed 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 outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of the Fund did not trade in the
secondary market until after its inception, for the period from inception to the
first day of secondary market trading in shares of the Fund, the NAV of the Fund
is used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that all distributions have been
reinvested in the Fund at NAV and Market Price, respectively.

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. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the index. 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. The investment return and principal value of shares of the
Fund will vary with changes in market conditions. Shares of the Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. The Fund's past performance is no guarantee of future performance.

Page 2

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

-----------------------------------------------------------
% OF LONG-TERM
ASSET CLASSIFICATION INVESTMENTS(1)
-----------------------------------------------------------
U.S. Government Agency Mortgage-
Backed Securities 81.05%
Asset-Backed Securities 7.19
Exchange-Traded Funds 4.65
U.S. Government Bonds and Notes 3.67
Mortgage-Backed Securities 3.44
--------
Total 100.00%
========

-----------------------------------------------------------
% OF TOTAL LONG
FIXED-INCOME
CREDIT QUALITY(2) INVESTMENTS & CASH
-----------------------------------------------------------
Government and Agency 85.00%
AAA 0.50
AA+ 0.13
AA 0.02
AA- 0.01
A+ 0.04
A- 0.02
A 0.03
BBB+ 0.03
BBB- 0.05
Below Investment Grade 0.94
Not Rated 13.23
Cash 0.00*
--------
Total 100.00%
========

* Amount is less than 0.01%.

-----------------------------------------------------------
% OF LONG-TERM
TOP TEN HOLDINGS INVESTMENTS(1)
-----------------------------------------------------------
Federal National Mortgage Association,
Pool TBA 8.29%
iShares 20+ Year Treasury Bond ETF 2.49
U.S. Treasury Note 2.44
Federal Home Loan Mortgage Corporation,
Pool 840359, 12 Mo. LIBOR + 1.63% 2.36
Federal National Mortgage Association,
Pool TBA 2.30
Federal Home Loan Mortgage Corporation,
Series 2015-343, Class F4, STRIPS,
1 Mo. LIBOR + 0.35% 2.22
iShares 7-10 Year Treasury Bond ETF 2.16
Federal National Mortgage Association,
Pool BE2973 2.04
Federal Home Loan Mortgage Corporation,
Pool Q55152 1.89
Federal National Mortgage Association,
Pool AL8640, 12 Mo. LIBOR + 1.80% 1.78
--------
Total 27.97%
========

-----------------------------------------------------------
WEIGHTED AVERAGE EFFECTIVE NET DURATION
-----------------------------------------------------------
April 30, 2018 2.43 Years
High - April 30, 2018 2.43 Years
Low - December 31, 2017 1.94 Years

-----------------------------

(1) Percentages are based on the long positions only. Money market funds and
short positions are excluded.

(2) The ratings are by Standard & Poor's Ratings Group, a division of The
McGraw-Hill Companies, Inc. 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. Ratings
are measured highest to lowest on a scale that generally ranges from AAA
to D for long-term ratings and A-1+ to C for short-term ratings.
Investment grade is defined as those issuers that have a long-term credit
rating of BBB- or higher or a short-term credit rating of A-3 or higher.
The credit ratings shown relate to the credit worthiness of the issuers of
the underlying securities in the Fund, and not to the Fund or its shares.
U.S. Treasury and U.S. Agency mortgage-backed securities appear under
"Government and Agency". Credit ratings are subject to change.

Page 3

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
NOVEMBER 4, 2014 - APRIL 30, 2018

First Trust Low Duration ICE BofAML 1-5 Year US
Opportunities ETF Treasury & Agency Index
<S> <C> <C>
11/4/14 $10,000 $10,000
4/30/15 10,236 10,097
10/31/15 10,362 10,144
4/30/16 10,725 10,256
10/31/16 11,138 10,301
4/30/17 11,186 10,279
10/31/17 11,274 10,307
4/30/18 11,294 10,205
</TABLE>

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.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV THROUGH APRIL 30, 2018

The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period November 5, 2014
(commencement of trading) through April 30, 2018. Shareholders may pay more than
NAV when they buy Fund shares and receive less than NAV when they sell those
shares because shares are bought and sold at current market price. Data
presented represents past performance and cannot be used to predict future
results.

<TABLE>
<CAPTION>
NUMBER OF DAYS BID/ASK MIDPOINT NUMBER OF DAYS BID/ASK MIDPOINT
AT/ABOVE NAV BELOW NAV
---------------------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.00%- 0.50%- 1.00%- 0.00%- 0.50%- 1.00%-
FOR THE PERIOD 0.49% 0.99% 1.99% >=2.00% 0.49% 0.99% 1.99% >=2.00%
11/5/14 - 10/31/15 144 40 0 1 62 3 0 0
11/1/15 - 10/31/16 178 7 0 0 66 1 0 0
11/1/16 - 10/31/17 236 0 0 0 16 0 0 0
11/1/17 - 4/30/18 99 0 0 0 24 0 0 0
</TABLE>

Page 4

<PAGE>

--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT
--------------------------------------------------------------------------------

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
SEMI-ANNUAL REPORT
APRIL 30, 2018 (UNAUDITED)

ADVISOR

First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment
advisor to the First Trust Low Duration Opportunities ETF (the "Fund" or
"LMBS"). In this capacity, First Trust is responsible for the selection and
ongoing monitoring of the investments in the Fund's portfolio and certain other
services necessary for the management of the portfolio. First Trust serves as
advisor for seven mutual fund portfolios, ten exchange-traded trusts consisting
of 130 series and 16 closed-end funds and is also the portfolio supervisor of
certain unit investment trusts sponsored by First Trust Portfolios L.P. ("FTP").

PORTFOLIO MANAGEMENT TEAM

JEREMIAH CHARLES - SENIOR VICE PRESIDENT, PORTFOLIO MANAGER
JIM SNYDER - SENIOR VICE PRESIDENT, PORTFOLIO MANAGER

Page 5

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

UNDERSTANDING YOUR FUND EXPENSES
APRIL 30, 2018 (UNAUDITED)

As a shareholder of First Trust Low Duration Opportunities ETF (the "Fund"), you
incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service fees, if any, and other
Fund expenses. This Example is intended to help you understand your ongoing
costs of investing in the Fund and to compare these costs with the ongoing costs
of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended April 30, 2018.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX MONTH SIX MONTH
NOVEMBER 1, 2017 APRIL 30, 2018 PERIOD (a) PERIOD (a) (b)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
Actual $1,000.00 $1,001.80 0.65% $3.23
Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26
</TABLE>

(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.

Page 6

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 77.1%
ASSET-BACKED SECURITIES -- 0.1%
Fannie Mae Grantor Trust
$ 479,655 Series 2002-T7, Class A1, 1 Mo. LIBOR + 0.22% (a)............ 2.09% 07/25/32 $ 462,833
Federal Home Loan Mortgage Corporation
1,365,637 Series 1999-21, Class A, 1 Mo. LIBOR + 0.36% (a)............. 2.23% 10/25/29 1,355,952
69,795 Series 2006-72, Class A1, 1 Mo. LIBOR + 0.21% (a)............ 2.08% 03/25/36 69,454
---------------
1,888,239
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 25.1%
Federal Home Loan Mortgage Corporation
804 Series 1989-74, Class F...................................... 6.00% 10/15/20 817
5 Series 1990-172, Class J..................................... 7.00% 07/15/21 5
35 Series 1990-186, Class E..................................... 6.00% 08/15/21 36
124 Series 1990-188, Class H..................................... 7.00% 09/15/21 127
86,357 Series 1992-133, Class B, IO, STRIPS......................... 8.50% 06/01/22 10,878
2,396 Series 1992-205, Class A, 1 Mo. LIBOR + 0.45% (a)............ 2.35% 05/15/23 2,404
114,293 Series 1992-1206, Class IB, 1 Mo. LIBOR + 0.83% (a).......... 2.73% 03/15/22 115,698
29,700 Series 1993-1498, Class I, 1 Mo. LIBOR + 1.15% (a)........... 3.05% 04/15/23 30,301
23,681 Series 1993-1552, Class I, 10 Yr. U.S. Treasury Yield
Curve - 0.65% (a)......................................... 2.23% 08/15/23 23,620
3,495 Series 1993-1577, Class PK................................... 6.50% 09/15/23 3,671
204,361 Series 1993-1579, Class PM................................... 6.70% 09/15/23 218,851
169,202 Series 1993-1630, Class PK................................... 6.00% 11/15/23 177,793
16,581 Series 1993-1643, Class PK................................... 6.50% 12/15/23 17,451
523,378 Series 1994-1710, Class G, 1 Mo. LIBOR + 1.50% (a)........... 3.40% 04/15/24 533,678
21,190 Series 1998-2042, Class H, PO................................ (b) 03/15/28 19,239
2,819 Series 1998-2089, Class PJ, IO............................... 7.00% 10/15/28 325
14,145 Series 1998-2102, Class Z.................................... 6.00% 12/15/28 15,247
704,779 Series 1999-201, Class PO, PO, STRIPS........................ (b) 01/01/29 619,835
91,014 Series 2000-2245, Class EA, PO............................... (b) 08/15/30 85,403
4,010 Series 2001-2365, Class LO, PO............................... (b) 09/15/31 3,914
107,492 Series 2002-48, Class 1A (c)................................. 4.21% 07/25/33 111,193
126,858 Series 2002-2405, Class BF................................... 7.00% 03/25/24 136,064
150,747 Series 2002-2410, Class OG................................... 6.38% 02/15/32 176,635
369,680 Series 2002-2425, Class PO, PO............................... (b) 03/15/32 330,760
203,805 Series 2002-2427, Class GE................................... 6.00% 03/15/32 226,895
393,932 Series 2002-2437, Class SA, IO,
1 Mo. LIBOR x -1 + 7.90% (d).............................. 6.00% 01/15/29 59,213
104,180 Series 2002-2449, Class LO, PO............................... (b) 05/15/32 93,851
64,430 Series 2002-2499, Class PO, PO............................... (b) 01/15/32 56,837
22,056 Series 2003-58, Class 2A..................................... 6.50% 09/25/43 24,547
200,300 Series 2003-225, Class PO, PO, STRIPS........................ (b) 11/15/33 164,469
63,695 Series 2003-2557, Class HL................................... 5.30% 01/15/33 67,643
219,275 Series 2003-2564, Class AC................................... 5.50% 02/15/33 241,871
683,372 Series 2003-2574, Class PE................................... 5.50% 02/15/33 740,928
313,826 Series 2003-2577, Class LI, IO............................... 5.50% 02/15/33 64,103
1,646,000 Series 2003-2581, Class LL................................... 5.25% 03/15/33 1,773,775
846,571 Series 2003-2586, Class TG................................... 5.50% 03/15/23 883,854
203,921 Series 2003-2597, Class AE................................... 5.50% 04/15/33 215,461
1,584,000 Series 2003-2613, Class LL................................... 5.00% 05/15/33 1,703,926
209,620 Series 2003-2626, Class ZW................................... 5.00% 06/15/33 222,580
310,237 Series 2003-2626, Class ZX................................... 5.00% 06/15/33 329,773
3,450 Series 2003-2649, Class KA................................... 4.50% 07/15/18 3,455
421 Series 2003-2650, Class SO, PO............................... (b) 12/15/32 420
</TABLE>

See Notes to Financial Statements Page 7

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 146,000 Series 2003-2669, Class LL................................... 5.50% 08/15/33 $ 155,753
325,361 Series 2003-2703, Class CB................................... 4.00% 11/15/18 326,227
617,344 Series 2004-2771, Class NL................................... 6.00% 03/15/34 679,138
75,328 Series 2004-2785, Class NC................................... 4.00% 04/15/19 75,681
622,667 Series 2004-2793, Class PE................................... 5.00% 05/15/34 658,210
1,545,559 Series 2004-2801, Class SE, IO,
1 Mo. LIBOR x -1 + 7.05% (d).............................. 5.15% 07/15/32 270,274
335,087 Series 2004-2835, Class QY, IO,
1 Mo. LIBOR x -1 + 7.90% (d).............................. 6.00% 12/15/32 59,305
36,112 Series 2004-2863, Class PO, PO............................... (b) 10/15/31 34,083
269,273 Series 2004-2890, Class ZA................................... 5.00% 11/15/34 287,364
477,253 Series 2004-2891, Class ZA................................... 6.50% 11/15/34 630,543
564,083 Series 2004-2907, Class DZ................................... 4.00% 12/15/34 561,056
2,765,628 Series 2005-233, Class 12, IO, STRIPS........................ 5.00% 09/15/35 636,027
754,758 Series 2005-234, Class IO, IO, STRIPS........................ 4.50% 10/01/35 154,790
1,268,766 Series 2005-2923, Class PO, PO............................... (b) 01/15/35 1,099,242
151,331 Series 2005-2934, Class EC, PO............................... (b) 02/15/20 148,430
393,000 Series 2005-2973, Class GE................................... 5.50% 05/15/35 446,797
721,442 Series 2005-2980, Class AO, PO............................... (b) 11/15/34 596,645
287,357 Series 2005-2990, Class GO, PO............................... (b) 02/15/35 254,711
154,974 Series 2005-3001, Class OK, PO............................... (b) 02/15/35 131,836
72,138 Series 2005-3027, Class AP, PO............................... (b) 05/15/29 63,423
252,565 Series 2005-3031, Class BI, IO,
1 Mo. LIBOR x -1 + 6.69% (d).............................. 4.79% 08/15/35 43,577
17,789 Series 2005-3074, Class ZH................................... 5.50% 11/15/35 21,593
289,128 Series 2005-3077, Class TO, PO............................... (b) 04/15/35 260,729
111,747 Series 2006-237, Class PO, PO, STRIPS........................ (b) 05/15/36 92,567
662,968 Series 2006-238, Class 8, IO, STRIPS......................... 5.00% 04/15/36 129,827
552,848 Series 2006-243, Class 11, IO, STRIPS (e).................... 7.24% 08/15/36 143,803
238,308 Series 2006-3100, Class PO, PO............................... (b) 01/15/36 207,119
659,621 Series 2006-3114, Class GI, IO,
1 Mo. LIBOR x -1 + 6.60% (d).............................. 4.70% 02/15/36 116,628
213,688 Series 2006-3117, Class EO, PO............................... (b) 02/15/36 181,691
23,150 Series 2006-3117, Class OK, PO............................... (b) 02/15/36 19,599
976,351 Series 2006-3117, Class SO, PO............................... (b) 02/15/36 765,625
29,288 Series 2006-3117, Class ZU................................... 6.00% 02/15/36 30,342
33,697 Series 2006-3122, Class OH, PO............................... (b) 03/15/36 29,866
32,916 Series 2006-3122, Class OP, PO............................... (b) 03/15/36 29,984
8,244 Series 2006-3122, Class ZW................................... 6.00% 03/15/36 9,749
89,914 Series 2006-3134, Class PO, PO............................... (b) 03/15/36 78,535
178,470 Series 2006-3138, Class PO, PO............................... (b) 04/15/36 156,854
265,878 Series 2006-3140, Class XO, PO............................... (b) 03/15/36 236,154
51,488 Series 2006-3150, Class DZ................................... 5.50% 05/15/36 56,032
31,948 Series 2006-3150, Class PO, PO............................... (b) 05/15/36 28,315
407,924 Series 2006-3152, Class MO, PO............................... (b) 03/15/36 347,602
1,019,366 Series 2006-3153, Class EO, PO............................... (b) 05/15/36 853,793
137,438 Series 2006-3171, Class MO, PO............................... (b) 06/15/36 123,817
38,829 Series 2006-3178, Class BO, PO............................... (b) 06/15/36 32,899
95,015 Series 2006-3179, Class OA, PO............................... (b) 07/15/36 82,393
79,069 Series 2006-3181, Class LO, PO............................... (b) 07/15/36 71,674
432,345 Series 2006-3200, Class PO, PO............................... (b) 08/15/36 371,253
</TABLE>

Page 8 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 107,018 Series 2006-3206, Class EO, PO............................... (b) 08/15/36 $ 97,469
2,945,429 Series 2006-3210, Class SA, IO,
1 Mo. LIBOR x -1 + 6.60% (d).............................. 4.70% 09/15/36 398,797
78,719 Series 2006-3211, Class SO, PO............................... (b) 09/15/36 67,666
72,799 Series 2006-3217, Class CO, PO............................... (b) 09/15/36 65,969
788,365 Series 2006-3218, Class AO, PO............................... (b) 09/15/36 611,991
264,662 Series 2006-3219, Class AO, PO............................... (b) 09/15/36 240,600
664,935 Series 2006-3223, Class FC, 1 Mo. LIBOR + 0.55% (a).......... 2.45% 04/15/32 673,485
136,243 Series 2006-3225, Class EO, PO............................... (b) 10/15/36 117,104
1,616,242 Series 2006-3240, Class GO, PO............................... (b) 11/15/36 1,441,090
329,680 Series 2006-3242, Class CO, PO............................... (b) 11/15/36 297,065
219,970 Series 2006-3244, Class GO, PO............................... (b) 11/15/36 199,369
401,219 Series 2006-3244, Class QO, PO............................... (b) 11/15/36 365,111
294,973 Series 2006-3245, Class PO, PO............................... (b) 11/15/36 268,722
565,939 Series 2006-3252, Class LO, PO............................... (b) 12/15/36 480,695
470,765 Series 2006-3256, Class PO, PO............................... (b) 12/15/36 395,611
250,657 Series 2007-3260, Class BO, PO............................... (b) 01/15/37 225,449
459,757 Series 2007-3261, Class OA, PO............................... (b) 01/15/37 389,908
1,990,732 Series 2007-3262, Class KS, IO,
1 Mo. LIBOR x -1 + 6.41% (d).............................. 4.51% 01/15/37 212,419
161,365 Series 2007-3267, Class ZB................................... 6.00% 01/15/37 177,653
78,739 Series 2007-3274, Class B.................................... 6.00% 02/15/37 85,410
57,420 Series 2007-3292, Class DO, PO............................... (b) 03/15/37 52,021
170,832 Series 2007-3296, Class OK, PO............................... (b) 03/15/37 153,120
413,177 Series 2007-3300, Class OC, PO............................... (b) 04/15/37 347,392
2,046,552 Series 2007-3300, Class XO, PO............................... (b) 03/15/37 1,832,173
26,352 Series 2007-3301, Class OY, PO............................... (b) 04/15/37 23,927
67,913 Series 2007-3305, Class PO, PO............................... (b) 04/15/37 61,259
92,535 Series 2007-3314, Class OW, PO............................... (b) 05/15/37 74,690
178,045 Series 2007-3317, Class CO, PO............................... (b) 05/15/37 159,525
512,408 Series 2007-3322, Class NF,
1 Mo. LIBOR x 2,566.67 - 16,683.33%, 0.00% Floor (a)...... 0.00% 05/15/37 469,471
218,647 Series 2007-3325, Class OB, PO............................... (b) 06/15/37 196,015
61,235 Series 2007-3326, Class KO, PO............................... (b) 06/15/37 55,065
393,800 Series 2007-3331, Class PO, PO............................... (b) 06/15/37 347,089
28,735 Series 2007-3340, Class PF, 1 Mo. LIBOR + 0.30% (a).......... 2.20% 07/15/37 28,603
5,169 Series 2007-3349, Class DP................................... 6.00% 09/15/36 5,176
89,736 Series 2007-3349, Class MY................................... 5.50% 07/15/37 96,959
372,722 Series 2007-3360, Class CB................................... 5.50% 08/15/37 400,878
110,098 Series 2007-3369, Class BO, PO............................... (b) 09/15/37 100,503
48,200 Series 2007-3373, Class TO, PO............................... (b) 04/15/37 43,135
560,883 Series 2007-3376, Class OX, PO............................... (b) 10/15/37 502,762
195,327 Series 2007-3380, Class FS, 1 Mo. LIBOR + 0.35% (a).......... 2.25% 11/15/36 192,382
50,322 Series 2007-3383, Class OP, PO............................... (b) 11/15/37 42,928
892,907 Series 2007-3384, Class TO, PO............................... (b) 11/15/37 807,156
508,786 Series 2007-3387, Class PO, PO............................... (b) 11/15/37 423,483
1,110,091 Series 2007-3391, Class PO................................... (b) 04/15/37 1,001,200
1,016,612 Series 2007-3393, Class JO, PO............................... (b) 09/15/32 892,545
182,203 Series 2007-3403, Class OB, PO............................... (b) 12/15/37 161,936
337,154 Series 2007-3403, Class PO, PO............................... (b) 12/15/37 303,526
</TABLE>

See Notes to Financial Statements Page 9

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 802,460 Series 2008-3406, Class B.................................... 6.00% 01/15/38 $ 831,284
124,205 Series 2008-3413, Class B.................................... 5.50% 04/15/37 130,028
643,163 Series 2008-3419, Class LO, PO............................... (b) 07/15/37 557,205
462,363 Series 2008-3420, Class AZ................................... 5.50% 02/15/38 498,750
41,528 Series 2008-3444, Class DO, PO............................... (b) 01/15/37 35,557
288,568 Series 2008-3448, Class SA, IO,
1 Mo. LIBOR x -1 + 6.05% (d).............................. 4.15% 05/15/38 19,207
245,002 Series 2008-3469, Class DO, PO............................... (b) 07/15/38 212,790
542,688 Series 2008-3469, Class EO, PO............................... (b) 07/15/38 471,302
5,672,052 Series 2009-3522, Class SE, IO,
1 Mo. LIBOR x -1 + 6.10% (d).............................. 4.20% 04/15/39 742,474
55,583 Series 2009-3523, Class SD,
1 Mo. LIBOR x -2.75 + 19.66% (d).......................... 14.45% 06/15/36 69,263
1,012,233 Series 2009-3542, Class ZP................................... 5.00% 06/15/39 1,113,861
177,000 Series 2009-3550, Class LL................................... 4.50% 07/15/39 187,388
462,301 Series 2009-3563, Class ZP................................... 5.00% 08/15/39 526,098
24,061 Series 2009-3571, Class OC, PO............................... (b) 05/15/37 20,657
406,620 Series 2009-3571, Class SB, IO,
1 Mo. LIBOR x -1 + 6.10% (d).............................. 4.20% 09/15/34 23,261
5,454,647 Series 2009-3572, Class JS, IO,
1 Mo. LIBOR x -1 + 6.80% (d).............................. 4.90% 09/15/39 550,686
19,864 Series 2009-3585, Class QZ................................... 5.00% 08/15/39 22,772
241,238 Series 2009-3587, Class FX, 1 Mo. LIBOR (a).................. 1.90% 12/15/37 216,419
1,292,820 Series 2009-3591, Class PO, PO............................... (b) 10/15/39 1,158,902
2,052,189 Series 2009-3593, Class F, 1 Mo. LIBOR + 0.50% (a).......... 2.39% 03/15/36 2,057,546
422,279 Series 2009-3606, Class BO, PO............................... (b) 12/15/39 380,068
433,736 Series 2009-3607, Class BO, PO............................... (b) 04/15/36 370,153
1,527,015 Series 2009-3607, Class OP, PO............................... (b) 07/15/37 1,306,283
196,803 Series 2009-3611, Class PO, PO............................... (b) 07/15/34 167,333
168,436 Series 2010-3621, Class BO, PO............................... (b) 01/15/40 145,463
188,210 Series 2010-3621, Class PO, PO............................... (b) 01/15/40 160,853
400,000 Series 2010-3622, Class PB................................... 5.00% 01/15/40 434,157
389,690 Series 2010-3623, Class LO, PO............................... (b) 01/15/40 340,707
912,897 Series 2010-3632, Class BS,
1 Mo. LIBOR x -3.33 + 17.50% (d).......................... 11.18% 02/15/40 1,062,580
802,862 Series 2010-3632, Class PA................................... 4.50% 05/15/37 804,583
67,993 Series 2010-3637, Class LJ................................... 3.50% 02/15/25 68,264
107,000 Series 2010-3645, Class WD................................... 4.50% 02/15/40 111,146
103,387 Series 2010-3664, Class BA................................... 4.00% 03/15/38 103,863
661,000 Series 2010-3667, Class PL................................... 5.00% 05/15/40 694,326
294,299 Series 2010-3687, Class HB................................... 2.50% 07/15/38 292,709
1,158,220 Series 2010-3688, Class HI, IO............................... 5.00% 11/15/21 46,848
151,560 Series 2010-3699, Class FD, 1 Mo. LIBOR + 0.60% (a).......... 2.50% 07/15/40 153,104
22,810 Series 2010-3699, Class QI, IO............................... 5.50% 02/15/39 268
400,000 Series 2010-3714, Class PB................................... 4.75% 08/15/40 431,226
16,803 Series 2010-3716, Class PC................................... 2.50% 04/15/38 16,682
2,006,580 Series 2010-3722, Class AI, IO............................... 3.50% 09/15/20 65,375
7,245,165 Series 2010-3726, Class BI, IO............................... 6.00% 07/15/30 464,709
2,571,795 Series 2010-3726, Class ND................................... 3.50% 06/15/39 2,583,147
1,799,236 Series 2010-3735, Class IK, IO............................... 3.50% 10/15/25 157,389
225,019 Series 2010-3735, Class JI, IO............................... 4.50% 10/15/30 34,512
</TABLE>

Page 10 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 180,335 Series 2010-3739, Class MB................................... 4.00% 06/15/37 $ 183,286
550,811 Series 2010-3740, Class SC, IO,
1 Mo. LIBOR x -1 + 6.00% (d).............................. 4.10% 10/15/40 68,061
203,912 Series 2010-3741, Class PA................................... 2.15% 02/15/35 203,724
15,849 Series 2010-3752, Class KF, 1 Mo. LIBOR + 0.50% (a).......... 2.40% 12/15/37 15,904
2,232,520 Series 2010-3755, Class AI, IO............................... 3.50% 11/15/20 70,535
1,820,186 Series 2010-3764, Class QA................................... 4.00% 10/15/29 1,852,614
69,505 Series 2010-3770, Class GZ................................... 4.50% 10/15/40 75,602
177,000 Series 2010-3773, Class PH................................... 2.50% 06/15/25 175,781
269,556 Series 2010-3775, Class LD................................... 3.00% 12/15/20 270,534
783,332 Series 2010-3775, Class LI, IO............................... 3.50% 12/15/20 25,846
312,000 Series 2010-3780, Class AV................................... 4.00% 04/15/31 321,842
113,774 Series 2011-3785, Class LS,
1 Mo. LIBOR x -2 + 9.90% (d).............................. 6.11% 01/15/41 115,457
423,004 Series 2011-3793, Class HA................................... 3.50% 02/15/25 424,326
170,305 Series 2011-3795, Class ED................................... 3.00% 10/15/39 169,135
600,000 Series 2011-3796, Class PB................................... 5.00% 01/15/41 659,313
40,420 Series 2011-3804, Class DA................................... 3.50% 04/15/28 40,402
884,425 Series 2011-3808, Class BQ................................... 5.50% 08/15/25 891,357
2,916 Series 2011-3812, Class BE................................... 2.75% 09/15/18 2,916
307,534 Series 2011-3816, Class D.................................... 3.50% 08/15/28 308,646
496,448 Series 2011-3819, Class ZQ................................... 6.00% 04/15/36 545,225
6,217 Series 2011-3820, Class DA................................... 4.00% 11/15/35 6,292
875,863 Series 2011-3820, Class GZ................................... 5.00% 03/15/41 965,957
300,000 Series 2011-3820, Class NC................................... 4.50% 03/15/41 317,731
15,531 Series 2011-3824, Class FA, 1 Mo. LIBOR + 0.15% (a).......... 2.05% 03/15/26 15,526
973,940 Series 2011-3827, Class BM................................... 5.50% 08/15/39 1,008,775
150,816 Series 2011-3828, Class SY,
1 Mo. LIBOR x -3 + 13.20% (d)............................. 7.51% 02/15/41 160,623
1,559,840 Series 2011-3841, Class JZ................................... 5.00% 04/15/41 1,681,308
54,597 Series 2011-3842, Class BS,
1 Mo. LIBOR x -5 + 22.75% (d)............................. 13.21% 04/15/41 77,693
300,000 Series 2011-3844, Class PC................................... 5.00% 04/15/41 340,036
1,228,572 Series 2011-3860, Class PZ................................... 5.00% 05/15/41 1,332,853
244,548 Series 2011-3862, Class TO, PO............................... (b) 05/15/41 208,660
155,507 Series 2011-3864, Class FW, 1 Mo. LIBOR + 0.40% (a).......... 2.30% 02/15/41 156,087
387,876 Series 2011-3868, Class PO, PO............................... (b) 05/15/41 329,541
95,198 Series 2011-3870, Class PE................................... 2.50% 07/15/40 95,017
83,926 Series 2011-3876, Class CB................................... 2.75% 06/15/26 83,892
986,960 Series 2011-3884, Class DL................................... 3.00% 02/15/25 990,950
525,000 Series 2011-3890, Class ME................................... 5.00% 07/15/41 586,660
265,000 Series 2011-3895, Class PW................................... 4.50% 07/15/41 287,735
62,424 Series 2011-3901, Class CD................................... 2.00% 10/15/18 62,363
89,862 Series 2011-3902, Class MA................................... 4.50% 07/15/39 90,900
1,534,638 Series 2011-3925, Class ZD................................... 4.50% 09/15/41 1,680,961
2,701,586 Series 2011-3926, Class SH, IO,
1 Mo. LIBOR x -1 + 6.55% (d).............................. 4.65% 05/15/40 206,294
1,540,625 Series 2011-3935, Class LI, IO............................... 3.00% 10/15/21 49,827
3,295,079 Series 2011-3951, Class AO, PO............................... (b) 03/15/32 2,930,917
124,014 Series 2011-3954, Class JE................................... 5.00% 08/15/29 126,859
4,589,664 Series 2011-3956, Class KI, IO............................... 3.00% 11/15/21 166,429
</TABLE>

See Notes to Financial Statements Page 11

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 1,013,120 Series 2011-3960, Class BU................................... 3.50% 02/15/30 $ 1,030,798
1,656,622 Series 2011-3968, Class AI, IO............................... 3.00% 12/15/21 60,127
1,257,493 Series 2012-267, Class S5, IO, STRIPS,
1 Mo. LIBOR x -1 + 6.00% (d).............................. 4.10% 08/15/42 221,658
156,166 Series 2012-278, Class F1, STRIPS,
1 Mo. LIBOR + 0.45% (a)................................... 2.35% 09/15/42 157,208
3,626,521 Series 2012-3994, Class AI, IO............................... 3.00% 02/15/22 131,943
1,251,213 Series 2012-3999, Class WA (e)............................... 5.46% 08/15/40 1,340,393
1,678,000 Series 2012-4000, Class PY................................... 4.50% 02/15/42 1,810,762
59,000 Series 2012-4012, Class GC................................... 3.50% 06/15/40 58,546
39,704 Series 2012-4015, Class KB................................... 1.75% 05/15/41 34,498
1,525,672 Series 2012-4021, Class IP, IO............................... 3.00% 03/15/27 123,227
940,239 Series 2012-4026, Class GZ................................... 4.50% 04/15/42 997,080
2,574,987 Series 2012-4030, Class IL, IO............................... 3.50% 04/15/27 253,832
241,132 Series 2012-4038, Class CS,
1 Mo. LIBOR x -3 + 12.00% (d)............................. 6.28% 04/15/42 232,956
5,041,639 Series 2012-4054, Class AI, IO............................... 3.00% 04/15/27 402,008
18,968 Series 2012-4076, Class QB................................... 1.75% 11/15/41 17,555
4,532,038 Series 2012-4077, Class TS, IO,
1 Mo. LIBOR x -1 + 6.00% (d).............................. 4.10% 05/15/41 538,910
548,716 Series 2012-4090, Class YZ................................... 4.50% 08/15/42 580,266
83,927 Series 2012-4097, Class ES, IO,
1 Mo. LIBOR x -1 + 6.10% (d).............................. 4.20% 08/15/42 13,312
747,000 Series 2012-4098, Class PE................................... 4.00% 08/15/42 767,582
887,977 Series 2012-4103, Class HI, IO............................... 3.00% 09/15/27 81,236
92,386 Series 2012-4116, Class AS, IO,
1 Mo. LIBOR x -1 + 6.15% (d).............................. 4.25% 10/15/42 16,003
4,131,242 Series 2012-4132, Class AI, IO............................... 4.00% 10/15/42 953,553
1,096,456 Series 2012-4136, Class TU, IO,
1 Mo. LIBOR x -22.50 + 139.50%, 4.50% Cap (d)............. 4.50% 08/15/42 217,796
1,093,852 Series 2012-4145, Class YI, IO............................... 3.00% 12/15/27 99,678
959,683 Series 2013-299, Class S1, IO, STRIPS,
1 Mo. LIBOR x -1 + 6.00% (d).............................. 4.10% 01/15/43 163,014
1,147,865 Series 2013-304, Class C37, IO, STRIPS....................... 3.50% 12/15/27 88,566
5,760,325 Series 2013-304, Class C40, IO, STRIPS....................... 3.50% 09/15/26 417,899
655,000 Series 2013-4176, Class HE................................... 4.00% 03/15/43 679,321
702,650 Series 2013-4177, Class GL................................... 3.00% 03/15/33 664,021
826,035 Series 2013-4193, Class PB................................... 4.00% 04/15/43 839,500
27,118,140 Series 2013-4194, Class GI, IO............................... 4.00% 04/15/43 4,980,634
500,000 Series 2013-4211, Class PB................................... 3.00% 05/15/43 453,075
1,576,766 Series 2013-4213, Class MZ................................... 4.00% 06/15/43 1,615,472
456,498 Series 2013-4226, Class NS,
1 Mo. LIBOR x -3 + 10.50% (d)............................. 4.78% 01/15/43 403,487
180,968 Series 2013-4235, Class AB................................... 2.00% 01/15/34 179,684
887,823 Series 2013-4239, Class IO, IO............................... 3.50% 06/15/27 85,861
1,450,000 Series 2013-4247, Class AY................................... 4.50% 09/15/43 1,549,694
638,262 Series 2013-4249, Class KO, PO............................... (b) 11/15/42 506,374
114,436 Series 2013-4261, Class GS,
1 Mo. LIBOR x -2.75 + 10.98% (d).......................... 5.77% 01/15/41 110,648
2,978,508 Series 2013-4265, Class IB, IO............................... 4.50% 12/15/24 249,683
244,975 Series 2013-4270, Class AP................................... 2.50% 04/15/40 242,627
</TABLE>

Page 12 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 663,356 Series 2014-326, Class S2, IO, STRIPS,
1 Mo. LIBOR x -1 + 5.95% (d).............................. 4.05% 03/15/44 $ 110,621
405,672 Series 2014-4300, Class IM, IO............................... 3.00% 03/15/37 39,945
845,813 Series 2014-4314, Class CI, IO............................... 6.00% 03/15/44 192,910
246,267 Series 2014-4316, Class XZ................................... 4.50% 03/15/44 261,663
3,809,939 Series 2014-4318, Class CI, IO............................... 4.00% 03/15/22 145,443
845,521 Series 2014-4337, Class TV................................... 4.00% 10/15/45 857,160
10,454,381 Series 2014-4387, Class IE, IO............................... 2.50% 11/15/28 795,545
26,950,915 Series 2015-343, Class F4, STRIPS,
1 Mo. LIBOR + 0.35% (e)................................... 2.25% 10/15/37 26,982,602
4,260,476 Series 2015-4487, Class CB................................... 3.50% 06/15/45 4,333,368
1,730,620 Series 2015-4503, Class MI, IO............................... 5.00% 08/15/45 387,520
1,467,257 Series 2015-4512, Class W (c) (e)............................ 5.40% 05/15/38 1,562,142
260,583 Series 2015-4520, Class AI, IO............................... 3.50% 10/15/35 50,596
519,881 Series 2015-4522, Class JZ................................... 2.00% 01/15/45 472,891
233,472 Series 2016-4546, Class PZ................................... 4.00% 12/15/45 226,636
395,209 Series 2016-4546, Class ZT................................... 4.00% 01/15/46 379,970
121,312 Series 2016-4568, Class MZ................................... 4.00% 04/15/46 115,185
3,970,733 Series 2016-4591, Class GI, IO............................... 4.00% 12/15/44 766,158
771,702 Series 2016-4600, Class WT................................... 3.50% 07/15/36 748,350
442,247 Series 2016-4605, Class KS,
1 Mo. LIBOR x -1.57 + 4.71% (d)........................... 1.72% 08/15/43 367,047
2,119,733 Series 2016-4609, Class YI, IO............................... 4.00% 04/15/54 300,363
693,560 Series 2016-4613, Class AF, 1 Mo. LIBOR + 1.10% (a).......... 3.00% 11/15/37 713,096
1,408,116 Series 2016-4615, Class GT,
1 Mo. LIBOR x -4 + 16.00%, 4.00% Cap (d).................. 4.00% 10/15/42 1,160,231
44,871,123 Series 2016-4619, Class IB, IO............................... 4.00% 12/15/47 6,205,358
1,173,000 Series 2017-4650, Class JH................................... 3.00% 01/15/47 1,023,217
600,000 Series 2017-4681, Class JY................................... 2.50% 05/15/47 512,893
Federal National Mortgage Association
10,851 Series 1989-81, Class G...................................... 9.00% 11/25/19 11,095
121 Series 1990-11, Class G...................................... 6.50% 02/25/20 122
5,733 Series 1990-13, Class E...................................... 9.00% 02/25/20 5,976
33,259 Series 1990-79, Class J...................................... 9.00% 07/25/20 34,250
18,426 Series 1990-98, Class J...................................... 9.00% 08/25/20 19,034
804 Series 1990-108, Class G..................................... 7.00% 09/25/20 828
1,097 Series 1990-109, Class J..................................... 7.00% 09/25/20 1,128
11,281 Series 1990-112, Class G..................................... 8.50% 09/25/20 11,537
33,082 Series 1991-30, Class PN..................................... 9.00% 10/25/21 34,269
173 Series 1991-130, Class D, PO................................. (b) 09/25/21 170
327,490 Series 1992-38, Class GZ..................................... 7.50% 07/25/22 350,533
63 Series 1992-44, Class ZQ..................................... 8.00% 07/25/22 65
10,225 Series 1992-185, Class ZB.................................... 7.00% 10/25/22 10,724
1,827 Series 1993-3, Class K....................................... 7.00% 02/25/23 1,920
21,673 Series 1993-39, Class Z...................................... 7.50% 04/25/23 23,193
2,682 Series 1993-46, Class FH,
7 Yr. U.S. Treasury Yield Curve - 0.20% (a)............... 2.63% 04/25/23 2,648
254,425 Series 1993-169, Class L..................................... 6.50% 09/25/23 269,534
82,425 Series 1993-171, Class SB,
10 Yr. U.S. Treasury Yield
Curve x -2.17 + 21.99% (d)................................ 15.69% 09/25/23 101,215
75,502 Series 1993-214, Class 2, IO, STRIPS......................... 7.50% 03/25/23 9,139
</TABLE>

See Notes to Financial Statements Page 13

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 599,817 Series 1993-222, Class 2, IO, STRIPS......................... 7.00% 06/25/23 $ 72,487
36,083 Series 1993-230, Class FA, 1 Mo. LIBOR + 0.60% (a)........... 2.50% 12/25/23 36,365
413 Series 1994-24, Class H, PO.................................. (b) 11/25/23 389
390,921 Series 1994-61, Class FG, 1 Mo. LIBOR + 1.50% (a)............ 3.40% 04/25/24 399,962
81,482 Series 1996-51, Class AY, IO................................. 7.00% 12/18/26 15,393
105,951 Series 1997-10, Class SA, IO,
1 Mo. LIBOR x -1 + 8.90% (d).............................. 7.01% 03/18/27 15,570
80,051 Series 1998-37, Class VZ..................................... 6.00% 06/17/28 84,386
1,076,260 Series 2000-45, Class SD, IO,
1 Mo. LIBOR x -1 + 7.95% (d).............................. 6.06% 12/18/30 125,731
6,801 Series 2001-8, Class SE, IO,
1 Mo. LIBOR x -1 + 8.60% (d).............................. 6.70% 02/17/31 303
287,457 Series 2001-34, Class SR, IO,
1 Mo. LIBOR x -1 + 8.10% (d).............................. 6.21% 08/18/31 25,060
59,059 Series 2001-37, Class PO, PO................................. (b) 08/25/31 52,139
4,666 Series 2001-42, Class SB,
1 Mo. LIBOR x -16 + 128.00%, 8.50% Cap (d)................ 8.50% 09/25/31 5,416
257,069 Series 2001-46, Class F, 1 Mo. LIBOR + 0.40% (a)............. 2.29% 09/18/31 258,201
174,843 Series 2001-314, Class 1, PO, STRIPS......................... (b) 07/25/31 154,339
4,377 Series 2002-22, Class G...................................... 6.50% 04/25/32 4,848
168,353 Series 2002-30, Class Z...................................... 6.00% 05/25/32 187,035
305,786 Series 2002-41, Class PO, PO................................. (b) 07/25/32 256,947
50,153 Series 2002-80, Class CZ..................................... 4.50% 09/25/32 52,803
172,623 Series 2002-320, Class 2, IO, STRIPS......................... 7.00% 04/25/32 42,221
175,705 Series 2002-323, Class 6, IO, STRIPS......................... 6.00% 01/25/32 44,483
473,282 Series 2002-324, Class 2, IO, STRIPS......................... 6.50% 07/25/32 115,400
194,574 Series 2002-329, Class 1, PO, STRIPS......................... (b) 01/25/33 171,440
60,014 Series 2003-14, Class AT..................................... 4.00% 03/25/33 60,245
65,375 Series 2003-21, Class OA..................................... 4.00% 03/25/33 67,369
161,115 Series 2003-32, Class UI, IO................................. 6.00% 05/25/33 38,200
439,265 Series 2003-45, Class JB..................................... 5.50% 06/25/33 473,252
2,508 Series 2003-46, Class BG..................................... 5.00% 06/25/18 2,504
83,658 Series 2003-52, Class NA..................................... 4.00% 06/25/23 85,085
65,995 Series 2003-63, Class F1, 1 Mo. LIBOR + 0.30% (a)............ 2.20% 11/25/27 66,354
2,307,137 Series 2003-63, Class IP, IO................................. 6.00% 07/25/33 542,135
355,000 Series 2003-71, Class NH..................................... 4.29% 08/25/33 367,824
2,003,412 Series 2003-75, Class GI, IO................................. 5.00% 08/25/23 151,890
172,506 Series 2003-109, Class YB.................................... 6.00% 11/25/33 193,761
7,269 Series 2003-119, Class ME.................................... 4.50% 04/25/33 7,271
130,016 Series 2003-123, Class AY.................................... 4.00% 12/25/18 130,219
595,258 Series 2003-343, Class 2, IO, STRIPS......................... 4.50% 10/25/33 104,076
98,159 Series 2003-348, Class 17, IO, STRIPS........................ 7.50% 12/25/33 22,273
136,475 Series 2003-348, Class 18, IO, STRIPS (e).................... 7.50% 12/25/33 31,141
123,012 Series 2003-W3, Class 2A5.................................... 5.36% 06/25/42 131,441
174,979 Series 2003-W6, Class 1A41................................... 5.40% 10/25/42 186,772
29,557 Series 2003-W10, Class 1A4................................... 4.51% 06/25/43 29,928
111,386 Series 2003-W12, Class 1A8................................... 4.55% 06/25/43 115,114
211,683 Series 2004-10, Class ZB..................................... 6.00% 02/25/34 241,648
1,295,958 Series 2004-18, Class EZ..................................... 6.00% 04/25/34 1,399,381
344,363 Series 2004-25, Class LC..................................... 5.50% 04/25/34 373,683
293,896 Series 2004-25, Class UC..................................... 5.50% 04/25/34 320,943
</TABLE>

Page 14 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 34,495 Series 2004-28, Class ZH..................................... 5.50% 05/25/34 $ 41,931
40,348 Series 2004-36, Class TA..................................... 5.50% 08/25/33 41,094
32,930 Series 2004-59, Class BG, PO................................. (b) 12/25/32 28,166
244,039 Series 2004-60, Class AC..................................... 5.50% 04/25/34 268,667
149 Series 2004-60, Class JB..................................... 5.50% 04/25/34 149
252,980 Series 2004-61, Class DO, PO................................. (b) 05/25/33 221,553
226,175 Series 2004-69, Class PO, PO................................. (b) 05/25/33 206,421
5,398 Series 2004-90, Class LH..................................... 5.00% 04/25/34 5,441
1,144,332 Series 2004-W4, Class A7..................................... 5.50% 06/25/34 1,213,539
19,884 Series 2004-W9, Class 1A3.................................... 6.05% 02/25/44 22,001
1,750,000 Series 2004-W10, Class A6.................................... 5.75% 08/25/34 1,906,679
3,975,325 Series 2005-2, Class S, IO,
1 Mo. LIBOR x -1 + 6.60% (d).............................. 4.70% 02/25/35 582,317
811,211 Series 2005-2, Class TB, IO,
1 Mo. LIBOR x -1 + 5.90%, 0.40% Cap (d)................... 0.40% 07/25/33 12,378
48,023 Series 2005-29, Class ZT..................................... 5.00% 04/25/35 54,179
173,764 Series 2005-40, Class SA, IO,
1 Mo. LIBOR x -1 + 6.70% (d).............................. 4.80% 05/25/35 23,221
48,323 Series 2005-43, Class PB..................................... 5.00% 02/25/34 48,645
86,600 Series 2005-45, Class SR, IO,
1 Mo. LIBOR x -1 + 6.72% (d).............................. 4.82% 06/25/35 12,017
25,299 Series 2005-48, Class AR..................................... 5.50% 02/25/35 25,733
753,459 Series 2005-52, Class PO, PO................................. (b) 06/25/35 671,615
231,016 Series 2005-52, Class TZ..................................... 6.50% 06/25/35 306,493
117,365 Series 2005-52, Class WZ..................................... 6.50% 06/25/35 120,822
362,157 Series 2005-56, Class PO, PO................................. (b) 07/25/35 316,351
853,197 Series 2005-57, Class KZ..................................... 6.00% 07/25/35 1,023,826
16,839 Series 2005-67, Class SC,
1 Mo. LIBOR x -2.15 + 14.41% (d).......................... 10.33% 08/25/35 18,986
23,640 Series 2005-68, Class BC..................................... 5.25% 06/25/35 24,052
8,694 Series 2005-70, Class KJ..................................... 5.50% 09/25/34 8,718
92,811 Series 2005-79, Class NS, IO,
1 Mo. LIBOR x -1 + 6.09% (d).............................. 4.19% 09/25/35 10,738
8,601,802 Series 2005-86, Class WZ..................................... 5.50% 10/25/35 9,276,340
24,096 Series 2005-87, Class SC,
1 Mo. LIBOR x -1.67 + 13.83% (d).......................... 10.67% 10/25/35 30,378
58,300 Series 2005-90, Class ES,
1 Mo. LIBOR x -2.50 + 16.88% (d).......................... 12.13% 10/25/35 70,232
44,374 Series 2005-95, Class WZ..................................... 6.00% 11/25/35 58,100
93,777 Series 2005-102, Class DS,
1 Mo. LIBOR x -2.75 + 19.80% (d).......................... 14.58% 11/25/35 121,255
440,000 Series 2005-104, Class UE.................................... 5.50% 12/25/35 482,820
15,759 Series 2005-113, Class DO, PO................................ (b) 01/25/36 13,716
285,920 Series 2005-359, Class 6, IO, STRIPS......................... 5.00% 11/25/35 60,372
232,858 Series 2005-362, Class 13, IO, STRIPS........................ 6.00% 08/25/35 57,385
33,132 Series 2005-W1, Class 1A2.................................... 6.50% 10/25/44 37,210
80,596 Series 2006-5, Class 2A2, 1 Mo. LIBOR + 0.14% (a)............ 3.45% 02/25/35 86,845
64,782,365 Series 2006-5, Class N2, IO (c).............................. 0.00% 02/25/35 2,170
319,479 Series 2006-8, Class HK, PO.................................. (b) 03/25/36 262,197
132,668 Series 2006-8, Class WQ, PO.................................. (b) 03/25/36 107,752
118,063 Series 2006-15, Class IS, IO,
1 Mo. LIBOR x -1 + 6.58% (d).............................. 4.68% 03/25/36 17,514
</TABLE>

See Notes to Financial Statements Page 15

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 3,085,467 Series 2006-20, Class PI, IO,
1 Mo. LIBOR x -1 + 6.68% (d).............................. 4.78% 11/25/30 $ 352,040
128,713 Series 2006-22, Class AO, PO................................. (b) 04/25/36 113,430
121,544 Series 2006-27, Class OH, PO................................. (b) 04/25/36 107,951
20,507 Series 2006-31, Class PZ..................................... 6.00% 05/25/36 27,006
53,061 Series 2006-36, Class CO, PO................................. (b) 05/25/36 45,290
329,917 Series 2006-36, Class NO, PO................................. (b) 05/25/36 275,508
56,718 Series 2006-42, Class CF, 1 Mo. LIBOR + 0.45% (a)............ 2.35% 06/25/36 57,034
3,213,654 Series 2006-42, Class EI, IO,
1 Mo. LIBOR x -1 + 6.55% (d).............................. 4.65% 06/25/36 431,106
241,195 Series 2006-44, Class GO, PO................................. (b) 06/25/36 205,275
71,428 Series 2006-44, Class P, PO.................................. (b) 12/25/33 59,345
101,694 Series 2006-50, Class PS, PO................................. (b) 06/25/36 89,260
1,284,406 Series 2006-56, Class OM, PO................................. (b) 07/25/36 1,127,122
125,321 Series 2006-56, Class PO, PO................................. (b) 07/25/36 111,274
177,962 Series 2006-58, Class AP, PO................................. (b) 07/25/36 154,813
347,950 Series 2006-58, Class PO, PO................................. (b) 07/25/36 298,037
663,370 Series 2006-59, Class KO, PO................................. (b) 07/25/36 586,904
869,708 Series 2006-59, Class SL, IO,
1 Mo. LIBOR x -1 + 6.57% (d).............................. 4.67% 07/25/36 122,435
25,489 Series 2006-60, Class CO, PO................................. (b) 06/25/35 25,253
77,505 Series 2006-60, Class DO, PO................................. (b) 04/25/35 75,309
512,519 Series 2006-60, Class OG, PO................................. (b) 07/25/36 422,167
238,274 Series 2006-65, Class QO, PO................................. (b) 07/25/36 204,412
737,172 Series 2006-69, Class GO, PO................................. (b) 08/25/36 620,182
100,253 Series 2006-72, Class TO, PO................................. (b) 08/25/36 89,836
50,867 Series 2006-75, Class AO, PO................................. (b) 08/25/36 43,124
155,680 Series 2006-79, Class DO, PO................................. (b) 08/25/36 136,832
953,039 Series 2006-80, Class PH..................................... 6.00% 08/25/36 1,046,710
65,438 Series 2006-81, Class EO, PO................................. (b) 09/25/36 58,325
49,130 Series 2006-84, Class OT, PO................................. (b) 09/25/36 44,323
321,014 Series 2006-84, Class PK..................................... 5.50% 02/25/36 326,012
191,609 Series 2006-85, Class MZ..................................... 6.50% 09/25/36 206,820
123,702 Series 2006-91, Class PO, PO................................. (b) 09/25/36 103,137
131,747 Series 2006-109, Class PO, PO................................ (b) 11/25/36 114,594
59,918 Series 2006-110, Class PO, PO................................ (b) 11/25/36 50,890
384,688 Series 2006-114, Class AO, PO................................ (b) 12/25/36 346,883
3,530,310 Series 2006-116, Class ES, IO,
1 Mo. LIBOR x -1 + 6.65% (d).............................. 4.75% 12/25/36 568,712
189,897 Series 2006-117, Class GF, 1 Mo. LIBOR + 0.35% (a)........... 2.25% 12/25/36 189,305
154,256 Series 2006-124, Class LO, PO................................ (b) 01/25/37 137,198
56,986 Series 2006-124, Class UO, PO................................ (b) 01/25/37 47,616
1,483 Series 2006-126, Class DZ.................................... 5.50% 01/25/37 1,528
176,600 Series 2006-126, Class PO, PO................................ (b) 01/25/37 146,672
402,682 Series 2006-128, Class PO, PO................................ (b) 01/25/37 345,490
31,122 Series 2006-377, Class 1, PO, STRIPS......................... (b) 10/25/36 26,242
355,366 Series 2006-378, Class 31, IO, STRIPS........................ 4.50% 06/25/21 11,122
313,274 Series 2007-7, Class KA...................................... 5.75% 08/25/36 348,944
177,074 Series 2007-14, Class OP, PO................................. (b) 03/25/37 156,147
57,687 Series 2007-25, Class FB, 1 Mo. LIBOR + 0.33% (a)............ 2.23% 04/25/37 57,485
1,801,626 Series 2007-28, Class ZA..................................... 6.00% 04/25/37 1,931,511
</TABLE>

Page 16 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 1,081,488 Series 2007-30, Class WO, PO................................. (b) 04/25/37 $ 943,922
63,899 Series 2007-32, Class KT..................................... 5.50% 04/25/37 69,983
319,660 Series 2007-36, Class GO, PO................................. (b) 04/25/37 282,664
1,163,760 Series 2007-36, Class PO, PO................................. (b) 04/25/37 1,016,740
1,084,052 Series 2007-39, Class LO, PO................................. (b) 05/25/37 966,636
184,432 Series 2007-42, Class CO, PO................................. (b) 05/25/37 146,504
383,823 Series 2007-44, Class AO, PO................................. (b) 05/25/37 338,865
50,119 Series 2007-44, Class KO, PO................................. (b) 05/25/37 42,646
430,089 Series 2007-44, Class LO, PO................................. (b) 05/25/37 373,251
545,780 Series 2007-44, Class OB, PO................................. (b) 05/25/37 482,716
94,053 Series 2007-48, Class PO, PO................................. (b) 05/25/37 82,825
699,108 Series 2007-57, Class ZG..................................... 4.75% 06/25/37 746,620
454,545 Series 2007-60, Class ZS..................................... 4.75% 07/25/37 492,953
32,923 Series 2007-67, Class SA, IO,
1 Mo. LIBOR x -1 + 6.75% (d).............................. 4.85% 04/25/37 958
505,051 Series 2007-68, Class AE..................................... 6.50% 07/25/37 615,179
126,775 Series 2007-102, Class OT, PO................................ (b) 11/25/37 112,545
568,707 Series 2007-116, Class PB.................................... 5.50% 08/25/35 614,261
362,458 Series 2007-117, Class MD.................................... 5.50% 07/25/37 370,278
113,340 Series 2008-3, Class FZ, 1 Mo. LIBOR + 0.55% (a)............. 2.45% 02/25/38 117,589
16,677 Series 2008-8, Class ZA...................................... 5.00% 02/25/38 17,693
53,885 Series 2008-16, Class AB..................................... 5.50% 12/25/37 55,322
31,853 Series 2008-17, Class IP, IO................................. 6.50% 02/25/38 5,209
955 Series 2008-51, Class B...................................... 4.50% 06/25/23 956
11,070 Series 2008-64, Class EO, PO................................. (b) 08/25/38 9,750
451,882 Series 2008-65, Class PE..................................... 5.75% 08/25/38 489,668
59,976 Series 2009-10, Class AB..................................... 5.00% 03/25/24 61,512
115,692 Series 2009-14, Class BS, IO,
1 Mo. LIBOR x -1 + 6.25% (d).............................. 4.35% 03/25/24 5,672
228,656 Series 2009-47, Class PE..................................... 4.00% 07/25/39 230,657
1,631,071 Series 2009-50, Class GX..................................... 5.00% 07/25/39 1,784,390
710,280 Series 2009-64, Class ZD..................................... 8.00% 08/25/39 878,799
199,863 Series 2009-69, Class PO, PO................................. (b) 09/25/39 177,798
111,734 Series 2009-70, Class CO, PO................................. (b) 01/25/37 93,561
15,993 Series 2009-76, Class MA..................................... 4.00% 09/25/24 16,100
2,950 Series 2009-81, Class GC..................................... 3.50% 12/25/19 2,954
1,113,896 Series 2009-86, Class OT, PO................................. (b) 10/25/37 985,077
455,164 Series 2009-91, Class HL..................................... 5.00% 11/25/39 469,177
47,000 Series 2009-92, Class DB..................................... 5.00% 11/25/39 51,100
630,518 Series 2009-103, Class PZ.................................... 6.00% 12/25/39 782,289
1,380,399 Series 2009-106, Class PO, PO................................ (b) 01/25/40 1,240,584
437,630 Series 2009-106, Class SN, IO,
1 Mo. LIBOR x -1 + 6.25% (d).............................. 4.35% 01/25/40 58,482
227,453 Series 2009-109, Class PZ.................................... 4.50% 01/25/40 240,333
726,192 Series 2009-113, Class A..................................... 3.50% 12/25/23 726,778
156,629 Series 2009-115, Class HZ.................................... 5.00% 01/25/40 161,434
2,776,194 Series 2009-397, Class 2, IO, STRIPS......................... 5.00% 09/25/39 608,311
1,075,247 Series 2009-398, Class C13, IO, STRIPS....................... 4.00% 06/25/24 84,999
200,000 Series 2010-2, Class LC...................................... 5.00% 02/25/40 216,209
149,199 Series 2010-3, Class DZ...................................... 4.50% 02/25/40 158,255
31,309 Series 2010-19, Class MI, IO................................. 5.00% 03/25/39 86
</TABLE>

See Notes to Financial Statements Page 17

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 387,308 Series 2010-21, Class KO, PO................................. (b) 03/25/40 $ 334,272
500,000 Series 2010-35, Class EP..................................... 5.50% 04/25/40 544,932
178,777 Series 2010-35, Class SJ,
1 Mo. LIBOR x -3.33 + 17.67% (d).......................... 11.34% 04/25/40 220,808
400,000 Series 2010-38, Class KC..................................... 4.50% 04/25/40 420,563
289,059 Series 2010-45, Class GD..................................... 5.00% 04/25/33 293,777
264,000 Series 2010-45, Class WB..................................... 5.00% 05/25/40 307,721
47,350 Series 2010-49, Class SC,
1 Mo. LIBOR x -2 + 12.66% (d)............................. 8.87% 03/25/40 52,110
701,418 Series 2010-68, Class BI, IO................................. 5.50% 07/25/50 136,617
523,569 Series 2010-68, Class CO, PO................................. (b) 07/25/40 464,665
110,839 Series 2010-75, Class MT (c)................................. 4.08% 12/25/39 110,062
234,781 Series 2010-106, Class BI, IO................................ 3.50% 09/25/20 7,945
1,638,966 Series 2010-110, Class KI, IO................................ 5.50% 10/25/25 164,058
612,645 Series 2010-115, Class PO, PO................................ (b) 04/25/40 508,190
311,614 Series 2010-117, Class EO, PO................................ (b) 10/25/40 262,214
983,632 Series 2010-120, Class PD.................................... 4.00% 02/25/39 998,727
473 Series 2010-123, Class HA.................................... 2.50% 03/25/24 473
571,044 Series 2010-129, Class SM, IO,
1 Mo. LIBOR x -1 + 6.00% (d).............................. 4.10% 11/25/40 76,734
339,547 Series 2010-137, Class IM, IO................................ 5.00% 10/25/38 13,392
1,821,000 Series 2010-142, Class DL.................................... 4.00% 12/25/40 1,872,225
1,798 Series 2010-145, Class PE.................................... 3.25% 10/25/24 1,799
4,251,420 Series 2010-147, Class KS, IO,
1 Mo. LIBOR x -1 + 5.95% (d).............................. 4.05% 01/25/41 426,298
592,768 Series 2011-9, Class AZ...................................... 5.00% 05/25/40 637,059
507,000 Series 2011-10, Class AY..................................... 6.00% 02/25/41 600,237
88,056 Series 2011-17, Class CD..................................... 2.00% 03/25/21 87,374
704,447 Series 2011-17, Class CJ..................................... 2.75% 03/25/21 704,976
2,576 Series 2011-23, Class AB..................................... 2.75% 06/25/20 2,586
585,017 Series 2011-30, Class LS, IO (e)............................. 1.48% 04/25/41 30,740
6,941,001 Series 2011-30, Class MD..................................... 4.00% 02/25/39 7,050,499
106,796 Series 2011-30, Class ZB..................................... 5.00% 04/25/41 115,236
78,887 Series 2011-36, Class DA..................................... 3.00% 04/25/24 78,912
1,535,540 Series 2011-47, Class AI, IO................................. 5.50% 01/25/40 128,647
505,277 Series 2011-52, Class GB..................................... 5.00% 06/25/41 537,122
168,260 Series 2011-60, Class OA, PO................................. (b) 08/25/39 153,116
1,547,242 Series 2011-67, Class EI, IO................................. 4.00% 07/25/21 38,309
122,643 Series 2011-68, Class CA..................................... 2.50% 10/25/24 122,456
222,282 Series 2011-70, Class AD..................................... 3.00% 06/25/30 222,207
39,138 Series 2011-70, Class NK..................................... 3.00% 04/25/37 38,961
198,052 Series 2011-72, Class TI, IO................................. 4.00% 09/25/40 15,894
569,977 Series 2011-74, Class TQ, IO,
1 Mo. LIBOR x -6.43 + 55.93%, 4.50% Cap (d)............... 4.50% 12/25/33 107,555
361,112 Series 2011-75, Class BL..................................... 3.50% 08/25/21 364,288
704,648 Series 2011-86, Class DI, IO................................. 3.50% 09/25/21 30,919
31,168 Series 2011-90, Class QI, IO................................. 5.00% 05/25/34 1,891
867,171 Series 2011-103, Class JL.................................... 6.50% 11/25/29 907,278
750,000 Series 2011-105, Class MB.................................... 4.00% 10/25/41 778,808
82,728 Series 2011-107, Class CA.................................... 3.50% 11/25/29 83,422
289,157 Series 2011-111, Class DG.................................... 2.25% 12/25/38 287,054
115,663 Series 2011-111, Class DH.................................... 2.50% 12/25/38 115,101
</TABLE>

Page 18 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 1,065,876 Series 2011-111, Class PZ.................................... 4.50% 11/25/41 $ 1,143,551
82,120 Series 2011-113, Class GA.................................... 2.00% 11/25/21 81,297
7,514,112 Series 2011-118, Class IC, IO................................ 3.50% 11/25/21 309,078
12,946,997 Series 2011-123, Class JS, IO,
1 Mo. LIBOR x -1 + 6.65% (d).............................. 4.75% 03/25/41 1,689,394
313,499 Series 2011-123, Class ZP.................................... 4.50% 12/25/41 338,148
279,866 Series 2011-124, Class CG.................................... 3.00% 09/25/29 281,230
210 Series 2011-134, Class PA.................................... 4.00% 09/25/40 213
3,960,893 Series 2011-137, Class AI, IO................................ 3.00% 01/25/22 169,607
3,016,667 Series 2011-141, Class EI, IO................................ 3.00% 07/25/21 58,916
2,018,715 Series 2012-8, Class TI, IO.................................. 3.00% 10/25/21 73,572
3,551,334 Series 2012-28, Class PT..................................... 4.00% 03/25/42 3,589,276
776,952 Series 2012-39, Class PB..................................... 4.25% 04/25/42 812,703
118,179 Series 2012-52, Class BZ..................................... 4.00% 05/25/42 121,760
542,000 Series 2012-66, Class DI, IO................................. 3.50% 06/25/27 52,526
639,531 Series 2012-79, Class QA..................................... 2.00% 03/25/42 626,379
1,557,907 Series 2012-101, Class AI, IO................................ 3.00% 06/25/27 127,943
368,776 Series 2012-111, Class B..................................... 7.00% 10/25/42 419,179
1,550,181 Series 2012-114, Class HS, IO,
1 Mo. LIBOR x -1 + 6.15% (d).............................. 4.25% 03/25/40 140,786
9,787,172 Series 2012-118, Class DI, IO................................ 3.50% 01/25/40 1,204,971
237,518 Series 2012-118, Class IB, IO................................ 3.50% 11/25/42 52,063
1,165,418 Series 2012-122, Class SD, IO,
1 Mo. LIBOR x -1 + 6.10% (d).............................. 4.20% 11/25/42 209,041
435,138 Series 2012-133, Class KO, PO................................ (b) 12/25/42 206,761
1,789,666 Series 2012-134, Class GI, IO................................ 4.50% 03/25/29 338,378
1,076,009 Series 2012-138, Class MA.................................... 1.00% 12/25/42 969,341
4,824,588 Series 2012-146, Class QA.................................... 1.00% 01/25/43 4,312,514
813,871 Series 2012-409, Class 49, IO, STRIPS (e).................... 3.50% 11/25/41 162,726
1,100,283 Series 2012-409, Class 53, IO, STRIPS (e).................... 3.50% 04/25/42 216,922
201,121 Series 2012-409, Class C17, IO, STRIPS....................... 4.00% 11/25/41 42,885
1,360,312 Series 2013-13, Class IK, IO................................. 2.50% 03/25/28 107,276
172,691 Series 2013-22, Class TS,
1 Mo. LIBOR x -1.50 + 6.08% (d)........................... 3.21% 03/25/43 142,110
44,362 Series 2013-23, Class ZB..................................... 3.00% 03/25/43 41,881
750,000 Series 2013-41, Class DB..................................... 3.00% 05/25/43 681,111
2,486,579 Series 2013-43, Class IX, IO................................. 4.00% 05/25/43 611,673
119,140 Series 2013-51, Class PI, IO................................. 3.00% 11/25/32 14,251
204,789 Series 2013-52, Class MD..................................... 1.25% 06/25/43 184,737
1,540,629 Series 2013-55, Class AI, IO................................. 3.00% 06/25/33 224,380
115,583 Series 2013-70, Class JZ..................................... 3.00% 07/25/43 104,747
391,198 Series 2013-75, Class FC, 1 Mo. LIBOR + 0.25% (a)............ 2.15% 07/25/42 390,867
933,915 Series 2013-94, Class CA..................................... 3.50% 08/25/38 943,201
322,651 Series 2013-103, Class IO, IO................................ 3.50% 03/25/38 40,886
379,979 Series 2013-105, Class BN.................................... 4.00% 05/25/43 378,687
541,839 Series 2013-105, Class KO, PO................................ (b) 10/25/43 477,051
195,852 Series 2013-106, Class KN.................................... 3.00% 10/25/43 176,927
1,003,000 Series 2013-130, Class QY.................................... 4.50% 06/25/41 1,059,602
6,510,992 Series 2013-417, Class C21, IO, STRIPS....................... 4.00% 12/25/42 1,285,862
337,254 Series 2014-29, Class GI, IO................................. 3.00% 05/25/29 33,192
3,877,562 Series 2014-44, Class NI, IO................................. 4.50% 08/25/29 446,929
</TABLE>

See Notes to Financial Statements Page 19

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Federal National Mortgage Association (Continued)
$ 484,089 Series 2014-68, Class GI, IO................................. 4.50% 10/25/43 $ 87,568
502,991 Series 2014-82, Class GZ..................................... 4.00% 12/25/44 517,318
3,057,040 Series 2014-84, Class LI, IO................................. 3.50% 12/25/26 297,270
1,281,470 Series 2014-91, Class PB..................................... 3.00% 02/25/38 1,284,042
875,000 Series 2015-16, Class MY..................................... 3.50% 04/25/45 826,190
766,920 Series 2015-38, Class GI, IO................................. 3.00% 09/25/43 66,050
4,102,400 Series 2015-76, Class BI, IO................................. 4.00% 10/25/39 524,626
734,105 Series 2015-93, Class KI, IO................................. 3.00% 09/25/44 125,953
11,011,530 Series 2015-97, Class AI, IO................................. 4.00% 09/25/41 1,856,906
1,794,809 Series 2016-71, Class NI, IO................................. 3.50% 04/25/46 279,213
748,493 Series 2016-74, Class HI, IO................................. 3.50% 10/25/46 145,054
1,066,184 Series 2016-84, Class DF, 1 Mo. LIBOR + 0.42% (a)............ 2.08% 11/25/46 1,068,254
597,364 Series 2017-46, Class BY..................................... 3.00% 06/25/47 511,967
Government National Mortgage Association
111,574 Series 1999-30, Class S, IO,
1 Mo. LIBOR x -1 + 8.60% (d).............................. 6.70% 08/16/29 1,427
223,253 Series 2000-9, Class FH, 1 Mo. LIBOR + 0.50% (a)............. 2.40% 02/16/30 224,066
714,839 Series 2001-22, Class SE, IO,
1 Mo. LIBOR x -1 + 8.15%, 0.65% Cap (d)................... 0.65% 05/16/31 14,113
167,420 Series 2001-51, Class FA, 1 Mo. LIBOR + 0.50% (a)............ 2.40% 10/16/31 168,432
47,768 Series 2001-60, Class PZ..................................... 6.00% 12/20/31 47,976
161,967 Series 2001-65, Class SH, IO,
1 Mo. LIBOR x -1 + 7.60% (d).............................. 5.70% 12/16/31 26,088
365,249 Series 2002-7, Class ST, IO,
1 Mo. LIBOR x -1 + 7.50% (d).............................. 5.60% 08/17/27 47,141
880,283 Series 2002-11, Class SQ, IO,
1 Mo. LIBOR x -1 + 8.00%, 1.00% Cap (d)................... 1.00% 02/20/32 34,816
345,831 Series 2002-20, Class LS, IO,
1 Mo. LIBOR x -1 + 7.95%, 1.20% Cap (d)................... 1.20% 03/20/32 16,117
72,205 Series 2002-20, Class PM..................................... 4.50% 03/20/32 75,715
112,352 Series 2002-24, Class AG, IO,
1 Mo. LIBOR x -1 + 7.95% (d).............................. 6.05% 04/16/32 15,987
337,192 Series 2002-45, Class SV, IO,
1 Mo. LIBOR x -1 + 8.10% (d).............................. 6.20% 06/16/32 52,472
150,201 Series 2002-72, Class ZB..................................... 6.00% 10/20/32 161,269
483,344 Series 2002-75, Class PJ..................................... 5.50% 11/20/32 517,421
398,567 Series 2003-4, Class MZ...................................... 5.50% 01/20/33 428,095
725,215 Series 2003-11, Class SM, IO,
1 Mo. LIBOR x -1 + 7.70% (d).............................. 5.80% 02/16/33 115,360
698,413 Series 2003-18, Class PG..................................... 5.50% 03/20/33 765,222
1,182,099 Series 2003-35, Class TZ..................................... 5.75% 04/16/33 1,299,110
370,243 Series 2003-42, Class SA, IO,
1 Mo. LIBOR x -1 + 6.60% (d).............................. 4.70% 07/16/31 46,350
1,514,643 Series 2003-42, Class SH, IO,
1 Mo. LIBOR x -1 + 6.55% (d).............................. 4.65% 05/20/33 217,375
101,095 Series 2003-62, Class MZ..................................... 5.50% 07/20/33 117,661
453,918 Series 2003-84, Class Z...................................... 5.50% 10/20/33 486,874
93,716 Series 2004-37, Class B...................................... 6.00% 04/17/34 104,059
102,986 Series 2004-49, Class MZ..................................... 6.00% 06/20/34 117,507
96,252 Series 2004-68, Class ZC..................................... 6.00% 08/20/34 104,888
</TABLE>

Page 20 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 124,667 Series 2004-71, Class ST,
1 Mo. LIBOR x -6.25 + 44.50%, 7.00% Cap (d)............... 7.00% 09/20/34 $ 132,206
189,955 Series 2004-83, Class AK,
1 Mo. LIBOR x -3.00 + 16.49% (d).......................... 10.80% 10/16/34 211,151
990,654 Series 2004-88, Class SM, IO,
1 Mo. LIBOR x -1 + 6.10% (d).............................. 4.20% 10/16/34 108,030
76,058 Series 2004-92, Class AK,
1 Mo. LIBOR x -3 + 16.50% (d)............................. 10.81% 11/16/34 86,758
1,347,410 Series 2004-92, Class BZ..................................... 5.50% 11/16/34 1,488,933
194,504 Series 2004-105, Class JZ.................................... 5.00% 12/20/34 213,324
47,049 Series 2004-105, Class KA.................................... 5.00% 12/16/34 49,861
151,636 Series 2004-109, Class BC.................................... 5.00% 11/20/33 155,502
193,697 Series 2005-3, Class JZ...................................... 5.00% 01/16/35 188,658
193,697 Series 2005-3, Class KZ...................................... 5.00% 01/16/35 204,817
33,752 Series 2005-7, Class AJ,
1 Mo. LIBOR x -4 + 22.00% (d)............................. 14.41% 02/16/35 38,573
374,478 Series 2005-7, Class KA,
1 Mo. LIBOR x -2.81 + 18.95% (d).......................... 13.62% 12/17/34 406,544
758,491 Series 2005-7, Class MA,
1 Mo. LIBOR x -2.81 + 18.95% (d).......................... 13.62% 12/17/34 846,924
129,955 Series 2005-33, Class AY..................................... 5.50% 04/16/35 143,298
78,085 Series 2005-41, Class PA..................................... 4.00% 05/20/35 79,286
638,088 Series 2005-44, Class IO, IO................................. 5.50% 07/20/35 138,560
516,276 Series 2005-93, Class PO, PO................................. (b) 06/20/35 454,266
127,109 Series 2006-17, Class TW..................................... 6.00% 04/20/36 140,656
500,000 Series 2006-38, Class OH..................................... 6.50% 08/20/36 576,496
155,553 Series 2006-61, Class ZA..................................... 5.00% 11/20/36 166,022
351,863 Series 2007-16, Class OZ..................................... 6.00% 04/20/37 405,162
289,558 Series 2007-27, Class SD, IO,
1 Mo. LIBOR x -1 + 6.20% (d).............................. 4.30% 05/20/37 31,050
237,177 Series 2007-41, Class OL, PO................................. (b) 07/20/37 207,145
264,038 Series 2007-42, Class SB, IO,
1 Mo. LIBOR x -1 + 6.75% (d).............................. 4.85% 07/20/37 32,617
123,749 Series 2007-68, Class NA..................................... 5.00% 11/20/37 131,165
890,608 Series 2007-71, Class ZD..................................... 6.00% 11/20/37 969,964
141,777 Series 2007-81, Class FZ, 1 Mo. LIBOR + 0.35% (a)............ 2.25% 12/20/37 141,389
325,913 Series 2008-6, Class CK...................................... 4.25% 10/20/37 328,916
205,224 Series 2008-16, Class PO, PO................................. (b) 02/20/38 176,408
26,552 Series 2008-20, Class PO, PO................................. (b) 09/20/37 25,047
70,442 Series 2008-29, Class PO, PO................................. (b) 02/17/33 67,127
178,815 Series 2008-33, Class XS, IO,
1 Mo. LIBOR x -1 + 7.70% (d).............................. 5.80% 04/16/38 27,383
209,715 Series 2008-47, Class MI, IO................................. 6.00% 10/16/37 7,017
140,126 Series 2008-50, Class NA..................................... 5.50% 03/16/37 142,284
165,000 Series 2008-54, Class PE..................................... 5.00% 06/20/38 181,714
962,429 Series 2008-71, Class JI, IO................................. 6.00% 04/20/38 227,372
69,592 Series 2009-10, Class JA..................................... 4.50% 03/16/34 69,664
270,032 Series 2009-10, Class PA..................................... 4.50% 12/20/38 277,230
652,768 Series 2009-14, Class KF, 1 Mo. LIBOR + 0.70% (a)............ 2.60% 03/20/39 664,072
261,107 Series 2009-14, Class KI, IO................................. 6.50% 03/20/39 57,763
85,676 Series 2009-14, Class KS, IO,
1 Mo. LIBOR x -1 + 6.30% (d).............................. 4.40% 03/20/39 9,384
</TABLE>

See Notes to Financial Statements Page 21

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 206,900 Series 2009-25, Class SE, IO,
1 Mo. LIBOR x -1 + 7.60% (d).............................. 5.70% 09/20/38 $ 30,507
2,078,430 Series 2009-29, Class PC..................................... 7.00% 05/20/39 2,615,228
326,514 Series 2009-32, Class SZ..................................... 5.50% 05/16/39 374,954
841,087 Series 2009-42, Class BI, IO................................. 6.00% 06/20/39 170,706
215,296 Series 2009-53, Class AB..................................... 4.50% 10/16/38 218,717
67,539 Series 2009-57, Class KA..................................... 4.50% 05/20/39 68,613
2,300,426 Series 2009-57, Class VB..................................... 5.00% 06/16/39 2,456,391
1,106,070 Series 2009-61, Class OW, PO................................. (b) 11/16/35 942,666
202,413 Series 2009-61, Class PZ..................................... 7.50% 08/20/39 280,636
77,637 Series 2009-65, Class GL..................................... 4.50% 05/20/38 78,277
839,925 Series 2009-69, Class ZB..................................... 6.00% 08/20/39 980,870
1,398,846 Series 2009-72, Class SM, IO,
1 Mo. LIBOR x -1 + 6.25% (d).............................. 4.35% 08/16/39 172,677
455,000 Series 2009-75, Class JN..................................... 5.50% 09/16/39 515,414
228,781 Series 2009-76, Class PC..................................... 4.00% 03/16/39 232,131
490,090 Series 2009-78, Class KZ..................................... 5.50% 09/16/39 600,608
281,297 Series 2009-79, Class OK, PO................................. (b) 11/16/37 248,955
115,315 Series 2009-81, Class TZ..................................... 5.50% 09/20/39 135,486
2,101,445 Series 2009-87, Class EI, IO................................. 5.50% 08/20/39 371,347
336,481 Series 2009-93, Class WG..................................... 4.00% 09/20/38 340,427
39,000 Series 2009-94, Class AL..................................... 5.00% 10/20/39 42,629
193,617 Series 2009-106, Class DZ.................................... 5.50% 11/20/39 226,286
39,675 Series 2009-106, Class WZ.................................... 5.50% 11/16/39 47,632
885,657 Series 2009-116, Class MS, IO,
1 Mo. LIBOR x -1 + 6.50% (d).............................. 4.60% 11/16/38 37,218
22,333 Series 2009-118, Class KP.................................... 4.50% 05/20/38 22,787
732,000 Series 2009-126, Class LB.................................... 5.00% 12/20/39 801,194
23,981 Series 2010-2, Class QM...................................... 4.50% 10/20/37 23,994
52,000 Series 2010-4, Class WA...................................... 3.00% 01/16/40 51,149
398,962 Series 2010-7, Class BC...................................... 4.00% 09/16/24 404,680
275,051 Series 2010-11, Class HE..................................... 4.00% 04/20/39 278,573
48,555 Series 2010-14, Class AO, PO................................. (b) 12/20/32 46,777
2,495,387 Series 2010-14, Class BV, IO,
1 Mo. LIBOR x -1 + 6.25% (d).............................. 4.35% 02/16/40 335,593
104,774 Series 2010-29, Class CB..................................... 5.00% 12/20/38 105,942
1,383,070 Series 2010-42, Class CO, PO................................. (b) 06/16/39 1,278,169
49,838 Series 2010-44, Class BE..................................... 3.00% 04/20/38 49,926
2,514,737 Series 2010-46, Class FC, 1 Mo. LIBOR + 0.80% (a)............ 2.70% 03/20/35 2,579,240
701,660 Series 2010-59, Class ZD..................................... 6.50% 05/20/40 928,253
396 Series 2010-85, Class EA..................................... 4.00% 12/16/24 396
2,761,004 Series 2010-85, Class SL, IO,
1 Mo. LIBOR x -1 + 6.60% (d).............................. 4.70% 07/20/37 374,944
77,000 Series 2010-116, Class BM.................................... 4.50% 09/16/40 83,277
1,394,148 Series 2010-116, Class JB.................................... 5.00% 06/16/40 1,504,857
934,532 Series 2010-129, Class PQ.................................... 3.00% 04/20/39 936,158
194,743 Series 2010-138, Class PD.................................... 3.50% 08/20/38 195,926
1,391,545 Series 2010-157, Class OP, PO................................ (b) 12/20/40 1,138,378
192,386 Series 2010-162, Class PQ.................................... 4.50% 06/16/39 196,403
668,409 Series 2010-166, Class DI, IO................................ 4.50% 02/20/39 81,280
110,559 Series 2011-4, Class PZ...................................... 5.00% 01/20/41 118,658
</TABLE>

Page 22 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 3,564,621 Series 2011-19, Class MI, IO................................. 5.00% 06/16/40 $ 374,545
128,563 Series 2011-21, Class QE..................................... 4.75% 05/20/38 129,659
771,202 Series 2011-35, Class BP..................................... 4.50% 03/16/41 832,584
710,169 Series 2011-48, Class LI, IO................................. 5.50% 01/16/41 127,413
425,411 Series 2011-50, Class PZ..................................... 5.00% 04/20/41 468,893
20,598 Series 2011-59, Class JA..................................... 4.00% 11/20/38 20,634
201,345 Series 2011-63, Class BI, IO................................. 6.00% 02/20/38 33,122
620,652 Series 2011-69, Class HC..................................... 2.25% 05/20/38 618,131
1,414,757 Series 2011-71, Class ZC..................................... 5.50% 07/16/34 1,535,250
4,252,975 Series 2011-81, Class IC, IO,
1 Mo. LIBOR x -1 + 6.72%, 0.62% Cap (d)................... 0.62% 07/20/35 80,283
1,992,030 Series 2011-112, Class IP, IO................................ 0.50% 08/16/26 16,721
239,265 Series 2011-129, Class CL.................................... 5.00% 03/20/41 253,254
84,322 Series 2011-137, Class WA (e)................................ 5.55% 07/20/40 91,725
464,191 Series 2011-146, Class EI, IO................................ 5.00% 11/16/41 109,661
112,637 Series 2011-151, Class TB, IO,
1 Mo. LIBOR x -70 + 465.50%, 3.50% Cap (d)................ 3.50% 04/20/41 16,444
4,049,702 Series 2012-10, Class LI, IO................................. 3.50% 07/20/40 477,405
306,540 Series 2012-16, Class AG..................................... 2.50% 10/20/38 302,909
5,723,869 Series 2012-18, Class IA, IO,
1 Mo. LIBOR x -1 + 6.68%, 0.58% Cap (d)................... 0.58% 07/20/39 101,596
251,623 Series 2012-108, Class KB.................................... 2.75% 09/16/42 217,376
1,206,727 Series 2012-140, Class JI, IO................................ 3.50% 01/20/41 152,457
8,878,776 Series 2012-143, Class IB, IO................................ 3.50% 12/20/39 709,349
200,222 Series 2013-5, Class IA, IO.................................. 3.50% 10/16/42 26,140
446,199 Series 2013-20, Class KI, IO................................. 5.00% 01/20/43 94,940
2,223,000 Series 2013-20, Class QM..................................... 2.63% 02/16/43 1,914,504
4,158,020 Series 2013-53, Class OI, IO................................. 3.50% 04/20/43 627,403
221,451 Series 2013-69, Class AI, IO................................. 3.50% 05/20/43 39,756
584,013 Series 2013-69, Class PI, IO................................. 5.00% 05/20/43 92,852
953,680 Series 2013-70, Class PM..................................... 2.50% 05/20/43 799,072
2,466,011 Series 2013-130, Class WS, IO,
1 Mo. LIBOR x -1 + 6.10% (d).............................. 4.20% 09/20/43 330,464
688,000 Series 2013-183, Class PB.................................... 4.50% 12/20/43 697,386
102,153 Series 2013-188, Class CF, 1 Mo. LIBOR + 0.45% (a)........... 2.35% 03/20/43 102,686
18,756,868 Series 2014-44, Class ID, IO (c) (e)......................... 0.35% 03/16/44 246,927
89,504 Series 2014-91, Class JI, IO................................. 4.50% 01/20/40 16,257
843,401 Series 2014-94, Class Z...................................... 4.50% 01/20/44 899,594
368,415 Series 2014-99, Class HI, IO................................. 4.50% 06/20/44 67,432
432,661 Series 2015-3, Class ZD...................................... 4.00% 01/20/45 448,076
94,896 Series 2015-95, Class IK, IO (e)............................. 1.14% 05/16/37 4,125
935,288 Series 2015-100, Class AI, IO................................ 3.50% 03/20/39 72,398
295,036 Series 2015-137, Class WA (c) (e)............................ 5.49% 01/20/38 319,938
1,439,002 Series 2015-138, Class MI, IO................................ 4.50% 08/20/44 216,699
455,489 Series 2015-151, Class KW (e)................................ 5.98% 04/20/34 480,674
170,732 Series 2016-16, Class KZ..................................... 3.00% 02/16/46 144,650
1,760,370 Series 2016-75, Class SA, IO,
1 Mo. LIBOR x -1 + 6.00% (d).............................. 4.10% 05/20/40 209,154
6,489,769 Series 2016-89, Class HI, IO................................. 3.50% 07/20/46 1,103,825
859,536 Series 2016-99, Class JA (e)................................. 5.52% 11/20/45 931,009
</TABLE>

See Notes to Financial Statements Page 23

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Government National Mortgage Association (Continued)
$ 880,842 Series 2016-109, Class ZM.................................... 3.50% 08/20/36 $ 851,148
1,847,961 Series 2016-118, Class GI, IO................................ 4.50% 02/16/40 368,224
89,567 Series 2016-120, Class AS, IO,
1 Mo. LIBOR x -1 + 6.10% (d).............................. 4.20% 09/20/46 20,209
464,000 Series 2016-141, Class PC.................................... 5.00% 10/20/46 524,027
287,640 Series 2016-145, Class LZ.................................... 3.00% 10/20/46 238,266
303,000 Series 2016-160, Class LE.................................... 2.50% 11/20/46 234,684
565,675 Series 2016-167, Class KI, IO................................ 6.00% 12/16/46 122,616
784,451 Series 2017-17, Class KZ..................................... 4.50% 02/20/47 839,771
27,691,215 Series 2017-57, Class IO, IO................................. 5.00% 04/20/47 4,816,972
11,262,413 Series 2017-186, Class TI, IO,
1 Mo. LIBOR x -1 + 6.50%, 0.50% Cap (d)................... 0.50% 05/20/40 213,765
817,854 Series 2018-44, Class Z...................................... 2.50% 09/20/47 611,574
Vendee Mortgage Trust
71,784 Series 2010-1, Class DA...................................... 4.25% 02/15/35 72,876
---------------
321,271,198
---------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 1.7%
Fannie Mae - Aces
50,000 Series 2013-M6, Class 1AC (c)................................ 3.86% 02/25/43 48,847
Government National Mortgage Association
697,868 Series 2013-32, Class A...................................... 1.90% 06/16/36 691,698
532,000 Series 2013-57, Class D (e).................................. 2.35% 06/16/46 447,586
100,000 Series 2013-74, Class AG (c)................................. 2.81% 12/16/53 83,381
26,331 Series 2013-194, Class AE (e)................................ 2.75% 11/16/44 25,435
6,470,486 Series 2015-125, Class VA (e)................................ 2.70% 05/16/35 6,278,620
5,014,257 Series 2016-110, Class VA.................................... 2.10% 01/16/38 4,504,968
9,730,407 Series 2017-131, Class AG (e)................................ 2.50% 12/16/58 9,199,774
---------------
21,280,309
---------------
PASS-THROUGH SECURITIES -- 50.2%
Federal Home Loan Mortgage Corporation
27,945,505 Pool 840359, 12 Mo. LIBOR + 1.63% (a)........................ 2.79% 06/01/46 28,725,473
201,700 Pool A19763.................................................. 5.00% 04/01/34 217,777
89,626 Pool A47333.................................................. 5.00% 10/01/35 96,263
799,156 Pool A47828.................................................. 3.50% 08/01/35 801,668
440,519 Pool A47829.................................................. 4.00% 08/01/35 450,895
497,832 Pool A47937.................................................. 5.50% 08/01/35 546,167
148,234 Pool A48972.................................................. 5.50% 05/01/36 161,162
138,188 Pool A54675.................................................. 5.50% 01/01/36 152,106
341,515 Pool A65324.................................................. 5.50% 09/01/37 375,104
112,372 Pool A86143.................................................. 5.00% 05/01/39 120,658
39,334 Pool A90319.................................................. 5.00% 12/01/39 42,325
594,288 Pool A92197.................................................. 5.00% 05/01/40 639,473
15,305 Pool A93093.................................................. 4.50% 07/01/40 16,118
20,913 Pool A93891.................................................. 4.00% 09/01/40 21,523
31,707 Pool A94729.................................................. 4.00% 11/01/40 32,634
121,168 Pool A94843.................................................. 4.00% 11/01/40 124,713
501,410 Pool A95441.................................................. 4.00% 12/01/40 515,615
44,822 Pool A95653.................................................. 4.00% 12/01/40 46,133
72,709 Pool A95728.................................................. 4.00% 12/01/40 74,836
</TABLE>

Page 24 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 94,918 Pool A96380.................................................. 4.00% 01/01/41 $ 97,607
282,805 Pool A97294.................................................. 4.00% 02/01/41 290,817
7,769 Pool C01310.................................................. 6.50% 03/01/32 8,758
53,849 Pool C01444.................................................. 6.00% 01/01/33 60,073
25,014 Pool C01574.................................................. 5.00% 06/01/33 26,734
133,909 Pool C01848.................................................. 6.00% 06/01/34 149,393
27,899 Pool C03458.................................................. 5.00% 02/01/40 29,916
82,248 Pool C03949.................................................. 3.50% 05/01/42 82,373
123,239 Pool C04269.................................................. 3.00% 10/01/42 120,021
489,861 Pool C91167.................................................. 5.00% 04/01/28 519,314
318,575 Pool C91353.................................................. 3.50% 01/01/31 319,251
440,292 Pool C91366.................................................. 4.50% 04/01/31 460,500
54,041 Pool C91482.................................................. 3.50% 07/01/32 54,756
3,094 Pool E01377.................................................. 4.50% 05/01/18 3,115
14,244 Pool E01401.................................................. 4.00% 06/01/18 14,627
58,477 Pool E02883.................................................. 4.00% 04/01/26 60,197
14,526 Pool E99030.................................................. 4.50% 09/01/18 14,637
7,147 Pool G01443.................................................. 6.50% 08/01/32 8,056
93,747 Pool G01737.................................................. 5.00% 12/01/34 100,453
17,218 Pool G01829.................................................. 6.00% 03/01/35 19,209
51,802 Pool G01840.................................................. 5.00% 07/01/35 55,497
601,504 Pool G02017.................................................. 5.00% 12/01/35 650,062
119,223 Pool G03072.................................................. 5.00% 11/01/36 127,828
40,231 Pool G03941.................................................. 6.00% 02/01/38 44,583
32,671 Pool G04452.................................................. 6.00% 07/01/38 36,479
561,684 Pool G04593.................................................. 5.50% 01/01/37 615,847
57,991 Pool G04632.................................................. 5.00% 11/01/36 62,143
271,180 Pool G04814.................................................. 5.50% 10/01/38 296,512
59,306 Pool G04913.................................................. 5.00% 03/01/38 63,562
55,895 Pool G05173.................................................. 4.50% 11/01/31 58,262
926,322 Pool G05275.................................................. 5.50% 02/01/39 1,010,916
171,969 Pool G05449.................................................. 4.50% 05/01/39 180,814
628,256 Pool G05792.................................................. 4.50% 02/01/40 661,632
507,169 Pool G05927.................................................. 4.50% 07/01/40 535,227
16,031 Pool G05938.................................................. 5.00% 01/01/36 17,123
40,185 Pool G06252.................................................. 4.00% 02/01/41 41,323
765,446 Pool G06359.................................................. 4.00% 02/01/41 787,128
121,489 Pool G06501.................................................. 4.00% 04/01/41 124,930
129,429 Pool G06583.................................................. 5.00% 06/01/41 140,219
236,555 Pool G06687.................................................. 5.00% 07/01/41 255,317
121,184 Pool G06739.................................................. 4.50% 09/01/41 127,335
434,633 Pool G07025.................................................. 5.00% 02/01/42 465,749
1,080,496 Pool G07100.................................................. 5.50% 07/01/40 1,192,252
20,613 Pool G07219.................................................. 5.00% 10/01/41 22,108
123,519 Pool G07266.................................................. 4.00% 12/01/42 127,017
791,603 Pool G07329.................................................. 4.00% 01/01/43 813,781
118,092 Pool G07505.................................................. 7.00% 02/01/39 132,537
128,820 Pool G07613.................................................. 6.00% 04/01/39 145,637
840,176 Pool G07683.................................................. 4.00% 03/01/44 864,069
498,101 Pool G07806.................................................. 5.00% 06/01/41 534,057
4,831 Pool G08113.................................................. 6.50% 02/01/36 5,431
</TABLE>

See Notes to Financial Statements Page 25

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 59,635 Pool G11713.................................................. 5.50% 06/01/20 $ 60,573
65,726 Pool G11769.................................................. 5.00% 10/01/20 66,907
104,369 Pool G11833.................................................. 5.00% 11/01/20 107,000
9,181 Pool G11880.................................................. 5.00% 12/01/20 9,427
160,607 Pool G12312.................................................. 6.00% 09/01/21 166,011
129,041 Pool G12797.................................................. 6.50% 02/01/22 134,015
212,559 Pool G12959.................................................. 6.50% 10/01/22 223,458
8,678 Pool G12978.................................................. 5.50% 12/01/22 8,994
33,284 Pool G13044.................................................. 4.50% 06/01/21 33,597
19,071 Pool G13581.................................................. 5.50% 11/01/21 19,304
84,428 Pool G13623.................................................. 4.50% 08/01/24 87,521
127,226 Pool G13625.................................................. 5.50% 01/01/24 132,208
177,770 Pool G13733.................................................. 5.00% 11/01/24 187,402
112,439 Pool G14088.................................................. 4.00% 02/01/26 115,740
325,033 Pool G14106.................................................. 6.00% 10/01/24 333,027
77,267 Pool G14167.................................................. 5.50% 07/01/23 80,613
337,013 Pool G14233.................................................. 6.00% 01/01/24 345,392
1,462,732 Pool G14348.................................................. 4.00% 10/01/26 1,518,311
71,649 Pool G14376.................................................. 4.00% 09/01/25 73,578
104,803 Pool G14676.................................................. 4.50% 09/01/26 107,151
53,760 Pool G14791.................................................. 6.00% 05/01/21 54,195
815,164 Pool G14995.................................................. 5.50% 12/01/24 840,900
620,793 Pool G15019.................................................. 4.50% 07/01/26 627,080
79,526 Pool G15039.................................................. 4.50% 09/01/26 82,440
92,089 Pool G15725.................................................. 4.50% 09/01/26 95,294
120,197 Pool G15821.................................................. 5.00% 07/01/25 122,248
364,519 Pool G15949.................................................. 4.00% 01/01/29 375,190
639,755 Pool G15957.................................................. 5.50% 12/01/24 658,934
55,542 Pool G18100.................................................. 5.00% 02/01/21 56,589
654,168 Pool G18264.................................................. 5.00% 07/01/23 680,016
491,457 Pool G18287.................................................. 5.50% 12/01/23 514,100
187,104 Pool G18306.................................................. 4.50% 04/01/24 193,946
22,148 Pool G60020.................................................. 4.50% 12/01/43 23,221
1,160,503 Pool G60114.................................................. 5.50% 06/01/41 1,271,998
1,625,103 Pool G60168.................................................. 4.50% 07/01/45 1,706,577
517,678 Pool G60194.................................................. 3.50% 08/01/45 516,537
132,721 Pool G60366.................................................. 6.00% 10/01/39 148,916
538,492 Pool G60737.................................................. 4.50% 08/01/42 567,025
1,587,964 Pool G60762.................................................. 5.00% 07/01/41 1,701,914
419,452 Pool G60806.................................................. 5.00% 12/01/44 450,809
582,785 Pool G60808.................................................. 3.00% 10/01/46 563,012
10,199,631 Pool G60921.................................................. 4.50% 02/01/47 10,686,024
12,740,938 Pool G60940.................................................. 4.00% 09/01/46 13,039,891
30,459 Pool H09034.................................................. 5.50% 05/01/37 31,958
9,511 Pool J03523.................................................. 5.00% 09/01/21 9,606
84,491 Pool J05364.................................................. 6.00% 08/01/22 86,647
500,760 Pool J09465.................................................. 4.00% 04/01/24 515,125
188,175 Pool J09504.................................................. 4.00% 04/01/24 193,586
69,076 Pool J09798.................................................. 4.00% 05/01/24 70,935
119,045 Pool J10623.................................................. 4.00% 09/01/24 123,304
1,202,957 Pool J10827.................................................. 4.50% 10/01/24 1,247,010
</TABLE>

Page 26 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 362,346 Pool N70075.................................................. 5.00% 01/01/35 $ 380,495
662,480 Pool N70081.................................................. 5.50% 07/01/38 724,549
107,755 Pool O20138.................................................. 5.00% 11/01/30 115,025
1,327,176 Pool Q00841.................................................. 4.50% 05/01/41 1,397,699
167,989 Pool Q03139.................................................. 4.00% 09/01/41 172,749
62,022 Pool Q04031.................................................. 4.00% 10/01/41 63,904
43,180 Pool Q04905.................................................. 4.00% 12/01/41 44,490
94,059 Pool Q05035.................................................. 4.00% 12/01/41 96,724
77,573 Pool Q05173.................................................. 4.00% 12/01/41 79,926
57,304 Pool Q05181.................................................. 4.00% 12/01/41 59,042
39,972 Pool Q05445.................................................. 4.00% 01/01/42 41,184
160,420 Pool Q07189.................................................. 4.00% 04/01/42 164,965
55,122 Pool Q07479.................................................. 3.50% 04/01/42 55,205
178,236 Pool Q11791.................................................. 3.50% 10/01/42 178,505
112,888 Pool Q11836.................................................. 3.50% 10/01/42 113,058
832,652 Pool Q14034.................................................. 3.50% 12/01/42 833,911
3,774,579 Pool Q43309.................................................. 4.00% 09/01/46 3,864,651
7,865,237 Pool Q45763.................................................. 4.00% 01/01/47 8,052,969
6,382,302 Pool Q50564.................................................. 4.50% 09/01/47 6,652,489
16,282,162 Pool Q53219.................................................. 4.50% 12/01/47 17,129,696
9,370,035 Pool Q53875.................................................. 4.00% 01/01/48 9,592,840
1,263,328 Pool Q54651.................................................. 4.50% 03/01/48 1,344,120
2,229,795 Pool Q55037.................................................. 4.50% 04/01/48 2,372,393
21,880,966 Pool Q55152.................................................. 4.50% 04/01/48 22,956,659
780,356 Pool U50165.................................................. 4.00% 05/01/32 813,544
1,789,766 Pool U59020.................................................. 4.00% 06/01/35 1,866,246
3,444,378 Pool U64762.................................................. 4.50% 10/01/45 3,640,012
6,148,098 Pool U79023.................................................. 3.50% 10/01/28 6,238,224
79,320 Pool U80068.................................................. 3.50% 10/01/32 80,000
165,119 Pool U80212.................................................. 3.50% 02/01/33 166,535
190,307 Pool U90245.................................................. 3.50% 10/01/42 190,123
113,294 Pool U90291.................................................. 4.00% 10/01/42 116,563
1,005,230 Pool U90316.................................................. 4.00% 10/01/42 1,034,349
948,456 Pool U90490.................................................. 4.00% 06/01/42 975,820
2,187,951 Pool U90690.................................................. 3.50% 06/01/42 2,185,846
27,557 Pool U90932.................................................. 3.00% 02/01/43 26,765
287,291 Pool U90975.................................................. 4.00% 06/01/42 295,576
682,722 Pool U91254.................................................. 4.00% 04/01/43 702,404
2,372,079 Pool U91619.................................................. 4.00% 06/01/43 2,440,706
70,469 Pool U92272.................................................. 4.50% 12/01/43 74,346
969,468 Pool U92432.................................................. 4.00% 02/01/44 997,627
66,505 Pool U95137.................................................. 4.00% 08/01/43 68,409
258,139 Pool U99045.................................................. 3.50% 03/01/43 257,890
285,183 Pool U99084.................................................. 4.50% 02/01/44 300,818
141,777 Pool U99091.................................................. 4.50% 03/01/44 149,495
199,301 Pool U99096.................................................. 4.50% 05/01/44 210,250
4,036,713 Pool U99134.................................................. 4.00% 01/01/46 4,153,088
881,889 Pool V80910.................................................. 4.00% 12/01/43 904,671
Federal National Mortgage Association
86,140 Pool 190371.................................................. 6.50% 07/01/36 96,058
40,340 Pool 254636.................................................. 5.00% 02/01/33 43,340
</TABLE>

See Notes to Financial Statements Page 27

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 57,950 Pool 255190.................................................. 5.50% 05/01/34 $ 63,486
48,415 Pool 255984.................................................. 4.50% 11/01/25 50,499
276,257 Pool 256181.................................................. 5.50% 03/01/36 292,031
215,348 Pool 256576.................................................. 5.50% 01/01/37 224,209
67,012 Pool 256808.................................................. 5.50% 07/01/37 69,399
219,071 Pool 256936.................................................. 6.00% 10/01/37 226,529
5,968 Pool 257245.................................................. 5.00% 06/01/18 6,057
34,394 Pool 545759.................................................. 6.50% 07/01/32 38,349
17,694 Pool 555528.................................................. 6.00% 04/01/33 19,753
27,577 Pool 555851.................................................. 6.50% 01/01/33 30,749
122,569 Pool 633673.................................................. 6.00% 06/01/32 135,746
508,260 Pool 654686.................................................. 6.00% 11/01/32 567,972
2,262 Pool 665172.................................................. 4.50% 06/01/18 2,278
411,199 Pool 683246.................................................. 5.50% 02/01/33 458,818
5,052 Pool 722410.................................................. 4.50% 07/01/18 5,092
376,860 Pool 725014.................................................. 5.50% 12/01/33 415,791
43,076 Pool 725228.................................................. 6.00% 03/01/34 48,097
64,038 Pool 725690.................................................. 6.00% 08/01/34 71,505
28,325 Pool 725704.................................................. 6.00% 08/01/34 31,605
579,147 Pool 734922.................................................. 4.50% 09/01/33 610,089
800,280 Pool 735415.................................................. 6.50% 12/01/32 893,604
266,281 Pool 735503.................................................. 6.00% 04/01/35 297,287
7,696 Pool 745875.................................................. 6.50% 09/01/36 8,621
96,211 Pool 747097.................................................. 6.00% 10/01/29 102,295
741,766 Pool 758670.................................................. 6.00% 09/01/34 834,868
30,595 Pool 780962.................................................. 4.50% 05/01/19 30,835
693,728 Pool 788149.................................................. 5.50% 05/01/33 762,509
391,931 Pool 812741.................................................. 5.50% 02/01/35 426,616
598,835 Pool 827948.................................................. 5.50% 05/01/35 650,884
28,637 Pool 831663.................................................. 6.00% 08/01/36 31,870
114,588 Pool 831811.................................................. 6.00% 09/01/36 127,924
704,782 Pool 850000.................................................. 5.50% 01/01/36 770,609
96,677 Pool 871039.................................................. 5.50% 02/01/37 100,698
282,244 Pool 888001.................................................. 5.50% 10/01/36 315,548
217,147 Pool 888163.................................................. 7.00% 12/01/33 245,258
74,986 Pool 888435.................................................. 5.50% 06/01/22 77,646
789,339 Pool 889610.................................................. 5.50% 06/01/38 860,603
540,979 Pool 889834.................................................. 5.00% 12/01/35 584,882
28,073 Pool 890149.................................................. 6.50% 10/01/38 31,300
79,900 Pool 890231.................................................. 5.00% 07/01/25 83,467
322,999 Pool 890314.................................................. 5.50% 12/01/22 331,630
44,347 Pool 890378.................................................. 6.00% 05/01/24 46,385
1,636,093 Pool 890556.................................................. 4.50% 10/01/43 1,734,303
1,038,323 Pool 890561.................................................. 4.50% 01/01/27 1,064,220
93,927 Pool 890588.................................................. 4.50% 09/01/41 98,900
1,432,994 Pool 890736.................................................. 5.00% 07/01/30 1,530,557
310,588 Pool 905917.................................................. 5.50% 01/01/37 346,457
99,901 Pool 912926.................................................. 6.00% 07/01/37 113,628
25,977 Pool 916916.................................................. 6.00% 05/01/37 29,019
135,527 Pool 922386.................................................. 5.50% 01/01/37 139,590
22,459 Pool 930562.................................................. 5.00% 02/01/39 24,361
</TABLE>

Page 28 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 1,318 Pool 931150.................................................. 5.00% 05/01/39 $ 1,415
234,700 Pool 931565.................................................. 5.00% 07/01/39 252,392
236,288 Pool 931808.................................................. 5.50% 08/01/39 258,004
208,717 Pool 953115.................................................. 5.50% 11/01/38 225,832
281,727 Pool 962556.................................................. 5.00% 04/01/23 294,081
102,067 Pool 973561.................................................. 5.00% 03/01/23 106,521
99,351 Pool 976871.................................................. 6.50% 08/01/36 110,778
55,901 Pool 995002.................................................. 5.00% 07/01/37 60,082
30,054 Pool 995097.................................................. 6.50% 10/01/37 33,557
169,306 Pool 995149.................................................. 6.50% 10/01/38 188,858
75,032 Pool 995228.................................................. 6.50% 11/01/38 83,663
431,620 Pool 995252.................................................. 5.00% 12/01/23 447,578
135,450 Pool 995259.................................................. 6.50% 11/01/23 143,130
40,618 Pool AA0916.................................................. 5.00% 08/01/37 43,599
8,998 Pool AA1740.................................................. 5.00% 01/01/39 9,656
1,862 Pool AA3267.................................................. 5.00% 02/01/39 1,997
160,292 Pool AA3303.................................................. 5.50% 06/01/38 171,593
316,686 Pool AB0460.................................................. 5.50% 02/01/37 338,160
385,275 Pool AB0731.................................................. 4.00% 06/01/39 395,492
39,891 Pool AB1576.................................................. 4.00% 10/01/20 40,945
846,494 Pool AB1801.................................................. 4.00% 11/01/40 869,093
104,357 Pool AB1953.................................................. 4.00% 12/01/40 107,200
79,836 Pool AB2092.................................................. 4.00% 01/01/41 81,967
92,070 Pool AB2133.................................................. 4.00% 01/01/26 95,537
259,438 Pool AB2265.................................................. 4.00% 02/01/41 266,903
186,178 Pool AB2275.................................................. 4.50% 02/01/41 196,069
39,665 Pool AB2467.................................................. 4.50% 03/01/41 41,868
1,751,923 Pool AB2506.................................................. 5.00% 03/01/41 1,888,025
2,678,174 Pool AB2959.................................................. 4.50% 07/01/40 2,793,714
92,049 Pool AB3284.................................................. 5.00% 07/01/41 98,900
160,115 Pool AB4937.................................................. 3.50% 04/01/42 160,211
178,218 Pool AB5174.................................................. 3.50% 05/01/42 178,325
1,082,090 Pool AB5500.................................................. 3.50% 07/01/42 1,082,739
184,061 Pool AB5919.................................................. 3.00% 08/01/42 179,382
124,361 Pool AB6632.................................................. 3.50% 10/01/42 124,359
374,104 Pool AB6671.................................................. 3.00% 10/01/42 364,446
446,172 Pool AB7765.................................................. 3.00% 02/01/43 434,499
323,980 Pool AB7859.................................................. 3.50% 02/01/43 323,840
236,655 Pool AB8143.................................................. 5.00% 01/01/38 254,055
1,796,886 Pool AB8289.................................................. 4.50% 04/01/42 1,884,639
664,474 Pool AB8676.................................................. 3.50% 05/01/42 655,282
3,191,787 Pool AB9196.................................................. 3.50% 05/01/43 3,187,791
51,395 Pool AB9382.................................................. 4.00% 05/01/43 52,767
1,241,920 Pool AB9551.................................................. 3.00% 06/01/43 1,208,584
597,582 Pool AB9615.................................................. 4.00% 06/01/33 615,695
74,585 Pool AB9683.................................................. 4.00% 06/01/43 76,563
96,539 Pool AB9959.................................................. 4.00% 07/01/43 99,051
135,240 Pool AC1232.................................................. 5.00% 07/01/24 141,272
1,180,642 Pool AC2946.................................................. 5.00% 09/01/39 1,268,855
142,924 Pool AC3236.................................................. 5.00% 09/01/39 154,207
445,487 Pool AC3267.................................................. 5.50% 09/01/39 490,631
</TABLE>

See Notes to Financial Statements Page 29

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 178,795 Pool AC5446.................................................. 5.00% 11/01/39 $ 192,368
7,466 Pool AD0149.................................................. 5.29% 06/01/18 7,467
1,372,585 Pool AD0163.................................................. 6.00% 11/01/34 1,532,668
558,616 Pool AD0217.................................................. 6.00% 08/01/37 623,690
405,558 Pool AD0218.................................................. 6.00% 09/01/36 452,929
15,838 Pool AD0440.................................................. 6.00% 10/01/39 17,788
887,962 Pool AD0889.................................................. 6.00% 09/01/24 928,560
772,756 Pool AD4317.................................................. 4.00% 04/01/40 793,359
38,455 Pool AD5222.................................................. 4.50% 05/01/30 40,213
154,485 Pool AD5583.................................................. 5.00% 04/01/40 165,183
115,247 Pool AD6938.................................................. 4.50% 06/01/40 121,591
225,979 Pool AD7110.................................................. 5.00% 07/01/40 240,216
126,114 Pool AD7137.................................................. 5.50% 07/01/40 141,100
47,335 Pool AD8526.................................................. 4.50% 08/01/40 49,929
466,433 Pool AE0137.................................................. 4.50% 03/01/36 488,864
56,628 Pool AE0383.................................................. 4.50% 09/01/25 58,813
319,851 Pool AE0504.................................................. 4.50% 11/01/40 336,844
8,832,714 Pool AE0670.................................................. 5.50% 02/01/39 9,704,001
188,517 Pool AE0677.................................................. 6.00% 07/01/36 210,493
146,697 Pool AE1798.................................................. 5.00% 09/01/40 156,858
171,022 Pool AE4476.................................................. 4.00% 03/01/41 175,589
241,064 Pool AE7005.................................................. 4.00% 10/01/40 247,483
135,427 Pool AE8075.................................................. 4.00% 12/01/40 139,038
52,768 Pool AE9284.................................................. 4.00% 11/01/40 54,173
734,888 Pool AE9959.................................................. 5.00% 03/01/41 784,345
43,037 Pool AH0057.................................................. 4.50% 02/01/41 45,404
581,525 Pool AH0943.................................................. 4.00% 12/01/40 597,020
946,462 Pool AH0979.................................................. 3.50% 01/01/41 942,350
449,105 Pool AH1089.................................................. 4.00% 11/01/40 463,708
205,052 Pool AH1141.................................................. 4.50% 12/01/40 215,932
25,567 Pool AH1568.................................................. 4.50% 12/01/40 26,925
222,385 Pool AH4404.................................................. 4.00% 01/01/41 228,313
420,828 Pool AH7192.................................................. 5.00% 02/01/41 447,341
142,857 Pool AH7204.................................................. 4.00% 03/01/41 146,651
72,610 Pool AH8090.................................................. 4.50% 06/01/41 76,423
261,556 Pool AH8871.................................................. 5.00% 04/01/41 278,035
55,292 Pool AH9677.................................................. 5.00% 04/01/41 58,776
70,119 Pool AI1190.................................................. 4.50% 04/01/41 73,980
166,516 Pool AI1191.................................................. 4.50% 04/01/41 175,358
98,634 Pool AI1969.................................................. 4.50% 05/01/41 104,066
662,162 Pool AI4268.................................................. 5.00% 06/01/41 711,699
372,316 Pool AI6093.................................................. 4.50% 06/01/31 389,439
104,527 Pool AI6503.................................................. 5.00% 11/01/39 111,113
52,639 Pool AI6581.................................................. 4.50% 07/01/41 55,436
39,316 Pool AI7800.................................................. 4.50% 07/01/41 41,481
682,306 Pool AI8448.................................................. 4.50% 08/01/41 718,438
255,569 Pool AI8779.................................................. 4.00% 11/01/41 262,394
491,569 Pool AI9114.................................................. 4.00% 06/01/42 505,479
2,836,641 Pool AI9124.................................................. 4.00% 08/01/42 2,916,909
2,144,830 Pool AI9158.................................................. 6.50% 01/01/41 2,485,868
34,972 Pool AJ4756.................................................. 4.00% 10/01/41 36,068
</TABLE>

Page 30 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 46,110 Pool AJ5301.................................................. 4.00% 11/01/41 $ 47,341
47,659 Pool AJ5424.................................................. 4.00% 11/01/41 49,149
33,604 Pool AJ5736.................................................. 4.00% 12/01/41 34,657
38,857 Pool AJ6061.................................................. 4.00% 12/01/41 40,060
38,734 Pool AJ7538.................................................. 4.00% 01/01/42 39,932
55,750 Pool AJ8104.................................................. 4.00% 12/01/41 57,493
24,306 Pool AJ8203.................................................. 4.50% 01/01/42 25,645
37,611 Pool AJ8341.................................................. 4.00% 12/01/41 38,775
36,250 Pool AJ8369.................................................. 4.00% 01/01/42 37,377
53,344 Pool AJ8436.................................................. 4.00% 12/01/41 55,006
33,583 Pool AJ9162.................................................. 4.00% 01/01/42 34,625
1,265,524 Pool AJ9332.................................................. 4.00% 01/01/42 1,299,281
111,233 Pool AJ9333.................................................. 4.00% 01/01/42 114,200
57,696 Pool AK0543.................................................. 4.00% 01/01/42 59,482
47,809 Pool AK1827.................................................. 4.00% 01/01/42 49,292
907,209 Pool AK3103.................................................. 4.00% 02/01/42 931,429
304,264 Pool AK4520.................................................. 4.00% 03/01/42 312,360
261,371 Pool AK5555.................................................. 4.00% 04/01/42 268,323
25,016 Pool AL0147.................................................. 4.00% 04/01/41 25,733
190,471 Pool AL0212.................................................. 5.50% 02/01/38 208,999
390,569 Pool AL0241.................................................. 4.00% 04/01/41 400,970
131,593 Pool AL0399.................................................. 6.00% 08/01/24 136,978
58,885 Pool AL0446.................................................. 6.00% 05/01/24 61,536
195,526 Pool AL0677.................................................. 5.00% 07/01/41 210,382
61,550 Pool AL0815.................................................. 4.00% 09/01/41 63,471
286,543 Pool AL0913.................................................. 6.00% 07/01/41 321,729
52,962 Pool AL1195.................................................. 6.00% 09/01/23 55,817
869,535 Pool AL1850.................................................. 5.50% 07/01/40 953,071
56,627 Pool AL1948.................................................. 4.00% 01/01/42 58,139
81,880 Pool AL1953.................................................. 4.50% 01/01/27 85,026
166,277 Pool AL2142.................................................. 6.50% 09/01/38 186,427
1,550,988 Pool AL2392.................................................. 3.50% 08/01/42 1,551,921
775,865 Pool AL2551.................................................. 3.50% 10/01/42 776,167
474,443 Pool AL2589.................................................. 5.50% 05/01/25 490,957
120,906 Pool AL2892.................................................. 3.50% 12/01/42 120,916
333,871 Pool AL3036.................................................. 6.00% 02/01/38 372,767
968,136 Pool AL3093.................................................. 3.50% 02/01/43 967,819
35,971 Pool AL3154.................................................. 3.00% 02/01/43 35,046
139,019 Pool AL3484.................................................. 4.50% 10/01/42 146,357
63,284 Pool AL4741.................................................. 4.50% 01/01/44 66,407
52,881 Pool AL4962.................................................. 6.00% 05/01/24 55,455
1,606,684 Pool AL5315.................................................. 4.00% 06/01/42 1,649,553
246,929 Pool AL5616.................................................. 5.50% 09/01/41 269,746
1,109,995 Pool AL5760.................................................. 4.00% 09/01/43 1,139,378
929,191 Pool AL5890.................................................. 4.50% 03/01/43 978,607
677,623 Pool AL6031.................................................. 4.00% 10/01/44 695,709
121,420 Pool AL6057.................................................. 6.00% 08/01/24 123,907
173,260 Pool AL6167.................................................. 3.50% 01/01/44 173,042
189,641 Pool AL6449.................................................. 4.50% 01/01/27 195,377
26,118 Pool AL6889.................................................. 4.50% 02/01/45 27,551
1,418,521 Pool AL6948.................................................. 5.00% 09/01/25 1,469,466
</TABLE>

See Notes to Financial Statements Page 31

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 61,775 Pool AL7046.................................................. 3.50% 06/01/45 $ 61,610
519,161 Pool AL7231.................................................. 3.50% 08/01/45 517,775
407,940 Pool AL7306.................................................. 4.50% 09/01/42 429,593
911,149 Pool AL7449.................................................. 8.50% 12/01/37 1,077,870
1,523,231 Pool AL7637.................................................. 5.00% 01/01/42 1,608,926
3,447,981 Pool AL7905.................................................. 4.50% 03/01/34 3,602,786
240,149 Pool AL8139.................................................. 4.00% 02/01/32 244,871
1,182,694 Pool AL8174.................................................. 3.50% 02/01/46 1,177,551
126,841 Pool AL8353.................................................. 3.50% 08/01/44 126,760
20,757,219 Pool AL8640, 12 Mo. LIBOR + 1.80% (a)........................ 3.56% 12/01/41 21,676,694
1,122,695 Pool AL8743.................................................. 4.50% 06/01/46 1,178,279
110,760 Pool AL8934.................................................. 4.00% 10/01/33 113,753
323,317 Pool AL9225.................................................. 6.00% 01/01/42 368,849
271,222 Pool AL9226.................................................. 5.50% 12/01/41 303,804
2,669,067 Pool AL9777.................................................. 4.50% 01/01/47 2,802,595
80,371 Pool AO2976.................................................. 3.50% 05/01/42 80,419
6,348,593 Pool AO3529.................................................. 4.00% 06/01/42 6,511,107
83,083 Pool AO4133.................................................. 3.50% 06/01/42 83,133
274,164 Pool AO6713.................................................. 4.00% 06/01/42 281,484
1,368,374 Pool AO8106.................................................. 4.00% 08/01/42 1,403,713
898,942 Pool AO8167.................................................. 4.00% 09/01/42 922,071
305,667 Pool AP0495.................................................. 3.50% 08/01/42 305,786
304,315 Pool AP1197.................................................. 3.50% 09/01/42 304,498
1,986,686 Pool AP2109.................................................. 4.00% 08/01/32 2,047,016
56,637 Pool AP4710.................................................. 3.50% 08/01/42 56,566
37,087 Pool AP4795.................................................. 3.50% 09/01/42 37,110
159,279 Pool AP5113.................................................. 4.00% 09/01/42 163,520
528,674 Pool AP7963.................................................. 4.00% 09/01/42 543,504
167,838 Pool AP8813.................................................. 3.50% 11/01/42 167,627
3,276,949 Pool AQ0411.................................................. 3.50% 10/01/42 3,278,920
1,416,866 Pool AQ0535.................................................. 3.00% 11/01/42 1,380,613
1,167,514 Pool AQ1534.................................................. 3.50% 10/01/32 1,178,306
1,578,952 Pool AQ1584.................................................. 4.00% 11/01/42 1,627,064
1,042,258 Pool AQ1607.................................................. 3.50% 11/01/32 1,051,851
730,109 Pool AQ3310.................................................. 4.00% 11/01/42 748,833
2,220,514 Pool AQ4086.................................................. 4.00% 06/01/43 2,277,656
94,410 Pool AQ9715.................................................. 3.00% 01/01/43 91,832
648,658 Pool AQ9999.................................................. 3.00% 02/01/43 630,965
489,059 Pool AR7961.................................................. 3.50% 03/01/33 493,579
22,708 Pool AS0225.................................................. 4.00% 08/01/43 23,286
5,839,065 Pool AS1719.................................................. 5.00% 02/01/44 6,314,439
682,117 Pool AS5236.................................................. 4.00% 05/01/45 689,315
1,787,943 Pool AS5515.................................................. 3.50% 06/01/30 1,814,185
1,182,885 Pool AS7211.................................................. 3.00% 04/01/46 1,140,492
8,878,984 Pool AS8982.................................................. 4.50% 03/01/47 9,298,267
2,588,287 Pool AS9194.................................................. 4.50% 12/01/44 2,715,636
1,363,306 Pool AS9244.................................................. 4.50% 08/01/39 1,430,646
1,044,688 Pool AS9990.................................................. 4.50% 07/01/47 1,090,904
362,518 Pool AS9994.................................................. 4.50% 04/01/47 378,143
211,987 Pool AT0332.................................................. 3.00% 04/01/43 205,964
933,282 Pool AT1747.................................................. 3.00% 04/01/43 908,729
</TABLE>

Page 32 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 4,116,625 Pool AT2720.................................................. 3.00% 05/01/43 $ 4,007,629
264,355 Pool AT2887.................................................. 3.50% 04/01/43 264,186
833,299 Pool AT3892.................................................. 3.00% 06/01/43 811,763
525,293 Pool AT4180.................................................. 3.50% 05/01/33 530,130
1,590,397 Pool AT5914.................................................. 3.50% 06/01/43 1,588,401
178,229 Pool AT5915.................................................. 4.00% 06/01/43 182,823
1,016,033 Pool AT6303.................................................. 4.00% 06/01/43 1,046,985
65,241 Pool AT6306.................................................. 4.00% 06/01/43 67,054
69,558 Pool AT9657.................................................. 4.00% 07/01/43 71,361
316,424 Pool AU3751.................................................. 4.00% 08/01/43 324,505
70,453 Pool AU4386.................................................. 4.00% 10/01/43 72,235
220,507 Pool AU5787.................................................. 4.50% 09/01/43 232,834
831,645 Pool AU6278.................................................. 5.00% 11/01/43 888,034
166,334 Pool AU6743.................................................. 4.00% 10/01/43 170,559
39,526 Pool AW7401.................................................. 5.00% 09/01/40 42,439
278,756 Pool AX5312.................................................. 4.00% 01/01/42 286,179
511,470 Pool AX5443.................................................. 5.00% 11/01/44 547,946
375,077 Pool AY0013.................................................. 4.50% 01/01/45 393,061
946,048 Pool BA4113.................................................. 3.00% 04/01/46 915,709
527,050 Pool BC4490.................................................. 5.00% 05/01/39 562,878
12,586,979 Pool BD4533, 12 Mo. LIBOR + 1.66% (a)........................ 2.08% 09/01/44 12,740,742
1,012,789 Pool BD8660, I Yr. Constant Maturity Treasury
Rate + 1.67% (a).......................................... 1.58% 12/01/45 1,015,798
24,182,138 Pool BE2973.................................................. 4.00% 01/01/47 24,764,602
1,143,301 Pool BE3631.................................................. 4.50% 05/01/47 1,193,574
4,483,086 Pool BH2633.................................................. 5.00% 08/01/47 4,840,251
62,044 Pool BH9428.................................................. 4.50% 09/01/47 64,714
1,806,725 Pool BJ9100.................................................. 4.50% 02/01/48 1,919,521
1,332,469 Pool BJ9111.................................................. 4.50% 03/01/48 1,415,667
2,261,197 Pool BJ9124.................................................. 4.50% 04/01/48 2,402,369
4,683,978 Pool BM3013, 12 Mo. LIBOR + 1.54% (a)........................ 2.10% 07/01/44 4,779,608
121,033 Pool MA0096.................................................. 4.50% 06/01/29 126,506
5,582 Pool MA0293.................................................. 4.50% 01/01/30 5,838
81,672 Pool MA0353.................................................. 4.50% 03/01/30 85,430
2,171,359 Pool MA0443.................................................. 5.00% 05/01/30 2,308,162
101,938 Pool MA0444.................................................. 5.00% 06/01/40 109,710
403,523 Pool MA0575.................................................. 4.50% 11/01/30 422,112
421,789 Pool MA0633.................................................. 5.00% 01/01/41 454,630
786,264 Pool MA1125.................................................. 4.00% 07/01/42 806,424
743,471 Pool MA1177.................................................. 3.50% 09/01/42 742,537
1,172,878 Pool MA1213.................................................. 3.50% 10/01/42 1,171,406
2,177,419 Pool MA1217.................................................. 4.00% 10/01/42 2,233,523
74,008 Pool MA1222.................................................. 4.00% 10/01/32 76,550
118,672 Pool MA1228.................................................. 3.00% 09/01/42 115,428
509,979 Pool MA1251.................................................. 3.50% 11/01/42 509,338
167,674 Pool MA1328.................................................. 3.50% 01/01/43 167,464
6,864,145 Pool MA1373.................................................. 3.50% 03/01/43 6,855,526
2,701,956 Pool MA1404.................................................. 3.50% 04/01/43 2,698,562
400,220 Pool MA1437.................................................. 3.50% 05/01/43 399,717
2,325,698 Pool MA1463.................................................. 3.50% 06/01/43 2,322,777
989,007 Pool MA1508.................................................. 3.50% 07/01/43 987,765
</TABLE>

See Notes to Financial Statements Page 33

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 853,963 Pool MA1510.................................................. 4.00% 07/01/43 $ 875,914
1,573,008 Pool MA1546.................................................. 3.50% 08/01/43 1,571,033
128,373 Pool MA1591.................................................. 4.50% 09/01/43 134,716
866,470 Pool MA1629.................................................. 4.50% 10/01/43 909,215
139,582 Pool MA1664.................................................. 4.50% 11/01/43 146,491
66,338 Pool MA1711.................................................. 4.50% 12/01/43 69,606
1,121,598 Pool MA1866.................................................. 4.50% 04/01/44 1,177,086
924,199 Pool MA1900.................................................. 4.50% 04/01/44 969,878
1,507,962 Pool MA2024.................................................. 4.00% 07/01/29 1,577,815
1,624,978 Pool MA2099.................................................. 3.50% 11/01/29 1,648,890
734,404 Pool MA2454.................................................. 3.50% 09/01/30 745,238
14,246 Pool MA2509.................................................. 3.00% 01/01/46 13,676
2,519,971 Pool MA2695.................................................. 4.00% 07/01/46 2,584,997
869,761 Pool MA3101.................................................. 4.50% 08/01/47 908,943
453,118 Pool MA3123.................................................. 5.00% 08/01/47 482,336
1,693,373 Pool MA3205.................................................. 5.00% 10/01/47 1,807,748
97,000,000 Pool TBA (f)................................................. 4.50% 06/15/34 100,872,419
27,500,000 Pool TBA (f)................................................. 4.00% 05/15/41 28,011,327
Government National Mortgage Association
137,987 Pool 3149.................................................... 6.00% 10/20/31 154,440
83,355 Pool 3172.................................................... 6.00% 12/20/31 93,170
93,559 Pool 3227.................................................... 6.00% 04/20/32 104,490
725,292 Pool 3345.................................................... 5.00% 02/20/33 784,765
104,609 Pool 3389.................................................... 5.00% 05/20/33 112,197
36,639 Pool 3390.................................................... 5.50% 05/20/33 40,204
414,315 Pool 3428.................................................... 5.00% 08/20/33 448,548
91,740 Pool 3442.................................................... 5.00% 09/20/33 99,605
38,230 Pool 3459.................................................... 5.50% 10/20/33 41,961
18,950 Pool 3474.................................................... 6.00% 11/20/33 21,298
134,984 Pool 3487.................................................... 5.00% 12/20/33 144,870
275,061 Pool 3529.................................................... 5.00% 03/20/34 295,044
97,093 Pool 3555.................................................... 5.00% 05/20/34 104,151
148,724 Pool 3596.................................................... 5.50% 08/20/34 163,249
129,392 Pool 3786.................................................... 5.50% 11/20/35 141,576
89,422 Pool 3807.................................................... 5.50% 01/20/36 97,330
624,943 Pool 4251.................................................... 5.50% 10/20/23 650,255
301,130 Pool 455986.................................................. 5.25% 07/15/25 323,860
238,602 Pool 487108.................................................. 6.00% 04/15/29 267,675
96,355 Pool 553144.................................................. 5.50% 04/15/33 105,789
46,196 Pool 589331.................................................. 6.00% 10/15/22 49,083
255,999 Pool 604338.................................................. 5.00% 05/15/33 274,227
225,209 Pool 604897.................................................. 5.00% 12/15/33 241,293
258,265 Pool 605389.................................................. 5.00% 04/15/34 276,594
434,481 Pool 615403.................................................. 4.50% 08/15/33 459,342
19,563 Pool 627123.................................................. 5.50% 03/15/34 21,587
148,301 Pool 638704.................................................. 5.50% 11/15/36 162,563
273,722 Pool 653143.................................................. 4.90% 04/15/36 288,938
401,573 Pool 658324.................................................. 5.50% 03/15/37 439,547
361,387 Pool 677190.................................................. 5.00% 06/15/38 387,192
40,674 Pool 687833.................................................. 6.00% 08/15/38 45,366
62,077 Pool 706840.................................................. 4.50% 05/15/40 66,058
</TABLE>

Page 34 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
PASS-THROUGH SECURITIES (CONTINUED)
Government National Mortgage Association (Continued)
$ 215,286 Pool 706855.................................................. 4.50% 09/15/40 $ 228,975
463,893 Pool 711483.................................................. 4.00% 01/15/40 482,275
188,441 Pool 711543.................................................. 4.00% 11/15/40 196,005
1,219,382 Pool 711563.................................................. 4.50% 03/15/41 1,297,629
572,599 Pool 723216.................................................. 4.50% 08/15/40 603,866
142,339 Pool 723248.................................................. 5.00% 10/15/39 153,014
549,882 Pool 724230.................................................. 5.00% 08/15/39 588,971
169,317 Pool 724267.................................................. 5.00% 09/15/39 181,492
433,612 Pool 724340.................................................. 4.50% 09/15/39 460,239
176,991 Pool 725272.................................................. 4.50% 11/15/39 185,526
113,068 Pool 726394.................................................. 4.50% 10/15/39 120,018
96,101 Pool 728921.................................................. 4.50% 12/15/24 101,593
427,659 Pool 733595.................................................. 4.50% 04/15/40 452,625
209,021 Pool 733733.................................................. 5.00% 06/15/40 222,584
1,391,105 Pool 736317.................................................. 4.25% 06/20/36 1,452,486
217,890 Pool 736617.................................................. 4.00% 12/15/35 224,278
1,961,547 Pool 737673.................................................. 4.50% 11/15/40 2,068,648
421,684 Pool 737996.................................................. 4.00% 02/15/41 439,572
130,085 Pool 739341.................................................. 3.50% 10/15/41 130,985
334,497 Pool 743673.................................................. 4.50% 07/15/40 354,327
644,959 Pool 745478.................................................. 5.00% 08/20/40 679,002
52,771 Pool 748939.................................................. 4.00% 09/20/40 54,710
184,360 Pool 754384.................................................. 4.50% 03/20/42 191,672
26,846 Pool 781328.................................................. 7.00% 09/15/31 28,236
308,581 Pool 781623.................................................. 5.00% 06/15/33 330,628
109,412 Pool 781697.................................................. 6.00% 11/15/33 123,780
52,887 Pool 781783.................................................. 5.50% 08/15/19 53,513
216,366 Pool 781824.................................................. 5.50% 11/15/34 235,141
23,211 Pool 781862.................................................. 5.50% 01/15/35 25,474
121,456 Pool 782070.................................................. 7.00% 06/15/32 134,105
329,028 Pool 782133.................................................. 6.00% 01/15/22 341,315
230,473 Pool 782259.................................................. 5.00% 02/15/36 247,001
121,684 Pool 782810.................................................. 4.50% 11/15/39 127,051
202,659 Pool 783091.................................................. 5.50% 06/15/40 224,456
135,192 Pool 783220.................................................. 5.50% 09/15/24 141,309
340,306 Pool 783375.................................................. 5.00% 08/15/41 364,628
478,472 Pool 783760.................................................. 5.00% 02/15/42 512,605
415,009 Pool 784343.................................................. 5.00% 02/15/41 444,668
155,775 Pool AD0856.................................................. 3.75% 08/20/33 158,587
146,071 Pool AE6975.................................................. 3.00% 08/20/43 142,771
120,457 Pool AG8899.................................................. 4.00% 12/20/43 123,728
2,637,804 Pool AI6317.................................................. 4.50% 06/20/44 2,741,125
1,209,024 Pool AK2389.................................................. 4.50% 11/20/44 1,264,001
808,000 Pool AN4469.................................................. 5.00% 12/15/40 851,603
976,965 Pool AR8421.................................................. 5.00% 10/20/41 1,028,384
2,279,383 Pool BB1216.................................................. 4.50% 06/20/47 2,435,126
1,380,982 Pool BB4731.................................................. 4.00% 07/20/47 1,421,426
1,097,759 Pool BB4757.................................................. 4.00% 08/20/47 1,135,334
914,212 Pool BB4769.................................................. 4.00% 08/20/47 941,486
1,198,977 Pool BF0415.................................................. 5.00% 06/20/35 1,270,502
317,055 Pool MA1017.................................................. 6.00% 05/20/43 353,227
</TABLE>

See Notes to Financial Statements Page 35

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

ASSET-BACKED SECURITIES -- 6.9%
ACE Securities Corp Home Equity Loan Trust
304,010 Series 2005-HE5, Class M2, 1 Mo. LIBOR + 0.74% (a)........... 2.63% 08/25/35 305,041
AFC Trust
8,823 Series 1999-4, Class 3A, 1 Mo. LIBOR + 0.95% (a) (g)......... 2.85% 12/26/29 8,850
Bear Stearns Asset-Backed Securities Trust
18,934 Series 2002-1, Class 1A5..................................... 6.89% 12/25/34 19,504
105,822 Series 2002-1, Class M1, 1 Mo. LIBOR + 1.20% (a)............. 3.10% 12/25/34 106,149
33,751 Series 2006-2, Class M1, 1 Mo. LIBOR + 0.42% (a)............. 2.32% 07/25/36 33,840
BNC Mortgage Loan Trust
2,156,942 Series 2007-1, Class A3, 1 Mo. LIBOR + 0.10% (a)............. 2.00% 03/25/37 2,161,230
Centex Home Equity Loan Trust
71 Series 2004-C, Class AF6 (h)................................. 5.35% 06/25/34 72
CIT Home Equity Loan Trust
56,159 Series 2003-1, Class A6 (h).................................. 4.56% 10/20/32 57,188
Citicorp Residential Mortgage Trust
115,784 Series 2007-2, Class A6 (h).................................. 5.21% 06/25/37 118,513
Citigroup Global Markets Mortgage Securities VII, Inc...........
4,755 Series 1998-AQ1, Class A6.................................... 6.63% 06/25/28 4,816
Conseco Financial Corp..........................................
40 Series 1993-3, Class A7...................................... 6.40% 10/15/18 40
Credit-Based Asset Servicing & Securitization LLC...............
34,530 Series 2005-CB8, Class AF2 (h)............................... 3.78% 12/25/35 34,483
CWABS Revolving Home Equity Loan Trust
21,911 Series 2004-E, Class 2A, 1 Mo. LIBOR + 0.26% (a)............. 2.16% 06/15/29 21,861
53,061 Series 2004-K, Class 2A, 1 Mo. LIBOR + 0.30% (a)............. 2.20% 02/15/34 53,106
CWHEQ Home Equity Loan Trust
51,807 Series 2007-S2, Class A3 (c)................................. 5.81% 05/25/37 52,259
48,527 Series 2007-S2, Class A6..................................... 5.78% 05/25/37 49,453
First Alliance Mortgage Loan Trust
62,451 Series 1999-1, Class A1...................................... 7.18% 06/20/30 62,777
</TABLE>

Page 36 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
ASSET-BACKED SECURITIES (CONTINUED)
First Franklin Mortgage Loan Trust
$ 47,980 Series 2004-FF2, Class M2, 1 Mo. LIBOR + 0.75% (a)........... 2.65% 03/25/34 $ 45,360
Fremont Home Loan Trust
303,803 Series 2005-A, Class M2, 1 Mo. LIBOR + 0.69% (a)............. 2.59% 01/25/35 305,195
GMACM Home Equity Loan Trust
112,812 Series 2000-HE2, Class A1, 1 Mo. LIBOR + 0.44% (a)........... 2.34% 06/25/30 97,472
310,492 Series 2004-HE1, Class A3, 1 Mo. LIBOR + 0.50% (a)........... 2.40% 06/25/34 297,678
GreenPoint Home Equity Loan Trust
27,139 Series 2004-3, Class A, 1 Mo. LIBOR + 0.46% (a).............. 2.24% 03/15/35 26,873
GSAA Home Equity Trust
51,948 Series 2004-8, Class A3A, 1 Mo. LIBOR + 0.74% (a)............ 2.64% 09/25/34 52,152
GSAMP Trust
24,058 Series 2005-SEA2, Class A1,
1 Mo. LIBOR + 0.35% (a) (g)............................... 2.25% 01/25/45 24,112
IXIS Real Estate Capital Trust
141,280 Series 2005-HE3, Class M2, 1 Mo. LIBOR + 0.74% (a)........... 2.63% 12/25/35 141,694
Long Beach Mortgage Loan Trust
7,353 Series 2006-WL1, Class 1A3, 1 Mo. LIBOR + 0.66% (a).......... 2.56% 01/25/46 7,379
Morgan Stanley Dean Witter Capital I, Inc. Trust
5,331 Series 2003-NC2, Class M2, 1 Mo. LIBOR + 3.00% (a)........... 4.90% 02/25/33 5,381
New Century Home Equity Loan Trust
44,540 Series 2003-5, Class AI7 (e)................................. 5.10% 11/25/33 45,641
Park Place Securities, Inc. Asset-Backed Pass-Through
Certificates
5,862,535 Series 2004-WCW2, Class M2, 1 Mo. LIBOR + 0.98% (a).......... 2.87% 10/25/34 5,897,298
Pretium Mortgage Credit Partners LLC
6,043,895 Series 2017-NPL4, Class A1, steps up 08/27/20
to 6.25 (g) (i)........................................... 3.25% 08/27/32 6,008,664
RASC Trust
3,988 Series 2004-KS1, Class AI6 (a)............................... 4.27% 02/25/34 4,001
Renaissance Home Equity Loan Trust
26,408 Series 2004-4, Class AF4, steps up to 5.38% after optional
Termination Date (i)...................................... 4.88% 02/25/35 26,498
1,045,725 Series 2005-4, Class A3, steps up to 6.07% after Redemption
Date (i).................................................. 5.57% 02/25/36 1,048,011
Saxon Asset Securities Trust
23,987 Series 2003-1, Class AF6 (i)................................. 4.74% 06/25/33 24,283
19,480 Series 2004-2, Class MV3, 1 Mo. LIBOR + 1.91% (a)............ 1.58% 08/25/35 19,457
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates
7,045 Series 2004-23XS, Class 1A4.................................. 5.43% 01/25/35 7,118
Terwin Mortgage Trust
4,604 Series 2006-5, Class 2A2, 1 Mo. LIBOR + 0.21% (a) (g)........ 2.11% 06/25/37 4,607
UCFC Home Equity Loan Trust
231,581 Series 1998-D, Class MF1..................................... 6.91% 04/15/30 237,642
VOLT LLC
29,937 Series 2015-NP14, Class A1, steps up 12/25/18
to 7.375 (g) (i).......................................... 4.38% 11/27/45 30,067
11,322,576 Series 2015-NPL8, Class A1, steps up 06/25/18
to 6.50% (g) (i).......................................... 3.50% 06/26/45 11,355,568
12,543,510 Series 2017-NP11, Class A1, steps up 10/25/20
to 6.375% (g) (i)......................................... 3.38% 10/25/47 12,525,832
4,783,604 Series 2017-NPL2, Class A1, steps up 03/25/20
to 6.50% (g) (i).......................................... 3.50% 03/25/47 4,785,484
</TABLE>

See Notes to Financial Statements Page 37

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
ASSET-BACKED SECURITIES (CONTINUED)
VOLT LLC (Continued)
$ 15,150,964 Series 2017-NPL3, Class A1, steps up 03/25/20
to 6.50% (g) (i).......................................... 3.50% 03/25/47 $ 15,169,891
6,075,690 Series 2017-NPL4, Class A1, steps up 04/25/20
to 6.375% (g) (i)......................................... 3.38% 04/25/47 6,072,047
4,823,976 Series 2017-NPL5, Class A1, steps up 05/25/20
to 6.375% (g) (i)......................................... 3.38% 05/28/47 4,824,421
6,944,837 Series 2017-NPL7, Class A1, steps up 06/25/20
to 6.25% (g) (i).......................................... 3.25% 06/25/47 6,922,643
4,183,623 Series 2017-NPL8, Class A1,
1 Mo. LIBOR + 0.82% (a) (g)............................... 3.13% 06/25/47 4,167,598
4,244,181 Series 2017-NPL9, Class A1, steps up 09/25/20
to 6.125% (g) (i)......................................... 3.13% 09/25/47 4,214,858
---------------
TOTAL ASSET-BACKED SECURITIES................................................................ 87,484,107
(Cost $87,558,219) ---------------
</TABLE>

<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
---------------- --------------------------------------------------------------------------------------------- ---------------
<S> <C> <C>
EXCHANGE-TRADED FUNDS -- 4.4%
CAPITAL MARKETS -- 4.4%
254,418 iShares 20+ Year Treasury Bond ETF........................................................... 30,301,184
258,562 iShares 7-10 Year Treasury Bond ETF.......................................................... 26,295,755
---------------
TOTAL EXCHANGE-TRADED FUNDS.................................................................. 56,596,939
(Cost $56,361,415) ---------------
</TABLE>

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT BONDS AND NOTES -- 3.5%
$ 5,000,000 U.S. Treasury Note.............................................. 1.63% 03/31/19 4,971,191
10,000,000 U.S. Treasury Note.............................................. 1.25% 04/30/19 9,898,633
30,000,000 U.S. Treasury Note.............................................. 1.63% 07/31/19 29,731,055
---------------
TOTAL U.S. GOVERNMENT BONDS AND NOTES........................................................ 44,600,879
(Cost $44,910,536) ---------------

MORTGAGE-BACKED SECURITIES -- 3.3%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 3.3%
Adjustable Rate Mortgage Trust
17,922 Series 2004-1, Class 2A1 (c)................................. 3.51% 01/25/35 18,073
1,716,797 Series 2005-5, Class 6A21, 1 Mo. LIBOR + 0.23% (a)........... 2.13% 09/25/35 1,717,105
Alternative Loan Trust
101,229 Series 2003-J3, Class 2A1.................................... 6.25% 12/25/33 103,887
3,563 Series 2004-J5, Class 2A3, 1 Mo. LIBOR + 1.00% (a)........... 2.90% 08/25/34 3,579
437 Series 2004-J8, Class 4A1.................................... 6.00% 02/25/17 442
American Home Mortgage Investment Trust
6,601 Series 2004-3, Class 6A1..................................... 5.32% 10/25/34 6,709
ASG Resecuritization Trust
7,145 Series 2009-3, Class A65 (c) (g)............................. 3.07% 03/26/37 7,154
Banc of America Funding Corp....................................
52,084 Series 2008-R2, Class 1A2 (g)................................ 6.00% 09/25/37 53,407
Banc of America Funding Trust
1,980 Series 2005-2, Class 2A4..................................... 5.75% 04/25/35 2,127
</TABLE>

Page 38 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Banc of America Mortgage Trust
$ 60,916 Series 2005-11, Class 2A1.................................... 5.25% 12/25/20 $ 61,125
530,813 Series 2005-A, Class 2A2 (c)................................. 3.71% 02/25/35 527,176
BCAP LLC Trust
58,263 Series 2009-RR5, Class 8A1 (g)............................... 5.50% 11/26/34 59,335
13,327 Series 2009-RR6, Class 2A1 (c) (g)........................... 3.51% 08/26/35 13,366
82,276 Series 2009-RR6, Class 3A1 (c) (g)........................... 3.65% 12/26/37 82,660
1,472 Series 2009-RR14, Class 1A1 (c) (g).......................... 9.37% 05/26/37 1,475
108,029 Series 2011-R11, Class 20A5 (c) (g).......................... 3.61% 03/26/35 108,836
CHL Mortgage Pass-Through Trust
76,000 Series 2004-8, Class 1A7..................................... 5.75% 07/25/34 79,382
239,317 Series 2004-8, Class 2A1..................................... 4.50% 06/25/19 241,718
2,878 Series 2004-J1, Class 2A1.................................... 4.75% 01/25/19 2,886
Citigroup Global Markets Mortgage Securities VII, Inc.
377 Series 2003-UP2, Class PO1, PO............................... (b) 12/25/18 326
Citigroup Mortgage Loan Trust
9,618 Series 2003-1, Class WA2..................................... 6.50% 06/25/31 9,849
34,325 Series 2010-3, Class 5A1 (g)................................. 5.00% 10/25/35 34,400
Credit Suisse First Boston Mortgage Securities Corp.
6,555 Series 2003-11, Class 1A39................................... 5.25% 06/25/33 6,652
609 Series 2003-25, Class 2A1.................................... 4.50% 10/25/18 609
28,765 Series 2003-27, Class 6A1.................................... 5.00% 11/25/18 29,007
26,907 Series 2003-AR18, Class 2A3 (c).............................. 3.18% 07/25/33 26,973
10,145 Series 2003-AR20, Class 2A1 (c).............................. 3.42% 08/25/33 10,215
1,959 Series 2004-3, Class 2A1..................................... 5.00% 04/25/19 1,965
7,620 Series 2004-5, Class 2A1..................................... 5.00% 08/25/19 7,660
10,668 Series 2004-AR8, Class 2A1 (c)............................... 3.54% 09/25/34 10,711
120,190 Series 2005-5, Class 3A2, 1 Mo. LIBOR + 0.30%(a)............. 2.20% 07/25/35 117,071
4,000 Series 2005-7, Class 1A5..................................... 5.15% 08/25/35 4,201
Credit Suisse Mortgage Capital Certificates
349,152 Series 2009-12R, Class 6A1 (g)............................... 6.00% 05/27/37 356,942
576,257 Series 2009-12R, Class 15A1 (g).............................. 6.00% 05/27/36 578,094
CSFB Mortgage-Backed Pass-Through Certificates
68,796 Series 2004-AR4, Class 5A2, 1 Mo. LIBOR + 0.74% (a).......... 2.64% 05/25/34 68,399
CSFB Mortgage-Backed Trust
3,095 Series 2004-7, Class 6A1..................................... 5.25% 10/25/19 3,126
CSMC
109,501 Series 2009-13R, Class 3A1 (c) (g)........................... 3.63% 11/26/36 109,779
20,113 Series 2009-15R, Class 2A1 (c) (g)........................... 3.47% 10/26/36 20,264
790,616 Series 2010-9R, Class 30A4, 1 Mo. LIBOR + 0.45% (a) (g)...... 2.32% 10/27/36 790,287
2,689,321 Series 2017-HL1, Class A3 (g)................................ 3.50% 06/25/47 2,674,253
18,579,928 Series 2017-HL2, Class A3 (g)................................ 3.50% 10/25/47 18,492,547
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
8,678 Series 2005-3, Class 1A1 (c)................................. 3.47% 06/25/20 8,422
Deutsche Mortgage Securities, Inc. REMIC Trust
242,339 Series 2010-RS1, Class A1 (g)................................ 6.00% 10/25/35 244,403
FDIC Guaranteed Notes Trust
40,910 Series 2010-S2, Class 3A, 1 Mo. LIBOR + 0.70% (a) (g)........ 2.59% 12/29/45 41,010
GMACM Mortgage Loan Trust
2,487 Series 2003-J10, Class A1.................................... 4.75% 01/25/19 2,489
</TABLE>

See Notes to Financial Statements Page 39

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
GSMSC Pass-Through Trust
$ 39,376 Series 2009-3R, Class 2A1 (c) (g)............................ 3.96% 07/25/35 $ 39,526
GSR Mortgage Loan Trust
49,676 Series 2004-8F, Class 2A3.................................... 6.00% 09/25/34 51,358
463,134 Series 2004-12, Class 3A6 (c)................................ 3.55% 12/25/34 467,693
HomeBanc Mortgage Trust
1,034,432 Series 2005-2, Class M1, 1 Mo. LIBOR + 0.68% (a)............. 2.57% 05/25/25 1,037,613
Impac CMB Trust
79,559 Series 2003-4, Class 1A1, 1 Mo. LIBOR + 0.64% (a)............ 2.54% 10/25/33 78,940
683,535 Series 2004-6, Class M3, 1 Mo. LIBOR + 1.05% (a)............. 2.95% 10/25/34 645,631
JP Morgan Resecuritization Trust
359,168 Series 2009-7, Class 2A1 (g)................................. 6.00% 02/27/37 360,544
244,302 Series 2009-7, Class 11A1 (c) (g)............................ 3.67% 09/27/36 250,852
800,482 Series 2009-7, Class 17A1 (c) (g)............................ 5.38% 07/27/37 809,662
74,922 Series 2010-4, Class 4A2 (c) (g)............................. 3.01% 09/26/35 74,882
JP Morgan Trust
2,418,401 Series 2015-3, Class A5 (g).................................. 3.50% 05/25/45 2,413,678
JPMorgan Mortgage Trust
14,343 Series 2004-S1, Class 1A2.................................... 4.50% 09/25/34 14,477
35,952 Series 2004-S2, Class 5A1.................................... 5.50% 12/25/19 34,923
174,472 Series 2014-IVR3, Class 2A1 (c) (g).......................... 3.00% 09/25/44 174,130
MASTR Alternative Loan Trust
7,192 Series 2004-5, Class 4A1..................................... 5.50% 07/25/19 7,274
12,531 Series 2004-5, Class 5A1..................................... 4.75% 06/25/19 12,568
983 Series 2004-8, Class 7A1..................................... 5.00% 09/25/19 989
7,885 Series 2004-13, Class 8A1.................................... 5.50% 01/25/25 7,990
MASTR Asset Securitization Trust
259,876 Series 2003-11, Class 7A5.................................... 5.25% 12/25/33 263,518
462,787 Series 2003-12, Class 1A1.................................... 5.25% 12/25/24 470,135
68,561 Series 2003-12, Class 1A2.................................... 5.25% 12/25/24 68,099
13,876 Series 2004-1, Class 30PO, PO................................ (b) 02/25/34 11,886
54,201 Series 2004-3, Class 1A3..................................... 5.25% 03/25/24 54,746
MASTR Seasoned Securitization Trust
77,745 Series 2005-1, Class 3A1 (c)................................. 3.50% 10/25/32 78,068
2,423 Series 2005-2, Class 3A1..................................... 6.00% 11/25/17 2,442
Merrill Lynch Mortgage Investors Trust MLCC
4,360 Series 2003-H, Class A3A (c)................................. 3.12% 01/25/29 4,370
New Residential Mortgage Loan Trust
303,270 Series 2014-2A, Class A3 (g)................................. 3.75% 05/25/54 304,987
Nomura Asset Acceptance Corp. Alternative Loan Trust
19,688 Series 2004-AP3, Class A6.................................... 5.29% 10/25/34 20,159
12,048 Series 2005-WF1, Class 2A5, steps up to 5.66% after
Redemption Date (i)....................................... 5.16% 03/25/35 12,486
Prime Mortgage Trust
1,000 Series 2003-3, Class A6...................................... 5.50% 01/25/34 975
9,128 Series 2004-1, Class 2A1..................................... 4.50% 08/25/34 9,168
106,375 Series 2004-2, Class A2...................................... 4.75% 11/25/19 106,931
246,761 Series 2004-2, Class A6...................................... 5.00% 11/25/19 248,807
</TABLE>

Page 40 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
MORTGAGE-BACKED SECURITIES (CONTINUED)
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
RBSSP Resecuritization Trust
$ 131,861 Series 2009-6, Class 7A4, 1 Mo. LIBOR + 0.35% (a) (g)........ 1.25% 07/26/36 $ 132,267
607,708 Series 2009-6, Class 9A4, 1 Mo. LIBOR + 0.45% (a) (g)........ 2.32% 11/26/36 600,957
127,656 Series 2009-6, Class 11A4, 1 Mo. LIBOR + 0.42% (a) (g)....... 2.29% 08/26/36 126,832
73,120 Series 2009-12, Class 15A1 (c) (g)........................... 3.55% 10/26/35 74,044
8,529 Series 2009-12, Class 17A1 (c) (g)........................... 3.40% 10/25/35 8,583
Residential Accredit Loans, Inc.
15,772 Series 2003-QS20, Class CB................................... 5.00% 11/25/18 15,833
Residential Asset Securitization Trust
465 Series 2004-A3, Class A4..................................... 5.25% 06/25/34 469
RFMSI Trust
4,174 Series 2003-S14, Class A5, 1 Mo. LIBOR + 0.40% (a)........... 2.30% 07/25/18 4,177
7,298 Series 2003-S15, Class A1.................................... 4.50% 08/25/18 7,308
47,722 Series 2005-S3, Class A1..................................... 4.75% 03/25/20 47,958
Sequoia Mortgage Trust 4
1,025,622 Series 2000-4, Class A, 1 Mo. LIBOR + 0.72% (a).............. 2.57% 11/22/24 1,022,976
Structured Asset Securities Corp.
2,886 Series 2004-4XS, Class A3A (h)............................... 5.28% 02/25/34 2,929
Structured Asset Securities Corp. Mortgage Loan Trust
41,390 Series 2002-9, Class A2, 1 Mo. LIBOR + 0.60% (a)............. 2.50% 10/25/27 40,991
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates
69,517 Series 2004-11XS, Class 1A6 (h).............................. 6.08% 06/25/34 71,123
135,050 Series 2004-S3, Class M1, 1 Mo. LIBOR + 0.98% (a)............ 2.87% 11/25/34 135,332
WaMu Mortgage Pass-Through Certificates Trust
35,033 Series 2003-S3, Class 3A1.................................... 5.50% 05/25/33 36,361
1,019 Series 2003-S5, Class 2A..................................... 5.00% 06/25/18 1,020
6,064 Series 2003-S6, Class 2A1.................................... 5.00% 07/25/18 6,018
1,079 Series 2003-S7, Class A1..................................... 4.50% 08/25/18 1,080
274,906 Series 2003-S12, Class 3A.................................... 5.00% 11/25/18 276,672
7,554 Series 2004-CB2, Class 5A.................................... 5.00% 07/25/19 7,592
2,968 Series 2004-CB3, Class 3A.................................... 5.50% 10/25/19 2,993
16,494 Series 2004-RS1, Class A11................................... 5.50% 11/25/33 16,867
Wells Fargo Mortgage Backed Securities Trust
6,584 Series 2004-K, Class 2A12 (c)................................ 3.47% 07/25/34 6,794
110,084 Series 2004-L, Class A8 (c).................................. 3.54% 07/25/34 113,644
186,532 Series 2004-X, Class 1A1 (c)................................. 3.68% 11/25/34 189,174
151,292 Series 2005-2, Class 2A1..................................... 4.75% 04/25/20 153,344
619,049 Series 2005-AR4, Class 1A3 (c)............................... 3.99% 04/25/35 630,203
80,910 Series 2005-AR10, Class 2A2 (c).............................. 3.71% 06/25/35 83,373
163,455 Series 2005-AR16, Class 4A2 (c).............................. 3.67% 10/25/35 164,299
76,678 Series 2007-14, Class 2A2.................................... 5.50% 10/25/22 78,477
WinWater Mortgage Loan Trust
2,838,256 Series 2014-1, Class A4 (g).................................. 3.50% 06/20/44 2,842,478
85,514 Series 2015-A, Class A5 (g).................................. 3.50% 06/20/45 85,829
---------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................. 41,867,600
(Cost $42,180,536) ---------------
</TABLE>

See Notes to Financial Statements Page 41

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
---------------- --------------------------------------------------------------------------------------------- ---------------
<S> <C> <C>
MONEY MARKET FUNDS -- 16.9%
216,447,223 Morgan Stanley Institutional Liquidity Fund - Treasury
Portfolio - Institutional Class - 1.59% (j)............................................... $ 216,447,223
(Cost $216,447,223) ---------------

TOTAL INVESTMENTS -- 112.1%.................................................................. 1,432,833,757
(Cost $1,449,624,286) (k) ---------------
</TABLE>

<TABLE>
<CAPTION>
NUMBER OF NOTIONAL EXERCISE EXPIRATION
CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE
---------------- --------------------------------------------------- ----------- ------------- ------------ ---------------
<S> <C> <C> <C> <C> <C>
PUT OPTIONS PURCHASED -- 0.0%
35 U.S. Treasury Long Bond Futures Put................ $ 5,034,531 $ 145.00 Jun 2018 60,156
25 U.S. Treasury Long Bond Futures Put................ 3,596,094 144.00 Jun 2018 28,125
10 U.S. Treasury Long Bond Futures Put................ 1,438,438 146.00 Jun 2018 24,532
---------------
TOTAL PUT OPTIONS PURCHASED.................................................................. 112,813
(Cost $87,022) ---------------

PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT -- (11.2%)
Federal National Mortgage Association
$ (82,500,000) Pool TBA (f)................................................. 3.00% 06/15/43 (79,480,366)
(15,000,000) Pool TBA..................................................... 3.00% 05/15/43 (14,469,140)
(49,000,000) Pool TBA (f)................................................. 3.50% 05/01/41 (48,651,641)
---------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT........................... (142,601,147)
(Proceeds $143,162,656) ---------------

NUMBER OF NOTIONAL EXERCISE EXPIRATION
CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE
---------------- --------------------------------------------------- ----------- ------------- ------------ ---------------
<S> <C> <C> <C> <C> <C>
PUT OPTIONS WRITTEN -- (0.0%)
40 U.S. Treasury Long Bond Futures Put................ $ 5,753,750 $ 143.00 Jun 2018 (27,500)
10 U.S. Treasury Long Bond Futures Put................ 1,438,437 142.00 Jun 2018 (3,906)
---------------
TOTAL PUT OPTIONS WRITTEN.................................................................... (31,406)
(Premiums received $44,861) ---------------

NET OTHER ASSETS AND LIABILITIES -- (0.9)%................................................... (11,634,920)
---------------
NET ASSETS -- 100.0%......................................................................... $ 1,278,679,097
===============
</TABLE>

FUTURES CONTRACTS AT APRIL 30, 2018 (see Note 2D - Futures Contracts in the
Notes to Financial Statements):

<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
NUMBER OF EXPIRATION NOTIONAL (DEPRECIATION)/
FUTURES CONTRACTS POSITION CONTRACTS DATE VALUE VALUE
-------------------------------------------------------- ----------- ----------- ----------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
U.S. 5-Year Treasury Notes Short 722 Jun-2018 $ (81,952,641) $ 111,390
U.S. 10-Year Treasury Notes Short 127 Jun-2018 (15,192,375) 46,659
U.S. Treasury Long Bond Futures Short 382 Jun-2018 (54,948,312) (77,344)
-------------- ---------------
$ (152,093,328) $ 80,705
============== ===============
</TABLE>

Page 42 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

-----------------------------

(a) Floating or variable rate security.

(b) Zero coupon security.

(c) Collateral Strip Rate bond. Coupon is based on the weighted net interest
rate of the investment's underlying collateral. The interest rate resets
periodically.

(d) Inverse floating 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) All or portion of this security is part of a mortgage dollar roll
agreement (see Note 2I- Mortgage Dollar Rolls and TBA Transactions in the
Notes to Financial Statements).

(g) 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 (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 April 30, 2018, securities noted as such
amounted to $108,082,105 or 8.5% of net assets.

(h) Step security. The coupon rate is determined based on the underlying
investments. The coupon rate resets periodically.

(i) Step-up security. A security where the coupon increases or steps up at a
predetermined date.

(j) Rate shown reflects yield as of April 30, 2018.

(k) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purpose. As of April 30, 2018, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $6,575,862 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $22,684,931. The net unrealized depreciation
was $16,109,069. The amounts presented are inclusive of investments sold
short and derivative contracts.

IO - Interest-Only Security - Principal amount shown represents par value on
which interest payments are based.

LIBOR - London Interbank Offered Rate

PO - Principal-Only Security

STRIPS - Separate Trading of Registered Interest and Principal of Securities

TBA - To-Be-Announced Security

See Notes to Financial Statements Page 43

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2018 (UNAUDITED)

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of April 30,
2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

<TABLE>
<CAPTION>
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
4/30/2018 PRICES INPUTS INPUTS
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
U.S. Government Agency Mortgage-Backed Securities..... $ 985,837,009 $ -- $ 985,837,009 $ --
Asset-Backed Securities............................... 87,484,107 -- 87,484,107 --
Exchange-Traded Funds*................................ 56,596,939 56,596,939 -- --
U.S. Government Bonds and Notes....................... 44,600,879 -- 44,600,879 --
Mortgage-Backed Securities............................ 41,867,600 -- 41,867,600 --
Money Market Funds.................................... 216,447,223 216,447,223 -- --
--------------- --------------- --------------- ---------------
Total Investments..................................... 1,432,833,757 273,044,162 1,159,789,595 --
Put Options Purchased................................. 112,813 112,813 -- --
Futures Contracts**................................... 158,049 158,049 -- --
--------------- --------------- --------------- ---------------
Total................................................. $ 1,433,104,619 $ 273,315,024 $ 1,159,789,595 $ --
=============== =============== =============== ===============

LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
4/30/2018 PRICES INPUTS INPUTS
--------------- --------------- --------------- ---------------
Put Options Written................................... $ (31,406) $ (31,406) $ -- $ --
Futures Contracts**................................... (77,344) (77,344) -- --
U.S. Government Agency Mortgage-Backed Securities
Sold Short......................................... (142,601,147) -- (142,601,147) --
--------------- --------------- --------------- ---------------
Total................................................. $ (142,709,897) $ (108,750) $ (142,601,147) $ --
=============== =============== =============== ===============
</TABLE>

* See Portfolio of Investments for industry breakout.

All transfers in and out of the Levels during the period are assumed to occur on
the last day of the period at their current value. There were no transfers
between Levels at April 30, 2018.

Page 44 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at value..................................................... $1,432,833,757
Options contracts purchased, at value..................................... 112,813
Cash...................................................................... 41,875
Cash segregated as collateral for open futures contracts.................. 6,943,196
Receivables:..............................................................
Investment securities sold............................................. 353,459,343
Capital shares sold.................................................... 5,114,722
Interest............................................................... 3,947,387
Dividends.............................................................. 290,573
--------------
Total Assets........................................................... 1,802,743,666
--------------
LIABILITIES:
Investments sold short, at value (proceeds $143,162,656).................. 142,601,147
Options contracts written, at value....................................... 31,406
Payables:
Investment securities purchased........................................ 380,445,175
Investment advisory fees............................................... 661,235
Variation margin....................................................... 325,606
--------------
Total Liabilities...................................................... 524,064,569
--------------
NET ASSETS................................................................ $1,278,679,097
==============
NET ASSETS CONSIST OF:
Paid-in capital........................................................... $1,294,312,671
Par value................................................................. 250,000
Accumulated net investment income (loss).................................. (3,036,178)
Accumulated net realized gain (loss) on investments, investments sold
short, futures contracts and options contracts......................... 3,261,673
Net unrealized appreciation (depreciation) on investments, investments
sold short, futures contracts and options contracts.................... (16,109,069)
--------------
NET ASSETS................................................................ $1,278,679,097
==============
NET ASSET VALUE, per share................................................ $ 51.15
==============
Number of shares outstanding (unlimited number of shares authorized,
par value $0.01 per share)............................................. 25,000,002
==============
Investments, at cost...................................................... $1,449,624,286
==============
Premiums paid on options contracts purchased.............................. $ 87,022
==============
Premiums received on options contracts written............................ $ 44,861
==============
</TABLE>

See Notes to Financial Statements Page 45

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018 (UNAUDITED)

<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Interest.................................................................. $ 13,429,722
Dividends................................................................. 1,446,948
--------------
Total investment income................................................ 14,876,670
--------------
EXPENSES:
Investment advisory fees.................................................. 3,328,035
--------------
Total expenses......................................................... 3,328,035
--------------
NET INVESTMENT INCOME (LOSS).............................................. 11,548,635
--------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments............................................................ (1,554,863)
Investments sold short................................................. 2,600,390
Futures contracts...................................................... 3,472,011
Purchased options contracts............................................ (117,278)
Written options contracts.............................................. 42,380
--------------
Net realized gain (loss).................................................. 4,442,640
--------------
Net change in unrealized appreciation (depreciation) on:
Investments............................................................ (14,958,613)
Investments sold short................................................. 643,308
Futures contracts...................................................... (449,003)
Purchased options contracts............................................ 58,533
Written options contracts.............................................. 13,455
--------------
Net change in unrealized appreciation (depreciation)...................... (14,692,320)
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................... (10,249,680)
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................................ $ 1,298,955
==============
</TABLE>

Page 46 See Notes to Financial Statements

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
4/30/2018 ENDED
(UNAUDITED) 10/31/2017
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss).............................................. $ 11,548,635 $ 11,687,269
Net realized gain (loss).................................................. 4,442,640 (494,814)
Net change in unrealized appreciation (depreciation)...................... (14,692,320) (4,774,092)
-------------- --------------
Net increase (decrease) in net assets resulting from operations........... 1,298,955 6,418,363
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................................... (14,370,251) (11,905,823)
Net realized gains........................................................ -- (176,819)
Return on capital......................................................... -- (2,645,986)
-------------- --------------
Total distributions to shareholders....................................... (14,370,251) (14,728,628)
-------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................................. 448,008,167 589,263,440
Cost of shares redeemed................................................... (2,579,752) (5,217,474)
-------------- --------------
Net increase (decrease) in net assets resulting from shareholder
transactions........................................................... 445,428,415 584,045,966
-------------- --------------
Total increase (decrease) in net assets................................... 432,357,119 575,735,701

NET ASSETS:
Beginning of period....................................................... 846,321,978 270,586,277
-------------- --------------
End of period............................................................. $1,278,679,097 $ 846,321,978
============== ==============
Accumulated net investment income (loss) at end of period................. $ (3,036,178) $ (214,562)
============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................................... 16,350,002 5,150,002
Shares sold............................................................... 8,700,000 11,300,000
Shares redeemed........................................................... (50,000) (100,000)
-------------- --------------
Shares outstanding, end of period......................................... 25,000,002 16,350,002
============== ==============
</TABLE>

See Notes to Financial Statements Page 47

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)

FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31, PERIOD
4/30/2018 ---------------------------- ENDED
(UNAUDITED) 2017 2016 10/31/2015 (a)
------------ ------------ ------------ --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ......................... $ 51.76 $ 52.54 $ 50.32 $ 50.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) ................................. 0.60 1.13 1.31 1.23 (b)
Net realized and unrealized gain (loss) ...................... (0.50) (0.50) 2.41 0.55
---------- ---------- ---------- ----------
Total from investment operations ............................. 0.10 0.63 3.72 1.78
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income......................................... (0.71) (1.14) (1.50) (1.46)
Net realized gain............................................. -- (0.02) -- --
Return of capital............................................. -- (0.25) -- --
---------- ---------- ---------- ----------
Total distributions........................................... (0.71) (1.41) (1.50) (1.46)
---------- ---------- ---------- ----------
Net asset value, end of period ............................... $ 51.15 $ 51.76 $ 52.54 $ 50.32
========== ========== ========== ==========
TOTAL RETURN (c).............................................. 0.18% 1.22% 7.49% 3.62%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).......................... $1,278,679 $ 846,322 $ 270,586 $ 10,065
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets (d)............. 0.65% (e) 0.65% 0.65% 0.65% (e)
Ratio of net investment income (loss) to average net assets... 2.26% (e) 2.20% 2.06% 2.55% (e)
Portfolio turnover rate (f)................................... 187% (g) 190% (g) 92% 157%
</TABLE>

(a) Inception date is November 4, 2014, 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.

(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.

(g) The portfolio turnover rate not including mortgage dollar rolls was 65%
and 97% for the periods ending April 30, 2018 and October 31, 2017,
respectively.

Page 48 See Notes to Financial Statements

<PAGE>

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

1. ORGANIZATION

The Trust currently consists of eight funds that are offering shares. This
report covers the First Trust Low Duration Opportunities ETF (the "Fund"), which
trades under the ticker "LMBS" on The Nasdaq Stock Market LLC ("Nasdaq"). Unlike
conventional mutual funds, the Fund issues and redeems shares on a continuous
basis, at net asset value ("NAV"), only in large specified blocks consisting of
50,000 shares called a "Creation Unit." Creation Units are generally issued and
redeemed for cash and, in certain circumstances, in-kind for securities in which
the Fund invests, and only to and from broker-dealers and large institutional
investors that have entered into participation agreements. Except when
aggregated in Creation Units, the Fund's shares are not redeemable securities.

The Fund is an actively managed exchange-traded fund ("ETF"). The Fund's primary
investment objective is to generate current income. The Fund's secondary
investment objective is to provide capital appreciation. The Fund seeks to
achieve its investment objectives by investing, under normal market conditions,
at least 80% of its net assets (including investment borrowings) in
mortgage-related debt securities and other mortgage-related instruments
(collectively, "Mortgage-Related Investments"). The Fund normally expects to
invest in Mortgage-Related Investments tied to residential and commercial
mortgages. Mortgage-Related Investments include residential mortgage-backed
securities, commercial mortgage-backed securities, stripped mortgage-backed
securities, collateralized mortgage obligations and real estate mortgage
investment conduits. The Fund may also invest in investment companies, such as
ETFs, that invest primarily in Mortgage-Related Investments. The Fund will limit
its investments in Mortgage-Related Investments that are not issued or
guaranteed by Government Entities to 20% of its net assets (including investment
borrowings). The Fund may invest, without limitation, in mortgage dollar rolls.
The Fund intends to enter into mortgage dollar rolls only with high quality
securities dealers and banks, as determined by the Fund's investment advisor,
First Trust Advisors L.P. ("First Trust" or the "Advisor"). The Fund may also
invest in to-be-announced transactions ("TBA Transactions"). Further, the Fund
may enter into short sales as part of its overall portfolio management
strategies or to offset a potential decline in the value of a security; however,
the Fund does not expect, under normal market conditions, to engage in short
sales with respect to more than 30% of the value of its net assets (including
investment borrowings). Although the Fund intends to invest primarily in
investment grade securities, the Fund may invest up to 20% of its net assets
(including investment borrowings) in securities of any credit quality, including
securities that are below investment grade, which are also known as high yield
securities, or commonly referred to as "junk" bonds, or unrated securities that
have not been judged by the Advisor to be of comparable quality to rated
investment grade securities. In the case of a split rating between one or more
of the nationally recognized statistical rating organizations, the Fund will
consider the highest rating. Under normal market conditions, the Fund targets an
estimated effective duration of three years or less. The Fund is
non-diversified.

2. SIGNIFICANT ACCOUNTING POLICIES

A. PORTFOLIO VALUATION

The Fund's 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. If the NYSE closes early on a valuation day, the NAV
is determined as of that time. Domestic debt securities and foreign securities
are priced using data reflecting the earlier closing of the principal markets
for those securities. The Fund's 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.

Page 49

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

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 Portfolio of Investments. The Fund's investments are valued as follows:

U.S. government securities, mortgage-backed securities, asset-backed
securities and other debt securities are fair valued on the basis of
valuations provided by dealers who make markets in such securities or by a
third-party pricing service approved by the Trust's Board of Trustees,
which may use the following valuation inputs when available:

1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.

Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.

Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.

Shares of open-end funds are valued at fair value which is based on NAV
per share.

Page 50

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

the amount which the owner might reasonably expect to receive for the security
upon its current sale. When fair value prices are used, generally they will
differ from market quotations or official closing prices on the applicable
exchanges. A variety of factors may be considered in determining the fair value
of such securities, including, but not limited to, the following:

1) the fundamental business data relating to the issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the issuer;
5) the credit quality and cash flow of the issuer, based on the
Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities of the
issuer/borrower, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management (for corporate debt only);
11) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry (for corporate debt only); and
12) other relevant factors.

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 Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded using the effective interest method.

The Fund invests in interest-only securities. For these securities, if there is
a change in the estimated cash flows, based on an evaluation of current
information, then the estimated yield is adjusted. Additionally, if the
evaluation of current information indicates a permanent impairment of the
security, the cost basis of the security is written down and a loss is
recognized. Debt obligations may be placed on non-accrual status and the related
interest income may be reduced by ceasing current accruals and writing off
interest receivables when the collection of all or a portion of interest has
become doubtful based on consistently applied procedures. A debt obligation is
removed from non-accrual status when the issuer resumes interest payments or
when collectability of interest is reasonably assured.

Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. The
Fund maintains liquid assets with a current value at least equal to the amount
of its when-issued, delayed-delivery or forward purchase commitments until
payment is made. At April 30, 2018, the Fund had no when-issued or
delayed-delivery securities. At April 30, 2018, the Fund held $261,980,207 of
forward purchase commitments.

Page 51

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

C. SHORT SALES

Short sales are utilized to manage interest rate and spread risk, and are
transactions in which securities or other instruments (such as options,
forwards, futures or other derivative contracts) are sold that are not currently
owned in the Fund's portfolio. When the Fund engages in a short sale, the Fund
must borrow the security sold short and deliver the security to the
counterparty. Short selling allows the Fund to profit from a decline in a market
price to the extent such decline exceeds the transaction costs and the costs of
borrowing the securities. The Fund is charged a fee or premium to borrow the
securities sold short and is obligated to repay the lenders of the securities.
Any dividends or interest that accrues on the securities during the period of
the loan are due to the lenders. A gain, limited to the price at which the
security was sold short, or a loss, unlimited in size, will be recognized upon
the termination of the short sale; which is effected by the Fund purchasing the
security sold short and delivering the security to the lender. Any such gain or
loss may be offset, completely or in part, by the change in the value of the
long portion of the Fund's portfolio. The Fund is subject to the risk it may be
unable to reacquire a security to terminate a short position except at a price
substantially in excess of the last quoted price. Also, there is the risk that
the counterparty to a short sale may fail to honor its contractual terms,
causing a loss to the Fund.

D. FUTURES CONTRACTS

The Fund may purchase or sell (i.e., is long or short) exchange-listed futures
contracts to hedge against changes in interest rates (interest rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or
sell a specific quantity of an underlying instrument at a specified price and at
a specified date. Depending on the terms of the contract, futures contracts are
settled either through physical delivery of the underlying instrument on the
settlement date or by payment of a cash settlement amount on the settlement
date. Open futures contracts can also be closed out prior to settlement by
entering into an offsetting transaction in a matching futures contract. If the
Fund is not able to enter into an offsetting transaction, the Fund will continue
to be required to maintain margin deposits on the futures contract. When the
contract is closed or expires, the Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed or expired. This gain or loss is included in
"Net realized gain (loss) on futures contracts" on the Statement of Operations.

Upon entering into a futures contract, the Fund 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 with the change in value recognized as a
component of "Net change in unrealized appreciation (depreciation) on futures
contracts" on the Statement of Operations. Pursuant to the contract, the Fund
agrees to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known as
variation margin and are included in "Variation margin" receivable or payable on
the Statement of Assets and Liabilities. If market conditions change
unexpectedly, the Fund may not achieve the anticipated benefits of the futures
contract and may realize a loss. The use of futures contracts involves the risk
of imperfect correlation in movements in the price of the futures contracts,
interest rates and the underlying instruments.

E. OPTIONS CONTRACTS

In the normal course of pursuing its investment objective, the Fund may invest
up to 20% of its net assets in derivative instruments in connection with hedging
strategies. The Fund may invest in exchange-listed options on U.S. Treasury
securities, exchange-listed options on U.S. Treasury futures contracts and
exchange-listed U.S. Treasury futures contracts. The Fund uses derivative
instruments primarily to hedge interest rate risk and actively manage interest
rate exposure. The primary risk exposure is interest rate risk.

The Fund may purchase (buy) or write (sell) put and call options on futures
contracts and enter into closing transactions with respect to such options to
terminate an existing position. A futures option gives the holder the right, in
return for the premium paid, to assume a long position (call) or short position
(put) in a futures contract at a specified exercise price prior to the
expiration of the option. Upon exercise of a call option, the holder acquires a
long position in the futures contract and the writer is assigned the opposite
short position. In the case of a put option, the opposite is true. Prior to
exercise or expiration, a futures option contract may be closed out by an
offsetting purchase or sale of a futures option of the same series. When the
Fund writes (sells) an option, an amount equal to the premium received by the
Fund is included in "Options contracts written, at value" on the Statement of
Assets and Liabilities. When the Fund purchases (buys) an option, the premium
paid represents the cost of the option, which is included in "Premiums paid on
options contracts purchased" on the Statement of Assets and Liabilities. Options
are marked-to-market daily and their value is affected by changes in the value
of the underlying security, changes in interest rates, changes in the actual or
perceived volatility of the securities markets and the underlying securities,
and the remaining time to the option's expiration. The value of options may also
be adversely affected if the market for the options becomes less liquid or the
trading volume diminishes.

Page 52

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

against declining prices of securities which are deliverable upon exercise of
the futures contract. If the price at expiration of a written call option is
below the exercise price, the Fund will retain the full amount of the option
premium which provides a partial hedge against any decline that may have
occurred in the Fund's holdings of securities. If the price when the option is
exercised is above the exercise price, however, the Fund will incur a loss,
which may be offset, in whole or in part, by the increase in the value of the
securities held by the Fund that were being hedged. Writing a put option or
purchasing a call option on a futures contract serves as a partial hedge against
an increase in the value of the securities the Fund intends to acquire. Realized
gains and losses on written options are included in "Net realized gain (loss) on
written options contracts" on the Statement of Operations. Realized gains and
losses on purchased options are included in "Net realized gain (loss) on
purchased options contracts" on the Statement of Operations.

F. INTEREST-ONLY SECURITIES

G. PRINCIPAL-ONLY SECURITIES

H. STRIPPED MORTGAGE-BACKED SECURITIES

I. MORTGAGE DOLLAR ROLLS AND TBA TRANSACTIONS

The Fund may invest, without limitation, in mortgage dollar rolls. The Fund
intends to enter into mortgage dollar rolls only with high quality securities
dealers and banks, as determined by the Fund's investment advisor. In a mortgage
dollar roll, the Fund will sell (or buy) mortgage-backed securities for delivery
on a specified date and simultaneously contract to repurchase (or sell)
substantially similar (same type, coupon and maturity) securities on a future
date. Mortgage dollar rolls are recorded as separate purchase and sales in the
Fund. The Fund may also invest in TBA Transactions. A TBA Transaction is a
method of trading mortgage-backed securities. TBA Transactions generally are
conducted in accordance with widely-accepted guidelines which establish commonly
observed terms and conditions for execution, settlement and delivery. In a TBA
Transaction, the buyer and the seller agree on general trade parameters such as
agency, settlement date, par amount and price.

Page 53

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

J. DIVIDENDS AND DISTRIBUTION TO SHAREHOLDERS

Dividends from net investment income, if any, are declared and paid monthly by
the Fund. The Fund distributes its net realized capital gains, if any, to
shareholders at least annually.

Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Fund and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.

The tax character of distributions paid during the fiscal year ended October 31,
2017 was as follows:

Distributions paid from:
Ordinary income................................. $ 9,996,448
Capital gains................................... 176,819
Return of capital............................... 2,645,986

As of October 31, 2017, the components of distributable earnings on a tax basis
for the Fund were as follows:

Undistributed ordinary income................... $ (1,909,375)
Accumulated capital and other gain (loss)....... --
Net unrealized appreciation (depreciation)...... (902,903)

K. INCOME TAXES

The Fund is subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. The taxable years ended 2015,
2016 and 2017 remain open to federal and state audit. As of April 30, 2018,
management has evaluated the application of these standards to the Fund and has
determined that no provision for income tax is required in the Fund's financial
statements for uncertain tax positions.

The Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
The Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At October 31, 2017, the
Fund had no non-expiring capital loss carryforwards for federal income tax
purposes.

L. EXPENSES

Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).

M. NEW AND AMENDED FINANCIAL REPORTING RULES AND FORMS

Page 54

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

as other amendments. The compliance date for the amendments of Regulation S-X
was August 1, 2017, which resulted in additional disclosure for variable
interest rate securities and derivative instruments within the Porfolio of
Investments. The new form types and other rule amendments will be effective for
the First Trust funds, including the Fund, for reporting periods beginning on
and after June 1, 2018. Management is evaluating the new form types and other
rule amendments that are effective on and after June 1, 2018 to determine the
impact to the Fund.

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Fund, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in the Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Fund.

Pursuant to the Investment Management Agreement between the Trust and the
Advisor, First Trust manages the investment of the Fund's assets and is
responsible for the Fund's expenses, including the cost of transfer agency,
custody, fund administration, legal, audit and other services, but excluding fee
payments under the Investment Management Agreement, interest, taxes, pro rata
share of fees and expenses attributable to investments in other investment
companies ("acquired fund fees and expenses"), brokerage commissions and other
expenses connected with the execution of portfolio transactions, distribution
and service fees payable pursuant to a 12b-1 plan, if any, and extraordinary
expenses. The Fund has agreed to pay First Trust an annual unitary management
fee equal to 0.65% of its average daily net assets. In addition, the Fund incurs
acquired fund fees and expenses. The total of the unitary management fee and
acquired fund fees and expenses represents the Fund's total annual operating
expenses.

Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen will rotate every three years. The officers and "Interested" Trustee
receive no compensation from the Trust for acting in such capacities.

4. PURCHASES AND SALES OF SECURITIES

The cost of purchases of U.S. Government securities and non-U.S. Government
securities, excluding investments sold short and short-term investments, for the
six months ended April 30, 2018, were $1,270,228,362 and $330,522,261,
respectively. The proceeds from sales and paydowns of U.S. Government securities
and non-U.S. Government securities, excluding investments sold short and
short-term investments, for the six months ended April 30, 2018, were
$1,090,505,132 and $9,452,980, respectively. The cost of purchases to cover
investments sold short and the proceeds of investments sold short were
$881,627,110 and $908,684,609, respectively.

For the six months ended April 30, 2018, the Fund had no in-kind transactions.

Page 55

<PAGE>

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

5. DERIVATIVE TRANSACTIONS

<TABLE>
<CAPTION>
ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------------------------------- -------------------------------------
DERIVATIVE RISK STATEMENT OF ASSETS AND STATEMENT OF ASSETS AND
INSTRUMENTS EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE
----------- --------- ---------------------------- --------- -------------------------- ---------
<S> <C> <C> <C> <C> <C>
Futures Interest Unrealized appreciation on Unrealized depreciation on
rate risk futures contracts* $ 158,049 futures contracts* $ 77,344

Options Interest Options contracts purchased, Options contracts written,
rate risk at value 112,813 at value 31,406
</TABLE>

* Includes cumulative appreciation/depreciation on futures contracts as reported
in the Portfolio of Investments. Only the current day's variation margin is
reported within the Statement of Assets and Liabilities.

<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS LOCATION INTEREST RATE RISK
----------------------------------------------------------------------------------
<S> <C>
Net realized gain (loss) on:
Futures contracts $ 3,472,011
Purchased options contracts (117,278)
Written options contracts 42,380
Net change in unrealized appreciation (depreciation) on:
Futures contracts (449,003)
Purchased options contracts 58,533
Written options contracts 13,455
</TABLE>

For the six months ended April 30, 2018, the notional value of futures contracts
opened and closed were $1,197,278,286 and $1,066,676,926, respectively.

During the six months ended April 30, 2018, the premiums for purchased options
contracts opened were $313,805 and the premiums for purchased options contracts
closed, exercised and expired were $302,494.

During the six months ended April 30, 2018, the premiums for written options
contracts opened were $196,400 and the premiums for written options contracts
closed, exercised and expired were $151,539.

The Fund does not have the right to offset financial assets and financial
liabilities related to futures and options contracts on the Statement of Assets
and Liabilities.

6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES

Page 56

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FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

securities included in the Fund's portfolio and/or the countries in which the
transactions are settled. The Redemption Transaction Fee is currently $500. When
shares are redeemed for cash, the Authorized Participant may also be assessed an
amount to cover other costs, including operational processing and brokerage
costs, transfer fees, stamp taxes and part or all of the spread between the
expected bid and offer side of the market related to portfolio securities sold
in connection with the redemption.

7. DISTRIBUTION PLAN

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before March 31, 2019.

8. INDEMNIFICATION

9. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through
the date the financial statements were issued, and has determined there was the
following subsequent event:

On June 11, 2018, the Board of Trustees of the Trust approved the following
changes to the Fund's non-fundamental investment policies: (1) decrease the
percentage of the Fund's net assets that must be invested in mortgage-related
investments from 80% to 60%; (2) adopt a non-fundamental investment policy to
permit the Fund to invest up to 40% of its net assets in cash and cash
equivalents; (3) exclude cash held against delayed delivery securities (such as
to-be-announced transactions) from the definition of "cash and cash equivalents"
referred to in Item (2) above; (4) adopt a non-fundamental investment policy to
permit the Fund to invest in derivatives to the extent permitted by Nasdaq's
generic listing standards for actively-managed ETFs; and (5) adopt a
non-fundamental investment policy to permit the Fund to invest up to 5% of its
net assets in asset-backed securities (subject to the existing 20% limit on
non-agency securities). These changes would require amendments to the exemptive
order previously granted by the SEC allowing the Fund to list its shares on an
exchange (the "19b-4 Order"). There can be no assurance that the SEC will
approve the amendments to the 19b-4 Order. Should the amendments be approved,
shareholders of the Fund will be given at least 60 days' notice prior to the
effectiveness of the changes to the Fund's portfolio.

Page 57

<PAGE>

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

PROXY VOTING POLICIES AND PROCEDURES

PORTFOLIO HOLDINGS

The Trust files its complete schedule of the Fund's portfolio holdings with the
SEC for the first and third quarters of each fiscal year on Form N-Q. The
Trust's Forms N-Qs are available (1) by calling (800) 988-5891; (2) on the
Fund's website at www.ftportfolios.com; (3) on the SEC's website at www.sec.gov;
and (4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling (800) SEC-0330.

RISK CONSIDERATIONS

The following summarizes some of the risks that should be considered for the
Fund.

COUNTERPARTY RISK. The Fund bears the risk that the counterparty to mortgage
dollar rolls to-be-announced transactions ("TBA Transactions"), derivatives or
other contracts with a third party may default on its obligations or otherwise
fail to honor its obligations. If a counterparty defaults on its payment
obligations, the Fund will lose money and the value of an investment in Fund
shares may decrease. In addition, the Fund may engage in such investment
transactions with a limited number of counterparties.

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<PAGE>

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

The Fund has established risk management systems designed to reduce the risks
associated with cyber security. However, there is no guarantee that such efforts
will succeed, especially because the Fund does not directly control the cyber
security systems of issuers or third-party service providers.

INCOME RISK. Income from the Fund's fixed income investments could decline
during periods of falling interest rates.

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<PAGE>

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

MARKET MAKER RISK. If the Fund has lower average daily trading volumes, it may
rely on a small number of third-party market makers to provide a market for the
purchase and sale of shares. Any trading halt or other problem relating to the
trading activity of these market makers could result in a dramatic change in the
spread between the Fund's net asset value and the price at which the Fund's
shares are trading on the Exchange, which could result in a decrease in value of
the Fund's shares. In addition, decisions by market makers or authorized
participants to reduce their role or step away from these activities in times of
market stress could inhibit the effectiveness of the arbitrage process in
maintaining the relationship between the underlying values of the Fund's
portfolio securities and the Fund's market price. This reduced effectiveness
could result in Fund shares trading at a discount to net asset value and also in
greater than normal intraday bid-ask spreads for Fund shares.

MORTGAGE-RELATED INVESTMENTS RISK. The Fund invests in Mortgage-Related
Investments, including mortgage-backed securities, which may make the Fund more
susceptible to adverse economic, political or regulatory events that affect the
value of real estate. Changes in local, state and federal policies could
negatively impact the Mortgage-Related Investments market, which include various
government initiated and sponsored homeowner assistance programs and eminent
domain issues. Mortgage-Related Investments are subject to the risk that the
rate of mortgage prepayments decreases, which extends the average life of a
security and increases the interest rate exposure. Mortgage-Related Investments
may also face liquidity issues when the Fund seeks to sell such securities, but
is unable to find buyers at a bid-ask spread to make the transaction feasible.
These securities are also subject to the risk that the underlying borrowers may
default on their mortgages, resulting in a non-payment of principal and
interest. Finally, the Mortgage-Related Investments market may be negatively
impacted by regulatory changes including those that are related to the mandate
or existence of the government-sponsored enterprises, FNMA, FHLMC and GNMA.

PREPAYMENT RISK. Mortgage-Related Investments are subject to pre-payment risk.
The degree to which borrowers prepay loans, whether as a contractual requirement
or at their election, may be affected by general business conditions, the
financial condition of the borrower and competitive conditions among loan
investors, among others. As such, prepayments cannot be predicted with accuracy.
Upon a prepayment, either in part or in full, the actual outstanding debt on
which the Fund derives interest income will be reduced. The Fund may not be able
to reinvest the proceeds received on terms as favorable as the prepaid loan.

REPURCHASE AGREEMENT RISK. The Fund's investment in repurchase agreements,
including mortgage dollar rolls and TBA Transactions, may be subject to market
and credit risk with respect to the collateral securing the agreements.
Investments in mortgage dollar rolls also may be subject to the risk that the
market value of the underlying obligations may decline prior to the expiration
of the agreement term.

SHORT SALES RISK. The Fund will incur a loss as a result of a short sale if the
price of the security sold short increases in value between the date of the
short sale and the date on which the Fund purchases the security to replace the
borrowed security. In addition, a lender of a security may request, or market
conditions may dictate, that securities sold short be returned to the lender on
short notice, which may result in the Fund having to buy the securities sold
short at an unfavorable price. If this occurs, any anticipated gain to the Fund
may be reduced or eliminated or the short sale may result in a loss. In a rising
stock market, the Fund's short positions may significantly impact the Fund's
overall performance and cause the Fund to underperform traditional long-only
equity funds or to sustain losses, particularly in a sharply rising market. The
use of short sales may also cause the Fund to have higher expenses than other
funds.

Page 60

<PAGE>

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS)
APRIL 30, 2018 (UNAUDITED)

Because losses on short sales arise from increases in the value of the security
sold short, such losses are theoretically unlimited. By contrast, a loss on a
long position arises from decreases in the value of the security and is limited
by the fact that a security's value cannot go below zero. The Fund's investment
advisor's use of short sales in combination with long positions in the Fund's
portfolio in an attempt to improve performance or reduce overall portfolio risk
may not be successful and may result in greater losses or lower positive returns
than if the Fund held only long positions. It is possible that the Fund's long
securities positions will decline in value at the same time that the value of
its short securities positions increase, thereby increasing potential losses to
the Fund. In addition, the Fund's short selling strategies may limit its ability
to fully benefit from increases in the equity markets. To the extent the Fund
invests the proceeds received from selling securities short in additional long
positions, the Fund is engaging in a form of leverage. The use of leverage may
increase the Fund's exposure to long positions and make any change in the Fund's
net asset value greater than it would be without the use of leverage. This could
result in increased volatility of returns.

U.S. GOVERNMENT AND AGENCY SECURITIES RISK. U.S. government obligations include
U.S. Treasury obligations and securities issued or guaranteed by various
agencies of the U.S. government or by various instrumentalities, which have been
established or sponsored by the U.S. government. U.S. Treasury obligations are
backed by the "full faith and credit" of the U.S. government. Securities issued
or guaranteed by federal agencies and U.S. government sponsored
instrumentalities may or may not be backed by the full faith and credit of the
U.S. government.

Page 61

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<PAGE>

FIRST TRUST

First Trust Exchange-Traded Fund IV

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603

<PAGE>

[BLANK BACK COVER]

<PAGE>

First Trust Exchange-Traded Fund IV

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Semi-Annual Report
For the Six Months Ended
April 30, 2018

Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Semi-Annual Report

April 30, 2018

Shareholder Letter	1
Fund Performance Overview	2
Portfolio Management	4
Understanding Your Fund Expenses	5
Portfolio of Investments	6
Statement of Assets and Liabilities	11
Statement of Operations	12
Statements of Changes in Net Assets	13
Financial Highlights	14
Notes to Financial Statements	15
Additional Information	21

Caution Regarding Forward-Looking Statements

This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and/or SSI Investment Management Inc. (“SSI” or the “Sub-Advisor”) and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund IV (the “Trust”) described in this report (First Trust SSI Strategic Convertible Securities ETF; hereinafter referred to as the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Performance and Risk Disclosure

There is no assurance that the Fund will achieve its investment objective. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund.

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at www.ftportfolios.com.

How to Read This Report

This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund’s performance and investment approach.

The statistical information that follows may help you understand the Fund’s performance compared to that of a relevant market benchmark.

It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.

Table of Contents

Shareholder Letter

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Semi-Annual Letter from the Chairman and CEO

April 30, 2018

Dear Shareholders,

First Trust is pleased to provide you with the semi-annual report for the First Trust SSI Strategic Convertible Securities ETF, which contains detailed information about your investment for the period ended April 30, 2018. We encourage you to read this report carefully and discuss it with your financial advisor.

As you are no doubt aware, 2017 was a very strong year for both the U.S. and global markets. The three major U.S. indices – the S&P 500^® Index, the Dow Jones Industrial Average and the Nasdaq Composite – posted their best performance since 2013. And there was more good news for Wall Street as the year ended and analysts collected stock market data:

•	The S&P 500^®Index did something it had never previously done, finishing 2017 with 12 months of gains;
•	The Dow Jones Industrial Average achieved a milestone as well, closing above 24,000 for the first time ever on November 30;
•	The Nasdaq Composite set a record by having 11 months of gains in 2017 (June was the only down month, and by just 0.86%); and
•	The MSCI AC World Index (containing constituents from 47 countries) ended 2017 at an all-time high and was up 22% at year-end.

As 2017 ended, President Trump signed the “Tax Cuts and Jobs Act of 2017” tax reform bill. As 2018 began, there was much enthusiasm for this tax reform package and the potential increase in take-home pay for many Americans, as well as the reduction in the federal corporate tax rate from 35% to 21%. Early in the year, many investors were also watching the Federal Reserve (the “Fed”) and its signaled intent to continue raising interest rates at a gradual pace. Based on strong job growth and the economic outlook in the U.S., the Fed did, in fact, raise interest rates on March 21, 2018.

For the entire first quarter of 2018, increased volatility was the norm. The S&P 500^® Index was off to a strong start in January as it returned over 7.5% from January 2 to January 26. February, however, was a different story. Early in the month, the Dow Jones Industrial Average plunged 567 points and sank into “correction” territory (defined as a drop of 10% from the index’s high) and in just two weeks, was down more than 3,200 points. However, as February came to a close, the Dow Jones Industrial Average was back on track and up from the lows experienced earlier in the month. Volatility continued in March and April with the Dow Jones Industrial Average ending April with a small gain. Across the globe, the first quarter saw the Emerging Market and Developing Market countries, as well as Europe, continue with the strong performances experienced in 2017.

This market volatility is why we believe that one should invest for the long term and be prepared for market movements, which can happen at any time. This can be accomplished by keeping current on your portfolio and investing goals and by speaking regularly with your investment professional. It’s important to keep in mind that past performance of the U.S. and global stock markets or investment products can never guarantee future results. As we’ve said before, markets go up and they also go down, but savvy investors are prepared for either through careful attention to their portfolios and investment goals.

At First Trust, we continue to be optimistic about the U.S. economy and we thank you for giving us the opportunity to be a part of your financial plan. We value our relationship with you and will report on your investment again in six months.

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

Table of Contents

Fund Performance Overview (Unaudited)

First Trust SSI Strategic Convertible Securities ETF (FCVT)

The First Trust SSI Strategic Convertible Securities ETF (the “Fund”) is an actively managed exchange-traded fund that seeks to deliver total return by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings) in a diversified portfolio of U.S. and non-U.S. convertible securities. The shares of the Fund are listed and traded on The Nasdaq Stock Market LLC under the ticker symbol “FCVT.”

Performance
			Average Annual Total Returns	Cumulative Total Returns
	6 Months Ended 4/30/18	1 Year Ended 4/30/18	Inception (11/3/15) to 4/30/18	Inception (11/3/15) to 4/30/18
Fund Performance
NAV	1.33%	9.06%	8.33%	22.03%
Market Price	1.60%	9.14%	8.52%	22.57%
Index Performance
ICE BofAML All US Convertible Index	2.11%	9.15%	8.85%	23.49%

Total returns for the period since inception are calculated from the inception date of the Fund. “Average Annual Total Returns” represent the average annual change in value of an investment over the period indicated. “Cumulative Total Returns” represent the total change in value of an investment over the period indicated.

The Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed 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 outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until after its inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in the Fund at NAV and Market Price, respectively.

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. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the index. 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. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund’s past performance is no guarantee of future performance.

Page 2

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust SSI Strategic Convertible Securities ETF (FCVT) (Continued)

Sector Allocation	% of Total Investments
Information Technology	38.0%
Health Care	15.5
Consumer Discretionary	10.5
Financials	10.2
Industrials	9.8
Energy	6.2
Real Estate	3.5
Consumer Staples	2.0
Utilities	1.8
Materials	1.3
Telecommunication Services	1.2
Total	100.0%

Top Ten Holdings	% of Total Investments
Wells Fargo & Co., Series L	2.8%
Intel Corp., 8/01/39	2.7
Micron Technology, Inc., Series F, 2/15/33	2.4
Bank of America Corp., Series L	2.3
Becton Dickinson and Co., Series A, 5/01/20	2.1
Priceline Group, Inc./The, 9/15/21	1.9
ServiceNow, Inc., 6/01/22	1.7
Microchip Technology, Inc., 2/15/27	1.7
Herbalife Ltd., 8/15/19	1.5
Tesla, Inc., 3/01/19	1.4
Total	20.5%

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.

Frequency Distribution of Discounts and Premiums

Bid/Ask Midpoint vs. NAV through April 30, 2018

The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period November 4, 2015 (commencement of trading) through April 30, 2018. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.

Number of Days Bid/Ask Midpoint At/Above NAV
For the Period	0.00%–0.49%	0.50%–0.99%	1.00%–1.99%	>=2.00%
11/4/15 – 10/31/16	77	60	12	16
11/1/16 – 10/31/17	149	47	3	2
11/1/17 – 4/30/18	82	18	1	0
Number of Days Bid/Ask Midpoint Below NAV
For the Period	0.00%–0.49%	0.50%–0.99%	1.00%–1.99%	>=2.00%
11/4/15 – 10/31/16	59	16	7	3
11/1/16 – 10/31/17	44	7	0	0
11/1/17 – 4/30/18	21	1	0	0

Page 3

Table of Contents

Portfolio Management

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Semi-Annual Report

April 30, 2018 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust”) is the investment advisor to the First Trust SSI Strategic Convertible Securities ETF (the “Fund”). First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

Sub-Advisor

SSI Investment Management Inc.

SSI Investment Management Inc. (“SSI” or the “Sub-Advisor”) is the sub-advisor to the Fund and is a registered investment advisor based in Los Angeles, California. SSI is an innovative investment management firm specializing in alternative investment solutions utilizing convertible assets, equity securities and hedging strategies.

Portfolio Management Team

George M. Douglas – CFA, Chief Investment Officer, Principal of SSI

Ravi Malik – CFA, Portfolio Manager, Principal of SSI

Michael J. Opre – CFA, Portfolio Manager of SSI

Florian Eitner – CFA, Portfolio Manager of SSI

Ethan Ganz – Portfolio Manager of SSI

Page 4

Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Understanding Your Fund Expenses

April 30, 2018 (Unaudited)

As a shareholder of the First Trust SSI Strategic Convertible Securities ETF (the “Fund”), 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 Fund and to compare these costs with the ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended April 30, 2018.

Actual Expenses

The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the expenses you paid on your account during this six-month period.

Hypothetical Example for Comparison Purposes

The second line in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value November 1, 2017	Ending Account Value April 30, 2018	Annualized Expense Ratio Based on the Six-Month Period	Expenses Paid During the Six-Month Period (a)
First Trust SSI Strategic Convertible Securities ETF (FCVT)
Actual	$1,000.00	$1,013.30	0.95%	$4.74
Hypothetical (5% return before expenses)	$1,000.00	$1,020.08	0.95%	$4.76

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2017 through April 30, 2018), multiplied by 181/365 (to reflect the six-month period).

Page 5

Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Portfolio of Investments

April 30, 2018 (Unaudited)

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CONVERTIBLE CORPORATE BONDS – 78.8%
	Aerospace & Defense – 0.6%
$730,000	Arconic, Inc.	1.63%	10/15/19	$730,222
	Air Freight & Logistics – 1.5%
645,000	Air Transport Services Group, Inc. (a)	1.13%	10/15/24	612,654
1,005,000	Atlas Air Worldwide Holdings, Inc.	2.25%	06/01/22	1,180,841
				1,793,495
	Automobiles – 1.3%
1,580,000	Tesla, Inc.	0.25%	03/01/19	1,628,871
	Biotechnology – 2.1%
784,000	Ionis Pharmaceuticals, Inc.	1.00%	11/15/21	784,095
819,000	Neurocrine Biosciences, Inc.	2.25%	05/15/24	1,061,010
610,000	Sarepta Therapeutics, Inc. (a)	1.50%	11/15/24	782,959
				2,628,064
	Building Products – 0.5%
588,000	Patrick Industries, Inc. (a)	1.00%	02/01/23	566,859
	Chemicals – 0.6%
625,000	RPM International, Inc.	2.25%	12/15/20	708,594
	Communications Equipment – 1.1%
310,000	Palo Alto Networks, Inc.	(b)	07/01/19	544,314
825,000	Viavi Solutions, Inc.	0.63%	08/15/33	834,799
				1,379,113
	Construction & Engineering – 0.5%
510,000	Dycom Industries, Inc.	0.75%	09/15/21	629,536
	Diversified Consumer Services – 0.5%
561,000	Chegg, Inc. (a)	0.25%	05/15/23	611,257
	Diversified Financial Services – 1.0%
1,250,000	Deutsche Bank AG	1.00%	05/01/23	1,254,613
	Electronic Equipment, Instruments & Components – 0.7%
855,000	II-VI, Inc. (a)	0.25%	09/01/22	914,423
	Energy Equipment & Services – 2.1%
1,255,000	Oil States International, Inc. (a)	1.50%	02/15/23	1,396,188
538,000	Transocean, Inc.	0.50%	01/30/23	734,370
445,000	Weatherford International Ltd.	5.88%	07/01/21	423,970
				2,554,528
	Equity Real Estate Investment Trusts – 2.1%
820,000	Colony NorthStar, Inc.	3.88%	01/15/21	772,842
600,000	Empire State Realty OP LP (a)	2.63%	08/15/19	619,800
1,100,000	Extra Space Storage LP (a)	3.13%	10/01/35	1,228,150
				2,620,792
	Health Care Equipment & Supplies – 2.8%
1,005,000	Insulet Corp.	1.25%	09/15/21	1,553,353
306,000	NuVasive, Inc.	2.25%	03/15/21	338,322
470,000	Quidel Corp.	3.25%	12/15/20	884,623
720,000	Wright Medical Group, Inc.	2.00%	02/15/20	727,200
				3,503,498

Page 6

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Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CONVERTIBLE CORPORATE BONDS (Continued)
	Health Care Providers & Services – 1.6%
$335,000	Anthem, Inc.	2.75%	10/15/42	$1,085,609
630,000	Molina Healthcare, Inc.	1.63%	08/15/44	909,090
				1,994,699
	Health Care Technology – 1.5%
1,055,000	Allscripts Healthcare Solutions, Inc.	1.25%	07/01/20	1,051,040
615,000	Teladoc, Inc. (a)	3.00%	12/15/22	761,794
				1,812,834
	Hotels, Restaurants & Leisure – 1.6%
454,000	Caesars Entertainment Corp.	5.00%	10/01/24	798,495
1,035,000	China Lodging Group Ltd. (a)	0.38%	11/01/22	1,117,364
				1,915,859
	Household Durables – 0.8%
855,000	KB Home	1.38%	02/01/19	924,469
	Internet & Direct Marketing Retail – 3.2%
750,000	Ctrip.com International Ltd.	1.00%	07/01/20	776,775
600,000	Priceline Group (The), Inc.	0.35%	06/15/20	1,004,664
1,705,000	Priceline Group (The), Inc.	0.90%	09/15/21	2,159,041
				3,940,480
	Internet Software & Services – 8.7%
700,000	Akamai Technologies, Inc.	(b)	02/15/19	715,651
975,000	Altaba, Inc.	(b)	12/01/18	1,288,429
748,000	Apptio, Inc. (a)	0.88%	04/01/23	762,960
546,000	Envestnet, Inc.	1.75%	12/15/19	586,268
1,040,000	Etsy, Inc. (a)	(b)	03/01/23	1,132,950
1,100,000	IAC FinanceCo., Inc. (a)	0.88%	10/01/22	1,349,719
1,154,000	Nutanix, Inc. (a)	(b)	01/15/23	1,431,422
913,000	Okta, Inc. (a)	0.25%	02/15/23	1,049,061
646,000	Q2 Holdings, Inc. (a)	0.75%	02/15/23	689,282
869,000	Weibo Corp. (a)	1.25%	11/15/22	986,141
580,000	Zillow Group, Inc.	2.00%	12/01/21	675,893
				10,667,776
	Life Sciences Tools & Services – 2.8%
1,260,000	Illumina, Inc.	(b)	06/15/19	1,403,528
1,075,000	Illumina, Inc.	0.50%	06/15/21	1,347,597
600,000	QIAGEN N.V.	0.38%	03/19/19	715,971
				3,467,096
	Machinery – 3.4%
725,000	Chart Industries, Inc. (a)	1.00%	11/15/24	838,089
460,000	Greenbrier Cos. (The), Inc.	2.88%	02/01/24	497,551
1,050,000	Meritor, Inc. (a)	3.25%	10/15/37	1,045,223
1,325,000	Navistar International Corp.	4.75%	04/15/19	1,366,100
324,000	Trinity Industries, Inc.	3.88%	06/01/36	430,757
				4,177,720
	Media – 2.8%
7,500	CenterPoint Energy, Inc.	4.18%	09/15/29	486,375
1,455,000	DISH Network Corp.	3.38%	08/15/26	1,324,080
750,000	Liberty Media Corp.	1.38%	10/15/23	864,075

See Notes to Financial Statements

Page 7

Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CONVERTIBLE CORPORATE BONDS (Continued)
	Media (Continued)
$678,000	Liberty Media Corp.-Liberty Formula One	1.00%	01/30/23	$707,542
				3,382,072
	Metals & Mining – 0.7%
770,000	Royal Gold, Inc.	2.88%	06/15/19	825,825
	Mortgage Real Estate Investment Trusts – 1.4%
960,000	Blackstone Mortgage Trust, Inc.	4.38%	05/05/22	943,287
780,000	Two Harbors Investment Corp.	6.25%	01/15/22	808,080
				1,751,367
	Oil, Gas & Consumable Fuels – 2.6%
1,500,000	Cheniere Energy, Inc.	4.25%	03/15/45	1,177,258
1,000,000	TOTAL S.A., Series FP	0.50%	12/02/22	1,113,250
948,000	Whiting Petroleum Corp.	1.25%	04/01/20	907,715
				3,198,223
	Personal Products – 1.4%
1,365,000	Herbalife Ltd.	2.00%	08/15/19	1,751,105
	Pharmaceuticals – 1.5%
670,000	Jazz Investments I Ltd.	1.88%	08/15/21	701,443
1,068,000	Supernus Pharmaceuticals, Inc. (a)	0.63%	04/01/23	1,163,849
				1,865,292
	Semiconductors & Semiconductor Equipment – 13.2%
515,000	Cypress Semiconductor Corp.	4.50%	01/15/22	663,143
1,025,000	Integrated Device Technology, Inc.	0.88%	11/15/22	1,108,847
1,255,000	Intel Corp.	3.25%	08/01/39	3,119,961
868,000	Microchip Technology, Inc.	1.63%	02/15/25	1,414,140
1,705,000	Microchip Technology, Inc.	1.63%	02/15/27	1,927,162
650,000	Micron Technology, Inc., Series F	2.13%	02/15/33	2,730,265
235,000	Micron Technology, Inc., Series G	3.00%	11/15/43	373,196
221,000	Novellus Systems, Inc.	2.63%	05/15/41	1,221,532
970,000	ON Semiconductor Corp.	1.00%	12/01/20	1,287,544
740,000	Rambus, Inc. (a)	1.38%	02/01/23	737,595
1,150,000	Silicon Laboratories, Inc.	1.38%	03/01/22	1,365,625
275,000	Teradyne, Inc.	1.25%	12/15/23	336,178
				16,285,188
	Software – 11.1%
925,000	Atlassian, Inc. (a)	0.63%	05/01/23	928,700
805,000	Citrix Systems, Inc.	0.50%	04/15/19	1,157,584
790,000	Guidewire Software, Inc.	1.25%	03/15/25	803,255
830,000	HubSpot, Inc. (a)	0.25%	06/01/22	1,059,287
760,000	Nuance Communications, Inc.	1.00%	12/15/35	711,548
430,000	Proofpoint, Inc.	0.75%	06/15/20	650,928
930,000	RealPage, Inc. (a)	1.50%	11/15/22	1,303,162
405,000	Red Hat, Inc.	0.25%	10/01/19	898,849
638,000	RingCentral, Inc. (a)	(b)	03/15/23	667,348
285,000	ServiceNow, Inc.	(b)	11/01/18	639,711
1,435,000	ServiceNow, Inc. (a)	(b)	06/01/22	1,928,927
500,000	Workday, Inc.	0.75%	07/15/18	746,999
1,180,000	Workday, Inc. (a)	0.25%	10/01/22	1,276,170
865,000	Zendesk, Inc. (a)	0.25%	03/15/23	897,784
				13,670,252

Page 8

See Notes to Financial Statements

Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CONVERTIBLE CORPORATE BONDS (Continued)
	Technology Hardware, Storage & Peripherals – 1.4%
$968,000	Pure Storage, Inc. (a)	0.13%	04/15/23	$1,005,497
685,000	Western Digitial Corp. (a)	1.50%	02/01/24	716,503
				1,722,000
	Thrifts & Mortgage Finance – 0.4%
375,000	LendingTree, Inc. (a)	0.63%	06/01/22	492,683
	Trading Companies & Distributors – 0.6%
615,000	Kaman Corp. (a)	3.25%	05/01/24	692,713
	Transportation Infrastructure – 0.7%
820,000	Macquarie Infrastructure Corp.	2.88%	07/15/19	817,946
	Total Convertible Corporate Bonds			96,879,464
	(Cost $92,225,571)
Shares	Description	Stated Rate	Stated Maturity(c)	Value
CONVERTIBLE PREFERRED SECURITIES – 13.8%
	Banks – 4.8%
2,070	Bank of America Corp., Series L	7.25%	(d)	2,635,110
2,526	Wells Fargo & Co., Series L	7.50%	(d)	3,234,821
				5,869,931
	Capital Markets – 0.4%
7,850	AMG Capital Trust II	5.15%	10/15/37	482,775
	Electric Utilities – 1.3%
21,400	NextEra Energy, Inc.	6.37%	09/01/18	1,569,690
	Equity Real Estate Investment Trusts – 1.1%
925	Crown Castle International Corp., Series A	6.88%	08/01/20	948,765
7,500	Welltower, Inc., Series I	6.50%	(d)	419,850
				1,368,615
	Food Products – 0.5%
5,275	Bunge Ltd.	4.88%	(d)	572,338
	Health Care Equipment & Supplies – 2.0%
40,195	Becton Dickinson and Co., Series A	6.13%	05/01/20	2,425,768
	Internet Software & Services – 1.2%
7,675	Mandatory Exchangeable Trust (a)	5.75%	06/01/19	1,548,817
	Machinery – 1.4%
17,800	Rexnord Corp., Series A	5.75%	11/15/19	1,065,515
6,225	Stanley Black & Decker, Inc.	5.38%	05/15/20	669,188
				1,734,703
	Oil, Gas & Consumable Fuels – 1.1%
20,900	Hess Corp.	8.00%	02/01/19	1,358,918
	Total Convertible Preferred Securities			16,931,555
	(Cost $16,085,999)

See Notes to Financial Statements

Page 9

Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

Shares	Description	Value
COMMON STOCKS – 0.1%
	Banks – 0.1%
12,048	Huntington Bancshares, Inc.	$179,636
	(Cost $201,929)

	Total Investments – 92.7%		113,990,655
	(Cost $108,513,499) (e)

	Net Other Assets and Liabilities – 7.3%		8,910,625
	Net Assets – 100.0%		$122,901,280


(a)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under 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 SSI Investment Management Inc. (“SSI”), the Fund’s sub-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 April 30, 2018, securities noted as such amounted to $32,315,330 or 26.3% of net assets.
(b)	Zero coupon security.
(c)	Stated maturity represents the mandatory conversion date.
(d)	Perpetual maturity.
(e)	Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,686,428 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,209,272. The net unrealized appreciation was $5,477,156.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of April 30, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 4/30/2018	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Convertible Corporate Bonds*	$ 96,879,464	$ —	$ 96,879,464	$ —
Convertible Preferred Securities:
Capital Markets	482,775	—	482,775	—
Food Products	572,338	—	572,338	—
Internet Software & Services	1,548,817	—	1,548,817	—
Other industry categories*	14,327,625	14,327,625	—	—
Common Stocks*	179,636	179,636	—	—
Total Investments	$ 113,990,655	$ 14,507,261	$ 99,483,394	$—

*	See Portfolio of Investments for industry breakout.

All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at April 30, 2018.

Page 10

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Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Statement of Assets and Liabilities

April 30, 2018 (Unaudited)

ASSETS:
Investments, at value (Cost $108,513,499)	$ 113,990,655
Cash	8,778,053
Receivables:
Investment securities sold	514,914
Interest	301,868
Dividends	104,063
Total Assets	123,689,553
LIABILITIES:
Payables:
Investment securities purchased	693,476
Investment advisory fees	94,797
Total Liabilities	788,273
NET ASSETS	$122,901,280
NET ASSETS consist of:
Paid-in capital	$ 119,578,491
Par value	42,500
Accumulated net investment income (loss)	(1,685,679)
Accumulated net realized gain (loss) on investments	(511,188)
Net unrealized appreciation (depreciation) on investments	5,477,156
NET ASSETS	$122,901,280
NET ASSET VALUE, per share	$28.92
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)	4,250,002

See Notes to Financial Statements

Page 11

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First Trust SSI Strategic Convertible Securities ETF (FCVT)

Statement of Operations

For the Six Months Ended April 30, 2018 (Unaudited)

INVESTMENT INCOME:
Dividends		$ 387,628
Interest		(733,126)
Other		3
Total investment income		(345,495)
EXPENSES:
Investment advisory fees		365,465
Total expenses		365,465
NET INVESTMENT INCOME (LOSS)		(710,960)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments		301,143
Net change in unrealized appreciation (depreciation) on investments		252,022
NET REALIZED AND UNREALIZED GAIN (LOSS)		553,165
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$(157,795)

Page 12

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Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Statements of Changes in Net Assets

	Six Months Ended 4/30/2018 (Unaudited)	Year Ended 10/31/2017
OPERATIONS:
Net investment income (loss)	$ (710,960)	$ (656,089)
Net realized gain (loss)	301,143	831,724
Net change in unrealized appreciation (depreciation)	252,022	5,026,409
Net increase (decrease) in net assets resulting from operations	(157,795)	5,202,044
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income	(1,042,101)	(614,176)
Net realized gain	(111,585)	—
Total distributions to shareholders	(1,153,686)	(614,176)
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold	69,098,782	47,282,482
Cost of shares redeemed	(2,902,314)	(1,418,332)
Net increase (decrease) in net assets resulting from shareholder transactions	66,196,468	45,864,150
Total increase (decrease) in net assets	64,884,987	50,452,018
NET ASSETS:
Beginning of period	58,016,293	7,564,275
End of period	$122,901,280	$58,016,293
Accumulated net investment income (loss) at end of period	$(1,685,679)	$67,382
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period	2,000,002	300,002
Shares sold	2,350,000	1,750,000
Shares redeemed	(100,000)	(50,000)
Shares outstanding, end of period	4,250,002	2,000,002

See Notes to Financial Statements

Page 13

Table of Contents

First Trust SSI Strategic Convertible Securities ETF (FCVT)

Financial Highlights

For a share outstanding throughout each period

	Six Months Ended 4/30/2018 (Unaudited)	Year Ended 10/31/2017	Period Ended 10/31/2016 (a)
Net asset value, beginning of period	$ 29.01	$ 25.21	$ 25.00
Income from investment operations:
Net investment income (loss)	(0.01)	(0.14)	(0.24)
Net realized and unrealized gain (loss)	0.39	4.45	0.90
Total from investment operations	0.38	4.31	0.66
Distributions paid to shareholders from:
Net investment income	(0.42)	(0.51)	(0.45)
Net realized gain	(0.05)	—	—
Total distributions	(0.47)	(0.51)	(0.45)
Net asset value, end of period	$28.92	$29.01	$25.21
Total return (b)	1.33%	17.29%	2.68%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 122,901	$ 58,016	$ 7,564
Ratio of total expenses to average net assets	0.95% (c)	0.95%	0.95% (c)
Ratio of net investment income (loss) to average net assets	(1.85)% (c)	(1.86)%	(2.34)% (c)
Portfolio turnover rate (d)	35%	56%	54%

(a)	Inception date is November 3, 2015, which is consistent with the commencement of investment operations and is the date the initial creation units were established.
(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.
(c)	Annualized.
(d)	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.

Page 14

See Notes to Financial Statements

Table of Contents

Notes to Financial Statements

First Trust SSI Strategic Convertible Securities ETF (FCVT)

April 30, 2018 (Unaudited)

1. Organization

First Trust Exchange-Traded Fund IV (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on September 15, 2010, 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 consists of eight funds that are offering shares. This report covers the First Trust SSI Strategic Convertible Securities ETF (the “Fund”), a non-diversified series of the Trust, which trades under the ticker “FCVT” on The Nasdaq Stock Market LLC (“Nasdaq”). Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large specified blocks consisting of 50,000 shares called a “Creation Unit.” Creation Units are issued and redeemed for cash and, in certain circumstances, in-kind for securities in which the Fund invests. Except when aggregated in Creation Units, the Fund’s shares are not redeemable securities.

The Fund is an actively managed exchange-traded fund. The investment objective of the Fund is to seek total return. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in a portfolio U.S. and non-U.S. convertible securities.

2. Significant Accounting Policies

The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

A. Portfolio Valuation

The Fund’s 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. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Domestic debt securities are priced using data reflecting the earlier closing of the principal markets for those securities.The Fund’s 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 the 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 Portfolio of Investments. The Fund’s investments are valued as follows:

Convertible preferred stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities.

Convertible corporate bonds, notes and other debt securities are fair valued on the basis of valuations provided by dealers who make markets in such securities or by a third-party pricing service approved by the Trust’s Board of Trustees, which may use the following valuation inputs when available:

1)	benchmark yields;
2)	reported trades;
3)	broker/dealer quotes;
4)	issuer spreads;
5)	benchmark securities;
6)	bids and offers; and
7)	reference data including market research publications.

Page 15

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Notes to Financial Statements (Continued)

First Trust SSI Strategic Convertible Securities ETF (FCVT)

April 30, 2018 (Unaudited)

Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price.

Fixed income and other debt securities having a remaining maturity of sixty 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.

Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust’s Board of Trustees or its delegate, the Advisor’s Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities.

Fair valuation of a debt security will be based on the consideration of all available information, including, but not limited to, the following:

1)	the fundamental business data relating to the issuer;
2)	an evaluation of the forces which influence the market in which these securities are purchased and sold;
3)	the type, size and cost of security;
4)	the financial statements of the issuer;
5)	the credit quality and cash flow of the issuer, based on the sub-advisor’s or external analysis;
6)	the information as to any transactions in or offers for the security;
7)	the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;
8)	the coupon payments;
9)	the quality, value and salability of collateral, if any, securing the security;
10)	the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only);
11)	the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and
12)	other relevant factors.

Fair valuation of an equity security will be based on the consideration of all available information, including, but not limited to the following:

1)	the type of security;
2)	the size of the holding;
3)	the initial cost of the security;
4)	transactions in comparable securities;
5)	price quotes from dealers and/or third-party pricing services;
6)	relationships among various securities;
7)	information obtained by contacting the issuer, analysts, or the appropriate stock exchange;

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April 30, 2018 (Unaudited)

8)	an analysis of the issuer’s financial statements; and
9)	the existence of merger proposals or tender offers that might affect the value of the security.

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. 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.
•	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.

•	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 April 30, 2018, is included with the Fund’s Portfolio of Investments.

B. Securities Transactions and Investment Income

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.

The Fund invests in convertible securities that are acquired at a price significantly above the principal value. Consequently, the amortization of premium may exceed the interest income earned on the securities.

C. Dividends and Distributions to Shareholders

Dividends from net investment income, if any, are declared and paid monthly by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the Fund, if any, are distributed at least annually.

Distributions from income and capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.

The tax character of distributions paid by the Fund during the fiscal year ended October 31, 2017, was as follows:

Distributions paid from:
Ordinary income	$614,176

As of October 31, 2017, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	$359,203
Accumulated capital and other losses	111,567
Net unrealized appreciation (depreciation)	4,121,000

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April 30, 2018 (Unaudited)

D. Income Taxes

The Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.

The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At October 31, 2017, the Fund had no non-expiring capital loss carryforwards for federal income tax purposes.

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the year ended October 31, 2017, the Fund had no net ordinary losses.

The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2016 and 2017 remain open to federal and state audit. As of April 30, 2018, management has evaluated the application of these standards to the Fund, and has determined that no provision for income tax is required in the Fund’s financial statements for uncertain tax positions.

E. Expenses

Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (See Note 3).

F. New and Amended Financial Reporting Rules and Forms

On October 13, 2016, the SEC adopted new rules and forms, and amended existing rules and forms. The new and amended rules and forms are intended to modernize the reporting of information provided by funds and to improve the quality and type of information that funds provide to the SEC and investors. In part, the new and amended rules and forms amend Regulation S-X and require standardized, enhanced disclosures about derivatives in a fund’s financial statements, as well as other amendments. The compliance date for the amendments of Regulation S-X was August 1, 2017, which resulted in no change to the financial statements. The new form types and other rule amendments will be effective for the First Trust funds, including the Fund, for reporting periods beginning on and after June 1, 2018. Management is evaluating the new form types and other rule amendments that are effective on and after June 1, 2018 to determine the impact to the Fund.

3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements

First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for supervising the selection and ongoing monitoring of the securities in the Fund’s portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

The Fund and First Trust have retained SSI Investment Management Inc. (“SSI” or the “Sub-Advisor”), to serve as its investment sub-advisor. In this capacity, SSI is responsible for the selection and on-going monitoring of the securities in the Fund’s investment portfolio. Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust will supervise SSI and its management of the investment of the Fund’s assets and will pay SSI for its services as the Fund’s sub-advisor. First Trust will also be responsible for the Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a 12b-1 plan, if any, and extraordinary expenses. The Fund has agreed to pay First Trust an annual unitary management fee equal to 0.95% of its average daily net assets. SSI receives a sub-advisory fee from First Trust. First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250, which is covered under the annual unitary management fee.

The Trust has multiple service agreements with Brown Brothers Harriman & Co. (“BBH”). Under the service agreements, BBH performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BBH is responsible for custody of the Fund’s assets. As fund accountant and administrator, BBH is responsible for maintaining the books and records of the Fund’s securities and cash. As transfer agent, BBH is responsible for maintaining shareholder records for the Fund.

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Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, or is an index fund.

Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.

4. Purchases and Sales of Securities

The cost of purchases and proceeds from sales of securities, excluding short-term investments and in-kind transactions, for the six months ended April 30, 2018, were $84,408,480 and $27,199,268, respectively.

For the six months ended April 30, 2018, the Fund had no in-kind transactions.

5. Creations, Redemptions and Transaction Fees

Shares are created and redeemed by the Fund only in Creation Unit size aggregations of 50,000 shares in transactions with broker-dealers or large institutional investors that have entered into a participation agreement (an “Authorized Participant”). In order to purchase Creation Units of the Fund, an Authorized Participant must deposit (i) a designated portfolio of securities determined by First Trust (the “Deposit Securities”) and generally make or receive a cash payment referred to as the “Cash Component,” which is an amount equal to the difference between the NAV of the Fund shares (per Creation Unit Aggregation) and the market value of the Deposit Securities, and/or (ii) cash in lieu of all or a portion of the Deposit Securities. If the Cash Component is a positive number (i.e., the NAV per Creation Unit Aggregation exceeds the Deposit Amount), the Authorized Participant will deliver the Cash Component. If the Cash Component is a negative number (i.e., the NAV per Creation Unit Aggregation is less than the Deposit Amount), the Authorized Participant will receive the Cash Component. Authorized Participants purchasing Creation Units must pay to BBH, as transfer agent, a creation transaction fee (the “Creation Transaction Fee”) regardless of the number of Creation Units purchased in the transaction. The Creation Transaction Fee may vary and is based on the composition of the securities included in the Fund’s portfolio and the countries in which the transactions are settled. The Creation Transaction Fee is currently $500. The price for each Creation Unit will equal the daily NAV per share times the number of shares in a Creation Unit plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees or stamp taxes. When the Fund permits an Authorized Participant to substitute cash or a different security in lieu of depositing one or more of the requisite Deposit Securities, the Authorized Participant may also be assessed an amount to cover the cost of purchasing the Deposit Securities and/or disposing of the substituted securities, including operational processing and brokerage costs, transfer fees, stamp taxes, and part or all of the spread between the expected bid and offer side of the market related to such Deposit Securities and/or substitute securities.

Authorized Participants redeeming Creation Units must pay to BBH, as transfer agent, a redemption transaction fee (the “Redemption Transaction Fee”), regardless of the number of Creation Units redeemed in the transaction. The Redemption Transaction Fee may vary and is based on the composition of the securities included in the Fund’s portfolio and the countries in which the transactions are settled. The Redemption Transaction Fee is currently $500. The Fund reserves the right to effect redemptions in cash. An Authorized Participant may request cash redemption in lieu of securities; however, the Fund may, in its discretion, reject any such request.

6. Distribution Plan

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. (“FTP”), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or to provide investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before March 31, 2019.

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7. Indemnification

The Trust, on behalf of the Fund, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

8. Subsequent Events

Management has evaluated the impact of all subsequent events to the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.

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Additional Information

First Trust SSI Strategic Convertible Securities ETF (FCVT)

April 30, 2018 (Unaudited)

Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Fund’s website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.

Portfolio Holdings

The Trust files its complete schedule of the Fund’s portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trust’s Form N-Qs are available (1) by calling (800) 988-5891; (2) on the Fund’s website at www.ftportfolios.com; (3) on the SEC’s website at www.sec.gov; and (4) for review and copying at the SEC’s Public Reference Room (“PRR”) in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330.

Risk Considerations

Risks are inherent in all investing. You should consider the Fund’s investment objective, risks, charges and expenses carefully before investing. You can download the Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about the Fund. For additional information about the risks associated with investing in the Fund, please see the Fund’s statement of additional information, as well as other regulatory filings. Read these documents carefully before you invest. First Trust Portfolios L.P. is the distributor of the First Trust Exchange-Traded Fund IV.

The following summarizes some of the risks that should be considered for the Fund.

AUTHORIZED PARTICIPANT CONCENTRATION RISK. Only an authorized participant (as defined in the “Creations, Redemptions and Transaction Fees” Note to Financial Statements) may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of institutions that act as authorized participants. To the extent that these institutions exit the business or are unable to proceed with creation and/or redemption orders with respect to the Fund and no other authorized participant is able to step forward to create or redeem, in either of these cases, Fund shares may trade at a discount to the Fund’s net asset value and possibly face delisting.

BDC RISK. The Fund may invest in business development companies (“BDCs”) which may carry risks similar to those of a private equity or venture capital fund. Investments in BDCs may be subject to price volatility and lack of liquidity. Debt securities and preferred securities issued by BDCs may be rated below investment grade (referred to as “junk” bonds), including in the lowest possible rating category, or unrated. Shares of BDCs are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. Moreover, a shareholder of a BDC will indirectly bear its pro rata share of the fees and expenses incurred by the BDC in which it invests, including advisory fees. The BDCs held by the Fund may employ the use of leverage through borrowings or the issuance of preferred stock. This leverage also subjects a BDC to increased risks, including the likelihood of increased volatility and the possibility that a BDC’s common share income will fall if the dividend rate of the preferred shares or the interest rate on any borrowings rises. The loss on a leveraged investment may far exceed the principal amount invested. Moreover, the use of leverage may result in a BDC having to liquidate holdings when it may not be advantageous to do so. Investments in BDCs include risks associated with their holdings of smaller issuers and private companies. A BDC may make investments with a larger amount of risk of volatility and loss of principal than other investment options and may also be highly speculative and aggressive. For example, BDCs may invest in the debt of a company, which involves risk that the company may default on its payments or declare bankruptcy, and many of the debt instruments in which a BDC may invest will not be rated by a credit rating agency and may be below investment grade quality (referred to as “junk” bonds). A BDC’s investments are generally less liquid than publicly traded securities and are subject to restrictions on their resale. The illiquidity of a BDC’s holdings may make it difficult for the BDC to sell such investments if the need arises, and thus the BDC may be unable to take advantage of market opportunities or it may be forced to sell illiquid securities at a loss if it is required to raise cash for operations. Some BDCs are listed and trade on an exchange and other BDCs are not traded on an exchange and trade only in private transactions. BDCs that are not traded on an exchange may be less liquid than those that are traded on an exchange. An investment in BDCs may result in a complete loss of the investment.

CASH TRANSACTIONS RISK. The Fund will, under most circumstances, effect a significant portion of creations and redemptions for cash, rather than in-kind securities. As a result, an investment in the Fund may be less tax-efficient than an investment in an ETF that effects its creations and redemptions for in-kind securities. Because the Fund may effect a portion of redemptions for cash, it may be required to sell portfolio securities in order to obtain the cash needed to distribute redemption proceeds. A sale of shares may result in capital gains or losses and may also result in higher brokerage costs.

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April 30, 2018 (Unaudited)

CONVERTIBLE SECURITIES RISK. Convertible securities have characteristics of both equity and debt securities and, as a result, are exposed to certain additional risks. If a convertible security held by the Fund is called for redemption or conversion, the Fund could be required to tender it for redemption, convert it into the underlying equity security or sell it to a third party, which may have an adverse effect on the Fund’s ability to achieve its investment objective. The market values of convertible securities tend to decline as interest rates increase. However, a convertible security’s market value also tends to reflect the market price of the equity security of the issuing company, particularly when the price of the equity security is greater than the convertible security’s conversion price (i.e., the predetermined price or exchange ratio at which the convertible security can be converted or exchanged for the underlying equity security). Convertible securities are also exposed to the risk that an issuer is unable to meet its obligation to make dividend or principal payments when due as a result of changing financial or market conditions. Convertible securities generally offer lower interest or dividend yields than non-convertible debt securities of similar credit quality because of their potential for capital appreciation. Moreover, there can be no assurance that convertible securities will provide current income prior to conversion because the issuers of the convertible securities may default on their obligations.

Mandatory convertible securities are a subset of convertible securities. The conversion of such securities is not optional, and the conversion price at maturity is based solely upon the market price of the underlying equity security, which may be significantly less than par or the price (above or below par) paid. Mandatory convertible securities generally are subject to a greater risk of loss of value than securities convertible at the option of the holder.

Contingent convertible securities (which generally provide for conversion under certain circumstances) are also a subset of convertible securities. They may have some of the characteristics of high yield bonds (referred to as “junk” bonds), while providing exposure to equity-like losses and volatility. Similar to mandatory convertible securities (and unlike traditional convertible securities), some contingent convertible securities provide for mandatory conversion under certain circumstances. The mandatory conversion might be automatically triggered, for instance, if a company fails to meet the minimum amount of capital described in the security, the company’s regulator makes a determination that the security should convert or the company receives specified levels of extraordinary public support. Additionally, contingent convertible securities may contain features that limit an investor’s ability to convert the security into the underlying equity security unless certain conditions are met. A typical feature may require that a security be convertible only when the sale price of the underlying common stock exceeds the conversion price by a specified percentage (e.g., the sale price of the common stock is greater than or equal to 130% of the conversion price) for a certain specified period of time (e.g., for at least 20 days during a span of 30 consecutive days in a month), or upon the occurrence of certain other specified conditions. Also, since the common stock of the issuer may not pay a dividend, investors in these instruments could experience a reduced income rate, potentially to zero, and conversion would deepen the subordination of the investor, hence worsening standing in a bankruptcy. Further, some contingent convertible securities have a set stock conversion rate that would cause a reduction in value of the security if the price of the stock is below the conversion price on the conversion date. Additionally, some contingent convertible securities have characteristics designed to absorb losses, where the liquidation value of the security may be adjusted downward to below the original par value or written off entirely under certain circumstances. The write-down of the security’s par value may occur automatically and would not entitle holders to institute bankruptcy proceedings against the issuer. In addition, an automatic write-down could result in a reduced income rate if the dividend or interest payment associated with the security is based on the security’s par value. Moreover, various contingent convertible securities may contain features that limit an investor’s ability to convert the security unless certain conditions are met.

The values of certain synthetic convertible securities will respond differently to market fluctuations than a traditional convertible security because such synthetic convertibles are composed of two or more separate securities or instruments, each with its own market value. In addition, if the value of the underlying equity security or the level of the index involved in the convertible component falls below the exercise price of the warrant or option, the warrant or option may lose all value. Synthetic convertible securities created by other parties generally have economic characteristics similar to those of a traditional convertible security; however, the issuer of the synthetic convertible security assumes the credit risk associated with the investment, rather than the issuer of the underlying equity security into which the instrument is convertible. Therefore, the Fund is subject to the credit risk associated with the counterparty creating the synthetic convertible instrument. Synthetic convertible securities may also be subject to additional liquidity risk and to the risks associated with derivatives.

CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer’s ability to make such payments. Credit risk may be heightened if the Fund invests in “high yield” or “junk” securities; such securities involve greater risks than investment grade debt securities with similar maturities, including the possibility of dividend or interest deferral, default or bankruptcy, and are regarded as predominantly speculative with respect to the issuer’s capacity to pay dividends or interest and repay principal.

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CURRENCY RISK. The Fund may hold investments that are denominated in non-U.S. currencies, or in securities that provide exposure to such currencies, currency exchange rates or interest rates denominated in such currencies. Changes in currency exchange rates and the relative value of non-U.S. currencies will affect the value of the Fund’s investments and the value of Fund shares. Currency exchange rates can be very volatile and can change quickly and unpredictably. As a result, the value of an investment in the Fund may change quickly and without warning and you may lose money.

CYBER SECURITY RISK. As the use of Internet technology has become more prevalent in the course of business, the Fund has become more susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. The Fund has established risk management systems designed to reduce the risks associated with cyber security. However, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

DEBT SECURITIES RISK. An investment in the Fund involves risk associated with an investment in debt securities including the risk that certain of the securities in the Fund may not have the benefit of covenants that would prevent the issuer from engaging in capital restructurings or borrowing transactions in connection with corporate acquisitions, leveraged buyouts or restructurings. This limitation could reduce the ability of the issuer to meet its payment obligations and might result in increased credit risk. In addition, certain of the securities may be redeemed or prepaid by the issuer, resulting in lower interest payments received by the Fund and reduced distributions to shareholders.

DEPOSITARY RECEIPTS RISK. Depositary receipts may be less liquid than the underlying shares in their primary trading market. Any distributions paid to the holders of depositary receipts are usually subject to a fee charged by the depositary. Holders of depositary receipts may have limited voting rights, and investment restrictions in certain countries may adversely impact the value of depositary receipts because such restrictions may limit the ability to convert shares into depositary receipts and vice versa. Such restrictions may cause shares of the underlying issuer to trade at a discount or premium to the market price of the depositary receipts.

DERIVATIVES RISK. The use of swaps, options, futures contracts, forward contracts and other derivatives can lead to losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivatives. These risks are heightened when the Fund’s portfolio managers use derivatives to enhance the Fund’s return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the Fund.

EQUITY SECURITIES RISK. The Fund may hold equity securities in its portfolio through direct investments in equity securities or upon conversion of a convertible security. The value of the Fund’s shares will fluctuate with changes in the value of these equity securities. Equity securities prices fluctuate for several reasons, including changes in investors’ perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase.

ETN RISK. Exchange-Traded Notes (“ETNs”) are senior, unsecured, unsubordinated debt securities whose returns are linked to the performance of a particular market benchmark or strategy minus applicable fees. ETNs are subject to credit risk, and the value of the ETN may drop due to a downgrade in the issuer’s credit rating, despite the underlying market benchmark or strategy remaining unchanged. The value of an ETN may also be influenced by time to maturity, level of supply and demand for the ETN, volatility and lack of liquidity in underlying assets, changes in the applicable interest rates, changes in the issuer’s credit rating and economic, legal, political or geographic events that affect the referenced underlying asset.

FLUCTUATION OF NET ASSET VALUE RISK. The net asset value of shares of the Fund will generally fluctuate with changes in the market value of the Fund’s holdings. The market prices of shares will generally fluctuate in accordance with changes in net asset value as well as the relative supply of and demand for shares on the Exchange. The Fund’s investment advisor cannot predict whether shares will trade below, at or above their net asset value because the shares trade on the Exchange at market prices and not at net asset value. Price differences may be due, in large part, to the fact that supply and demand forces at work in the secondary trading market for shares will be closely related to, but not identical to, the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that shares can only be purchased and redeemed either in-kind or for cash in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation

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agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Fund’s investment advisor believes that large discounts or premiums to the net asset value of shares should not be sustained.

FORWARD CURRENCY EXCHANGE CONTRACTS RISK. Forward foreign currency exchange contracts involve certain risks, including the risk of failure of the counterparty to perform its obligations under the contract and the risk that the use of forward contracts may not serve as a complete hedge because of an imperfect correlation between movements in the prices of the contracts and the prices of the currencies hedged. While forward foreign currency contracts may limit the risk of loss due to a decline in the value of the hedged currencies, they also may limit any potential gain that might result should the value of the currencies increase.

FUTURES CONTRACTS RISK. The primary risks associated with the use of futures contracts are (i) the imperfect correlation between the change in market value of the instruments held by the Fund and the price of the futures contract; (ii) possible lack of a liquid secondary market for a futures contract and the resulting inability to close a futures contract when desired; (iii) losses caused by unanticipated market movements, which are potentially unlimited; (iv) the sub-advisor’s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic factors; (v) the possibility that the counterparty will default in the performance of its obligations; and (vi) if the Fund has insufficient cash, it may have to sell securities from its portfolio to meet daily variation margin requirements, and the Fund may have to sell securities at a time when it may be disadvantageous to do so.

HIGH YIELD SECURITIES RISK. High yield securities, or “junk” bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and therefore, are considered to be highly speculative. These securities are issued by companies that may have limited operating history, narrowly focused operations and/or other impediments to the timely payment of periodic interest and principal at maturity. If the economy slows down or dips into recession, the issuers of high yield securities may not have sufficient resources to continue making timely payment of periodic interest and principal at maturity. The market for high yield securities is generally smaller and less liquid than that for investment grade securities. High yield securities are generally not listed on a national securities exchange but trade in the over-the-counter markets. Due to the smaller, less liquid market for high yield securities, the bid-offer spread on such securities is generally greater than it is for investment grade securities and the purchase or sale of such securities may take longer to complete. In general, high yield securities may have a greater risk of default than other types of securities.

ILLIQUID SECURITIES RISK. Illiquid securities involve the risk that the securities will not be able to be sold at the time desired by the Fund or at prices approximately the value at which the Fund values the securities.

INCOME RISK. Income from the Fund’s fixed income investments could decline during periods of falling interest rates.

INDEX CREDIT DEFAULT SWAPS RISK. Index credit default swap transactions involve greater risks than if the Fund had invested in the reference obligations directly. In addition to general market risks, index credit default swaps are subject to liquidity risk, counterparty risk and credit risks. With respect to a reference obligation, a buyer will lose its investment and recover nothing should no event of default occur. For a seller, if an event of default were to occur, the value of the reference obligation received by the seller, coupled with the periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value. When the Fund acts as a seller of an index credit default swap agreement, it is exposed to the risks of leverage since if an event of default occurs with respect to a reference obligation, the seller must pay the buyer the full notional value of the reference obligation.

INFORMATION TECHNOLOGY COMPANIES RISK. Information technology companies are generally subject to the following risks: rapidly changing technologies; short product life cycles; fierce competition; aggressive pricing and reduced profit margins; the loss of patent, copyright and trademark protections; cyclical market patterns; evolving industry standards; and frequent new product introductions. Information technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. Information technology company stocks, especially those which are Internet related, have experienced extreme price and volume fluctuations that are often unrelated to their operating performance.

INTEREST RATE RISK. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer term debt securities. Duration is a measure of the expected price volatility of a debt instrument as a result of changes in market rates of interest, based on, among other factors, the weighted average timing of the instrument’s expected principal and interest payments. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

Page 24

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Additional Information (Continued)

First Trust SSI Strategic Convertible Securities ETF (FCVT)

April 30, 2018 (Unaudited)

MANAGEMENT RISK. The Fund is subject to management risk because it is an actively managed portfolio. In managing the Fund’s investment portfolio, the Fund’s Sub-Advisor will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that the Fund will meet its investment objective.

MARKET MAKER RISK. If the Fund has lower average daily trading volumes, it may rely on a small number of third-party market makers to provide a market for the purchase and sale of shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Fund’s shares are trading on the Exchange which could result in a decrease in value of the Fund’s shares. In addition, decisions by market makers or authorized participants to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Fund shares trading at a discount to net asset value and also in greater than normal intraday bid-ask spreads for Fund shares.

MARKET RISK. Market risk is the risk that a particular security owned by the Fund or shares of the Fund in general may fall in value. Securities are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments.

NON-DIVERSIFICATION RISK. The Fund is classified as “non-diversified” under the 1940 Act. As a result, the Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Internal Revenue Code of 1986, as amended. The Fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the Fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly invested in certain issuers.

NON-U.S. SECURITIES RISK. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to possible adverse political, social or economic developments, restrictions on foreign investment or exchange of securities, lack of liquidity, currency exchange rates, excessive taxation, government seizure of assets, different legal or accounting standards, and less government supervision and regulation of exchanges in foreign countries.

PREFERRED SECURITIES RISK. Preferred securities combine some of the characteristics of both common stocks and bonds. Preferred securities are typically subordinated to bonds and other debt instruments in a company’s capital structure, in terms of priority to corporate income, and therefore will be subject to greater credit risk than those debt instruments. Preferred securities are also subject to credit risk, interest rate risk and income risk.

RESTRICTED SECURITIES RISK. Investments in restricted securities could have the effect of increasing the amount of the Fund’s assets invested in illiquid securities if qualified institutional buyers are unwilling to purchase these securities. Illiquid and restricted securities may be difficult to dispose of at the price at which the Fund has valued the securities and at the times when the Fund believes it is desirable to do so. The market price of illiquid and restricted securities generally is more volatile than that of more liquid securities, which may adversely affect the price that the Fund recovers upon the sale of such securities. Investment of the Fund’s assets in illiquid and restricted securities may restrict the Fund’s ability to take advantage of market opportunities.

TRADING ISSUES RISK. Although the shares of the Fund are listed for trading on the Exchange, there can be no assurance that an active trading market for such shares will develop or be maintained. Trading in shares on the Exchange may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading in shares inadvisable. In addition, trading in shares on the Exchange is subject to trading halts caused by extraordinary market volatility pursuant to the Exchange’s “circuit breaker” rules. Market makers are under no obligation to make a market in the Fund’s shares, and authorized participants are not obligated to submit purchase or redemption orders for Creation Units. There can be no assurance that the requirements of the Exchange necessary to maintain the listing of the Fund will continue to be met or will remain unchanged. In particular, if the Fund does not comply with any provision of the listing standards of the Exchange that are applicable to the Fund, and cannot bring itself into compliance within a reasonable period after discovering the matter, the Exchange may remove the shares of the Fund from listing. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small or the Fund does not have enough shareholders.

WARRANTS RISK. The prices of warrants, which entitle the holder to purchase equity securities at specific prices for a certain period of time, do not necessarily move parallel to the prices of the underlying securities and likely fluctuate more than the prices of the underlying securities. Warrants have no voting rights, receive no dividends, and have no rights with respect to the assets of the issuer.

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INVESTMENT ADVISOR

First Trust Advisors L.P.

120 E. Liberty Drive, Suite 400

Wheaton, IL 60187

INVESTMENT SUB-ADVISOR

SSI Investment Management Inc.

9440 Santa Monica Blvd, 8th Floor

Beverly Hills, CA 90210

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT

Brown Brothers Harriman & Co.

50 Post Office Square

Boston, MA 02110

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM

Deloitte & Touche LLP

111 S. Wacker Drive

Chicago, IL 60606

LEGAL COUNSEL

Chapman and Cutler LLP

111 W. Monroe Street

Chicago, IL 60603

Table of Contents

First Trust Exchange-Traded Fund IV

First Trust Heitman Global Prime Real Estate ETF (PRME)

Semi-Annual Report
For the Six Months Ended
April 30, 2018

Table of Contents

First Trust Heitman Global Prime Real Estate ETF (PRME)

Semi-Annual Report

April 30, 2018

Shareholder Letter	1
Fund Performance Overview	2
Portfolio Management	4
Understanding Your Fund Expenses	5
Portfolio of Investments	6
Statement of Assets and Liabilities	8
Statement of Operations	9
Statements of Changes in Net Assets	10
Financial Highlights	11
Notes to Financial Statements	12
Additional Information	18

Caution Regarding Forward-Looking Statements

This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and/or Heitman Real Estate Securities LLC (“Heitman” or the “Sub-Advisor”) and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund IV (the “Trust”) described in this report (First Trust Heitman Global Prime Real Estate ETF; hereinafter referred to as the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Performance and Risk Disclosure

There is no assurance that the Fund will achieve its investment objective. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund.

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at www.ftportfolios.com.

How to Read This Report

This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund’s performance and investment approach.

The statistical information that follows may help you understand the Fund’s performance compared to that of a relevant market benchmark.

It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.

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Shareholder Letter

First Trust Heitman Global Prime Real Estate ETF (PRME)

Semi-Annual Letter from the Chairman and CEO

April 30, 2018

Dear Shareholders:

First Trust is pleased to provide you with the semi-annual report for the First Trust Heitman Global Prime Real Estate ETF, which contains detailed information about your investment for the period ended April 30, 2018. We encourage you to read this report carefully and discuss it with your financial advisor.

•	The S&P 500^® Index did something it had never previously done, finishing 2017 with 12 months of gains;
•	The Dow Jones Industrial Average achieved a milestone as well, closing above 24,000 for the first time ever on November 30;
•	The Nasdaq Composite set a record by having 11 months of gains in 2017 (June was the only down month, and by just 0.86%); and
•	The MSCI AC World Index (containing constituents from 47 countries) ended 2017 at an all-time high and was up 22% at year-end.

This market volatility is why we believe that one should invest for the long term and be prepared for market movements, which can happen at any time. This can be accomplished by keeping current on your portfolio and investing goals and by speaking regularly with your investment professional. It’s important to keep in mind that past performance of the U.S. and global stock markets or investment products can never guarantee future results. As we’ve said before, markets go up and they also go down, but savvy investors are prepared for either through careful attention to their portfolios and investment goals.

At First Trust, we continue to be optimistic about the U.S. economy and we thank you for giving us the opportunity to be a part of your financial plan. We value our relationship with you and will report on your investment again in six months.

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

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Fund Performance Overview (Unaudited)

First Trust Heitman Global Prime Real Estate ETF (PRME)

First Trust Heitman Global Prime Real Estate ETF (the “Fund”) is an actively managed exchange-traded fund that seeks to deliver long-term total return by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings) in U.S. and non-U.S. exchange-traded real estate securities, which includes real estate investment trusts (“REITs”), real estate operating companies (“REOCs”) and common stocks or depositary receipts of companies primarily engaged in the real estate industry. Accordingly, the Fund is concentrated in REITs and/or real estate management and development companies (including REOCs), sub-industries of the real estate industry group. The Fund will not invest directly in real estate. The Fund is non-diversified. Shares of the Fund are listed on the NYSE Arca, Inc. under the ticker symbol “PRME.”

Performance
			Average Annual Total Returns	Cumulative Total Returns
	6 Months Ended 4/30/18	1 Year Ended 4/30/18	Inception (11/11/15) to 4/30/18	Inception (11/11/15) to 4/30/18
Fund Performance
NAV	2.51%	6.00%	3.89%	9.87%
Market Price	1.21%	4.83%	3.14%	7.93%
Index Performance
FTSE EPRA/NAREIT Developed Index	1.83%	5.14%	6.56%	16.97%

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. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the index. 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. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund’s past performance is no guarantee of future performance.

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Fund Performance Overview (Unaudited) (Continued)

First Trust Heitman Global Prime Real Estate ETF (PRME) (Continued)

Sub-Industry Classification	% of Total Investments
Office REITs	22.5%
Retail REITs	18.5
Industrial REITs	14.1
Diversified Real Estate Activities	10.8
Residential REITs	10.4
Real Estate Operating Companies	9.7
Diversified REITs	8.9
Specialized REITs	3.1
IT Consulting & Other Services	2.0
Total	100.0%

Top Ten Holdings	% of Total Investments
AvalonBay Communities, Inc.	7.3%
Prologis, Inc.	6.0
Sun Hung Kai Properties Ltd.	4.6
Simon Property Group, Inc.	4.5
Fabege AB	3.9
Federal Realty Investment Trust	3.7
Rexford Industrial Realty, Inc.	3.4
Kilroy Realty Corp.	3.3
Inmobiliaria Colonial Socimi S.A.	3.2
Hudson Pacific Properties, Inc.	3.1
Total	43.0%

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 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.

Frequency Distribution of Discounts and Premiums

Bid/Ask Midpoint vs. NAV through April 30, 2018

The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period November 12, 2015 (commencement of trading) through April 30, 2018. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results.

Number of Days Bid/Ask Midpoint At/Above NAV
For the Period	0.00%–0.49%	0.50%–0.99%	1.00%–1.99%	>=2.00%
11/12/15 - 10/31/16	106	5	0	0
11/1/16 - 10/31/17	32	10	0	0
11/1/17 - 4/30/18	14	12	3	1
Number of Days Bid/Ask Midpoint Below NAV
For the Period	0.00%–0.49%	0.50%–0.99%	1.00%–1.99%	>=2.00%
11/12/15 - 10/31/16	123	8	2	0
11/1/16 - 10/31/17	68	103	31	7
11/1/17 - 4/30/18	23	42	23	5

Page 3

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Portfolio Management

First Trust Heitman Global Prime Real Estate ETF (PRME)

Semi-Annual Report

April 30, 2018 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust”) is the investment advisor to the First Trust Heitman Global Prime Real Estate ETF (the “Fund”). First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

Sub-Advisor

Heitman Real Estate Securities LLC, a registered investment advisor (the “Sub-Advisor”) located in Chicago, Illinois, serves as the subadvisor to the Fund with responsibility for North America. Heitman International Real Estate Securities HK Limited and Heitman International Real Estate Securities GmbH, each a registered investment advisor located in Hong Kong and Germany, respectively, and each an affiliate of the Sub-Advisor, serve as sub-sub-advisors to the Fund with responsibility for investments in the Asia-Pacific region and Europe.

Portfolio Management Team

Jerry Ehlinger, CFA – Managing Director of the Sub-Advisor and Lead Portfolio Manager in the North American Public Real Estate Securities

John White – Managing Director of Heitman International Real Estate Securities HK Limited and Lead Portfolio Manager in the Asia-Pacific Public Real Estate Securities

Jacques Perdrix – Senior Vice President of the Sub-Advisor’s European Public Real Estate Securities group

Andreas Welter – Senior Vice President of the Sub-Advisor’s European Public Real Estate Equity group

Page 4

Table of Contents

First Trust Heitman Global Prime Real Estate ETF (PRME)

Understanding Your Fund Expenses

April 30, 2018 (Unaudited)

As a shareholder of the First Trust Heitman Global Prime Real Estate ETF (the “Fund”), 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 Fund and to compare these costs with the ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended April 30, 2018.

Actual Expenses

The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the expenses you paid on your account during this six-month period.

Hypothetical Example for Comparison Purposes

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value November 1, 2017	Ending Account Value April 30, 2018	Annualized Expense Ratio Based on the Six-Month Period	Expenses Paid During the Six-Month Period (a)
First Trust Heitman Global Prime Real Estate ETF (PRME)
Actual	$1,000.00	$1,025.10	0.95%	$4.77
Hypothetical (5% return before expenses)	$1,000.00	$1,020.08	0.95%	$4.76

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2017 through April 30, 2018), multiplied by 181/365 (to reflect the six-month period).

Page 5

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First Trust Heitman Global Prime Real Estate ETF (PRME)

Portfolio of Investments

April 30, 2018 (Unaudited)

Shares	Description	Value
REAL ESTATE INVESTMENT TRUSTS (a) – 77.1%
	Australia – 6.8%
2,965	Goodman Group (b)	$20,173
5,209	GPT (The) Group (b)	18,888
9,423	Scentre Group (b)	28,481
		67,542
	France – 3.8%
83	Gecina S.A. (b)	14,388
99	Unibail-Rodamco SE (b)	23,767
		38,155
	Ireland – 2.5%
13,623	Hibernia REIT PLC	24,413
	Japan – 5.5%
6	Activia Properties, Inc. (b)	26,588
5	Nippon Building Fund, Inc. (b)	28,095
		54,683
	Singapore – 2.3%
8,000	CapitaLand Commercial Trust (b)	10,930
12,000	Mapletree Logistics Trust (b)	11,464
		22,394
	Spain – 3.2%
2,703	Inmobiliaria Colonial Socimi S.A. (b)	31,409
	United Kingdom – 5.2%
404	Derwent London PLC (b)	17,719
521	Hammerson PLC (b)	3,928
1,143	Shaftesbury PLC (b)	15,903
6,885	Tritax Big Box REIT PLC (b)	14,189
		51,739
	United States – 47.8%
499	Acadia Realty Trust	11,776
204	Alexandria Real Estate Equities, Inc.	25,412
444	AvalonBay Communities, Inc.	72,372
290	CoreSite Realty Corp.	30,189
1,040	Empire State Realty Trust, Inc.	18,117
488	Equity Residential	30,115
314	Federal Realty Investment Trust	36,377
898	GGP, Inc.	17,951
930	Hudson Pacific Properties, Inc.	30,569
457	Kilroy Realty Corp.	32,753
911	Prologis, Inc.	59,133
1,112	Rexford Industrial Realty, Inc.	33,972
286	Simon Property Group, Inc.	44,713
299	Vornado Realty Trust	20,341

Shares	Description	Value


	United States (Continued)
350	Washington Real Estate Investment Trust	$10,052
		473,842
	Total Real Estate Investment Trusts	764,177
	(Cost $786,949)
COMMON STOCKS (a) – 22.4%
	Canada – 2.9%
1,825	First Capital Realty, Inc.	28,528
	Cayman Islands – 2.9%
3,896	Wharf Real Estate Investment Co., Ltd. (b)	29,211
	Hong Kong – 4.5%
2,796	Sun Hung Kai Properties Ltd. (b)	45,028
	Japan – 6.2%
1,184	Mitsubishi Estate Co., Ltd. (b)	21,635
599	Mitsui Fudosan Co., Ltd. (b)	15,343
607	Sumitomo Realty & Development Co., Ltd. (b)	24,112
		61,090
	Netherlands – 2.0%
310	InterXion Holding NV (c)	20,156
	Sweden – 3.9%
3,318	Fabege AB (b)	38,203
	Total Common Stocks	222,216
	(Cost $211,790)
	Total Investments – 99.5%(d)	986,393
	(Cost $998,739)
	Net Other Assets and Liabilities – 0.5%	4,472
	Net Assets – 100.0%	$990,865


(a)	Portfolio securities are categorized based upon their country of incorporation.
(b)	This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees and in accordance with provisions of the Investment Company Act of 1940, as amended. At April 30, 2018, securities noted as such are valued at $439,454 or 44.4% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the New York Stock Exchange (“NYSE”) close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded.
(c)	Non-income producing security.

Page 6

See Notes to Financial Statements

Table of Contents

First Trust Heitman Global Prime Real Estate ETF (PRME)

Portfolio of Investments (Continued)

April 30, 2018 (Unaudited)

(d)

Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $27,847 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $40,193. The net unrealized depreciation was $12,346.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of April 30, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 4/30/2018	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Real Estate Investment Trusts:
Ireland	$ 24,413	$ 24,413	$ —	$ —
United States	473,842	473,842	—	—
Other Country Categories*	265,922	—	265,922	—
Common Stocks:
Canada	28,528	28,528	—	—
Netherlands	20,156	20,156	—	—
Other Country Categories*	173,532	—	173,532	—
Total Investments	$ 986,393	$ 546,939	$ 439,454	$—

*	See Portfolio of Investments for country breakout.

All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. As of April 30, 2018, the Fund transferred investments valued at $278,729 from Level 1 to Level 2 of the fair value hierarchy. The investments that transferred from Level 1 to Level 2 did so as a result of being fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the NYSE close on the last business day of the period exceeding a certain threshold. Previously, these investments were valued based on quoted prices.

Currency Exposure Diversification	% of Total Investments
USD	53.0%
JPY	11.7
EUR	9.5
HKD	7.5
AUD	6.9
GBP	5.2
SEK	3.9
SGD	2.3
Total	100.0%

Currency Abbreviations
AUD	Australian Dollar
EUR	Euro
GBP	British Pound Sterling
HKD	Hong Kong Dollar
JPY	Japanese Yen
SEK	Swedish Krona
SGD	Singapore Dollar
USD	United States Dollar

See Notes to Financial Statements

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First Trust Heitman Global Prime Real Estate ETF (PRME)

Statement of Assets and Liabilities

April 30, 2018 (Unaudited)

ASSETS:
Investments, at value (Cost $998,739)	$ 986,393
Cash	5,865
Foreign currency (Cost $386)	381
Receivables:
Investment securities sold	9,810
Dividend reclaims	952
Dividends	271
Total Assets	1,003,672
LIABILITIES:
Payables:
Investment securities purchased	12,047
Investment advisory fees	760
Total Liabilities	12,807
NET ASSETS	$990,865
NET ASSETS consist of:
Paid-in capital	$ 1,061,875
Par value	500
Accumulated net investment income (loss)	(3,583)
Accumulated net realized gain (loss) on investments and foreign currency transactions	(55,606)
Net unrealized appreciation (depreciation) on investments and foreign currency translation	(12,321)
NET ASSETS	$990,865
NET ASSET VALUE, per share	$19.82
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)	50,002

Page 8

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First Trust Heitman Global Prime Real Estate ETF (PRME)

Statement of Operations

For the Six Months Ended April 30, 2018 (Unaudited)

INVESTMENT INCOME:
Dividends		$ 37,450
Foreign tax withholding		(419)
Total investment income		37,031
EXPENSES:
Investment advisory fees		4,768
Total expenses		4,768
NET INVESTMENT INCOME (LOSS)		32,263
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(29,383)
In-kind redemptions		45,726
Foreign currency transactions		91
Net realized gain (loss)		16,434
Net change in unrealized appreciation (depreciation) on:
Investments		(30,531)
Foreign currency translation		(14)
Net change in unrealized appreciation (depreciation)		(30,545)
NET REALIZED AND UNREALIZED GAIN (LOSS)		(14,111)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$ 18,152

See Notes to Financial Statements

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First Trust Heitman Global Prime Real Estate ETF (PRME)

Statements of Changes in Net Assets

	Six Months Ended 4/30/2018 (Unaudited)	Year Ended 10/31/2017
OPERATIONS:
Net investment income (loss)	$ 32,263	$ 15,372
Net realized gain (loss)	16,434	27,390
Net change in unrealized appreciation (depreciation)	(30,545)	39,105
Net increase (decrease) in net assets resulting from operations	18,152	81,867
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income	(43,372)	(46,757)
Total distributions to shareholders	(43,372)	(46,757)
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold	945,752	1,885,063
Cost of shares redeemed	(938,142)	(1,895,367)
Net increase (decrease) in net assets resulting from shareholder transactions	7,610	(10,304)
Total increase (decrease) in net assets	(17,610)	24,806
NET ASSETS:
Beginning of period	1,008,475	983,669
End of period	$990,865	$1,008,475
Accumulated net investment income (loss) at end of period	$(3,583)	$7,526
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period	50,002	50,002
Shares sold	50,000	100,000
Shares redeemed	(50,000)	(100,000)
Shares outstanding, end of period	50,002	50,002

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Table of Contents

First Trust Heitman Global Prime Real Estate ETF (PRME)

Financial Highlights

For a share outstanding throughout each period

	Six Months Ended 4/30/2018 (Unaudited)	Year Ended 10/31/2017	Period Ended 10/31/2016 (a)
Net asset value, beginning of period	$ 20.17	$ 19.67	$ 20.16
Income from investment operations:
Net investment income (loss)	0.65	0.31	0.40
Net realized and unrealized gain (loss)	(0.13)	1.13	(0.45)
Total from investment operations	0.52	1.44	(0.05)
Distributions paid to shareholders from:
Net investment income	(0.87)	(0.94)	(0.44)
Net asset value, end of period	$19.82	$20.17	$19.67
Total return (b)	2.51%	7.48%	(0.28)%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 991	$ 1,008	$ 984
Ratio of total expenses to average net assets	0.95% (c)	0.95%	0.95% (c)
Ratio of net investment income (loss) to average net assets	6.43% (c)	1.51%	2.10% (c)
Portfolio turnover rate (d)	40%	104%	78%

(a)	Inception date is November 11, 2015, which is consistent with the commencement of investment operations and is the date the initial creation units were established.
(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.
(c)	Annualized.
(d)	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.

See Notes to Financial Statements

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Notes to Financial Statements

First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

1. Organization

First Trust Exchange-Traded Fund IV (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on September 15, 2010, and is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”).

The Trust consists of eight funds that are currently offering shares. This report covers the First Trust Heitman Global Prime Real Estate ETF (the “Fund”), a non-diversified series of the Trust, which trades under the ticker PRME on the NYSE Arca, Inc. ("NYSE ARCA"). Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large specified blocks consisting of 50,000 shares called a “Creation Unit.” Creation Units are issued and redeemed in-kind for securities in which the Fund invests, and in certain circumstances, for cash, and only to and from broker-dealers and large institutional investors that have entered into participation agreements. Except when aggregated in Creation Units, the Fund’s shares are not redeemable securities.

The Fund is an actively managed exchange-traded fund. The investment objective of the Fund is to provide long-term total return. Under normal market conditions, the Fund will seek to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in U.S. and non-U.S. exchange-traded real estate securities, which includes real estate investment trusts (“REITs”), real estate operating companies (“REOCs”) and common stocks or depositary receipts of companies primarily engaged in the real estate industry (collectively, “Real Estate Securities”). There can be no assurance that the Fund will achieve its investment objective. The Fund may not be appropriate for all investors.

2. Significant Accounting Policies

The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

A. Portfolio Valuation

The Fund’s 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. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities.The Fund’s 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 the 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. (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 Portfolio of Investments. The Fund’s investments are valued as follows:

Common stocks, REITs, and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities.

Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price.

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Notes to Financial Statements (Continued)

First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

the Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:

1)	the type of security;
2)	the size of the holding;
3)	the initial cost of the security;
4)	transactions in comparable securities;
5)	price quotes from dealers and/or third-party pricing services;
6)	relationships among various securities;
7)	information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
8)	an analysis of the issuer’s financial statements; and
9)	the existence of merger proposals or tender offers that might affect the value of the security.

If the securities in question are foreign securities, the following additional information may be considered:

1)	the value of similar foreign securities traded on other foreign markets;
2)	ADR trading of similar securities;
3)	closed-end fund trading of similar securities;
4)	foreign currency exchange activity;
5)	the trading prices of financial products that are tied to baskets of foreign securities;
6)	factors relating to the event that precipitated the pricing problem;
7)	whether the event is likely to recur; and
8)	whether the effects of the event are isolated or whether they affect entire markets, countries or regions.

Because foreign markets may be open on different days than the days during which investors may transact in the shares of the Fund, the value of the Fund’s securities may change on the days when investors are not able to transact in the shares of the Fund. The value of securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE.

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. 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.
•	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.

•	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 April 30, 2018, is included with the Fund’s Portfolio of Investments.

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First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

B. Securities Transactions and Investment Income

Distributions received from the Fund’s investments in REITs may be comprised of return of capital, capital gains, and income. The actual character of the amounts received during the year are not known until after the REIT’s fiscal year end. The Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by the Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.

C. Foreign Currency

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in “Net change in unrealized appreciation (depreciation) on foreign currency translation” on the Statement of Operations. Unrealized gains and losses on investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in market price and is included in “Net change in unrealized appreciation (depreciation) on investments” on the Statement of Operations. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received and is included in “Net realized gain (loss) on foreign currency transactions” on the Statement of Operations. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the initial purchase settlement date and subsequent sale trade date is included in “Net realized gain (loss) on investments” on the Statement of Operations.

D. Dividends and Distributions to Shareholders

Dividends from net investment income, if any, are declared and paid quarterly by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the Fund, if any, are distributed at least annually.

The tax character of distributions paid by the Fund during the fiscal year ended October 31, 2017, was as follows:

Distributions paid from:
Ordinary income	$46,757
Capital gains	—
Return of capital	—

As of October 31, 2017, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	$13,829
Accumulated capital and other losses	(68,451)
Net unrealized appreciation (depreciation)	8,332

E. Income Taxes

The Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.

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Notes to Financial Statements (Continued)

First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

state audit. As of April 30, 2018, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund’s financial statements for uncertain tax positions.

The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At October 31, 2017, the Fund had no non-expiring capital loss carryforwards for federal income tax purposes.

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the year ended October 31, 2017, the Fund had no net ordinary losses.

F. Expenses

Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (See Note 3).

G. New and Amended Financial Reporting Rules and Forms

On October 13, 2016, the SEC adopted new rules and forms, and amended existing rules and forms. The new and amended rules and forms are intended to modernize the reporting of information provided by funds and to improve the quality and type of information that funds provide to the SEC and investors. In part, the new and amended rules and forms amend Regulation S-X and require standardized, enhanced disclosures about derivatives in a fund’s financial statements, as well as other amendments. The compliance date for the amendments of Regulation S-X was August 1, 2017, which resulted in no change to the financial statements. The new form types and other rule amendments will be effective for the First Trust funds, including the Fund, for reporting periods beginning on and after June 1, 2018. Management is evaluating the new form types and other rule amendments that are effective on and after June 1, 2018 to determine the impact to the Fund.

3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements

First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for supervising the selection and ongoing monitoring of the securities in the Fund’s portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

The Fund and First Trust have retained Heitman Real Estate Securities LLC (“Heitman” or the “Sub-Advisor”) to serve as its investment sub-advisor and Heitman International Real Estate Securities HK Limited and Heitman International Real Estate Securities GmbH (the “Sub-Sub-Advisors”) to serve as the investment sub-sub-advisors. In this capacity, the Sub-Advisor is responsible for the selection and on-going monitoring of the securities in the Fund’s investment portfolio and overseeing the Sub-Sub-Advisors. Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust will supervise Heitman and its management of the investment of the Fund’s assets and will pay Heitman for its services as the Fund’s sub-advisor. The Sub-Sub-Advisors’ fees are paid by the Sub-Advisor out of its sub-advisory fee. First Trust will also be responsible for the Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a 12b-1 plan, if any, and extraordinary expenses. The Fund has agreed to pay First Trust an annual unitary management fee equal to 0.95% of its average daily net assets. First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250, which is covered under the annual unitary management fee.

As previously disclosed, due to a change in control of the parent company of the Sub-Advisor and Sub-Sub-Advisors, the Board of Trustees of the Trust has approved replacement sub-advisory and sub-sub-advisory agreements. Please see Note 8 for additional information.

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Notes to Financial Statements (Continued)

First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.

4. Purchases and Sales of Securities

For the six months ended April 30, 2018, the cost of purchases and proceeds from sales of investments, excluding short term investments and in-kind transactions, were $398,882 and $399,804, respectively.

For the six months ended April 30, 2018, the cost of in-kind purchases and proceeds from in-kind sales were $937,581 and $898,489, respectively.

5. Creations, Redemptions and Transaction Fees

Shares are created and redeemed by the Fund only in Creation Unit size aggregations of 50,000 shares in transactions with broker-dealers or large institutional investors that have entered into a participation agreement (an “Authorized Participant”). In order to purchase Creation Units of the Fund, an Authorized Participant must deposit (i) a designated portfolio of securities and other instruments determined by First Trust (the “Deposit Securities”) and generally make or receive a cash payment referred to as the “Cash Component,” which is an amount equal to the difference between the NAV of the Fund shares (per Creation Unit Aggregation) and the market value of the Deposit Securities, and/or (ii) cash in lieu of all or a portion of the Deposit Securities. If the Cash Component is a positive number (i.e., the NAV per Creation Unit Aggregation exceeds the Deposit Amount), the Authorized Participant will deliver the Cash Component. If the Cash Component is a negative number (i.e., the NAV per Creation Unit Aggregation is less than the Deposit Amount), the Authorized Participant will receive the Cash Component. Authorized Participants purchasing Creation Units must pay to BBH, as transfer agent, a creation transaction fee (the “Creation Transaction Fee”) regardless of the number of Creation Units purchased in the transaction. The Creation Transaction Fee may vary and is based on the composition of the securities included in the Fund’s portfolio and the countries in which the transactions are settled. The Creation Transaction Fee is currently $700. The price for each Creation Unit will equal the daily NAV per share times the number of shares in a Creation Unit plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees or stamp taxes. When the Fund permits an Authorized Participant to substitute cash or a different security in lieu of depositing one or more of the requisite Deposit Securities, the Authorized Participant may also be assessed an amount to cover the cost of purchasing the Deposit Securities and/or disposing of the substituted securities, including operational processing and brokerage costs, transfer fees, stamp taxes, and part or all of the spread between the expected bid and offer side of the market related to such Deposit Securities and/or substitute securities.

Authorized Participants redeeming Creation Units must pay to BBH, as transfer agent, a redemption transaction fee (the “Redemption Transaction Fee”), regardless of the number of Creation Units redeemed in the transaction. The Redemption Transaction Fee may vary and is based on the composition of the securities included in the Fund’s portfolio and the countries in which the transactions are settled. The Redemption Transaction Fee is currently $700. The Fund reserves the right to effect redemptions in cash. An Authorized Participant may request cash redemption in lieu of securities; however, the Fund may, in its discretion, reject any such request.

6. Distribution Plan

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. (“FTP”), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or to provide investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before March 31, 2019.

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First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

7. Indemnification

8. Subsequent Events

Management has evaluated the impact of all subsequent events to the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:

On May 14, 2018, shareholders of the Fund voted to approve a new investment sub-advisory agreement with the existing Sub-Advisor and new investment sub-sub-advisory agreements with each of the existing Sub-Sub-Advisors (collectively, the “New Agreements”). The Board of Trustees of the Trust had previously approved the New Agreements in connection with a change in control of Heitman LLC, the parent company of the Sub-Advisor and Sub-Sub-Advisors and the related “assignment” (as defined in the 1940 Act) of, resulting in the termination of, each of (i) the investment sub-advisory agreement among the Trust, First Trust, as the Fund’s investment advisor, and the Sub-Advisor; (ii) the investment sub-sub-advisory agreement among the Trust, First Trust, the Sub-Advisor and Heitman International Real Estate Securities HK Limited; and (iii) the investment sub-sub-advisory agreement among the Trust, First Trust, the Sub-Advisor and Heitman International Real Estate Securities GmbH (collectively, the “Previous Agreements”). The New Agreements took effect following the shareholder approval and are substantially similar to the Previous Agreements.

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Additional Information

First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

Proxy Voting Policies and Procedures

Portfolio Holdings

The Trust files its complete schedule of the Fund’s portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Qs are available (1) by calling (800) 988-5891; (2) on the Fund’s website at www.ftportfolios.com; (3) on the SEC’s website at www.sec.gov; and (4) for review and copying at the SEC’s Public Reference Room (“PRR”) in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330.

Risk Considerations

The following summarizes some of the risks that should be considered for the Fund.

ASIA INVESTMENT RISK. The Fund invests, in part, in securities issued by companies operating in Asia, and is therefore subject to certain risks associated specifically with Asia. For example, some of the currencies of these countries, including China, have experienced devaluations relative to the U.S. dollar, and adjustments have been made periodically in certain of such currencies. Certain countries, such as Indonesia, face serious exchange constraints. Jurisdictional disputes also exist, for example, between South Korea and North Korea. The Tokyo stock market, as measured by the Tokyo Stock Price Index, has been volatile. Declines in the Tokyo stock market have made the country’s banks and financial institutions vulnerable. Furthermore, the natural disasters that have impacted Japan and the ongoing recovery efforts have had a negative effect on Japan’s economy, and may continue to do so.

CONCENTRATION RISK. The Fund is concentrated in real estate investment trusts (“REITs”) and/or real estate management and development companies. A fund concentrated in one or more sectors, industries or groups of industries is likely to present more risks than a fund that is broadly diversified over several industries or sectors. Compared to the broad market, an individual industry or sector may be more strongly affected by changes in the economic climate, broad market shifts, moves in a particular dominant stock, or regulatory changes.

CURRENCY RISK. The Fund may hold investments that are denominated in non-U.S. currencies, or in securities that provide exposure to such currencies, currency exchange rates or interest rates denominated in such currencies. Changes in currency exchange rates and the relative value of non-U.S. currencies will affect the value of the Fund’s investments and the value of Fund shares. Currency exchange rates can be very volatile and can change quickly and unpredictably. As a result, the value of an investment in the Fund may change quickly and without warning and you may lose money.

CYBER SECURITY RISK. As the use of Internet technology has become more prevalent in the course of business, the Fund has become more susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers

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Additional Information (Continued)

First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. The Fund has established risk management systems designed to reduce the risks associated with cyber security. However, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

DEPOSITARY RECEIPTS RISK. Depositary receipts may be less liquid than the underlying shares in their primary trading market. Any distributions paid to the holders of depositary receipts are usually subject to a fee charged by the depositary. Holders of depositary receipts may have limited voting rights, and investment restrictions in certain countries may adversely impact the value of depositary receipts because such restrictions may limit the ability to convert the equity shares into depositary receipts and vice versa. Such restrictions may cause the equity shares of the underlying issuer to trade at a discount or premium to the market price of the depositary receipts.

EMERGING MARKETS RISK. Investments in securities of issuers located in emerging market countries are considered speculative. Heightened risks of investing in emerging markets securities include: (i) smaller market capitalization of securities markets, which may suffer periods of relative illiquidity; (ii) significant price volatility; (iii) restrictions on foreign investment; and (iv) possible repatriation of investment income and capital. Furthermore, foreign investors may be required to register the proceeds of sales and future economic or political crises could lead to price controls, forced mergers, expropriation or confiscatory taxation, seizure, nationalization or creation of government monopolies. The currencies of emerging market countries may experience significant declines against the U.S. dollar, and devaluation may occur subsequent to investments in these currencies by the Fund. Inflation and rapid fluctuations in inflation rates have had, and may continue to have, negative effects on the economies and securities markets of certain emerging market countries.

EQUITY SECURITIES RISK. Because the Fund invests in equity securities, the value of the Fund’s shares will fluctuate with changes in the value of these equity securities. Equity securities prices fluctuate for several reasons, including changes in investors’ perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase.

EUROPE INVESTMENT RISK. Investments in a single region, even though representing a number of different countries within the region, may be affected by common economic forces and other factors. The Fund is subject to greater risks of adverse events which occur in the European region and may experience greater volatility than a fund that is more broadly diversified geographically. Political or economic disruptions in European countries, even in countries in which the Fund is not invested, may adversely affect security values and thus the Fund’s holdings. Continuing uncertainty as to the status of the Euro and the European Monetary Union and the potential for certain countries to withdraw from the institution has created significant volatility in currency and financial markets generally. Any partial or complete dissolution of the European Union could have significant adverse effects on currency and financial markets, and on the values of a Fund’s portfolio investments.

INTEREST RATE RISK. Increases in interest rates typically coincide with higher investor required returns and can lower the present value of a REIT’s future earnings stream if not met with a commensurate increase in growth.

MANAGEMENT RISK. The Fund is subject to management risk because it is an actively managed portfolio. In managing the Fund’s investment portfolio, the Fund’s portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that the Fund will meet its investment objective.

Page 19

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Additional Information (Continued)

First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

Fund’s shares are trading on the Exchange which could result in a decrease in value of the Fund’s shares. In addition, decisions by market makers or authorized participants to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. This reduced effectiveness could result in Fund shares trading at a discount to net asset value and also in greater than normal intraday bid-ask spreads for Fund shares.

MARKET RISK. Market risk is the risk that a particular security owned by the Fund or shares of the Fund in general may fall in value. Securities are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Overall Fund share values could decline in value or underperform other investments.

NON-U.S. SECURITIES RISK. The Fund may invest in securities of non-U.S. issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to possible adverse political, social or economic developments, restrictions on foreign investment or exchange of securities, lack of liquidity, currency exchange rates, excessive taxation, government seizure of assets, different legal or accounting standards, and less government supervision and regulation of exchanges in foreign countries.

PORTFOLIO TURNOVER RISK. The Fund’s strategy may frequently involve buying and selling portfolio securities to rebalance the Fund’s exposure to various market sectors. High portfolio turnover may result in the Fund paying higher levels of transaction costs and generating greater tax liabilities for shareholders. Portfolio turnover risk may cause the Fund’s performance to be less than you expect.

REAL ESTATE INVESTMENT RISK. The Fund invests in companies in the real estate industry, including REITs and real estate operating companies. Therefore, the Fund is subject to the risks associated with investing in real estate, which may include, but are not limited to, fluctuations in the value of underlying properties; defaults by borrowers or tenants; market saturation; changes in general and local economic conditions; decreases in market rates for rents; increases in competition, property taxes, capital expenditures or operating expenses; and other economic, political or regulatory occurrences affecting companies in the real estate industry.

REIT INVESTMENT RISK. In addition to risks related to investments in real estate generally, investing in REITs involves certain other risks related to their structure and focus, which include, but are not limited to, dependency upon management skills, limited diversification, the risks of locating and managing financing for projects, heavy cash flow dependency, possible default by borrowers, the costs and potential losses of self-liquidation of one or more holdings, the risk of a possible lack of mortgage funds and associated interest rate risks, overbuilding, property vacancies, increases in property taxes and operating expenses, changes in zoning laws, losses due to environmental damages, changes in neighborhood values and appeal to purchasers, the possibility of failing to maintain exemptions from registration under the 1940 Act and, in many cases, relatively small market capitalization, which may result in less market liquidity and greater price volatility. REITs are also subject to the risk that the real estate market may experience an economic downturn generally, which may have a material effect on the real estate in which the REITs invest and their underlying portfolio securities.

SMALL FUND RISK. The Fund currently has fewer assets than larger funds, and like other relatively smaller funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the direction of market movement during the period affected.

SMALLER COMPANIES RISK. Small and/or mid capitalization companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies.

Page 20

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Additional Information (Continued)

First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

maintain the listing of the Fund will continue to be met or will remain unchanged. In particular, if the Fund does not comply with any provision of the listing standards of the Exchange that are applicable to the Fund, and cannot bring itself into compliance within a reasonable period after discovering the matter, the Exchange may remove the shares of the Fund from listing. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small or the Fund does not have enough shareholders.

Advisory and Sub-Advisory Agreements

Board Considerations Regarding Approval of Investment Management and Investment Sub-Advisory Agreements

The Board of Trustees of First Trust Exchange-Traded Fund IV (the “Trust”), including the Independent Trustees, unanimously approved (i) an Interim Investment Sub-Advisory Agreement (the “Interim Sub-Advisory Agreement”) among the Trust, on behalf of the Fund, First Trust Advisors L.P. (the “Advisor”) and Heitman Real Estate Securities LLC (the “Sub-Advisor”) and Interim Investment Sub-Sub-Advisory Agreements (the “Interim Sub-Sub-Advisory Agreements” and together with the Interim Sub-Advisory Agreement, the “Interim Agreements”) among the Trust, on behalf of the Fund, the Advisor, the Sub-Advisor and each of Heitman International Real Estate Securities HK Limited (“Heitman HK”) and Heitman International Real Estate Securities GmbH (“Heitman GmbH” and together with Heitman HK, the “Sub-Sub-Advisors”); and (ii) a New Investment Sub-Advisory Agreement (the “New Sub-Advisory Agreement”) among the Trust, on behalf of the Fund, the Advisor and the Sub-Advisor and New Investment Sub-Sub-Advisory Agreements (the “New Sub-Sub-Advisory Agreements” and together with the New Sub-Advisory Agreement, the “New Agreements”) among the Trust, on behalf of the Fund, the Advisor, the Sub-Advisor and each Sub-Sub-Advisor. The Interim Agreements and the New Agreements are collectively referred to as the “Agreements,” and the Sub-Advisor and the Sub-Sub-Advisors are collectively referred to as the “Heitman Securities Group.” The Board approved the Agreements at a meeting held on December 10-11, 2017. The Board of Trustees determined that each Agreement is in the best interests of the Fund in light of the extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment.

In November 2017, the Board was informed that Heitman LLC (“Heitman”), the parent company of the Heitman Securities Group, had entered into a redemption agreement with OMAM Inc. and OMAM (HFL) Inc. pursuant to which Heitman would redeem all of OMAM (HFL) Inc.’s membership interests in Heitman for cash consideration (the “Transaction”). The Board was also informed that, if the Transaction were consummated, each of the Investment Sub-Advisory Agreement (the “Current Sub-Advisory Agreement”) among the Trust, on behalf of the Fund, the Advisor and the Sub-Advisor and the Investment Sub-Sub-Advisory Agreements (the “Current Sub-Sub-Advisory Agreements” and together with the Current Sub-Advisory Agreement, the “Current Agreements”) among the Trust, on behalf of the Fund, the Advisor, the Sub-Advisor and each Sub-Sub-Advisor would terminate pursuant to its terms and the requirements of the Investment Company Act of 1940, as amended (the “1940 Act”). On November 24, 2017, counsel to the Independent Trustees provided the Heitman Securities Group with a request for information regarding the Transaction and its expected impact on the Heitman Securities Group. At an executive session held on December 7, 2017, the Independent Trustees reviewed materials provided by the Heitman Securities Group in response to the request. Following the executive session, independent legal counsel on behalf of the Independent Trustees requested certain supplements to the materials provided. The Heitman Securities Group provided information in response to the follow-up request by e-mail in advance of the December 2017 Board meeting.

To reach its determination in approving the Agreements, the Board considered its duties under the 1940 Act, as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. In connection with its deliberations regarding the Agreements, the Board noted that, based on the information provided by the Advisor and the Heitman Securities Group, apart from the effective and termination dates and any provisions of the Interim Agreements required by Rule 15a-4 under the 1940 Act, any differences in the terms and conditions of each Agreement and the terms and conditions of the corresponding Current Agreement were immaterial. The Board considered that the information provided by the Heitman Securities Group in response to the Independent Trustees’ request for information included statements that there would be no changes in day-to-day management of Heitman and no changes in the management of the Heitman Securities Group; that there would be no changes resulting from the Transaction with respect to senior management at Heitman or the Heitman Securities Group or as to key personnel who work on matters relating to the Fund, including the portfolio management team and compliance personnel; that the Transaction would have no adverse impact on the Heitman Securities Group’s ability to provide sub-advisory and sub-sub-advisory services to the Fund; and that the Transaction would not result in any diminution in the nature, quality and extent of the services provided to the Fund by the Heitman Securities Group. In addition, representatives of the Heitman Securities Group joined the December 2017 Board meeting by telephone and discussed the Transaction and the Agreements with the Board.

Page 21

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Additional Information (Continued)

First Trust Heitman Global Prime Real Estate ETF (PRME)

April 30, 2018 (Unaudited)

The Board also considered that it had last approved the Current Agreements for the Fund during the annual contract renewal process that concluded at the Board’s June 12, 2017 meeting. The Board noted that during the annual contract renewal process it had considered the services provided by the Sub-Advisor and the Sub-Sub-Advisors to the Fund (including the relevant personnel responsible for these services and their experience); the sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; performance information for the Fund; the nature of expenses incurred in providing services to the Fund and the potential for economies of scale, if any; financial data on the Sub-Advisor and the Sub-Sub-Advisors; any fall-out benefits to the Sub-Advisor and the Sub-Sub-Advisors; and information on the Sub-Advisor’s (which included the Sub-Sub-Advisors) compliance program, and that, based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Current Agreements continued to be fair and reasonable and that the continuation of the Current Agreements was in the best interests of the Fund. In that regard, the Board noted the Heitman Securities Group’s statement that, except as discussed in the response to the Independent Trustees’ November 24, 2017 request relating to the Transaction, the Board could continue to rely on the materials provided by the Heitman Securities Group in connection with the June 2017 renewal of the Current Agreements.

Based on all of the information considered and the conclusions reached, including the information considered and conclusions reached in connection with the June 2017 renewal of the Current Agreements, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements were fair and reasonable and that the approval of the Agreements is in the best interests of the Fund. No single factor was determinative in the Board’s analysis.

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INVESTMENT ADVISOR

First Trust Advisors L.P.

120 E. Liberty Drive, Suite 400

Wheaton, IL 60187

INVESTMENT SUB-ADVISOR

Heitman Real Estate Securities LLC

191 North Wacker Drive, Suite 2500

Chicago, IL 60606

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT

Brown Brothers Harriman & Co.

50 Post Office Square

Boston, MA 02110

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM

Deloitte & Touche LLP

111 S. Wacker Drive

Chicago, IL 60606

LEGAL COUNSEL

Chapman and Cutler LLP

111 W. Monroe Street

Chicago, IL 60603

Table of Contents

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Items 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 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 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)

Not applicable.

(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 IV

By (Signature and Title)*		/s/ James M. Dykas
		James M. Dykas, President and Chief Executive Officer (principal executive officer)

Date:

July 9, 2018

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:

July 9, 2018

By (Signature and Title)*		/s/ Donald P. Swade
		Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)

Date:

July 9, 2018

^* Print the name and title of each signing officer under his or her signature.

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:

I have reviewed this report on Form N-CSR of First Trust Exchange-Traded Fund IV;

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;

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

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:		July 9, 2018		/s/ James M. Dykas
				James M. Dykas, 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, Donald P. Swade, certify that:

I have reviewed this report on Form N-CSR of First Trust Exchange-Traded Fund IV;

(a)

(b)

(c)

(d)

(a)

(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:		July 9, 2018		/s/ Donald P. Swade
				Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)

Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act

I, James M. Dykas, President and Chief Executive Officer of First Trust Exchange-Traded Fund IV (the “Registrant”), certify that:

The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:		July 9, 2018		/s/ James M. Dykas
				James M. Dykas, President and Chief Executive Officer (principal executive officer)

I, Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer of First Trust Exchange-Traded Fund IV (the “Registrant”), certify that:

The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:		July 9, 2018		/s/ Donald P. Swade
				Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)

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