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, 2022 -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) SEMI-ANNUAL REPORT APRIL 30, 2022 Shareholder Letter........................................................... 1 Fund Performance Overview.................................................... 2 Portfolio Management......................................................... 5 Understanding Your Fund Expenses............................................. 6 Portfolio of Investments..................................................... 7 Statement of Assets and Liabilities.......................................... 25 Statement of Operations...................................................... 26 Statements of Changes in Net Assets.......................................... 27 Financial Highlights......................................................... 28 Notes to Financial Statements................................................ 29 Additional Information....................................................... 36 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 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's 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 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 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 a relevant market benchmark. 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, and other Fund regulatory filings. -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO APRIL 30, 2022 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the First Trust Enhanced Short Maturity ETF (the "Fund"), which contains detailed information about the Fund for the six months ended April 30, 2022. A couple of famous financial industry quotes came to mind recently as I was sizing up the current business climate: "There's no such thing as a free lunch" and "Don't fight the Fed!" It seems that for some, the trillions of dollars of financial stimulus funneled into U.S. households and businesses by the Federal government and its agencies to help mitigate the fallout stemming from the coronavirus ("COVID-19") pandemic, which commenced sometime around February 2020, was for all intents and purposes "free money." It was not free. From the close of February 2020 through March 2022, the Federal Reserve (the "Fed") expanded the U.S. money supply, known as M2, by 41% to $21.81 trillion to boost liquidity in the financial system. Normally, M2 grows around 6.0% on a year-over-year basis. When you factor in that all this new capital was accompanied by a breakdown of the global supply chain, there is little wonder why inflation is rampant. One of the more common definitions of inflation is too many dollars chasing too few goods. The biggest downside to the supply chain bottlenecks, such as the severe backup of container ships at some U.S. ports, is that they have markedly reduced the flow of imported goods to retailers. The Fed has been signaling to Americans and the rest of the globe that, after many years of artificially low interest rates, tighter monetary policy will likely rule the day for the foreseeable future. Higher interest rates make borrowing capital more expensive and that should slow consumption over time, which, in turn, should bring down inflation. Don't fight the Fed is code for don't bet against the Fed, in my opinion. Stay tuned! The primary job of the Fed is price stability. Its standard inflation target rate is 2.0%. The most recent Consumer Price Index release showed that prices were up 8.3% on a year-over-year basis as of April 30, 2022, according to data from the U.S. Bureau of Labor Statistics. While down from 8.5% the prior month, it is clearly elevated and that means the Fed has some work to do to with respect to mitigating inflation. The war between Russia and Ukraine is making the Fed's job even tougher, particularly in the areas of food and energy. Rising costs and potential shortages could become even bigger if the COVID-19 outbreak in China grows. These are important events to monitor. Fed Chairman Jerome Powell has stated that the Fed is poised to raise the Federal Funds target rate (upper bound) by 50 basis points at each of its next two meetings (set for June and July), which would take the rate up to 2.00%. Data from CME Group indicates that current market pricing has the rate rising to 2.75% or 3.00% by year-end. Securities markets do not go up in a straight line and they do not just go up year in and year out. In fact, what we have witnessed over the past couple of decades are often referred to as boom and bust cycles. Thankfully, it has ended up more boom than bust. Simply put, investors, not traders of the market, need to be willing to take the bad with the good. As the various stages of an economic cycle come and go (expansion to contraction), the markets tend to reprice securities to reflect the current narrative. In other words, we believe the markets essentially heal themselves - if you let them. That is an accurate depiction of how the markets have behaved so far in 2022, in my opinion. In response to a softening economy, the stock and bond markets have experienced some serious downside through the first four months of this year, as measured by the broader market indices. As of today, Brian Wesbury, Chief Economist at First Trust, is not forecasting a recession for the U.S. in 2022 or 2023. Whether he is proven right or wrong, we encourage investors to stay the course. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) The First Trust Enhanced Short Maturity ETF's (the "Fund") investment objective 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 debt securities, including securities issued or guaranteed by the U.S. government or its agencies, instrumentalities or U.S. government-sponsored entities, residential and commercial mortgage-backed securities, asset-backed securities, U.S. corporate bonds, fixed income securities issued by non-U.S. corporations and governments, municipal obligations, privately issued securities and other debt securities bearing fixed or floating interest rates. The Fund may also invest in 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 less than one year and the average maturity of the Fund's portfolio is expected to be less than three years. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (8/5/14) Ended (8/5/14) 4/30/22 4/30/22 4/30/22 to 4/30/22 4/30/22 to 4/30/22 FUND PERFORMANCE NAV -0.47% -0.44% 1.29% 1.10% 6.63% 8.84% Market Price -0.41% -0.39% 1.30% 1.11% 6.69% 8.88% INDEX PERFORMANCE ICE BofA 0-1 Year U.S. Treasury Index -0.29% -0.27% 1.21% 0.90% 6.18% 7.20% ------------------------------------------------------------------------------------------------------------------------------------ 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 total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. 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 of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was 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 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) -------------------------------------------------------- % OF TOTAL ASSET CLASSIFICATION INVESTMENTS & CASH -------------------------------------------------------- Corporate Bonds and Notes 44.6% Commercial Paper 30.2 Foreign Corporate Bonds and Notes 14.9 Asset-Backed Securities 6.6 Mortgage-Backed Securities 2.5 Municipal Bonds 0.6 U.S. Government Agency Mortgage- Backed Securities 0.4 Certificates of Deposit 0.3 Cash (0.1) ------- Total 100.0% ======= -------------------------------------------------------- % OF TOTAL CREDIT QUALITY(1) INVESTMENTS & CASH -------------------------------------------------------- Government and Agency 0.5% AAA 5.4 AA+ 0.7 AA 0.1 AA- 1.3 A+ 3.3 A 6.0 A- 12.2 BBB+ 16.0 BBB 13.8 BBB- 6.4 BB+ 0.2 Not Rated 34.2 Cash (0.1) ------- Total 100.0% ======= -------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS INVESTMENTS -------------------------------------------------------- AbbVie, Inc. 0.6% MET Tower Global Funding, SOFR + 0.55% 0.6 BPCE S.A., Medium-Term Note, 3 Mo. LIBOR + 0.88% 0.6 New York Life Global Funding, 3 Mo. LIBOR + 0.28% 0.6 Bank of Nova Scotia (The), SOFR Compounded Index + 0.45% 0.6 Skyworks Solutions, Inc. 0.6 Viatris, Inc. 0.6 Nasdaq, Inc. 0.6 Lloyds Banking Group PLC 0.5 Bank of America Corp., Global Medium- Term Note 0.5 ------- Total 5.8% ======= ----------------------------- (1) The ratings are by S&P Global Ratings. 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PERFORMANCE OF A $10,000 INITIAL INVESTMENT AUGUST 5, 2014 - APRIL 30, 2022 First Trust Enhanced ICE BofA 0-1 Year Short Maturity ETF U.S. Treasury Index 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 10,138 10,073 4/30/17 10,206 10,096 10/31/17 10,289 10,147 4/30/18 10,371 10,207 10/31/18 10,486 10,311 4/30/19 10,624 10,449 10/31/19 10,767 10,594 4/30/20 10,780 10,732 10/31/20 10,912 10,739 4/30/21 10,932 10,749 10/31/21 10,936 10,751 4/30/22 10,884 10,720 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 4 -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) SEMI-ANNUAL REPORT APRIL 30, 2022 (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. PORTFOLIO MANAGEMENT TEAM TODD LARSON, CFA - SENIOR VICE PRESIDENT AND PORTFOLIO MANAGER JEREMIAH CHARLES - SENIOR VICE PRESIDENT AND SENIOR PORTFOLIO MANAGER JAMES SNYDER - SENIOR VICE PRESIDENT AND SENIOR PORTFOLIO MANAGER ERIC R. MAISEL, CFA - SENIOR VICE PRESIDENT AND PORTFOLIO MANAGER Page 5 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) UNDERSTANDING YOUR FUND EXPENSES APRIL 30, 2022 (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 (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, 2022. 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. --------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH NOVEMBER 1, 2021 APRIL 30, 2022 PERIOD (a) PERIOD (b) --------------------------------------------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) Actual $1,000.00 $ 995.30 0.25% $1.24 Hypothetical (5% return before expenses) $1,000.00 $1,023.55 0.25% $1.25 (a) These expense ratios reflect expense waivers. See Note 3 in the Notes to the Financial Statements. (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, 2021 through April 30, 2022), multiplied by 181/365 (to reflect the six-month period). Page 6 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- CORPORATE BONDS AND NOTES -- 44.5% AEROSPACE/DEFENSE -- 1.2% $ 19,884,000 Boeing (The) Co................................................. 2.70% 05/01/22 $ 19,884,000 11,215,000 Boeing (The) Co................................................. 2.20% 10/30/22 11,187,452 6,176,000 Boeing (The) Co................................................. 1.17% 02/04/23 6,096,142 2,361,000 Boeing (The) Co................................................. 4.51% 05/01/23 2,383,737 6,765,000 General Dynamics Corp........................................... 3.38% 05/15/23 6,840,946 3,000,000 Northrop Grumman Corp........................................... 3.25% 08/01/23 3,010,796 ---------------- 49,403,073 ---------------- AGRICULTURE -- 1.0% 19,061,000 Altria Group, Inc............................................... 2.85% 08/09/22 19,104,054 12,452,000 BAT Capital Corp., 3 Mo. LIBOR + 0.88% (a)...................... 1.39% 08/15/22 12,460,196 10,122,000 BAT Capital Corp................................................ 2.76% 08/15/22 10,136,443 ---------------- 41,700,693 ---------------- AIRLINES -- 0.3% 11,244,000 Southwest Airlines Co........................................... 2.75% 11/16/22 11,260,233 ---------------- AUTO MANUFACTURERS -- 4.8% 20,000,000 American Honda Finance Corp., Medium-Term Note, 3 Mo. LIBOR + 0.37% (a)............................................ 0.74% 05/10/23 20,011,503 4,000,000 BMW US Capital LLC (b).......................................... 3.80% 04/06/23 4,046,191 6,159,000 BMW US Capital LLC, SOFR Compounded Index + 0.53% (a) (b)................................................ 0.81% 04/01/24 6,152,612 21,203,000 Daimler Finance North America LLC (b)........................... 2.55% 08/15/22 21,238,226 7,773,000 Daimler Finance North America LLC (b)........................... 3.35% 02/22/23 7,821,798 5,000,000 Daimler Trucks Finance North America LLC, SOFR + 0.60% (a) (b)................................................ 0.88% 12/14/23 4,987,364 4,000,000 Daimler Trucks Finance North America LLC (b).................... 1.13% 12/14/23 3,869,674 2,994,000 General Motors Financial Co., Inc............................... 3.15% 06/30/22 2,997,798 13,200,000 General Motors Financial Co., Inc............................... 3.55% 07/08/22 13,249,085 7,000,000 General Motors Financial Co., Inc............................... 3.25% 01/05/23 7,031,866 3,900,000 General Motors Financial Co., Inc............................... 4.15% 06/19/23 3,941,591 15,000,000 General Motors Financial Co., Inc., SOFR + 0.76% (a)............ 1.01% 03/08/24 14,898,761 9,690,000 Hyundai Capital America (b)..................................... 1.15% 11/10/22 9,618,243 12,600,000 Hyundai Capital America (b)..................................... 2.38% 02/10/23 12,541,692 7,000,000 Hyundai Capital America (b)..................................... 1.00% 09/17/24 6,524,811 3,500,000 Nissan Motor Acceptance Co. LLC (b)............................. 2.65% 07/13/22 3,499,873 1,000,000 Nissan Motor Acceptance Co. LLC (b)............................. 2.60% 09/28/22 998,971 3,000,000 Nissan Motor Acceptance Co. LLC, 3 Mo. LIBOR + 0.64% (a) (b)................................................ 1.25% 03/08/24 2,986,362 1,000,000 Toyota Motor Credit Corp........................................ 2.50% 03/22/24 990,029 10,000,000 Toyota Motor Credit Corp., Series B, SOFR + 0.29% (a)........... 0.56% 09/13/24 9,953,706 10,000,000 Toyota Motor Credit Corp., Medium-Term Note..................... 1.15% 05/26/22 9,998,222 10,060,000 Volkswagen Group of America Finance LLC (b)..................... 2.90% 05/13/22 10,064,579 11,355,000 Volkswagen Group of America Finance LLC (b)..................... 2.70% 09/26/22 11,354,470 1,868,000 Volkswagen Group of America Finance LLC (b)..................... 0.75% 11/23/22 1,850,268 7,177,000 Volkswagen Group of America Finance LLC (b)..................... 3.13% 05/12/23 7,178,547 ---------------- 197,806,242 ---------------- BANKS -- 6.8% 9,720,000 Bank of America Corp. (c)....................................... 3.00% 12/20/23 9,699,953 6,325,000 Bank of America Corp. (c)....................................... 3.55% 03/05/24 6,331,406 10,000,000 Bank of America Corp., SOFR + 0.69% (a)......................... 0.97% 04/22/25 9,926,452 22,101,000 Bank of America Corp., Global Medium-Term Note (c).............. 2.82% 07/21/23 22,100,212 See Notes to Financial Statements Page 7 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 1,000,000 Bank of America Corp., Medium-Term Note, 3 Mo. LIBOR + 0.79% (a).................................................. 1.37% 03/05/24 $ 1,000,244 15,000,000 Bank of America Corp., Medium-Term Note, 3 Mo. Bloomberg Short Term Bank Yield + 0.43% (a).................. 0.91% 05/28/24 14,924,550 5,385,000 Capital One N.A., 3 Mo. LIBOR + 0.82% (a)....................... 1.16% 08/08/22 5,390,016 19,515,000 Citigroup, Inc.................................................. 4.05% 07/30/22 19,622,426 11,860,000 Citigroup, Inc. (c)............................................. 2.88% 07/24/23 11,859,054 4,136,000 Citigroup, Inc. (c)............................................. 1.68% 05/15/24 4,076,881 4,300,000 Discover Bank................................................... 3.35% 02/06/23 4,329,117 5,000,000 Fifth Third Bancorp............................................. 2.60% 06/15/22 5,002,553 7,782,000 Fifth Third Bancorp............................................. 1.63% 05/05/23 7,682,025 3,000,000 Goldman Sachs Group, (The), Inc................................. 0.52% 03/08/23 2,947,398 17,260,000 Goldman Sachs Group, (The), Inc. (c)............................ 2.91% 07/24/23 17,251,347 3,000,000 Goldman Sachs Group, (The), Inc. (c)............................ 0.63% 11/17/23 2,956,158 12,500,000 Goldman Sachs Group, (The), Inc., SOFR + 0.50% (a).............. 0.76% 09/10/24 12,348,459 4,000,000 Goldman Sachs Group, (The), Inc., SOFR + 0.49% (a).............. 0.77% 10/21/24 3,945,455 11,000,000 JPMorgan Chase & Co............................................. 3.38% 05/01/23 11,069,330 12,000,000 JPMorgan Chase & Co., SOFR + 0.58% (a).......................... 0.86% 03/16/24 11,961,832 9,140,000 JPMorgan Chase & Co. (c)........................................ 3.56% 04/23/24 9,150,258 10,000,000 JPMorgan Chase & Co., SOFR + 0.54% (a).......................... 0.77% 06/01/25 9,850,735 7,378,000 Morgan Stanley.................................................. 2.75% 05/19/22 7,382,604 2,000,000 Morgan Stanley (c).............................................. 0.73% 04/05/24 1,948,471 1,540,000 Morgan Stanley, Global Medium-Term Note......................... 3.13% 01/23/23 1,547,365 15,000,000 Morgan Stanley, Global Medium-Term Note (c)..................... 0.79% 01/22/25 14,257,342 5,000,000 Morgan Stanley, Medium-Term Note................................ 4.10% 05/22/23 5,057,397 9,507,000 Morgan Stanley, Medium-Term Note (c)............................ 0.53% 01/25/24 9,312,694 11,261,000 Synchrony Bank.................................................. 3.00% 06/15/22 11,265,948 3,000,000 Truist Bank, SOFR + 0.73% (a)................................... 0.99% 03/09/23 3,007,170 12,279,000 Truist Financial Corp., Medium-Term Note........................ 3.05% 06/20/22 12,288,526 12,000,000 Truist Financial Corp., Medium-Term Note, SOFR + 0.40% (a).................................................... 0.66% 06/09/25 11,805,510 2,401,000 Wells Fargo & Co., Medium-Term Note (c)......................... 1.65% 06/02/24 2,361,311 ---------------- 283,660,199 ---------------- BEVERAGES -- 0.0% 1,850,000 Constellation Brands, Inc....................................... 4.25% 05/01/23 1,873,318 ---------------- BIOTECHNOLOGY -- 0.5% 11,250,000 Gilead Sciences, Inc............................................ 0.75% 09/29/23 10,891,545 8,382,000 Illumina, Inc................................................... 0.55% 03/23/23 8,228,156 ---------------- 19,119,701 ---------------- BUILDING MATERIALS -- 0.1% 5,000,000 Martin Marietta Materials, Inc.................................. 0.65% 07/15/23 4,875,993 ---------------- CHEMICALS -- 0.5% 18,859,000 Sherwin-Williams (The) Co....................................... 2.75% 06/01/22 18,871,828 3,140,000 Westlake Chemical Corp.......................................... 0.88% 08/15/24 2,991,314 ---------------- 21,863,142 ---------------- COMMERCIAL SERVICES -- 0.4% 2,554,000 Global Payments, Inc............................................ 3.75% 06/01/23 2,567,021 7,164,000 Moody's Corp.................................................... 2.63% 01/15/23 7,170,947 3,200,000 PayPal Holdings, Inc............................................ 1.35% 06/01/23 3,159,741 Page 8 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- CORPORATE BONDS AND NOTES (CONTINUED) COMMERCIAL SERVICES (CONTINUED) $ 3,200,000 Verisk Analytics, Inc........................................... 4.13% 09/12/22 $ 3,216,045 ---------------- 16,113,754 ---------------- COMPUTERS -- 0.0% 1,660,000 HP, Inc......................................................... 4.05% 09/15/22 1,672,269 ---------------- DIVERSIFIED FINANCIAL SERVICES -- 2.0% 7,070,000 AIG Global Funding (b).......................................... 2.30% 07/01/22 7,072,056 12,979,000 Ally Financial, Inc............................................. 4.63% 05/19/22 12,996,723 3,766,000 American Express Co............................................. 3.38% 05/03/24 3,765,455 4,000,000 Capital One Financial Corp...................................... 3.20% 01/30/23 4,026,737 8,000,000 Capital One Financial Corp., SOFR + 0.69% (a)................... 0.94% 12/06/24 7,974,865 2,500,000 Intercontinental Exchange, Inc.................................. 2.35% 09/15/22 2,506,271 23,929,000 Nasdaq, Inc..................................................... 0.45% 12/21/22 23,605,357 20,003,000 Synchrony Financial............................................. 2.85% 07/25/22 20,037,650 ---------------- 81,985,114 ---------------- ELECTRIC -- 4.5% 6,385,000 American Electric Power Co., Inc., Series F..................... 2.95% 12/15/22 6,412,651 1,360,000 CenterPoint Energy Houston Electric LLC......................... 2.25% 08/01/22 1,360,959 7,070,000 CenterPoint Energy, Inc., SOFR Compounded Index + 0.65% (a).................................................... 0.84% 05/13/24 7,016,227 10,000,000 Dominion Energy, Inc., Series B................................. 2.75% 09/15/22 10,004,222 7,000,000 Dominion Energy, Inc., Series D, 3 Mo. LIBOR + 0.53% (a).................................................... 1.36% 09/15/23 6,990,054 4,118,000 Duke Energy Corp................................................ 2.40% 08/15/22 4,122,426 9,064,000 Duke Energy Corp................................................ 3.05% 08/15/22 9,075,965 3,000,000 Duke Energy Corp., SOFR + 0.25% (a)............................. 0.51% 06/10/23 2,989,122 21,342,000 Entergy Corp.................................................... 4.00% 07/15/22 21,382,313 18,128,000 NextEra Energy Capital Holdings, Inc............................ 0.65% 03/01/23 17,851,459 5,260,000 NextEra Energy Capital Holdings, Inc., SOFR Compounded Index + 0.54% (a)................................. 0.77% 03/01/23 5,254,436 10,000,000 NextEra Energy Capital Holdings, Inc., SOFR Compounded Index + 0.40% (a)................................. 0.68% 11/03/23 9,947,519 15,000,000 Oklahoma Gas and Electric Co.................................... 0.55% 05/26/23 14,678,515 18,726,000 Pacific Gas and Electric Co..................................... 1.75% 06/16/22 18,714,528 4,018,000 Pacific Gas and Electric Co., 3 Mo. LIBOR + 1.48% (a)........... 2.36% 06/16/22 4,018,593 1,000,000 Pacific Gas and Electric Co., SOFR Compounded Index + 1.15% (a).................................................... 1.34% 11/14/22 1,000,915 4,200,000 PPL Electric Utilities Corp., SOFR + 0.33% (a).................. 0.61% 06/24/24 4,175,513 5,000,000 Public Service Enterprise Group, Inc............................ 0.84% 11/08/23 4,821,240 15,000,000 Southern California Edison Co., SOFR Compounded Index + 0.64% (a).................................................. 0.92% 04/03/23 14,999,232 4,000,000 Southern California Edison Co., Series F, SOFR Compounded Index + 0.35% (a)................................. 0.62% 06/13/22 3,999,999 4,000,000 Southern California Edison Co., Series J........................ 0.70% 08/01/23 3,887,327 7,550,000 Southern (The) Co., Series 2021, SOFR + 0.37% (a)............... 0.56% 05/10/23 7,528,283 8,264,000 Virginia Electric and Power Co., Series C....................... 2.75% 03/15/23 8,273,013 ---------------- 188,504,511 ---------------- ELECTRONICS -- 0.2% 7,113,000 Agilent Technologies, Inc....................................... 3.88% 07/15/23 7,207,700 ---------------- See Notes to Financial Statements Page 9 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- CORPORATE BONDS AND NOTES (CONTINUED) ENVIRONMENTAL CONTROL -- 0.0% $ 1,002,000 Waste Management, Inc........................................... 2.40% 05/15/23 $ 998,356 ---------------- FOOD -- 0.4% 10,000,000 ConAgra Brands, Inc............................................. 0.50% 08/11/23 9,676,708 7,086,000 ConAgra Brands, Inc............................................. 3.20% 01/25/23 7,121,327 ---------------- 16,798,035 ---------------- GAS -- 0.5% 10,440,000 CenterPoint Energy Resources Corp............................... 0.70% 03/02/23 10,227,253 5,864,000 CenterPoint Energy Resources Corp., 3 Mo. LIBOR + 0.50% (a).................................................... 1.00% 03/02/23 5,853,365 5,000,000 Southern California Gas Co., 3 Mo. LIBOR + 0.35% (a)............ 1.15% 09/14/23 4,973,883 ---------------- 21,054,501 ---------------- HEALTH CARE PRODUCTS -- 1.8% 10,000,000 Baxter International, Inc., SOFR Compounded Index + 0.26% (a) (b)................................................ 0.49% 12/01/23 9,956,450 8,000,000 Baxter International, Inc. (b).................................. 0.87% 12/01/23 7,698,576 10,000,000 Baxter International, Inc., SOFR Compounded Index + 0.44% (a) (b)................................................ 0.67% 11/29/24 9,954,555 16,000,000 PerkinElmer, Inc................................................ 0.55% 09/15/23 15,501,036 7,681,000 Thermo Fisher Scientific, Inc., SOFR Compounded Index + 0.35% (a).................................................... 0.63% 04/18/23 7,670,622 10,000,000 Thermo Fisher Scientific, Inc., SOFR Compounded Index + 0.39% (a).................................................... 0.67% 10/18/23 9,975,254 14,855,000 Thermo Fisher Scientific, Inc................................... 0.80% 10/18/23 14,413,480 1,000,000 Thermo Fisher Scientific, Inc., SOFR Compounded Index + 0.53% (a).................................................... 0.81% 10/18/24 996,302 ---------------- 76,166,275 ---------------- HEALTH CARE SERVICES -- 1.6% 13,095,000 Aetna, Inc...................................................... 2.80% 06/15/23 13,065,777 11,754,000 Anthem, Inc..................................................... 3.13% 05/15/22 11,760,612 13,875,000 Anthem, Inc..................................................... 2.95% 12/01/22 13,929,696 6,083,000 Anthem, Inc..................................................... 3.30% 01/15/23 6,118,580 5,753,000 Anthem, Inc..................................................... 0.45% 03/15/23 5,654,460 14,500,000 Humana, Inc..................................................... 0.65% 08/03/23 14,081,918 2,322,000 UnitedHealth Group, Inc......................................... 3.50% 06/15/23 2,348,929 ---------------- 66,959,972 ---------------- HOME FURNISHINGS -- 0.2% 8,540,000 Whirlpool Corp.................................................. 4.70% 06/01/22 8,554,356 ---------------- INSURANCE -- 2.6% 13,125,000 Athene Global Funding, 3 Mo. LIBOR + 1.23% (a) (b).............. 2.19% 07/01/22 13,132,539 5,246,000 Athene Global Funding (b)....................................... 3.00% 07/01/22 5,254,953 5,000,000 Athene Global Funding, SOFR Compounded Index + 0.70% (a) (b)................................................ 0.92% 05/24/24 4,943,524 3,000,000 Brighthouse Financial Global Funding, SOFR + 0.76% (a) (b)................................................ 1.04% 04/12/24 3,007,487 25,000,000 MET Tower Global Funding, SOFR + 0.55% (a) (b).................. 0.83% 01/17/23 25,024,258 2,000,000 Metropolitan Life Global Funding I, SOFR + 0.57% (a) (b)................................................ 0.85% 01/13/23 2,002,216 7,000,000 Metropolitan Life Global Funding I, SOFR + 0.30% (a) (b)................................................ 0.58% 09/27/24 6,943,565 Page 10 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- CORPORATE BONDS AND NOTES (CONTINUED) INSURANCE (CONTINUED) $ 25,000,000 New York Life Global Funding, 3 Mo. LIBOR + 0.28% (a) (b)................................................ 1.27% 01/10/23 $ 24,996,744 13,054,000 Principal Life Global Funding II, SOFR + 0.45% (a) (b).......... 0.73% 04/12/24 13,035,771 5,000,000 Principal Life Global Funding II, SOFR + 0.38% (a) (b).......... 0.61% 08/23/24 4,960,097 4,020,000 Reliance Standard Life Global Funding II (b).................... 2.63% 07/22/22 4,027,513 ---------------- 107,328,667 ---------------- LODGING -- 0.2% 3,000,000 Hyatt Hotels Corp............................................... 1.30% 10/01/23 2,916,842 7,000,000 Hyatt Hotels Corp., SOFR Compounded Index + 1.05% (a).................................................... 1.33% 10/01/23 7,010,676 ---------------- 9,927,518 ---------------- MACHINERY-CONSTRUCTION & MINING -- 0.1% 3,000,000 Caterpillar Financial Services Corp., Medium-Term Note......................................................... 0.95% 05/13/22 2,999,608 ---------------- MACHINERY-DIVERSIFIED -- 0.6% 15,000,000 John Deere Capital Corp., Medium-Term Note, 3 Mo. LIBOR + 0.49% (a)............................................ 1.29% 06/13/22 15,000,461 10,000,000 Rockwell Automation, Inc........................................ 0.35% 08/15/23 9,700,129 ---------------- 24,700,590 ---------------- MEDIA -- 0.9% 22,029,000 Charter Communications Operating LLC / Charter Communications Operating Capital............................. 4.46% 07/23/22 22,067,599 11,612,000 Charter Communications Operating LLC / Charter Communications Operating Capital, 3 Mo. LIBOR + 1.65% (a).................................................... 2.94% 02/01/24 11,830,407 5,000,000 Walt Disney (The) Co., 3 Mo. LIBOR + 0.39% (a).................. 0.91% 09/01/22 5,003,040 ---------------- 38,901,046 ---------------- OIL & GAS -- 0.8% 9,169,000 BP Capital Markets America, Inc., 3 Mo. LIBOR + 0.65% (a).................................................... 1.58% 09/19/22 9,174,827 5,250,000 BP Capital Markets America, Inc................................. 2.75% 05/10/23 5,255,144 16,153,000 ConocoPhillips Co., 3 Mo. LIBOR + 0.90% (a)..................... 1.41% 05/15/22 16,154,688 3,165,000 Phillips 66..................................................... 3.70% 04/06/23 3,190,091 ---------------- 33,774,750 ---------------- PHARMACEUTICALS -- 4.2% 25,629,000 AbbVie, Inc..................................................... 2.90% 11/06/22 25,705,980 12,000,000 AbbVie, Inc., 3 Mo. LIBOR + 0.65% (a)........................... 1.13% 11/21/22 12,015,615 1,025,000 AbbVie, Inc..................................................... 2.85% 05/14/23 1,027,251 2,002,000 AmerisourceBergen Corp.......................................... 0.74% 03/15/23 1,971,240 19,780,000 Astrazeneca Finance LLC......................................... 0.70% 05/28/24 18,862,849 17,825,000 Bayer US Finance II LLC (b)..................................... 3.88% 12/15/23 17,979,301 6,000,000 Bristol-Myers Squibb Co., 3 Mo. LIBOR + 0.38% (a)............... 0.84% 05/16/22 6,000,090 8,918,000 Bristol-Myers Squibb Co......................................... 3.25% 11/01/23 8,984,772 1,129,000 Cigna Corp...................................................... 3.75% 07/15/23 1,138,867 6,609,000 CVS Health Corp................................................. 3.50% 07/20/22 6,615,784 7,900,000 CVS Health Corp................................................. 2.75% 12/01/22 7,921,633 12,819,000 McKesson Corp................................................... 2.70% 12/15/22 12,844,876 10,263,000 Mylan, Inc. (b)................................................. 3.13% 01/15/23 10,269,650 See Notes to Financial Statements Page 11 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- CORPORATE BONDS AND NOTES (CONTINUED) PHARMACEUTICALS (CONTINUED) $ 24,289,000 Viatris, Inc.................................................... 1.13% 06/22/22 $ 24,258,763 17,461,000 Zoetis, Inc..................................................... 3.25% 02/01/23 17,532,631 ---------------- 173,129,302 ---------------- PIPELINES -- 1.7% 5,297,000 Energy Transfer, L.P............................................ 3.45% 01/15/23 5,309,348 13,656,000 Energy Transfer, L.P. / Regency Energy Finance Corp............. 5.00% 10/01/22 13,697,380 12,890,000 Enterprise Products Operating LLC............................... 3.35% 03/15/23 12,967,216 7,871,000 ONEOK Partners, L.P............................................. 3.38% 10/01/22 7,884,217 6,368,000 Plains All American Pipeline L.P. / PAA Finance Corp............ 2.85% 01/31/23 6,353,464 9,700,000 Southern Natural Gas Co. LLC (b)................................ 0.63% 04/28/23 9,480,450 16,770,000 Williams Cos., (The), Inc....................................... 3.35% 08/15/22 16,776,771 ---------------- 72,468,846 ---------------- REAL ESTATE INVESTMENT TRUSTS -- 0.4% 15,190,000 Public Storage, SOFR + 0.47% (a)................................ 0.75% 04/23/24 15,151,863 ---------------- RETAIL -- 0.2% 3,000,000 AutoZone, Inc................................................... 3.13% 07/15/23 3,008,678 5,467,000 O'reilly Automotive, Inc........................................ 3.80% 09/01/22 5,473,136 1,570,000 O'reilly Automotive, Inc........................................ 3.85% 06/15/23 1,582,363 ---------------- 10,064,177 ---------------- SEMICONDUCTORS -- 1.2% 16,156,000 Microchip Technology, Inc....................................... 4.33% 06/01/23 16,338,027 5,820,000 Microchip Technology, Inc. (b).................................. 0.98% 09/01/24 5,468,289 1,727,000 Qorvo, Inc. (b)................................................. 1.75% 12/15/24 1,631,316 25,108,000 Skyworks Solutions, Inc......................................... 0.90% 06/01/23 24,493,290 ---------------- 47,930,922 ---------------- SOFTWARE -- 2.4% 15,794,000 Autodesk, Inc................................................... 3.60% 12/15/22 15,864,590 4,192,000 Cadence Design Systems, Inc..................................... 4.38% 10/15/24 4,271,318 17,107,000 Fiserv, Inc..................................................... 3.50% 10/01/22 17,156,466 19,246,000 Infor, Inc. (b)................................................. 1.45% 07/15/23 18,800,318 20,876,000 Oracle Corp..................................................... 2.50% 05/15/22 20,882,978 4,207,000 Oracle Corp..................................................... 2.50% 10/15/22 4,210,044 8,287,000 Roper Technologies, Inc......................................... 0.45% 08/15/22 8,245,219 4,058,000 Roper Technologies, Inc......................................... 3.13% 11/15/22 4,072,865 7,000,000 VMware, Inc..................................................... 0.60% 08/15/23 6,777,268 ---------------- 100,281,066 ---------------- TELECOMMUNICATIONS -- 1.2% 17,822,000 AT&T, Inc....................................................... 3.00% 06/30/22 17,822,000 9,936,000 AT&T, Inc., SOFR Compounded Index + 0.64% (a)................... 0.92% 03/25/24 9,931,425 10,000,000 AT&T, Inc., 3 Mo. LIBOR + 1.18% (a)............................. 1.98% 06/12/24 10,078,756 11,421,000 Verizon Communications, Inc., SOFR Compounded Index + 0.50% (a).................................................. 0.78% 03/22/24 11,403,055 ---------------- 49,235,236 ---------------- TRANSPORTATION -- 1.0% 11,564,000 Norfolk Southern Corp........................................... 2.90% 02/15/23 11,589,301 20,227,000 Ryder System, Inc., Medium-Term Note............................ 2.50% 09/01/22 20,258,043 3,254,000 Union Pacific Corp.............................................. 2.75% 04/15/23 3,257,057 Page 12 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- CORPORATE BONDS AND NOTES (CONTINUED) TRANSPORTATION (CONTINUED) $ 5,000,000 Union Pacific Corp.............................................. 3.50% 06/08/23 $ 5,037,440 ---------------- 40,141,841 ---------------- TRUCKING & LEASING -- 0.2% 1,790,000 Penske Truck Leasing Co., L.P. / PTL Finance Corp. (b).......... 4.88% 07/11/22 1,800,370 5,108,000 Penske Truck Leasing Co., L.P. / PTL Finance Corp. (b).......... 4.25% 01/17/23 5,158,288 ---------------- 6,958,658 ---------------- TOTAL CORPORATE BONDS AND NOTES.............................................................. 1,850,571,527 (Cost $1,866,587,841) ---------------- ANNUALIZED PRINCIPAL YIELD ON DATE STATED VALUE DESCRIPTION OF PURCHASE MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- COMMERCIAL PAPER -- 30.1% AGRICULTURE -- 0.4% 10,000,000 BAT International Finance PLC................................... 1.12% 05/27/22 9,992,055 7,000,000 BAT International Finance PLC................................... 0.61% 07/12/22 6,991,585 ---------------- 16,983,640 ---------------- AUTO MANUFACTURERS -- 1.5% 5,000,000 General Motors Financial Co., Inc............................... 1.12% 05/02/22 4,999,847 5,000,000 General Motors Financial Co., Inc............................... 1.22% 05/17/22 4,997,332 5,000,000 General Motors Financial Co., Inc............................... 1.22% 05/24/22 4,996,165 5,000,000 General Motors Financial Co., Inc............................... 1.37% 06/09/22 4,992,686 10,000,000 Harley-Davidson Financial Services, Inc......................... 1.30% 05/06/22 9,998,221 10,000,000 Harley-Davidson Financial Services, Inc......................... 1.30% 05/11/22 9,996,443 8,000,000 Harley-Davidson Financial Services, Inc......................... 1.30% 05/13/22 7,996,585 15,000,000 Hyundai Capital America......................................... 0.86% 05/11/22 14,996,457 ---------------- 62,973,736 ---------------- BANKS -- 0.7% 10,000,000 Commonwealth Bank of Australia, SOFR + 0.42% (a)................ 0.70% 01/23/23 9,999,264 10,000,000 Macquarie Bank Ltd., SOFR + 0.60% (a)........................... 0.88% 03/02/23 10,000,000 10,000,000 Svenska Handelsbanken AB, SOFR + 0.40% (a)...................... 0.68% 03/01/23 10,000,000 ---------------- 29,999,264 ---------------- BEVERAGES -- 1.3% 10,000,000 Constellation Brands, Inc...................................... 1.01% 05/09/22 9,997,777 10,000,000 Constellation Brands, Inc...................................... 1.07% 05/12/22 9,996,790 10,000,000 Constellation Brands, Inc...................................... 1.01% 05/13/22 9,996,666 10,000,000 Constellation Brands, Inc...................................... 1.01% 05/17/22 9,995,554 15,000,000 Molson Coors Beverage Co....................................... 1.27% 05/17/22 14,991,666 ---------------- 54,978,453 ---------------- BUILDING MATERIALS -- 1.5% 20,000,000 Fortune Brands Home & Security, Inc............................ 0.76% - 0.91% 05/02/22 19,999,542 5,000,000 Fortune Brands Home & Security, Inc............................ 0.91% 05/03/22 4,999,750 10,000,000 Fortune Brands Home & Security, Inc............................ 1.17% 05/09/22 9,997,443 10,000,000 Fortune Brands Home & Security, Inc............................ 1.17% 05/10/22 9,997,123 15,000,000 Fortune Brands Home & Security, Inc............................ 1.27% 05/24/22 14,988,019 ---------------- 59,981,877 ---------------- See Notes to Financial Statements Page 13 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) ANNUALIZED PRINCIPAL YIELD ON DATE STATED VALUE DESCRIPTION OF PURCHASE MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- COMMERCIAL PAPER (CONTINUED) CHEMICALS -- 4.5% $ 10,000,000 Albemarle Corp.................................................. 1.12% 05/04/22 $ 9,999,083 13,000,000 Albemarle Corp.................................................. 1.01% 05/09/22 12,997,110 10,000,000 Albemarle Corp.................................................. 1.07% 05/12/22 9,996,790 10,000,000 Albemarle Corp.................................................. 1.12% 05/16/22 9,995,416 5,000,000 Albemarle Corp.................................................. 1.17% 05/20/22 4,996,965 10,000,000 DuPont de Nemours, Inc.......................................... 0.91% 05/04/22 9,999,249 10,000,000 EI du Pont de Nemours and Co.................................... 0.76% 05/03/22 9,999,583 10,000,000 FMC Corp........................................................ 1.03% 05/02/22 9,999,717 10,000,000 FMC Corp........................................................ 1.17% 05/10/22 9,997,123 10,000,000 FMC Corp........................................................ 1.37% 05/18/22 9,993,622 10,000,000 FMC Corp........................................................ 1.37% 05/19/22 9,993,247 15,000,000 International Flavors & Fragrances, Inc......................... 1.52% 05/05/22 14,997,497 5,000,000 International Flavors & Fragrances, Inc......................... 1.12% 05/09/22 4,998,776 5,000,000 International Flavors & Fragrances, Inc......................... 1.63% 06/01/22 4,993,102 10,000,000 Nutrien Ltd..................................................... 0.98% 05/05/22 9,998,921 10,000,000 Nutrien Ltd..................................................... 0.96% 05/06/22 9,998,679 5,000,000 Nutrien Ltd..................................................... 1.12% 05/31/22 4,995,413 10,000,000 Nutrien Ltd..................................................... 1.09% 06/09/22 9,988,405 5,000,000 Nutrien Ltd..................................................... 1.22% 06/17/22 4,992,166 15,000,000 Sherwin-Williams (The) Co....................................... 0.91% 05/23/22 14,991,747 ---------------- 187,922,611 ---------------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 10,000,000 Intercontinental Exchange, Inc.................................. 1.12% 05/02/22 9,999,694 10,000,000 Intercontinental Exchange, Inc.................................. 0.86% 05/04/22 9,999,291 10,000,000 Intercontinental Exchange, Inc.................................. 1.01% 05/05/22 9,998,888 5,000,000 Intercontinental Exchange, Inc.................................. 0.98% 05/16/22 4,997,978 6,150,000 Intercontinental Exchange, Inc.................................. 1.02% 05/23/22 6,146,203 ---------------- 41,142,054 ---------------- ELECTRIC -- 3.4% 15,000,000 Consolidated Edison, Inc........................................ 0.54% 05/02/22 14,999,779 12,400,000 Enel Finance America LLC........................................ 1.16% 05/26/22 12,390,183 10,000,000 OGE Energy Corp................................................. 0.96% 05/05/22 9,998,944 10,000,000 Oklahoma Gas and Electric Co.................................... 0.96% 05/13/22 9,996,833 10,000,000 Public Service Enterprise Group, Inc............................ 0.96% 05/11/22 9,997,360 15,000,000 Public Service Enterprise Group, Inc............................ 0.96% 05/20/22 14,992,475 10,000,000 Public Service Enterprise Group, Inc............................ 0.99% 05/23/22 9,994,009 10,000,000 Public Service Enterprise Group, Inc............................ 1.12% 06/01/22 9,990,524 10,000,000 Public Service Enterprise Group, Inc............................ 1.12% 06/02/22 9,990,219 5,000,000 Sempra Energy................................................... 1.07% 06/02/22 4,995,326 5,000,000 Sempra Energy................................................... 1.12% 06/06/22 4,994,497 10,000,000 WEC Energy Group, Inc........................................... 0.94% 05/02/22 9,999,742 10,000,000 WEC Energy Group, Inc........................................... 0.94% 05/06/22 9,998,708 10,000,000 WEC Energy Group, Inc........................................... 0.96% 05/16/22 9,996,041 ---------------- 142,334,640 ---------------- ELECTRONICS -- 2.9% 15,000,000 Arrow Electronics, Inc.......................................... 0.91% 05/02/22 14,999,625 15,000,000 Arrow Electronics, Inc.......................................... 1.01% 05/03/22 14,999,167 10,000,000 Arrow Electronics, Inc.......................................... 1.12% 05/10/22 9,997,250 10,000,000 Arrow Electronics, Inc.......................................... 1.20% 05/18/22 9,994,333 10,000,000 Jabil, Inc...................................................... 1.22% 05/03/22 9,999,333 Page 14 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) ANNUALIZED PRINCIPAL YIELD ON DATE STATED VALUE DESCRIPTION OF PURCHASE MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- COMMERCIAL PAPER (CONTINUED) ELECTRONICS (CONTINUED) $ 10,000,000 Jabil, Inc...................................................... 1.12% 05/04/22 $ 9,999,082 10,000,000 Jabil, Inc...................................................... 1.22% 05/12/22 9,996,331 10,000,000 Jabil, Inc...................................................... 1.22% 05/13/22 9,995,998 10,000,000 Jabil, Inc...................................................... 1.27% 05/20/22 9,993,400 10,000,000 Jabil, Inc...................................................... 1.27% 05/24/22 9,992,013 10,000,000 Jabil, Inc...................................................... 1.27% 05/27/22 9,990,972 ---------------- 119,957,504 ---------------- FOOD -- 0.2% 10,000,000 Conagra Brands, Inc............................................. 1.12% 05/11/22 9,996,944 ---------------- HEALTH CARE PRODUCTS -- 1.3% 15,000,000 Danaher Corp.................................................... 0.76% 05/03/22 14,999,375 10,000,000 Danaher Corp.................................................... 0.81% 05/05/22 9,999,111 15,000,000 Danaher Corp.................................................... 0.81% 05/10/22 14,997,000 5,000,000 DENTSPLY SIRONA, Inc............................................ 1.07% 05/20/22 4,997,227 10,000,000 DENTSPLY SIRONA, Inc............................................ 1.12% 05/23/22 9,993,275 ---------------- 54,985,988 ---------------- HEALTH CARE SERVICES -- 1.1% 15,000,000 Humana, Inc..................................................... 0.57% 05/03/22 14,999,533 10,000,000 Humana, Inc..................................................... 0.96% 05/05/22 9,998,944 10,000,000 Humana, Inc..................................................... 1.05% 05/11/22 9,997,137 10,000,000 Humana, Inc..................................................... 1.19% 05/20/22 9,993,824 ---------------- 44,989,438 ---------------- MISCELLANEOUS MANUFACTURING -- 1.2% 15,000,000 Eaton Capital UnLtd. Co......................................... 0.71% 05/04/22 14,999,125 15,000,000 Eaton Corp...................................................... 0.71% 05/06/22 14,998,542 10,000,000 Parker-Hannifin Corp............................................ 1.04% 05/18/22 9,995,135 10,000,000 Parker-Hannifin Corp............................................ 1.32% 05/26/22 9,990,964 ---------------- 49,983,766 ---------------- OIL & GAS -- 0.3% 5,000,000 Suncor Energy, Inc.............................................. 0.83% 05/06/22 4,999,430 7,000,000 Suncor Energy, Inc.............................................. 1.01% 05/24/22 6,995,526 ---------------- 11,994,956 ---------------- PHARMACEUTICALS -- 0.9% 5,000,000 AstraZeneca PLC................................................. 1.35% 09/07/22 4,976,303 5,000,000 Cigna Corp...................................................... 0.91% 05/02/22 4,999,875 10,000,000 Cigna Corp...................................................... 0.91% 05/10/22 9,997,748 5,000,000 Cigna Corp...................................................... 1.07% 06/02/22 4,995,330 5,000,000 Cigna Corp...................................................... 1.22% 06/06/22 4,993,996 5,000,000 Cigna Corp...................................................... 1.12% 06/07/22 4,994,346 ---------------- 34,957,598 ---------------- PIPELINES -- 3.7% 4,900,000 Enbridge US, Inc................................................ 1.12% 05/02/22 4,899,850 10,000,000 Enbridge US, Inc................................................ 0.96% 05/09/22 9,997,887 5,000,000 Enbridge US, Inc................................................ 0.96% 05/11/22 4,998,680 10,000,000 Enbridge US, Inc................................................ 1.01% 05/18/22 9,995,276 10,000,000 Enbridge US, Inc................................................ 1.01% 05/19/22 9,995,000 10,000,000 Enbridge US, Inc................................................ 1.01% 05/20/22 9,994,722 20,000,000 Energy Transfer, L.P............................................ 0.81% - 1.22% 05/02/22 19,999,444 See Notes to Financial Statements Page 15 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) ANNUALIZED PRINCIPAL YIELD ON DATE STATED VALUE DESCRIPTION OF PURCHASE MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- COMMERCIAL PAPER (CONTINUED) PIPELINES (CONTINUED) $ 10,000,000 Energy Transfer, L.P............................................ 1.05% 05/06/22 $ 9,998,542 10,000,000 Energy Transfer, L.P............................................ 1.40% 05/09/22 9,996,889 10,000,000 Energy Transfer, L.P............................................ 1.42% 05/17/22 9,993,773 10,000,000 TransCanada PipeLines Ltd....................................... 0.86% - 1.02% 05/02/22 9,999,743 12,000,000 TransCanada PipeLines Ltd....................................... 1.02% 05/03/22 11,999,333 10,000,000 TransCanada PipeLines Ltd....................................... 0.95% 05/17/22 9,995,820 10,000,000 TransCanada PipeLines Ltd....................................... 1.10% 05/25/22 9,992,799 10,000,000 TransCanada PipeLines Ltd....................................... 1.07% 05/26/22 9,992,706 ---------------- 151,850,464 ---------------- REAL ESTATE INVESTMENT TRUSTS -- 1.9% 10,000,000 Crown Castle International Corp................................. 1.34% 05/11/22 9,996,331 10,000,000 Crown Castle International Corp................................. 1.44% 05/18/22 9,993,292 10,000,000 Crown Castle International Corp................................. 1.45% 05/25/22 9,990,465 13,250,000 Crown Castle International Corp................................. 1.45% 05/26/22 13,236,839 10,000,000 Healthpeak Properties, Inc...................................... 1.12% 05/17/22 9,995,107 10,000,000 Welltower, Inc.................................................. 0.84% 05/09/22 9,998,155 15,000,000 Welltower, Inc.................................................. 0.94% 05/12/22 14,995,736 ---------------- 78,205,925 ---------------- RETAIL -- 0.2% 10,000,000 Walgreens Boots Alliance, Inc................................... 1.07% 05/13/22 9,996,497 ---------------- SOFTWARE -- 1.7% 5,300,000 Fidelity National Information Services, Inc..................... 0.96% 05/11/22 5,298,601 15,000,000 Fidelity National Information Services, Inc..................... 1.07% 05/16/22 14,993,435 11,000,000 Fidelity National Information Services, Inc..................... 1.01% 05/18/22 10,994,804 13,000,000 Fidelity National Information Services, Inc..................... 1.07% 05/24/22 12,991,276 10,000,000 Fidelity National Information Services, Inc..................... 1.07% 05/25/22 9,992,998 15,000,000 Fiserv, Inc..................................................... 0.86% 05/12/22 14,996,104 ---------------- 69,267,218 ---------------- TELECOMMUNICATIONS -- 0.2% 5,000,000 Verizon Communications, Inc..................................... 0.96% 05/03/22 4,999,736 5,000,000 Verizon Communications, Inc..................................... 0.91% 05/10/22 4,998,873 ---------------- 9,998,609 ---------------- TRANSPORTATION -- 0.2% 10,000,000 Canadian Pacific Railway Co..................................... 0.81% 05/10/22 9,997,999 ---------------- TOTAL COMMERCIAL PAPER....................................................................... 1,252,499,181 (Cost $1,252,499,181) ---------------- PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- FOREIGN CORPORATE BONDS AND NOTES -- 14.9% AGRICULTURE -- 0.2% 6,498,000 BAT International Finance PLC (b)............................... 3.25% 06/07/22 6,503,848 ---------------- AUTO MANUFACTURERS -- 0.2% 5,500,000 BMW Finance N.V., 3 Mo. LIBOR + 0.79% (a) (b)................... 1.18% 08/12/22 5,509,738 4,225,000 BMW Finance N.V. (b)............................................ 2.25% 08/12/22 4,225,995 ---------------- 9,735,733 ---------------- Page 16 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) BANKS -- 12.0% $ 4,000,000 Australia & New Zealand Banking Group Ltd., 3 Mo. LIBOR + 0.49% (a) (b)........................................ 0.97% 11/21/22 $ 4,003,029 10,000,000 Bank of Montreal, Medium-Term Note, SOFR Compounded Index + 0.32% (a)................................. 0.60% 07/09/24 9,891,796 25,000,000 Bank of Nova Scotia (The), SOFR Compounded Index + 0.45% (a).................................................... 0.72% 04/15/24 24,890,312 8,000,000 Bank of Nova Scotia (The), SOFR + 0.38% (a)..................... 0.66% 07/31/24 7,944,759 5,000,000 Banque Federative du Credit Mutuel S.A., SOFR + 0.41% (a) (b)................................................ 0.58% 02/04/25 4,926,424 3,181,000 Barclays Bank PLC............................................... 1.70% 05/12/22 3,181,647 15,623,000 Barclays PLC (c)................................................ 4.34% 05/16/24 15,753,675 25,000,000 BPCE S.A., Medium-Term Note, 3 Mo. LIBOR + 0.88% (a).................................................... 1.40% 05/31/22 25,000,092 17,625,000 Canadian Imperial Bank of Commerce, SOFR + 0.80% (a).................................................... 1.08% 03/17/23 17,658,865 8,500,000 Canadian Imperial Bank of Commerce, SOFR + 0.34% (a).................................................... 0.62% 06/22/23 8,473,883 13,425,000 Cooperatieve Rabobank UA (b).................................... 3.88% 09/26/23 13,558,134 5,000,000 Credit Suisse AG/New York NY.................................... 0.52% 08/09/23 4,843,247 15,000,000 Credit Suisse AG/New York NY, SOFR Compounded Index + 0.38% (a)............................................ 0.56% 08/09/23 14,940,474 5,000,000 Credit Suisse Group AG (b) (c).................................. 3.00% 12/14/23 4,986,585 17,901,000 Credit Suisse Group Funding Guernsey Ltd........................ 3.80% 09/15/22 18,010,820 1,044,000 Danske Bank A/S (b) (c)......................................... 1.17% 12/08/23 1,029,419 5,000,000 Danske Bank A/S (b) (c)......................................... 0.98% 09/10/25 4,651,577 4,014,000 Deutsche Bank AG/New York NY.................................... 3.30% 11/16/22 4,026,290 4,992,000 Deutsche Bank AG/New York NY.................................... 3.95% 02/27/23 5,019,670 10,000,000 Deutsche Bank AG/New York NY, Series E, SOFR + 0.50% (a).................................................... 0.68% 11/08/23 9,943,993 6,000,000 DNB Bank ASA, 3 Mo. LIBOR + 0.62% (a) (b)....................... 1.12% 12/02/22 6,009,056 6,200,000 Federation des Caisses Desjardins du Quebec, SOFR + 0.43% (a) (b)................................................ 0.65% 05/21/24 6,157,074 6,000,000 ING Groep N.V., 3 Mo. LIBOR + 1.00% (a)......................... 1.96% 10/02/23 6,053,395 5,259,000 Lloyds Bank PLC................................................. 2.25% 08/14/22 5,267,434 22,570,000 Lloyds Banking Group PLC (c).................................... 2.91% 11/07/23 22,536,721 10,000,000 Macquarie Group Ltd. (b) (c).................................... 3.19% 11/28/23 10,004,306 5,000,000 Macquarie Group Ltd., SOFR + 0.71% (a) (b)...................... 0.99% 10/14/25 4,966,929 13,685,000 Mitsubishi UFJ Financial Group, Inc., 3 Mo. LIBOR + 0.79% (a).................................................... 1.97% 07/25/22 13,696,189 9,446,000 Mitsubishi UFJ Financial Group, Inc............................. 2.67% 07/25/22 9,468,015 10,991,000 Mitsubishi UFJ Financial Group, Inc., 3 Mo. LIBOR + 0.74% (a).................................................... 1.24% 03/02/23 11,016,033 6,295,000 Mizuho Financial Group, Inc. (c)................................ 2.72% 07/16/23 6,293,565 3,306,000 Mizuho Financial Group, Inc. (c)................................ 0.85% 09/08/24 3,187,371 21,542,000 National Bank of Canada (c)..................................... 0.90% 08/15/23 21,440,400 5,000,000 National Bank of Canada, SOFR + 0.49% (a)....................... 0.67% 08/06/24 4,962,178 7,615,000 NatWest Group PLC (c)........................................... 2.36% 05/22/24 7,518,982 2,175,000 NatWest Markets PLC, SOFR + 1.66% (a) (b)....................... 1.94% 09/29/22 2,184,683 6,015,000 NatWest Markets PLC (b)......................................... 3.63% 09/29/22 6,044,388 7,600,000 NatWest Markets PLC, 3 Mo. LIBOR + 1.47% (a).................... 1.98% 05/15/23 7,599,201 14,885,000 NatWest Markets PLC, SOFR + 0.53% (a) (b)....................... 0.72% 08/12/24 14,795,212 13,890,000 Nordea Bank Abp (b)............................................. 4.25% 09/21/22 13,986,839 See Notes to Financial Statements Page 17 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 8,000,000 Royal Bank of Canada, SOFR Compounded Index + 0.36% (a).................................................... 0.64% 07/29/24 $ 7,954,570 18,454,000 Royal Bank of Canada, Global Medium-Term Note, SOFR Compounded Index + 0.30% (a)................................. 0.58% 01/19/24 18,324,900 4,000,000 Skandinaviska Enskilda Banken AB, 3 Mo. LIBOR + 0.65% (a) (b)................................................ 1.45% 12/12/22 4,011,718 11,743,000 Sumitomo Mitsui Financial Group, Inc............................ 2.78% 07/12/22 11,772,138 4,607,000 Sumitomo Mitsui Financial Group, Inc............................ 3.10% 01/17/23 4,629,321 10,000,000 Sumitomo Mitsui Trust Bank Ltd., SOFR + 0.44% (a) (b)........... 0.71% 09/16/24 9,941,113 10,000,000 Toronto-Dominion Bank (The), Medium-Term Note, SOFR + 0.91% (a).................................................. 1.17% 03/08/24 10,038,076 3,000,000 Toronto-Dominion Bank (The), Medium-Term Note................... 2.35% 03/08/24 2,957,775 5,000,000 UBS AG/London, SOFR + 0.45% (a) (b)............................. 0.63% 08/09/24 4,960,911 7,332,000 UBS Group AG (b)................................................ 3.49% 05/23/23 7,342,984 15,715,000 UBS Group AG (b) (c)............................................ 2.86% 08/15/23 15,686,358 2,315,000 UBS Group AG (b) (c)............................................ 1.01% 07/30/24 2,248,864 5,000,000 Westpac Banking Corp., 3 Mo. LIBOR + 0.71% (a).................. 1.68% 06/28/22 5,003,190 7,000,000 Westpac Banking Corp., 3 Mo. LIBOR + 0.39% (a).................. 1.41% 01/13/23 7,005,838 ---------------- 497,800,418 ---------------- BEVERAGES -- 0.6% 2,863,000 Heineken N.V. (b)............................................... 2.75% 04/01/23 2,860,111 11,000,000 JDE Peet's N.V. (b)............................................. 0.80% 09/24/24 10,284,648 12,605,000 Pernod Ricard S.A. (b).......................................... 4.25% 07/15/22 12,665,945 ---------------- 25,810,704 ---------------- CHEMICALS -- 0.2% 6,770,000 Nutrien Ltd..................................................... 1.90% 05/13/23 6,703,981 ---------------- HEALTH CARE PRODUCTS -- 0.4% 16,978,000 DH Europe Finance II Sarl....................................... 2.05% 11/15/22 16,978,493 ---------------- MEDIA -- 0.1% 2,102,000 Sky Ltd. (b).................................................... 3.13% 11/26/22 2,111,585 ---------------- MINING -- 0.3% 11,264,000 Glencore Finance Canada Ltd. (b)................................ 4.25% 10/25/22 11,348,086 ---------------- OIL & GAS -- 0.4% 11,082,000 Canadian Natural Resources Ltd.................................. 2.95% 01/15/23 11,105,159 5,700,000 Suncor Energy, Inc.............................................. 2.80% 05/15/23 5,684,163 ---------------- 16,789,322 ---------------- PIPELINES -- 0.2% 2,000,000 Enbridge, Inc., SOFR + 0.40% (a)................................ 0.60% 02/17/23 1,996,497 5,442,000 Enbridge, Inc................................................... 0.55% 10/04/23 5,243,735 3,000,000 Enbridge, Inc., SOFR Compounded Index + 0.63% (a)............... 0.83% 02/16/24 3,004,505 ---------------- 10,244,737 ---------------- SEMICONDUCTORS -- 0.2% 3,636,000 Broadcom Corp. / Broadcom Cayman Finance Ltd.................... 2.65% 01/15/23 3,648,619 6,660,000 NXP BV / NXP Funding LLC (b).................................... 4.63% 06/01/23 6,740,186 ---------------- 10,388,805 ---------------- Page 18 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) TRANSPORTATION -- 0.1% $ 5,000,000 Canadian Pacific Railway Co..................................... 1.35% 12/02/24 $ 4,740,532 ---------------- TOTAL FOREIGN CORPORATE BONDS AND NOTES...................................................... 619,156,244 (Cost $624,926,636) ---------------- ASSET-BACKED SECURITIES -- 6.6% American Credit Acceptance Receivables Trust 9,416,053 Series 2020-4, Class B (b)................................... 0.85% 12/13/24 9,411,384 3,517,092 Series 2021-3, Class A (b)................................... 0.33% 06/13/25 3,503,357 7,021,095 Series 2021-4, Class A (b)................................... 0.45% 09/15/25 6,943,571 10,245,215 Series 2022-1, Class A (b)................................... 0.99% 12/15/25 10,150,205 Avis Budget Rental Car Funding AESOP LLC 16,805,000 Series 2017-2A, Class A (b).................................. 2.97% 03/20/24 16,845,473 Carvana Auto Receivables Trust 4,261,002 Series 2021-P2, Class A2..................................... 0.30% 07/10/24 4,248,073 Countrywide Asset-Backed Certificates 304,691 Series 2004-SD4, Class M1, 1 Mo. LIBOR + 1.13% (a) (b)................................................ 1.79% 12/25/34 304,412 Dell Equipment Finance Trust 1,706,875 Series 2020-2, Class A2 (b).................................. 0.47% 10/24/22 1,705,810 Drive Auto Receivables Trust 2,016,855 Series 2021-2, Class A2...................................... 0.36% 05/15/24 2,012,403 12,324,216 Series 2021-3, Class A2...................................... 0.52% 01/15/25 12,239,827 DT Auto Owner Trust 1,340,443 Series 2020-3A, Class A (b).................................. 0.54% 04/15/24 1,339,233 6,761,978 Series 2021-4A, Class A (b).................................. 0.56% 09/15/25 6,671,207 10,474,754 Series 2022-1A, Class A (b).................................. 1.58% 04/15/26 10,388,721 Exeter Automobile Receivables Trust 7,165,000 Series 2020-3A, Class C...................................... 1.32% 07/15/25 7,108,913 1,399,618 Series 2021-3A, Class A2..................................... 0.34% 01/16/24 1,398,662 2,546,092 Series 2021-4A, Class A2..................................... 0.40% 04/15/24 2,540,758 10,875,000 Series 2022-1A, Class A2..................................... 1.15% 06/17/24 10,836,029 First Investors Auto Owner Trust 4,543,589 Series 2021-1A, Class A (b).................................. 0.45% 03/16/26 4,497,609 Flagship Credit Auto Trust 7,058,628 Series 2020-4, Class A (b)................................... 0.53% 04/15/25 7,026,663 8,934,002 Series 2021-3, Class A (b)................................... 0.36% 07/15/27 8,716,746 Foursight Capital Automobile Receivables Trust 473,389 Series 2021-1, Class A2 (b).................................. 0.40% 08/15/24 472,472 5,359,156 Series 2021-2, Class A2 (b).................................. 0.40% 04/15/25 5,310,658 3,715,000 Series 2022-1, Class A2 (b).................................. 1.15% 09/15/25 3,655,771 GLS Auto Receivables Issuer Trust 9,476,898 Series 2021-3A, Class A (b).................................. 0.42% 01/15/25 9,389,372 7,745,325 Series 2021-4A, Class A (b).................................. 0.84% 07/15/25 7,656,610 GLS Auto Receivables Trust 4,103,526 Series 2021-2A, Class A (b).................................. 0.31% 11/15/24 4,083,862 5,661,313 Series 2022-1A, Class A (b).................................. 1.98% 08/15/25 5,637,352 GM Financial Consumer Automobile Receivables Trust 7,000,000 Series 2022-2, Class A2...................................... 2.52% 05/16/25 6,984,069 GSAA Home Equity Trust 79,543 Series 2005-MTR1, Class A4, 1 Mo. LIBOR + 0.74% (a).................................................... 1.41% 10/25/35 79,615 See Notes to Financial Statements Page 19 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- ASSET-BACKED SECURITIES (CONTINUED) Hyundai Auto Receivables Trust $ 6,300,000 Series 2022-A, Class A2A..................................... 1.81% 02/18/25 $ 6,259,551 MVW Owner Trust 2,051,340 Series 2018-1A, Class A (b).................................. 3.45% 01/21/36 2,037,323 OSCAR US Funding Trust IX LLC 3,121,028 Series 2018-2A, Class A4 (b)................................. 3.63% 09/10/25 3,138,850 OSCAR US Funding Trust VII LLC 442,173 Series 2017-2A, Class A4 (b)................................. 2.76% 12/10/24 442,744 OSCAR US Funding Trust VIII LLC 1,091,534 Series 2018-1A, Class A4 (b)................................. 3.50% 05/12/25 1,091,927 OSCAR US Funding XI LLC 1,779,768 Series 2019-2A, Class A3 (b)................................. 2.59% 09/11/23 1,781,657 OSCAR US Funding XIII LLC 14,395,540 Series 2021-2A, Class A2 (b)................................. 0.39% 08/12/24 14,211,421 OSCAR US Funding XIV LLC 10,750,000 Series 2022-1A, Class A2 (b)................................. 1.60% 03/10/25 10,603,491 Santander Consumer Auto Receivables Trust 359,151 Series 2020-AA, Class A (b).................................. 1.37% 10/15/24 358,881 4,303,696 Series 2020-BA, Class A3 (b)................................. 0.46% 08/15/24 4,291,880 Santander Drive Auto Receivables Trust 7,231,480 Series 2021-4, Class A2...................................... 0.37% 08/15/24 7,208,022 Santander Retail Auto Lease Trust 7,630,000 Series 2019-C, Class A4 (b).................................. 1.93% 11/20/23 7,634,010 5,267,046 Series 2021-B, Class A2 (b).................................. 0.31% 01/22/24 5,221,079 Sierra Timeshare Receivables Funding LLC 5,376,081 Series 2018-2A, Class A (b).................................. 3.50% 06/20/35 5,347,589 Tricolor Auto Securitization Trust 4,509,081 Series 2021-1A, Class A (b).................................. 0.74% 04/15/24 4,493,579 Westlake Automobile Receivables Trust 9,489,213 Series 2021-2A, Class A2A (b)................................ 0.32% 04/15/25 9,401,790 14,892,933 Series 2021-3A, Class A2 (b)................................. 0.57% 09/16/24 14,759,332 6,000,000 Series 2022-1A, Class A3 (b)................................. 2.42% 07/15/25 5,917,054 ---------------- TOTAL ASSET-BACKED SECURITIES................................................................ 275,359,017 (Cost $278,258,047) ---------------- MORTGAGE-BACKED SECURITIES -- 2.5% COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.4% BRAVO Residential Funding Trust 8,147,651 Series 2021-NQM1, Class A1 (b)............................... 0.94% 02/25/49 7,720,767 CIM Trust 1,633,295 Series 2019-INV1, Class A2, 1 Mo. LIBOR + 1.00% (a) (b)................................................ 1.67% 02/25/49 1,634,076 803,294 Series 2019-INV2, Class A11, 1 Mo. LIBOR + 0.95% (a) (b)................................................ 1.41% 05/25/49 803,250 5,837,171 Series 2019-INV3, Class A11, 1 Mo. LIBOR + 1.00% (a) (b)................................................ 1.41% 08/25/49 5,827,482 COLT Mortgage Loan Trust 3,987,610 Series 2020-2R, Class A1 (b)................................. 1.33% 10/26/65 3,977,773 Credit Suisse Mortgage Trust 5,666,293 Series 2019-AFC1, Class A1, steps up to 3.57% on 08/26/23 (b) (d)............................................. 2.57% 07/25/49 5,504,310 6,636,331 Series 2020-NQM1, Class A1, steps up to 2.21% on 09/26/24 (b) (d)............................................. 1.21% 05/25/65 6,406,849 Page 20 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) GCAT Trust $ 3,526,816 Series 2020-NQM1, Class A1, steps up to 3.25% on 02/26/24 (b) (d).......................................... 2.25% 01/25/60 $ 3,473,295 JP Morgan Mortgage Trust 3,806,602 Series 2019-7, Class A11, 1 Mo. LIBOR + 0.90% (a) (b)............................................. 1.57% 02/25/50 3,789,901 235,681 Series 2019-8, Class A11, 1 Mo. LIBOR + 0.85% (a) (b)............................................. 1.31% 03/25/50 234,863 3,635,008 Series 2019-INV1, Class A11, 1 Mo. LIBOR + 0.95% (a) (b)............................................. 1.62% 10/25/49 3,638,395 652,830 Series 2019-LTV2, Class A11, 1 Mo. LIBOR + 0.90% (a) (b)............................................. 1.57% 12/25/49 652,863 580,241 Series 2019-LTV3, Class A11, 1 Mo. LIBOR + 0.85% (a) (b)............................................. 1.31% 03/25/50 579,688 4,326,217 Series 2020-2, Class A11, 1 Mo. LIBOR + 0.80% (a) (b)............................................. 1.26% 07/25/50 4,297,821 816,964 Series 2020-LTV1, Class A11, 1 Mo. LIBOR + 1.00% (a) (b)............................................. 1.46% 06/25/50 815,726 OBX Trust 88,252 Series 2020-EXP1, Class 2A1A, 1 Mo. LIBOR + 0.75% (a) (b)............................................. 1.42% 02/25/60 88,424 2,218,459 Series 2020-INV1, Class A11, 1 Mo. LIBOR + 0.90% (a) (b)............................................. 1.36% 12/25/49 2,214,785 Residential Mortgage Loan Trust 650,687 Series 2019-3, Class A2 (b).................................. 2.94% 09/25/59 640,106 Starwood Mortgage Residential Trust 3,187,769 Series 2020-1, Class A1 (b).................................. 2.28% 02/25/50 3,172,664 Towd Point Mortgage Trust 432,111 Series 2016-2, Class A1 (b).................................. 3.00% 08/25/55 431,986 Verus Securitization Trust 1,862,809 Series 2019-4, Class A2, steps up to 3.85% on 10/26/23 (b) (d).......................................... 2.85% 11/25/59 1,860,887 1,305,094 Series 2019-INV2, Class A2, steps up to 3.95% on 08/25/23 (b) (d).......................................... 3.12% 07/25/59 1,306,412 1,254,520 Series 2020-4, Class A2, steps up to 2.91% on 07/26/24 (b) (d).......................................... 1.91% 05/25/65 1,224,032 ---------------- 60,296,355 ---------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- 1.1% Citigroup Commercial Mortgage Trust 16 Series 2012-GC8, Class AAB................................... 2.61% 09/10/45 16 COMM Mortgage Trust 3,113,757 Series 2013-CR9, Class ASB................................... 3.83% 07/10/45 3,134,859 GS Mortgage Securities Corp II 3,803,000 Series 2013-GC10, Class A5................................... 2.94% 02/10/46 3,797,558 JP Morgan Chase Commercial Mortgage Securities Trust 4,581,391 Series 2012-C8, Class A3..................................... 2.83% 10/15/45 4,581,707 13,553,638 Series 2012-HSBC, Class A (b)................................ 3.09% 07/05/32 13,553,400 KNDL Mortgage Trust 4,100,000 Series 2019-KNSQ, Class A, 1 Mo. LIBOR + 0.80% (a) (b)............................................. 1.35% 05/15/36 4,061,543 See Notes to Financial Statements Page 21 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- MORTGAGE-BACKED SECURITIES (CONTINUED) COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED) Morgan Stanley Capital Trust $ 10,743,000 Series 2017-CLS, Class A, 1 Mo. LIBOR + 0.70% (a) (b)............................................. 1.25% 11/15/34 $ 10,693,097 VNDO Mortgage Trust 4,028,082 Series 2012-6AVE, Class A (b)................................ 3.00% 11/15/30 4,038,606 ---------------- 43,860,786 ---------------- TOTAL MORTGAGE-BACKED SECURITIES............................................................. 104,157,141 (Cost $106,455,597) ---------------- MUNICIPAL BONDS -- 0.6% ARIZONA -- 0.4% 18,000,000 Mizuho Floater/Residual Trust (b)............................... 0.74% 09/01/26 18,000,000 ---------------- OTHER -- 0.2% 8,000,000 Mizuho Floater/Residual Trust (e)............................... 0.74% 09/01/27 8,000,000 ---------------- TOTAL MUNICIPAL BONDS........................................................................ 26,000,000 (Cost $26,000,000) ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 0.4% COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.2% Federal Home Loan Mortgage Corporation 357,769 Series 2003-2723, Class KN................................... 5.00% 12/15/23 361,870 594,192 Series 2004-2783, Class YB................................... 5.00% 04/15/24 601,756 329,952 Series 2014-4387, Class DE................................... 2.00% 01/15/32 329,919 Federal National Mortgage Association 1,530 Series 2009-14, Class EB..................................... 4.50% 03/25/24 1,539 872 Series 2009-52, Class AJ..................................... 4.00% 07/25/24 875 5 Series 2011-15, Class HT..................................... 5.50% 03/25/26 5 672,189 Series 2013-74, Class EL..................................... 3.00% 04/25/41 668,993 2,675,767 Series 2014-20, Class NA..................................... 3.00% 06/25/33 2,631,243 2,615,160 Series 2015-28, Class GC..................................... 2.50% 06/25/34 2,541,815 ---------------- 7,138,015 ---------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.2% Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates 120,478 Series 2013-K027, Class A1................................... 1.79% 09/25/22 120,381 1,769,475 Series 2013-K032, Class A1................................... 3.02% 02/25/23 1,775,899 1,554,334 Series 2013-K034, Class A1................................... 2.67% 02/25/23 1,557,506 2,240,875 Series 2013-KSMC, Class A1................................... 1.95% 01/25/23 2,242,782 2,483,317 Series 2014-K036, Class A1................................... 2.78% 04/25/23 2,486,161 2,539,983 Series 2017-K727, Class A1................................... 2.63% 10/25/23 2,549,518 ---------------- 10,732,247 ---------------- PASS-THROUGH SECURITIES -- 0.0% Federal Home Loan Mortgage Corporation 31 Pool G13204.................................................. 6.00% 11/01/22 31 5,663 Pool G15435.................................................. 5.00% 11/01/24 5,778 4,292 Pool G15821.................................................. 5.00% 07/01/25 4,381 9,223 Pool G15874.................................................. 5.00% 06/01/26 9,415 Page 22 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------- ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) PASS-THROUGH SECURITIES (CONTINUED) Federal National Mortgage Association $ 1 Pool 888932.................................................. 4.50% 11/01/22 $ 1 1,568 Pool 890403.................................................. 6.00% 05/01/23 1,575 19,923 Pool 962078.................................................. 4.50% 03/01/23 20,270 1 Pool AD0285.................................................. 5.00% 09/01/22 1 80 Pool AE0237.................................................. 5.50% 11/01/23 80 4,920 Pool AE0812.................................................. 5.00% 07/01/25 5,020 19,676 Pool AL5764.................................................. 5.00% 09/01/25 20,068 6,061 Pool AL5812.................................................. 5.50% 05/01/25 6,087 6,400 Pool AL6212.................................................. 4.50% 01/01/27 6,516 19,218 Pool AL6798.................................................. 5.00% 09/01/25 19,602 46 Pool AL8539.................................................. 4.50% 01/01/27 46 150,816 Pool BM1299.................................................. 5.00% 03/01/27 153,851 Government National Mortgage Association 6,080 Pool 783524.................................................. 5.00% 09/15/24 6,119 ---------------- 258,841 ---------------- TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES...................................... 18,129,103 (Cost $18,544,929) ---------------- CERTIFICATES OF DEPOSIT -- 0.3% BANKS -- 0.3% 10,000,000 Bank of Montreal, SOFR + 0.52% (a).............................. 0.80% 03/03/23 10,018,100 ---------------- TOTAL CERTIFICATES OF DEPOSIT................................................................ 10,018,100 (Cost $10,000,000) ---------------- TOTAL INVESTMENTS -- 99.9%................................................................... 4,155,890,313 (Cost $4,183,272,231) NET OTHER ASSETS AND LIABILITIES -- 0.1%..................................................... 2,472,110 ---------------- NET ASSETS -- 100.0%......................................................................... $ 4,158,362,423 ================ (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 (the "1933 Act"), 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, 2022, securities noted as such amounted to $856,163,808 or 20.6% of net assets. (c) Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at April 30, 2022. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. (d) Step-up security. A security where the coupon increases or steps up at a predetermined date. (e) This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements.) LIBOR - London Interbank Offered Rate SOFR - Secured Overnight Financing Rate See Notes to Financial Statements Page 23 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 202 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 4/30/2022 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Corporate Bonds and Notes*......................... $1,850,571,527 $ -- $1,850,571,527 $ -- Commercial Paper*.................................. 1,252,499,181 -- 1,252,499,181 -- Foreign Corporate Bonds and Notes*................. 619,156,244 -- 619,156,244 -- Asset-Backed Securities............................ 275,359,017 -- 275,359,017 -- Mortgage-Backed Securities......................... 104,157,141 -- 104,157,141 -- Municipal Bonds**.................................. 26,000,000 -- 26,000,000 -- U.S. Government Agency Mortgage-Backed Securities...................................... 18,129,103 -- 18,129,103 -- Certificates of Deposit*........................... 10,018,100 -- 10,018,100 -- -------------- -------------- -------------- -------------- Total Investments.................................. $4,155,890,313 $ -- $4,155,890,313 $ -- ============== ============== ============== ============== * See Portfolio of Investments for industry breakout. ** See Portfolio of Investments for state breakout. Page 24 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2022 (UNAUDITED) ASSETS: Investments, at value..................................................... $4,155,890,313 Receivables: Capital shares sold.................................................... 8,923,896 Investment securities sold............................................. 5,003,125 Interest............................................................... 14,146,402 -------------- Total Assets........................................................... 4,183,963,736 -------------- LIABILITIES: Due to custodian.......................................................... 4,808,951 Payables: Investment securities purchased ....................................... 17,997,487 Distributions to shareholders.......................................... 1,952,992 Investment advisory fees............................................... 841,883 -------------- Total Liabilities...................................................... 25,601,313 -------------- NET ASSETS................................................................ $4,158,362,423 ============== NET ASSETS CONSIST OF: Paid-in capital........................................................... $4,197,867,349 Par value................................................................. 698,997 Accumulated distributable earnings (loss)................................. (40,203,923) -------------- NET ASSETS................................................................ $4,158,362,423 ============== NET ASSET VALUE, per share................................................ $ 59.49 ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................................. 69,899,724 ============== Investments, at cost...................................................... $4,183,272,231 ============== See Notes to Financial Statements Page 25 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2022 (UNAUDITED) INVESTMENT INCOME: Interest.................................................................. $ 12,564,342 -------------- Total investment income................................................ 12,564,342 -------------- EXPENSES: Investment advisory fees.................................................. 9,315,234 -------------- Total expenses......................................................... 9,315,234 Less fees waived by the investment advisor............................. (4,140,104) -------------- Net expenses........................................................... 5,175,130 -------------- NET INVESTMENT INCOME (LOSS).............................................. 7,389,212 -------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on investments................................... 271,328 Net change in unrealized appreciation (depreciation) on investments....... (27,464,259) -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................... (27,192,931) -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................................ $ (19,803,719) ============== Page 26 See Notes to Financial Statements FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) STATEMENTS OF CHANGES IN NET ASSETS SIX MONTHS ENDED YEAR 4/30/2022 ENDED (UNAUDITED) 10/31/2021 -------------- --------------- OPERATIONS: Net investment income (loss).............................................. $ 7,389,212 $ 22,049,093 Net realized gain (loss).................................................. 271,328 3,911,818 Net change in unrealized appreciation (depreciation)...................... (27,464,259) (15,146,530) -------------- --------------- Net increase (decrease) in net assets resulting from operations........... (19,803,719) 10,814,381 -------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................................... (8,156,417) (21,658,425) -------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................................. 474,753,964 242,910,481 Cost of shares redeemed................................................... (699,410,525) (989,870,234) -------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................................................... (224,656,561) (746,959,753) -------------- --------------- Total increase (decrease) in net assets................................... (252,616,697) (757,803,797) NET ASSETS: Beginning of period....................................................... 4,410,979,120 5,168,782,917 -------------- --------------- End of period............................................................. $4,158,362,423 $ 4,410,979,120 ============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................................... 73,649,724 86,099,724 Shares sold............................................................... 7,950,000 4,050,000 Shares redeemed........................................................... (11,700,000) (16,500,000) -------------- --------------- Shares outstanding, end of period......................................... 69,899,724 73,649,724 ============== =============== See Notes to Financial Statements Page 27 FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD SIX MONTHS ENDED YEAR ENDED OCTOBER 31, 4/30/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period..... $ 59.89 $ 60.03 $ 60.09 $ 59.97 $ 60.02 $ 59.93 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)............. 0.11 0.28 0.85 1.48 1.15 0.76 Net realized and unrealized gain (loss).. (0.39) (0.15) (0.05) 0.11 (0.01) 0.12 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations......... (0.28) 0.13 0.80 1.59 1.14 0.88 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.................... (0.12) (0.27) (0.86) (1.47) (1.19) (0.79) Return of capital........................ -- -- -- -- (0.00) (a) -- ---------- ---------- ---------- ---------- ---------- ---------- Total distributions...................... (0.12) (0.27) (0.86) (1.47) (1.19) (0.79) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period........... $ 59.49 $ 59.89 $ 60.03 $ 60.09 $ 59.97 $ 60.02 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b)......................... (0.47)% 0.22% 1.34% 2.68% 1.92% 1.48% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..... $4,158,362 $4,410,979 $5,168,783 $5,065,750 $3,070,454 $1,158,324 Ratios to average net assets: Ratio of total expenses to average net assets................................ 0.45% (c) 0.45% 0.45% 0.45% 0.45% 0.45% Ratio of net expenses to average net assets................................ 0.25% (c) 0.25% 0.38% 0.39% 0.33% 0.25% Ratio of net investment income (loss) to average net assets.................... 0.36% (c) 0.47% 1.41% 2.47% 2.04% 1.33% Portfolio turnover rate (d).............. 23% 82% 73% 73% 45% 56% (a) Amount represents less than $0.01 per share. (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. The total returns would have been lower if certain fees had not been waived by the investment advisor. (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 28 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (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 under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of eleven funds that are offering shares. This report covers the First Trust Enhanced Short Maturity ETF (the "Fund"), a diversified series of the Trust, which trades under the ticker "FTSM" on The Nasdaq Stock Market LLC ("Nasdaq"). The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." 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 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 debt securities, including securities issued or guaranteed by the U.S. government or its agencies, instrumentalities or U.S. government-sponsored entities, residential and commercial mortgage-backed securities, asset-backed securities, U.S. corporate bonds, fixed income securities issued by non-U.S. corporations and governments, municipal obligations, privately issued securities and other debt securities bearing fixed or floating interest rates. The Fund may also invest in money market securities. The Fund may invest in investment companies, such as ETFs, that invest primarily in debt securities. The Fund intends to limit its investments in privately-issued, non-agency sponsored mortgage- and asset-backed securities to 20% of its net assets. The Fund may also invest up to 20% of its net assets in floating rate loans representing amounts borrowed by companies or other entities from banks and other lenders. A significant portion of these 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 less than one year and the average maturity of the Fund's portfolio is expected to be less than three years. 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. 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, U.S. government securities, mortgage-backed securities, asset-backed securities, certificates of deposit 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; Page 29 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (UNAUDITED) 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 is 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. 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. 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 (the "1933 Act")) 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 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); Page 30 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (UNAUDITED) 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. 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, 2022, 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 United Kingdom's Financial Conduct Authority (the "FCA"), which regulates the London Interbank Offered Rates ("LIBOR") announced on March 5, 2021 that it intended to phase-out all LIBOR reference rates, beginning December 31, 2021. Since that announcement, the FCA has ceased publication of all non-USD LIBOR reference rates and the 1-week and 2-month USD LIBOR reference rates as of December 31, 2021. The remaining USD LIBOR settings will cease to be published or no longer be representative immediately after June 30, 2023. The International Swaps and Derivatives Association, Inc. ("ISDA") confirmed that the FCA's March 5, 2021 announcement of its intention to cease providing LIBOR reference rates, constituted an index cessation event under the Interbank Offered Rates ("IBOR") Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks Protocol for all 35 LIBOR settings and confirmed that the spread adjustment to be used in ISDA fallbacks was fixed as of the date of the announcement. In the United States, the Alternative Reference Rates Committee (the "ARRC"), a group of market participants convened by the Board of Governors of the Federal Reserve System and the Federal Reserve Bank of New York in cooperation with other federal and state government agencies, has since 2014 undertaken efforts to identify U.S. dollar reference interest rates as alternatives to LIBOR and to facilitate the mitigation of LIBOR-related risks. In June 2017, the ARRC identified the Secured Overnight Financing Rate ("SOFR"), a broad measure of the cost of cash overnight borrowing collateralized by U.S. Treasury securities, as the preferred alternative for U.S. dollar LIBOR. The Federal Reserve Bank of New York began daily publishing of SOFR in April 2018. There is no assurance that any alternative reference rate, including SOFR, will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. At this time, it is not possible to predict the full impact of the elimination of LIBOR and the establishment of an alternative reference rate on the Fund or its investments. Page 31 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (UNAUDITED) C. RESTRICTED SECURITIES The Fund invests in restricted securities, which are securities that may not be offered for public sale without first being registered under the 1933 Act. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of April 30, 2022, the Fund held restricted securities as shown in the following table that the Advisor has deemed illiquid pursuant to procedures adopted by the Trust's Board of Trustees. 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. The Fund does not have the right to demand that such securities be registered. These securities are valued according to the valuation procedures as stated in the Portfolio Valuation note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security. There are no unrestricted securities with the same maturity dates and yields for these issuers. ACQUISITION PRINCIPAL CURRENT CARRYING % OF NET SECURITY NAME DATE VALUE PRICE COST VALUE ASSETS -------------------------------------------------------------------------------------------------------------------------------- Mizuho Floater/Residential Trust, 0.74%, 09/01/27 12/03/2021 $8,000,000 $100.00 $8,000,000 $8,000,000 0.19% D. 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 gains earned by the Fund, if any, are distributed 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, 2021 was as follows: Distributions paid from: Ordinary income................................. $ 23,640,819 Capital gains................................... -- Return of capital............................... -- As of October 31, 2021, the components of distributable earnings on a tax basis for the Fund were as follows: Undistributed ordinary income................... $ 388,091 Accumulated capital and other gain (loss)....... (12,700,189) Net unrealized appreciation (depreciation)...... 68,311 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. 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 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of April 30, 2022, 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. Page 32 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (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, 2021, the Fund had non-expiring capital loss carryforwards available for federal income tax purposes of $12,700,189. During the taxable year ended October 31, 2021, the Fund utilized non-expiring capital loss carryforwards in the amount of $3,785,668. 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, 2021, the Fund had no net late year ordinary or capital losses. As of April 30, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ---------------- ------------ -------------- --------------- $ 4,183,272,231 $ 315,785 $ (27,697,703) $ (27,381,918) F. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). 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 Rule 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 two separate contractual agreements, First Trust has agreed to waive management fees of 0.20% of average daily net assets until March 1, 2023. 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, 2023. 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 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, 2023. 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. During the six months ended April 30, 2022, the Advisor waived fees of $4,140,104. 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 33 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (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 a defined-outcome fund, or an index fund. Additionally, the Lead Independent Trustee and the Chairs 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 Chairs 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 costs of purchases of U.S. Government securities and non-U.S. Government securities, excluding short-term investments, for the six months ended April 30, 2022, were $0 and $56,811,533, 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 2022, were $12,930,289 and $946,331,045, respectively. For the six months ended April 30, 2022, the Fund had no in-kind transactions. 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES The Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, the Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of the Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of the Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in the Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund's shares at or close to the NAV per share of the Fund. The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of the Fund 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, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. The Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any 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 the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by the Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 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 Page 34 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (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, 2023. 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 35 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (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 Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. The Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for the Fund is available to investors within 60 days after the period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH 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 EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. 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. CYBER SECURITY RISK. The funds are 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 a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a 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 a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. Page 36 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (UNAUDITED) DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience 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 derivative. These risks are heightened when a 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. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the 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. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in 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. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in Page 37 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (UNAUDITED) costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed 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 a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic 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; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Fund and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, Page 38 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENHANCED SHORT MATURITY ETF (FTSM) APRIL 30, 2022 (UNAUDITED) including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 18, 2022 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 16, 2021 through the Liquidity Committee's annual meeting held on March 17, 2022 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Fund primarily holds assets that are highly liquid investments, the Fund has not adopted a highly liquid investment minimum. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 39 This page intentionally left blank. 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 240 Greenwich 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 320 South Canal Street Chicago, IL 60606 [BLANK BACK COVER]