FIRST TRUST First Trust Exchange-Traded Fund IV -------------------------------------------------------------------------------- First Trust Low Duration Opportunities ETF (LMBS) Semi-Annual Report For the Six Months Ended April 30, 2022 -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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.......................................... 42 Statement of Operations...................................................... 43 Statements of Changes in Net Assets.......................................... 44 Financial Highlights......................................................... 45 Notes to Financial Statements................................................ 46 Additional Information....................................................... 56 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund IV (the "Trust") described in this report (First Trust Low Duration Opportunities ETF; hereinafter referred to as the "Fund") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund'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 LOW DURATION OPPORTUNITIES ETF (LMBS) 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 Low Duration Opportunities 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 LOW DURATION OPPORTUNITIES ETF (LMBS) The primary investment objective of the First Trust Low Duration Opportunities ETF (the "Fund") is to generate current income. The Fund's secondary investment objective is to provide capital appreciation. The Fund is an actively managed exchange-traded fund. First Trust Advisors L.P. ("First Trust" or the "Advisor") serves as the advisor. James Snyder and Jeremiah Charles are the Fund's portfolio managers and are jointly and primarily responsible for the day-to-day management of the Fund's investment portfolio. Under normal market conditions, the Fund will seek to achieve its investment objectives by investing at least 60% of its net assets (including investment borrowings) in mortgage-related debt securities and other mortgage-related instruments (collectively, "Mortgage-Related Investments"). The Fund normally expects to invest in Mortgage-Related Investments tied to residential and commercial mortgages. Mortgage-Related Investments consist of: (1) residential mortgage-backed securities (RMBS); (2) commercial mortgage-backed securities (CMBS); (3) stripped mortgage-backed securities (SMBS), which are mortgage-backed securities where mortgage payments are divided up between paying the loan's principal and paying the loan's interest; and (4) collateralized mortgage obligations (CMOs) and real estate mortgage investment conduits (REMICs) where they are divided into multiple classes with each class being entitled to a different share of the principal and/or interest payments received from the pool of underlying assets. The Fund will limit its investment in Mortgage-Related Investments that are neither issued nor guaranteed by the U.S. government or its agencies or instrumentalities to 20% of its net assets (including investment borrowings). The Fund may invest up to 40% of its net assets (including investment borrowings), in the aggregate, in (i) cash, cash equivalents and short-term investments and (ii) non-mortgage direct obligations of the U.S. government and other non-mortgage securities issued and/or guaranteed by the U.S. government or its agencies or instrumentalities. The Fund may also invest up to 5% of its net assets (including investment borrowings) in asset-backed securities ("ABS") (other than Mortgage-Related Investments) that are not issued and/or guaranteed by Government Entities. However, the Fund's investments in (a) Mortgage-Related Investments that are not issued and/or guaranteed by Government Entities and (b) ABS may not, in the aggregate, exceed 20% of the Fund's net assets (including investment borrowings). Although the Fund intends to invest primarily in investment grade securities, the Fund may invest up to 20% of its net assets (including investment borrowings) in securities of any credit quality, including securities that are below investment grade, which are also known as high yield securities, or commonly referred to as "junk" bonds, or unrated securities that have not been judged by the advisor to be of comparable quality to rated investment grade securities. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (11/4/14) Ended (11/4/14) 4/30/22 4/30/22 4/30/22 to 4/30/22 4/30/22 to 4/30/22 FUND PERFORMANCE NAV -2.36% -2.74% 1.10% 2.25% 5.60% 18.13% Market Price -2.50% -2.92% 1.05% 2.24% 5.39% 18.04% INDEX PERFORMANCE ICE BofA 1-5 Year US Treasury & Agency Index -4.18% -4.68% 0.92% 0.99% 4.71% 7.62% ------------------------------------------------------------------------------------------------------------------------------------ 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 periods indicated. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint 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 its inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in the Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the index. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future performance. Page 2 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) ----------------------------------------------------------- % OF NET FUND ALLOCATION ASSETS ----------------------------------------------------------- U.S. Government Agency Mortgage- Backed Securities 85.6% Mortgage-Backed Securities 13.3 Asset-Backed Securities 4.6 Exchange-Traded Funds 0.0* Money Market Funds 8.0 Put Options Purchased 0.0* U.S. Government Agency Mortgage- Backed Securities Sold Short (21.2) Written Options (0.0)* Net Other Assets and Liabilities(1) 9.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL LONG FIXED-INCOME CREDIT QUALITY(3) INVESTMENTS & CASH ----------------------------------------------------------- Government and Agency 70.7% AAA 3.5 AA+ 0.2 AA 0.3 A 0.3 A- 0.2 BBB 0.6 BBB- 0.2 BB 0.0* BB- 0.2 B- 0.1 Not Rated 9.1 Cash and Cash Equivalents 14.6 ------- Total 100.00% ======= * Amount is less than 0.1%. ----------------------------------------------------------- % OF LONG-TERM TOP TEN HOLDINGS INVESTMENTS(2) ----------------------------------------------------------- Federal National Mortgage Association, Pool TBA, 4.00%, 6/15/52 4.8% Federal National Mortgage Association, Pool TBA, 4.50%, 6/15/52 4.1 Federal National Mortgage Association, Pool TBA, 4.00%, 7/15/52 2.6 Federal National Mortgage Association, Pool TBA, 1.50%, 6/15/52 1.3 Federal National Mortgage Association, Pool TBA, 3.00%, 5/15/52 1.1 Federal Home Loan Mortgage Corporation, Series SNEX-2019, Class PR1, 2.50%, 2/1/42 1.0 Federal National Mortgage Association, Pool FS1524, 2.50%, 4/1/42 1.0 Federal National Mortgage Association, Pool TBA, 2.50%, 6/15/52 1.0 Federal National Mortgage Association, Pool FM3047, 4.00%, 4/1/45 0.9 Federal National Mortgage Association, Pool FS0697, 2.50%, 2/1/42 0.9 ------- Total 18.7% ======= ----------------------------------------------------------- WEIGHTED AVERAGE EFFECTIVE NET DURATION ----------------------------------------------------------- April 30, 2022 1.6 Years High - April 30, 2022 1.6 Years Low - December 31, 2021 0.7 Years ----------------------------- (1) Includes variation margin on futures contracts. (2) Percentages are based on the long positions only. Money market funds and short positions are excluded. (3) 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 and Agency." Credit ratings are subject to change. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PERFORMANCE OF A $10,000 INITIAL INVESTMENT NOVEMBER 4, 2014 - APRIL 30, 2022 First Trust Low Duration ICE BofA 1-5 Year US Opportunities ETF Treasury & Agency Index 11/4/14 $10,000 $10,000 10/31/15 10,362 10,144 4/30/16 10,725 10,256 10/31/16 11,138 10,301 4/30/17 11,186 10,279 10/31/17 11,274 10,307 4/30/18 11,294 10,205 10/31/18 11,368 10,273 4/30/19 11,635 10,578 10/31/19 11,923 10,867 4/30/20 11,990 11,290 10/31/20 12,101 11,314 4/30/21 12,146 11,290 10/31/21 12,099 11,232 4/30/22 11,813 10,762 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. Performance in securitized product investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size. 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 LOW DURATION OPPORTUNITIES ETF (LMBS) SEMI-ANNUAL REPORT APRIL 30, 2022 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to the First Trust Low Duration Opportunities ETF (the "Fund" or "LMBS"). In this capacity, First Trust is responsible for the selection and ongoing monitoring of the investments in the Fund's portfolio and certain other services necessary for the management of the portfolio. PORTFOLIO MANAGEMENT TEAM JAMES SNYDER - SENIOR VICE PRESIDENT AND PORTFOLIO MANAGER JEREMIAH CHARLES - SENIOR VICE PRESIDENT AND SENIOR PORTFOLIO MANAGER The portfolio managers are primarily and jointly responsible for the day-to-day management of the Fund. Each portfolio manager has served as part of the portfolio management team of the Fund since 2014. Page 5 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) UNDERSTANDING YOUR FUND EXPENSES APRIL 30, 2022 (UNAUDITED) As a shareholder of First Trust Low Duration Opportunities ETF (the "Fund"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (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 (a) (b) ---------------------------------------------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) Actual $1,000.00 $ 976.40 0.65% $3.19 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 (a) Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (November 1, 2021 through April 30, 2022), multiplied by 181/365 (to reflect the six-month period). Page 6 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 85.6% COLLATERALIZED MORTGAGE OBLIGATIONS -- 30.9% Federal Home Loan Mortgage Corporation $ 2,670 Series 1993-1498, Class I, 1 Mo. LIBOR + 1.15% (a)........... 1.70% 04/15/23 $ 2,679 2,591 Series 1993-1552, Class I, 10 Yr. Constant Maturity Treasury Rate - 0.65% (a).......................................... 1.51% 08/15/23 2,577 24,676 Series 1993-1579, Class PM................................... 6.70% 09/15/23 25,174 24,803 Series 1993-1630, Class PK................................... 6.00% 11/15/23 25,402 1,211 Series 1993-1643, Class PK................................... 6.50% 12/15/23 1,230 70,932 Series 1994-1710, Class G, 1 Mo. LIBOR + 1.50% (a)........... 2.05% 04/15/24 71,604 1,133 Series 1998-2089, Class PJ, IO............................... 7.00% 10/15/28 100 4,607 Series 1998-2102, Class Z.................................... 6.00% 12/15/28 4,872 80 Series 2001-2365, Class LO, PO............................... (b) 09/15/31 80 16,605 Series 2002-2405, Class BF................................... 7.00% 03/25/24 16,970 150,747 Series 2002-2410, Class OG................................... 6.38% 02/15/32 167,177 94,069 Series 2002-2427, Class GE................................... 6.00% 03/15/32 101,863 154,183 Series 2002-2437, Class SA, IO, 1 Mo. LIBOR (x) -1 + 7.90% (c)................................................. 7.35% 01/15/29 12,406 194,371 Series 2003-2557, Class HL................................... 5.30% 01/15/33 205,417 103,400 Series 2003-2564, Class AC................................... 5.50% 02/15/33 109,008 283,526 Series 2003-2574, Class PE................................... 5.50% 02/15/33 302,651 119,292 Series 2003-2577, Class LI, IO............................... 5.50% 02/15/33 16,208 993,000 Series 2003-2581, Class LL................................... 5.25% 03/15/33 1,044,444 51,276 Series 2003-2586, Class TG................................... 5.50% 03/15/23 51,671 33,856 Series 2003-2597, Class AE................................... 5.50% 04/15/33 35,016 1,237,000 Series 2003-2613, Class LL................................... 5.00% 05/15/33 1,293,274 255,924 Series 2003-2626, Class ZW................................... 5.00% 06/15/33 237,416 557,914 Series 2003-2626, Class ZX................................... 5.00% 06/15/33 548,714 27,000 Series 2003-2676, Class LL................................... 5.50% 09/15/33 28,210 430,178 Series 2004-2771, Class NL................................... 6.00% 03/15/34 459,903 349,141 Series 2004-2793, Class PE................................... 5.00% 05/15/34 367,825 844,559 Series 2004-2801, Class SE, IO, 1 Mo. LIBOR (x) -1 + 7.05% (c)................................................. 6.50% 07/15/32 84,324 135,287 Series 2004-2835, Class QY, IO, 1 Mo. LIBOR (x) -1 + 7.90% (c)................................................. 7.35% 12/15/32 16,473 105,744 Series 2004-2890, Class ZA................................... 5.00% 11/15/34 111,423 618,530 Series 2004-2891, Class ZA................................... 6.50% 11/15/34 757,900 371,785 Series 2004-2907, Class DZ................................... 4.00% 12/15/34 371,208 1,109,843 Series 2005-233, Class 12, IO, STRIPS........................ 5.00% 09/15/35 156,905 808,055 Series 2005-234, Class IO, IO, STRIPS........................ 4.50% 10/01/35 115,048 785,000 Series 2005-2973, Class GE................................... 5.50% 05/15/35 867,294 117,889 Series 2005-3031, Class BI, IO, 1 Mo. LIBOR (x) -1 + 6.69% (c)................................................. 6.14% 08/15/35 16,767 2,250,005 Series 2005-3054, Class ZW................................... 6.00% 10/15/35 2,361,700 22,155 Series 2005-3074, Class ZH................................... 5.50% 11/15/35 25,478 246,599 Series 2006-238, Class 8, IO, STRIPS......................... 5.00% 04/15/36 42,405 225,948 Series 2006-243, Class 11, IO, STRIPS (d).................... 7.00% 08/15/36 40,498 67,909 Series 2006-3117, Class ZU................................... 6.00% 02/15/36 82,631 24,083 Series 2006-3150, Class DZ................................... 5.50% 05/15/36 25,826 1,230,613 Series 2006-3174, Class LF, 1 Mo. LIBOR + 0.35% (a).......... 0.90% 05/15/36 1,230,425 2,760,979 Series 2006-3196, Class ZK................................... 6.50% 04/15/32 3,237,388 1,295,548 Series 2006-3210, Class SA, IO, 1 Mo. LIBOR (x) -1 + 6.60% (c)................................................. 6.05% 09/15/36 163,100 401,388 Series 2006-3223, Class FC, 1 Mo. LIBOR + 0.55% (a).......... 0.95% 04/15/32 404,463 See Notes to Financial Statements Page 7 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Federal Home Loan Mortgage Corporation (Continued) $ 915,220 Series 2007-3262, Class KS, IO, 1 Mo. LIBOR (x) -1 + 6.41% (c)................................................. 5.86% 01/15/37 $ 57,630 36,275 Series 2007-3274, Class B.................................... 6.00% 02/15/37 38,118 202,504 Series 2007-3322, Class NF, 1 Mo. LIBOR (x) 2,566.67 - 16,683.33%, 0.00% Floor (a)............................... 0.00% 05/15/37 196,272 34,779 Series 2007-3340, Class PF, 1 Mo. LIBOR + 0.30% (a).......... 0.85% 07/15/37 34,619 43,635 Series 2007-3349, Class MY................................... 5.50% 07/15/37 45,627 79,081 Series 2007-3360, Class CB................................... 5.50% 08/15/37 83,569 1,022,884 Series 2007-3370, Class FM, 1 Mo. LIBOR + 0.62% (a).......... 1.17% 10/15/47 1,039,052 74,070 Series 2007-3380, Class FS, 1 Mo. LIBOR + 0.35% (a).......... 0.90% 11/15/36 72,135 203,189 Series 2008-3406, Class B.................................... 6.00% 01/15/38 213,014 103,726 Series 2008-3413, Class B.................................... 5.50% 04/15/37 108,415 247,889 Series 2008-3420, Class AZ................................... 5.50% 02/15/38 263,076 169,265 Series 2008-3448, Class SA, IO, 1 Mo. LIBOR (x) -1 + 6.05% (c)................................................. 5.50% 05/15/38 4,594 2,565,310 Series 2009-3522, Class SE, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.55% 04/15/39 270,924 29,406 Series 2009-3523, Class SD, 1 Mo. LIBOR (x) -2.75 + 19.66% (c)................................................ 8.14% 06/15/36 31,497 1,235,831 Series 2009-3542, Class ZP................................... 5.00% 06/15/39 1,307,299 177,000 Series 2009-3550, Class LL................................... 4.50% 07/15/39 179,396 752,561 Series 2009-3563, Class ZP................................... 5.00% 08/15/39 825,471 1,586,569 Series 2009-3572, Class JS, IO, 1 Mo. LIBOR (x) -1 + 6.80% (c)................................................. 6.25% 09/15/39 135,506 33,581 Series 2009-3585, Class QZ................................... 5.00% 08/15/39 33,026 124,990 Series 2009-3587, Class FX, 1 Mo. LIBOR + 0.00% (a).......... 0.55% 12/15/37 113,651 491,065 Series 2009-3593, Class F, 1 Mo. LIBOR + 0.50% (a)........... 0.73% 03/15/36 491,935 1,343,473 Series 2009-3605, Class NC................................... 5.50% 06/15/37 1,441,357 500,000 Series 2010-3622, Class PB................................... 5.00% 01/15/40 517,248 421,984 Series 2010-3632, Class BS, 1 Mo. LIBOR (x) -3.33 + 17.50% (c)................................................ 15.65% 02/15/40 483,723 107,000 Series 2010-3645, Class WD................................... 4.50% 02/15/40 102,650 634,855 Series 2010-3667, Class PL................................... 5.00% 05/15/40 646,960 68,766 Series 2010-3699, Class FD, 1 Mo. LIBOR + 0.60% (a).......... 1.15% 07/15/40 69,278 663,521 Series 2010-3704, Class ED................................... 4.00% 12/15/36 670,494 400,000 Series 2010-3714, Class PB................................... 4.75% 08/15/40 424,008 424,808 Series 2010-3735, Class IK, IO............................... 3.50% 10/15/25 15,635 77,569 Series 2010-3735, Class JI, IO............................... 4.50% 10/15/30 7,994 227,884 Series 2010-3740, Class SC, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.45% 10/15/40 35,539 149,733 Series 2010-3770, Class GZ................................... 4.50% 10/15/40 153,067 37,405 Series 2011-3795, Class ED................................... 3.00% 10/15/39 37,471 600,000 Series 2011-3796, Class PB................................... 5.00% 01/15/41 633,171 214,176 Series 2011-3819, Class ZQ................................... 6.00% 04/15/36 234,637 3,677,067 Series 2011-3820, Class GZ................................... 5.00% 03/15/41 3,900,049 300,000 Series 2011-3820, Class NC................................... 4.50% 03/15/41 312,928 153,801 Series 2011-3828, Class SY, 1 Mo. LIBOR (x) -3 + 13.20% (c)................................................ 11.54% 02/15/41 145,853 636,419 Series 2011-3841, Class JZ................................... 5.00% 04/15/41 676,025 103,547 Series 2011-3842, Class BS, 1 Mo. LIBOR (x) -5 + 22.75% (c)................................................ 20.47% 04/15/41 131,090 300,000 Series 2011-3844, Class PC................................... 5.00% 04/15/41 325,335 Page 8 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Federal Home Loan Mortgage Corporation (Continued) $ 507,114 Series 2011-3852, Class SW, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.45% 05/15/41 $ 67,622 3,310,252 Series 2011-3860, Class PZ................................... 5.00% 05/15/41 3,467,097 525,000 Series 2011-3890, Class ME................................... 5.00% 07/15/41 562,165 1,387,000 Series 2011-3895, Class PW................................... 4.50% 07/15/41 1,420,835 1,836,677 Series 2011-3925, Class ZD................................... 4.50% 09/15/41 1,951,097 9,805,101 Series 2011-3954, Class GS, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.45% 11/15/41 1,468,444 360,332 Series 2012-267, Class S5, IO, STRIPS, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.45% 08/15/42 49,446 10,618,510 Series 2012-272, Class PO, PO, STRIPS........................ (b) 08/15/42 8,794,141 7,765,218 Series 2012-276, Class S5, IO, STRIPS, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.45% 09/15/42 1,038,161 401,638 Series 2012-3999, Class WA (d)............................... 5.55% 08/15/40 425,975 1,878,000 Series 2012-4000, Class PY................................... 4.50% 02/15/42 1,846,132 45,312 Series 2012-4012, Class GC................................... 3.50% 06/15/40 45,387 25,955 Series 2012-4015, Class KB................................... 1.75% 05/15/41 24,695 368,907 Series 2012-4021, Class IP, IO............................... 3.00% 03/15/27 17,226 1,125,292 Series 2012-4026, Class GZ................................... 4.50% 04/15/42 1,212,860 637,046 Series 2012-4030, Class IL, IO............................... 3.50% 04/15/27 33,233 653,595 Series 2012-4048, Class FJ, 1 Mo. LIBOR + 0.40% (a).......... 0.63% 07/15/37 652,225 1,206,800 Series 2012-4054, Class AI, IO............................... 3.00% 04/15/27 53,481 3,833,667 Series 2012-4057, Class ZC................................... 3.50% 06/15/42 3,807,584 1,107,962 Series 2012-4077, Class TS, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.45% 05/15/41 152,397 656,711 Series 2012-4090, Class YZ................................... 4.50% 08/15/42 677,685 27,337 Series 2012-4097, Class ES, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.55% 08/15/42 4,209 2,820,559 Series 2012-4097, Class SA, IO, 1 Mo. LIBOR (x) -1 + 6.05% (c)................................................. 5.50% 08/15/42 446,685 2,447,000 Series 2012-4098, Class PE................................... 4.00% 08/15/42 2,349,418 289,923 Series 2012-4103, Class HI, IO............................... 3.00% 09/15/27 15,607 34,078 Series 2012-4116, Class AS, IO, 1 Mo. LIBOR (x) -1 + 6.15% (c)................................................. 5.60% 10/15/42 5,726 1,192,485 Series 2012-4121, Class HI, IO............................... 3.50% 10/15/27 66,784 1,336,638 Series 2012-4132, Class AI, IO............................... 4.00% 10/15/42 226,405 319,937 Series 2012-4136, Class TU, IO, 1 Mo. LIBOR (x) -22.50 + 139.50%, 4.50% Cap (c).................................... 4.50% 08/15/42 54,909 371,782 Series 2012-4145, Class YI, IO............................... 3.00% 12/15/27 20,478 245,349 Series 2013-299, Class S1, IO, STRIPS, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.45% 01/15/43 38,797 6,127,921 Series 2013-303, Class C12, IO, STRIPS....................... 4.00% 12/15/32 655,080 348,723 Series 2013-303, Class C2, IO, STRIPS........................ 3.50% 01/15/28 20,903 13,418,765 Series 2013-303, Class C33, IO, STRIPS....................... 4.50% 01/15/43 2,509,046 3,452,167 Series 2013-304, Class C19, IO, STRIPS....................... 5.00% 06/15/42 814,340 271,513 Series 2013-304, Class C37, IO, STRIPS....................... 3.50% 12/15/27 12,564 1,199,467 Series 2013-304, Class C40, IO, STRIPS....................... 3.50% 09/15/26 52,528 11,653,496 Series 2013-311, Class PO, PO, STRIPS........................ (b) 08/15/43 9,654,320 1,145,103 Series 2013-4151, Class DI, IO............................... 3.50% 11/15/31 51,024 3,149,334 Series 2013-4154, Class IB, IO............................... 3.50% 01/15/28 181,728 8,316,472 Series 2013-4170, Class CO, PO............................... (b) 11/15/32 7,131,446 905,000 Series 2013-4176, Class HE................................... 4.00% 03/15/43 915,328 See Notes to Financial Statements Page 9 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Federal Home Loan Mortgage Corporation (Continued) $ 732,650 Series 2013-4177, Class GL................................... 3.00% 03/15/33 $ 707,728 3,955,409 Series 2013-4193, Class AI, IO............................... 3.00% 04/15/28 239,459 826,035 Series 2013-4193, Class PB................................... 4.00% 04/15/43 831,355 1,210,675 Series 2013-4203, Class US, 1 Mo. LIBOR (x) -1.50 + 6.00% (c)................................................. 5.17% 05/15/33 979,486 500,000 Series 2013-4211, Class PB................................... 3.00% 05/15/43 475,039 11,838 Series 2013-4226, Class NS, 1 Mo. LIBOR (x) -3 + 10.50% (c)................................................ 9.13% 01/15/43 10,263 1,450,000 Series 2013-4247, Class AY................................... 4.50% 09/15/43 1,532,647 701,641 Series 2013-4261, Class GS, 1 Mo. LIBOR (x) -2.75 + 10.98% (c)................................................ 9.46% 01/15/41 688,519 394,901 Series 2013-4265, Class IB, IO............................... 4.50% 12/15/24 13,559 33,796 Series 2014-4300, Class IM, IO............................... 3.00% 03/15/37 380 838,263 Series 2014-4314, Class CI, IO............................... 6.00% 03/15/44 192,225 2,401,019 Series 2014-4316, Class XZ................................... 4.50% 03/15/44 2,460,083 3,954,319 Series 2014-4347, Class YT................................... 3.50% 06/15/44 3,748,260 24,026,220 Series 2014-4358, Class Z.................................... 3.00% 06/15/44 22,611,371 16,101,455 Series 2014-4375, Class MZ................................... 3.50% 08/15/44 15,768,622 3,319,146 Series 2014-4387, Class IE, IO............................... 2.50% 11/15/28 160,208 664,865 Series 2015-4503, Class MI, IO............................... 5.00% 08/15/45 120,452 614,023 Series 2015-4512, Class W (d) (e)............................ 5.34% 05/15/38 645,538 88,657 Series 2015-4520, Class AI, IO............................... 3.50% 10/15/35 9,593 244,355 Series 2015-4522, Class JZ................................... 2.00% 01/15/45 243,738 273,909 Series 2016-4546, Class PZ................................... 4.00% 12/15/45 259,904 463,659 Series 2016-4546, Class ZT................................... 4.00% 01/15/46 439,070 6,891,954 Series 2016-4559, Class LI, IO............................... 2.50% 03/15/31 473,004 142,323 Series 2016-4568, Class MZ................................... 4.00% 04/15/46 132,839 12,040,654 Series 2016-4570, Class ST, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.45% 04/15/46 1,837,788 4,587,468 Series 2016-4572, Class LI, IO............................... 4.00% 08/15/45 727,533 14,510,109 Series 2016-4582, Class GZ................................... 3.75% 03/15/52 14,049,773 22,420,047 Series 2016-4585, Class DS, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.45% 05/15/46 3,446,524 6,975,536 Series 2016-4587, Class ZH................................... 4.00% 03/15/44 6,961,990 1,478,578 Series 2016-4591, Class GI, IO............................... 4.00% 12/15/44 221,515 944,001 Series 2016-4596, Class FL, 1 Mo. LIBOR + 0.50% (a).......... 0.73% 11/15/41 951,146 771,702 Series 2016-4600, Class WT................................... 3.50% 07/15/36 765,332 138,508 Series 2016-4605, Class KS, 1 Mo. LIBOR (x) -1.57 + 4.71% (c)................................................. 4.00% 08/15/43 103,163 239,702 Series 2016-4609, Class YI, IO............................... 4.00% 04/15/54 15,187 341,210 Series 2016-4613, Class AF, 1 Mo. LIBOR + 1.10% (a).......... 1.65% 11/15/37 340,431 870,822 Series 2016-4615, Class GT, 1 Mo. LIBOR (x) -4 + 16.00%, 4.00% Cap (c)............................................. 4.00% 10/15/42 693,211 2,145,733 Series 2016-4641, Class DI, IO............................... 5.00% 05/15/41 292,161 1,173,000 Series 2017-4650, Class JH................................... 3.00% 01/15/47 1,033,332 10,302,449 Series 2017-4660, Class PO, PO............................... (b) 01/15/33 7,382,837 17,812,190 Series 2017-4680, Class GZ................................... 3.50% 03/15/47 17,206,127 600,000 Series 2017-4681, Class JY................................... 2.50% 05/15/47 533,902 3,299,122 Series 2018-4774, Class SL, IO, 1 Mo. LIBOR (x) -1 + 6.20% (c)................................................. 5.65% 04/15/48 540,236 820,531 Series 2018-4780, Class VA................................... 4.00% 05/15/29 822,392 2,814,279 Series 2018-4790, Class IO, IO............................... 4.50% 05/15/48 497,715 Page 10 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Federal Home Loan Mortgage Corporation (Continued) $ 5,972,566 Series 2018-4826, Class ME................................... 3.50% 09/15/48 $ 5,803,311 3,176,931 Series 2018-4833, Class PY................................... 4.00% 10/15/48 3,138,071 8,220,088 Series 2018-4851, Class PO, PO............................... (b) 08/15/57 6,089,375 3,199,100 Series 2019-4872, Class BZ................................... 4.00% 04/15/49 3,115,920 6,738,132 Series 2019-4910, Class SA, IO, 1 Mo. LIBOR (x) -1 + 6.05% (c)................................................. 5.50% 06/15/49 1,449,492 9,541,718 Series 2019-4938, Class BS, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.33% 12/25/49 1,515,628 18,964,209 Series 2019-4941, Class YZ................................... 3.00% 12/25/49 18,031,634 10,353,707 Series 2019-4943, Class NS, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.33% 01/25/50 2,363,993 2,515,155 Series 2020-4974, Class IA, IO............................... 3.50% 12/25/49 703,761 6,430,891 Series 2020-4988, Class IJ, IO............................... 4.50% 12/15/47 1,051,532 5,235,038 Series 2020-4989, Class FB, 1 Mo. LIBOR + 0.35% (a).......... 0.58% 10/15/40 5,231,657 8,898,630 Series 2020-5013, Class HI, IO............................... 5.00% 03/25/40 1,488,081 6,027,925 Series 2020-5013, Class IQ, IO............................... 3.50% 09/25/50 1,009,592 15,659,396 Series 2020-5023, Class AI, IO............................... 4.50% 10/25/50 3,225,994 17,731,789 Series 2020-5034, Class IO, IO (d)........................... 1.82% 10/15/45 597,409 18,541,666 Series 2020-5050, Class MI, IO............................... 3.50% 10/25/50 2,981,172 32,035,840 Series 2020-5051, Class CI, IO............................... 4.00% 12/25/35 3,814,748 25,668,714 Series 2021-5086, Class MI, IO............................... 2.50% 03/25/51 3,690,902 8,815,818 Series 2021-5178, Class HL................................... 2.00% 01/25/52 6,947,077 17,589,321 Series 2022-5200, Class TZ................................... 2.50% 11/25/49 14,381,787 11,385,124 Series 2022-5208, Class HZ................................... 3.50% 03/25/52 10,644,000 13,395,248 Series 2022-5208, Class Z.................................... 3.00% 04/25/52 11,620,555 11,812,528 Series 2022-5220, Class KZ (f)............................... 4.00% 02/25/51 11,929,730 4,870,948 Series 2022-5222, Class BZ (f)............................... 3.50% 05/25/37 4,867,904 18,383,170 Series 2022-5223, Class GZ (f)............................... 3.00% 08/25/51 15,826,760 29,410,013 Series 2022-5224, Class DZ (f)............................... 4.00% 04/25/52 29,033,197 10,359,375 Series 2022-5225, Class HZ................................... 4.00% 08/25/51 10,576,229 13,793,189 Series 2022-5225, Class NZ (f)............................... 4.00% 05/25/52 13,788,879 26,290,356 Series BMOC-2623, Class Z (f) (g)............................ 0.00% 10/01/41 19,902,621 9,012,265 Series BMOC-2655, Class BO (f)............................... 0.00% 05/01/50 4,213,234 63,538,047 Series SNEX-2019, Class PR1 (f).............................. 2.50% 02/01/42 59,249,229 Federal National Mortgage Association 2,931 Series 1992-38, Class GZ..................................... 7.50% 07/25/22 2,938 324 Series 1992-185, Class ZB.................................... 7.00% 10/25/22 326 60 Series 1993-3, Class K....................................... 7.00% 02/25/23 60 1,835 Series 1993-39, Class Z...................................... 7.50% 04/25/23 1,865 186 Series 1993-46, Class FH, 7 Yr. Constant Maturity Treasury Rate - 0.20% (a).......................................... 2.22% 04/25/23 185 34,873 Series 1993-169, Class L..................................... 6.50% 09/25/23 35,720 11,164 Series 1993-171, Class SB, 10 Yr. Constant Maturity Treasury Rate (x) -2.17 + 21.99% (c)............................... 16.86% 09/25/23 11,570 5,437 Series 1993-214, Class 2, IO, STRIPS......................... 7.50% 03/25/23 121 75,495 Series 1993-222, Class 2, IO, STRIPS......................... 7.00% 06/25/23 2,177 5,979 Series 1993-230, Class FA, 1 Mo. LIBOR + 0.60% (a)........... 1.06% 12/25/23 5,997 48,252 Series 1994-61, Class FG, 1 Mo. LIBOR + 1.50% (a)............ 1.96% 04/25/24 48,648 24,609 Series 1996-51, Class AY, IO................................. 7.00% 12/18/26 2,215 30,790 Series 1998-37, Class VZ..................................... 6.00% 06/17/28 31,502 304,064 Series 2000-45, Class SD, IO, 1 Mo. LIBOR (x) -1 + 7.95% (c)................................................. 7.40% 12/18/30 18,842 See Notes to Financial Statements Page 11 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Federal National Mortgage Association (Continued) $ 37,385 Series 2001-34, Class SR, IO, 1 Mo. LIBOR (x) -1 + 8.10% (c)................................................. 7.55% 08/18/31 $ 2,231 1,821 Series 2001-42, Class SB, 1 Mo. LIBOR (x) -16 + 128.00%, 8.50% Cap (c)............................................. 8.50% 09/25/31 1,917 93,954 Series 2001-46, Class F, 1 Mo. LIBOR + 0.40% (a)............. 0.95% 09/18/31 94,193 6,563 Series 2002-22, Class G...................................... 6.50% 04/25/32 7,205 67,188 Series 2002-30, Class Z...................................... 6.00% 05/25/32 72,654 72,028 Series 2002-80, Class CZ..................................... 4.50% 09/25/32 73,998 77,898 Series 2002-320, Class 2, IO, STRIPS......................... 7.00% 04/25/32 15,854 71,056 Series 2002-323, Class 6, IO, STRIPS......................... 6.00% 01/25/32 10,815 198,866 Series 2002-324, Class 2, IO, STRIPS......................... 6.50% 07/25/32 29,644 18,207 Series 2003-14, Class AT..................................... 4.00% 03/25/33 18,312 51,774 Series 2003-21, Class OA..................................... 4.00% 03/25/33 52,443 75,704 Series 2003-32, Class UI, IO................................. 6.00% 05/25/33 14,052 343,173 Series 2003-45, Class JB..................................... 5.50% 06/25/33 365,787 2,154,049 Series 2003-61, Class MZ..................................... 5.00% 08/25/33 2,217,701 13,724 Series 2003-63, Class F1, 1 Mo. LIBOR + 0.30% (a)............ 0.97% 11/25/27 13,740 1,150,035 Series 2003-63, Class IP, IO................................. 6.00% 07/25/33 187,708 355,000 Series 2003-71, Class NH..................................... 4.29% 08/25/33 367,861 160,161 Series 2003-109, Class YB.................................... 6.00% 11/25/33 171,396 223,757 Series 2003-343, Class 2, IO, STRIPS......................... 4.50% 10/25/33 26,927 212,276 Series 2003-345, Class 14, IO, STRIPS........................ 6.00% 03/25/34 35,414 43,202 Series 2003-348, Class 17, IO, STRIPS........................ 7.50% 12/25/33 7,184 61,803 Series 2003-348, Class 18, IO, STRIPS (d).................... 7.50% 12/25/33 10,891 196,016 Series 2004-10, Class ZB..................................... 6.00% 02/25/34 210,418 619,351 Series 2004-18, Class EZ..................................... 6.00% 04/25/34 676,822 232,069 Series 2004-25, Class LC..................................... 5.50% 04/25/34 249,531 250,294 Series 2004-25, Class UC..................................... 5.50% 04/25/34 270,532 42,962 Series 2004-28, Class ZH..................................... 5.50% 05/25/34 47,389 610,039 Series 2004-60, Class AC..................................... 5.50% 04/25/34 634,669 1,830,885 Series 2005-2, Class S, IO, 1 Mo. LIBOR (x) -1 + 6.60% (c)... 5.93% 02/25/35 213,886 304,638 Series 2005-2, Class TB, IO, 1 Mo. LIBOR (x) -1 + 5.90%, 0.40% Cap (c)............................................. 0.40% 07/25/33 2,732 58,631 Series 2005-29, Class ZT..................................... 5.00% 04/25/35 61,904 75,335 Series 2005-40, Class SA, IO, 1 Mo. LIBOR (x) -1 + 6.70% (c)................................................. 6.03% 05/25/35 9,220 299,401 Series 2005-52, Class TZ..................................... 6.50% 06/25/35 370,023 1,083,977 Series 2005-57, Class KZ..................................... 6.00% 07/25/35 1,225,911 9,081 Series 2005-67, Class SC, 1 Mo. LIBOR (x) -2.15 + 14.41% (c)................................................ 12.97% 08/25/35 9,712 40,501 Series 2005-79, Class NS, IO, 1 Mo. LIBOR (x) -1 + 6.09% (c)................................................. 5.42% 09/25/35 4,559 4,101,700 Series 2005-86, Class WZ..................................... 5.50% 10/25/35 4,319,383 13,963 Series 2005-87, Class SC, 1 Mo. LIBOR (x) -1.67 + 13.83% (c)................................................ 12.72% 10/25/35 16,019 19,570 Series 2005-90, Class ES, 1 Mo. LIBOR (x) -2.50 + 16.88% (c)................................................ 15.21% 10/25/35 22,590 56,376 Series 2005-95, Class WZ..................................... 6.00% 11/25/35 69,344 21,221 Series 2005-102, Class DS, 1 Mo. LIBOR (x) -2.75 + 19.80% (c)................................................ 17.96% 11/25/35 21,384 507,861 Series 2005-104, Class UE.................................... 5.50% 12/25/35 541,818 346,053 Series 2005-359, Class 12, IO, STRIPS........................ 5.50% 10/25/35 64,861 Page 12 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Federal National Mortgage Association (Continued) $ 111,354 Series 2005-359, Class 6, IO, STRIPS......................... 5.00% 11/25/35 $ 16,543 98,759 Series 2005-362, Class 13, IO, STRIPS........................ 6.00% 08/25/35 18,159 48,487 Series 2006-5, Class 2A2 (a)................................. 1.97% 02/25/35 53,464 21,891,488 Series 2006-5, Class N2, IO (e).............................. 0.00% 02/25/35 219 48,649 Series 2006-15, Class IS, IO, 1 Mo. LIBOR (x) -1 + 6.58% (c)................................................. 5.91% 03/25/36 7,182 989,396 Series 2006-20, Class PI, IO, 1 Mo. LIBOR (x) -1 + 6.68% (c)................................................. 6.01% 11/25/30 51,968 26,054 Series 2006-31, Class PZ..................................... 6.00% 05/25/36 31,986 42,572 Series 2006-42, Class CF, 1 Mo. LIBOR + 0.45% (a)............ 1.12% 06/25/36 42,612 1,307,134 Series 2006-42, Class EI, IO, 1 Mo. LIBOR (x) -1 + 6.55% (c)................................................. 5.88% 06/25/36 187,199 350,881 Series 2006-59, Class SL, IO, 1 Mo. LIBOR (x) -1 + 6.57% (c)................................................. 5.90% 07/25/36 49,820 461,719 Series 2006-80, Class PH..................................... 6.00% 08/25/36 507,223 57,098 Series 2006-85, Class MZ..................................... 6.50% 09/25/36 62,962 1,627,826 Series 2006-110, Class PI, IO................................ 5.50% 11/25/36 319,155 1,896,053 Series 2006-116, Class ES, IO, 1 Mo. LIBOR (x) -1 + 6.65% (c)................................................. 5.98% 12/25/36 259,604 178,055 Series 2006-117, Class GF, 1 Mo. LIBOR + 0.35% (a)........... 1.02% 12/25/36 177,649 1,897,887 Series 2006-118, Class A1, 1 Mo. LIBOR + 0.06% (a)........... 0.52% 12/25/36 1,884,772 313,274 Series 2007-7, Class KA...................................... 5.75% 08/25/36 344,847 20,968 Series 2007-25, Class FB, 1 Mo. LIBOR + 0.33% (a)............ 1.00% 04/25/37 20,899 618,709 Series 2007-28, Class ZA..................................... 6.00% 04/25/37 659,652 845,079 Series 2007-57, Class ZG..................................... 4.75% 06/25/37 889,786 549,451 Series 2007-60, Class ZS..................................... 4.75% 07/25/37 602,076 505,051 Series 2007-68, Class AE..................................... 6.50% 07/25/37 563,331 319,947 Series 2007-116, Class PB.................................... 5.50% 08/25/35 343,453 104,881 Series 2007-117, Class MD.................................... 5.50% 07/25/37 106,852 3,162,893 Series 2007-W10, Class 3A (e)................................ 2.20% 06/25/47 3,286,913 121,176 Series 2008-3, Class FZ, 1 Mo. LIBOR + 0.55% (a)............. 1.22% 02/25/38 122,706 20,360 Series 2008-8, Class ZA...................................... 5.00% 02/25/38 21,288 9,793 Series 2008-17, Class IP, IO................................. 6.50% 02/25/38 894 692,352 Series 2008-389, Class 4, IO, STRIPS......................... 6.00% 03/25/38 121,493 3,895 Series 2009-10, Class AB..................................... 5.00% 03/25/24 3,930 702,505 Series 2009-11, Class PI, IO................................. 5.50% 03/25/36 120,903 907 Series 2009-14, Class BS, IO, 1 Mo. LIBOR (x) -1 + 6.25% (c) (h)............................................. 5.58% 03/25/24 17 1,359,967 Series 2009-37, Class NZ..................................... 5.71% 02/25/37 1,504,118 4,400,000 Series 2009-50, Class GX..................................... 5.00% 07/25/39 4,710,051 505,949 Series 2009-64, Class ZD..................................... 8.00% 08/25/39 583,550 2,938,078 Series 2009-85, Class J...................................... 4.50% 10/25/39 3,060,545 192,869 Series 2009-91, Class HL..................................... 5.00% 11/25/39 191,320 97,000 Series 2009-92, Class DB..................................... 5.00% 11/25/39 103,560 801,066 Series 2009-103, Class PZ.................................... 6.00% 12/25/39 985,902 203,621 Series 2009-106, Class SN, IO, 1 Mo. LIBOR (x) -1 + 6.25% (c)................................................. 5.58% 01/25/40 23,346 272,220 Series 2009-109, Class PZ.................................... 4.50% 01/25/40 278,553 55,736 Series 2009-115, Class HZ.................................... 5.00% 01/25/40 55,288 982,403 Series 2009-397, Class 2, IO, STRIPS......................... 5.00% 09/25/39 172,198 136,637 Series 2009-398, Class C13, IO, STRIPS....................... 4.00% 06/25/24 3,573 1,306,618 Series 2010-2, Class LC...................................... 5.00% 02/25/40 1,382,608 See Notes to Financial Statements Page 13 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Federal National Mortgage Association (Continued) $ 195,900 Series 2010-3, Class DZ...................................... 4.50% 02/25/40 $ 202,153 151,526 Series 2010-21, Class KO, PO................................. (b) 03/25/40 133,303 500,000 Series 2010-35, Class EP..................................... 5.50% 04/25/40 553,419 345,493 Series 2010-35, Class SJ, 1 Mo. LIBOR (x) -3.33 + 17.67% (c)................................................ 15.44% 04/25/40 375,190 327,788 Series 2010-38, Class KC..................................... 4.50% 04/25/40 337,318 330,713 Series 2010-45, Class WB..................................... 5.00% 05/25/40 346,974 26,013 Series 2010-49, Class SC, 1 Mo. LIBOR (x) -2 + 12.66% (c).... 11.32% 03/25/40 28,689 375,244 Series 2010-68, Class BI, IO................................. 5.50% 07/25/50 78,430 35,555 Series 2010-75, Class MT (e)................................. 1.60% 12/25/39 34,657 136,509 Series 2010-110, Class KI, IO................................ 5.50% 10/25/25 2,673 89,722 Series 2010-115, Class PO, PO................................ (b) 04/25/40 79,608 253,525 Series 2010-129, Class SM, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.33% 11/25/40 14,273 2,821,000 Series 2010-142, Class DL.................................... 4.00% 12/25/40 2,885,763 1,682,885 Series 2010-147, Class KS, IO, 1 Mo. LIBOR (x) -1 + 5.95% (c)................................................. 5.28% 01/25/41 91,991 164,964 Series 2011-9, Class AZ...................................... 5.00% 05/25/40 168,344 1,507,000 Series 2011-10, Class AY..................................... 6.00% 02/25/41 1,792,300 118,577 Series 2011-30, Class LS, IO (d)............................. 1.56% 04/25/41 6,590 130,387 Series 2011-30, Class ZB..................................... 5.00% 04/25/41 133,808 356,425 Series 2011-52, Class GB..................................... 5.00% 06/25/41 375,285 1,382,021 Series 2011-73, Class PI, IO................................. 4.50% 05/25/41 81,779 216,148 Series 2011-74, Class TQ, IO, 1 Mo. LIBOR (x) -6.43 + 55.93%, 4.50% Cap (c)..................................... 4.50% 12/25/33 26,735 1,318,014 Series 2011-87, Class YI, IO................................. 5.00% 09/25/41 240,672 2,179,769 Series 2011-101, Class EI, IO................................ 3.50% 10/25/26 80,005 750,000 Series 2011-105, Class MB.................................... 4.00% 10/25/41 739,129 1,756,430 Series 2011-111, Class PZ.................................... 4.50% 11/25/41 1,893,735 4,935,125 Series 2011-123, Class JS, IO, 1 Mo. LIBOR (x) -1 + 6.65% (c)................................................. 5.98% 03/25/41 424,223 13,082,500 Series 2011-123, Class ZP.................................... 4.50% 12/25/41 13,429,472 1,546,710 Series 2012-28, Class PT..................................... 4.00% 03/25/42 1,529,885 776,952 Series 2012-39, Class PB..................................... 4.25% 04/25/42 800,763 344,382 Series 2012-52, Class BZ..................................... 4.00% 05/25/42 315,322 660 Series 2012-53, Class CI, IO (h)............................. 3.00% 05/25/22 0 585,239 Series 2012-65, Class IO, IO................................. 5.50% 07/25/40 101,634 142,984 Series 2012-66, Class DI, IO................................. 3.50% 06/25/27 7,678 3,586,711 Series 2012-101, Class AI, IO................................ 3.00% 06/25/27 118,015 3,532,990 Series 2012-103, Class HI, IO................................ 3.00% 09/25/27 165,672 244,772 Series 2012-111, Class B..................................... 7.00% 10/25/42 271,717 157,063 Series 2012-118, Class IB, IO................................ 3.50% 11/25/42 23,279 8,225,222 Series 2012-122, Class SD, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.43% 11/25/42 1,130,657 435,138 Series 2012-133, Class KO, PO................................ (b) 12/25/42 227,930 541,286 Series 2012-138, Class MA.................................... 1.00% 12/25/42 480,039 1,354,855 Series 2012-146, Class QA.................................... 1.00% 01/25/43 1,200,535 308,071 Series 2012-409, Class 49, IO, STRIPS (d).................... 3.50% 11/25/41 46,710 337,824 Series 2012-409, Class 53, IO, STRIPS (d).................... 3.50% 04/25/42 51,093 690,000 Series 2013-10, Class HQ..................................... 2.50% 02/25/43 527,347 414,439 Series 2013-13, Class IK, IO................................. 2.50% 03/25/28 21,147 Page 14 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Federal National Mortgage Association (Continued) $ 58,651 Series 2013-22, Class TS, 1 Mo. LIBOR (x) -1.50 + 6.08% (c)................................................. 5.39% 03/25/43 $ 42,817 50,011 Series 2013-23, Class ZB..................................... 3.00% 03/25/43 35,122 750,000 Series 2013-41, Class DB..................................... 3.00% 05/25/43 671,195 1,228,450 Series 2013-43, Class IX, IO................................. 4.00% 05/25/43 253,229 406,601 Series 2013-51, Class PI, IO................................. 3.00% 11/25/32 40,426 406,216 Series 2013-52, Class MD..................................... 1.25% 06/25/43 365,090 6,433,563 Series 2013-54, Class LI, IO................................. 7.00% 11/25/34 1,214,276 609,937 Series 2013-55, Class AI, IO................................. 3.00% 06/25/33 66,392 3,837,241 Series 2013-67, Class IL, IO................................. 6.50% 07/25/43 708,654 130,300 Series 2013-70, Class JZ..................................... 3.00% 07/25/43 121,783 108,547 Series 2013-75, Class FC, 1 Mo. LIBOR + 0.25% (a)............ 0.92% 07/25/42 108,559 379,979 Series 2013-105, Class BN.................................... 4.00% 05/25/43 372,243 197,253 Series 2013-105, Class KO, PO................................ (b) 10/25/43 179,156 195,852 Series 2013-106, Class KN.................................... 3.00% 10/25/43 174,537 1,003,000 Series 2013-130, Class QY.................................... 4.50% 06/25/41 1,051,536 1,926,048 Series 2013-417, Class C21, IO, STRIPS....................... 4.00% 12/25/42 291,275 4,249,283 Series 2013-418, Class C1, IO, STRIPS........................ 3.50% 08/25/43 608,818 68,955 Series 2014-29, Class GI, IO................................. 3.00% 05/25/29 3,751 2,791,965 Series 2014-44, Class NI, IO................................. 4.50% 08/25/29 105,355 145,123 Series 2014-46, Class KA (d)................................. 21.26% 08/25/44 251,719 112,985 Series 2014-68, Class GI, IO................................. 4.50% 10/25/43 11,211 590,108 Series 2014-82, Class GZ..................................... 4.00% 12/25/44 564,959 716,057 Series 2014-84, Class LI, IO................................. 3.50% 12/25/26 27,122 875,000 Series 2015-16, Class MY..................................... 3.50% 04/25/45 843,953 8,000,000 Series 2015-19, Class JB..................................... 3.50% 04/25/45 7,867,680 28,166 Series 2015-38, Class GI, IO................................. 3.00% 09/25/43 343 10,779,759 Series 2015-40, Class AI, IO................................. 6.00% 05/25/37 2,030,661 359,818 Series 2015-76, Class BI, IO................................. 4.00% 10/25/39 26,917 71,287 Series 2015-93, Class KI, IO................................. 3.00% 09/25/44 4,833 1,234,954 Series 2015-97, Class AI, IO................................. 4.00% 09/25/41 22,110 4,962,021 Series 2016-2, Class EZ...................................... 2.50% 02/25/46 4,652,000 8,774,460 Series 2016-37, Class PY..................................... 3.00% 06/25/46 8,001,552 19,039,364 Series 2016-40, Class MS, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.33% 07/25/46 3,304,657 12,261,682 Series 2016-44, Class Z...................................... 3.50% 07/25/46 11,994,197 11,510,000 Series 2016-50, Class GY..................................... 3.00% 08/25/46 10,514,187 8,201,660 Series 2016-62, Class SB, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.43% 09/25/46 884,059 913,100 Series 2016-71, Class NI, IO................................. 3.50% 04/25/46 107,510 3,181,441 Series 2016-73, Class PI, IO................................. 3.00% 08/25/46 526,903 409,367 Series 2016-74, Class HI, IO................................. 3.50% 10/25/46 68,081 338,268 Series 2016-84, Class DF, 1 Mo. LIBOR + 0.42% (a)............ 0.65% 11/25/46 337,487 860,887 Series 2016-87, Class AF, 1 Mo. LIBOR + 0.40% (a)............ 0.63% 11/25/46 856,401 9,380,279 Series 2017-18, Class AS, IO, 1 Mo. LIBOR (x) -1 + 6.05% (c)................................................. 5.38% 03/25/47 1,596,366 597,364 Series 2017-46, Class BY..................................... 3.00% 06/25/47 523,783 9,096,728 Series 2017-49, Class ZJ..................................... 4.00% 07/25/57 9,131,938 12,080,075 Series 2017-50, Class BZ..................................... 3.00% 07/25/47 11,380,791 6,427,849 Series 2017-65, Class SA, IO, 1 Mo. LIBOR (x) -1 + 5.90%, 5.00% Cap (c)............................................. 5.00% 09/25/47 888,340 3,990,668 Series 2017-84, Class ZK..................................... 3.50% 10/25/57 3,940,481 See Notes to Financial Statements Page 15 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Federal National Mortgage Association (Continued) $ 3,763,262 Series 2017-87, Class GI, IO................................. 4.00% 06/25/44 $ 589,066 2,121,309 Series 2017-87, Class ZA..................................... 4.00% 11/25/57 2,033,984 2,553,132 Series 2018-17, Class Z...................................... 3.50% 03/25/48 2,430,220 30,505,319 Series 2018-76, Class ZL..................................... 4.00% 10/25/58 30,295,836 7,050,711 Series 2018-86, Class DL..................................... 3.50% 12/25/48 6,914,620 3,479,150 Series 2018-92, Class DB..................................... 3.50% 01/25/49 3,402,040 6,040,730 Series 2018-94, Class AZ..................................... 4.00% 01/25/49 5,890,681 9,356,169 Series 2019-8, Class DY...................................... 3.50% 03/25/49 9,148,345 8,135,218 Series 2019-17, Class GZ..................................... 4.00% 11/25/56 8,261,325 11,912,363 Series 2019-26, Class GA..................................... 3.50% 06/25/49 11,769,241 5,228,355 Series 2019-27, Class HA..................................... 3.00% 06/25/49 5,047,207 7,852,396 Series 2019-29, Class HT..................................... 3.00% 06/25/49 7,629,145 6,821,373 Series 2019-34, Class JA..................................... 3.00% 07/25/49 6,643,165 16,388,357 Series 2019-34, Class LA..................................... 3.00% 07/25/49 15,899,802 4,608,746 Series 2019-37, Class A...................................... 3.00% 07/25/49 4,482,819 14,654,567 Series 2019-41, Class SN, IO, 1 Mo. LIBOR (x) -1 + 6.05% (c)................................................. 5.38% 08/25/49 2,257,293 11,472,115 Series 2019-57, Class JA..................................... 2.50% 10/25/49 10,842,896 5,178,870 Series 2019-59, Class PT..................................... 2.50% 10/25/49 4,941,259 12,043,263 Series 2019-66, Class C...................................... 3.00% 11/25/49 11,581,944 40,476,254 Series 2019-68, Class KP..................................... 2.50% 11/25/49 38,156,301 25,773,960 Series 2019-70, Class WA, PO................................. (b) 11/25/42 22,072,139 32,028,020 Series 2020-5, Class BZ...................................... 3.00% 02/25/50 30,353,922 16,435,111 Series 2020-9, Class SJ, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c).. 5.33% 02/25/50 3,172,067 11,969,763 Series 2020-20, Class KI, IO................................. 4.00% 03/25/50 4,079,372 35,404,793 Series 2020-34, Class AI, IO................................. 3.50% 06/25/35 3,204,020 13,423,823 Series 2020-37, Class QI, IO................................. 4.50% 06/25/50 2,620,071 5,209,044 Series 2020-66, Class IC, IO................................. 6.00% 10/25/47 1,100,528 45,168,841 Series 2020-74, Class IQ, IO................................. 6.00% 10/25/50 9,185,499 36,100,411 Series 2020-77, Class DI, IO................................. 4.00% 11/25/35 4,204,539 15,516,582 Series 2020-93, Class NI, IO................................. 3.00% 01/25/51 1,631,382 16,543,031 Series 2021-1, Class IB, IO.................................. 3.50% 02/25/61 3,480,801 51,574,507 Series 2021-66, Class CI, IO................................. 4.00% 10/25/36 6,929,633 10,025,000 Series 2022-15, Class ZH..................................... 3.00% 04/25/52 8,107,815 53,371,623 Series 2022-18, Class DZ..................................... 3.50% 04/25/52 47,239,821 8,149,094 Series 2022-18, Class Z...................................... 3.50% 04/25/52 7,401,733 Federal National Mortgage Association Grantor Trust 2,088,177 Series 2005-T1, Class A1, 1 Mo. LIBOR + 0.40% (a)............ 1.07% 05/25/35 2,091,487 Government National Mortgage Association 21,836 Series 2001-60, Class PZ..................................... 6.00% 12/20/31 21,836 190,829 Series 2002-72, Class ZB..................................... 6.00% 10/20/32 190,933 176,124 Series 2003-4, Class MZ...................................... 5.50% 01/20/33 180,576 320,279 Series 2003-18, Class PG..................................... 5.50% 03/20/33 327,494 1,486,972 Series 2003-35, Class TZ..................................... 5.75% 04/16/33 1,495,424 125,908 Series 2003-62, Class MZ..................................... 5.50% 07/20/33 134,390 191,149 Series 2003-84, Class Z...................................... 5.50% 10/20/33 199,751 104,683 Series 2004-37, Class B...................................... 6.00% 04/17/34 110,739 535,487 Series 2004-49, Class MZ..................................... 6.00% 06/20/34 574,584 43,147 Series 2004-68, Class ZC..................................... 6.00% 08/20/34 46,077 51,355 Series 2004-71, Class ST, 1 Mo. LIBOR (x) -6.25 + 44.50%, 7.00% Cap (c)............................................. 7.00% 09/20/34 52,541 Page 16 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Government National Mortgage Association (Continued) $ 92,225 Series 2004-83, Class AK, 1 Mo. LIBOR (x) -3.00 + 16.49% (c)................................................ 14.71% 10/16/34 $ 92,326 383,862 Series 2004-88, Class SM, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.51% 10/16/34 27,150 37,428 Series 2004-92, Class AK, 1 Mo. LIBOR (x) -3 + 16.50% (c).... 14.72% 11/16/34 39,468 1,469,033 Series 2004-92, Class BZ..................................... 5.50% 11/16/34 1,548,300 237,469 Series 2004-105, Class JZ.................................... 5.00% 12/20/34 243,276 227,624 Series 2004-105, Class KA.................................... 5.00% 12/16/34 232,479 236,483 Series 2005-3, Class JZ...................................... 5.00% 01/16/35 232,018 236,483 Series 2005-3, Class KZ...................................... 5.00% 01/16/35 239,337 18,332 Series 2005-7, Class AJ, 1 Mo. LIBOR (x) -4 + 22.00% (c)..... 19.62% 02/16/35 20,587 13,520 Series 2005-7, Class KA, 1 Mo. LIBOR (x) -2.81 + 18.95% (c)................................................ 17.28% 12/17/34 13,676 161,677 Series 2005-7, Class MA, 1 Mo. LIBOR (x) -2.81 + 18.95% (c)................................................ 17.28% 12/17/34 166,678 138,113 Series 2005-33, Class AY..................................... 5.50% 04/16/35 143,724 122,293 Series 2005-41, Class PA..................................... 4.00% 05/20/35 124,282 278,694 Series 2005-44, Class IO, IO................................. 5.50% 07/20/35 26,961 2,450,795 Series 2005-78, Class ZA..................................... 5.00% 10/16/35 2,546,398 212,168 Series 2005-93, Class PO, PO................................. (b) 06/20/35 194,383 415,664 Series 2006-17, Class TW..................................... 6.00% 04/20/36 448,698 500,000 Series 2006-38, Class OH..................................... 6.50% 08/20/36 533,613 189,913 Series 2006-61, Class ZA..................................... 5.00% 11/20/36 195,551 447,038 Series 2007-16, Class OZ..................................... 6.00% 04/20/37 485,590 135,909 Series 2007-27, Class SD, IO, 1 Mo. LIBOR (x) -1 + 6.20% (c)................................................. 5.61% 05/20/37 10,185 108,867 Series 2007-41, Class OL, PO................................. (b) 07/20/37 98,799 191,800 Series 2007-42, Class SB, IO, 1 Mo. LIBOR (x) -1 + 6.75% (c)................................................. 6.16% 07/20/37 15,203 97,637 Series 2007-68, Class NA..................................... 5.00% 11/20/37 100,405 586,890 Series 2007-71, Class ZD..................................... 6.00% 11/20/37 616,914 150,377 Series 2007-81, Class FZ, 1 Mo. LIBOR + 0.35% (a)............ 0.94% 12/20/37 150,760 89,665 Series 2008-33, Class XS, IO, 1 Mo. LIBOR (x) -1 + 7.70% (c)................................................. 7.11% 04/16/38 9,221 527,619 Series 2008-47, Class ML..................................... 5.25% 06/16/38 553,541 158,534 Series 2008-54, Class PE..................................... 5.00% 06/20/38 165,865 419,023 Series 2008-71, Class JI, IO................................. 6.00% 04/20/38 37,141 20,087 Series 2009-10, Class PA..................................... 4.50% 12/20/38 20,215 115,041 Series 2009-14, Class KI, IO................................. 6.50% 03/20/39 18,595 37,748 Series 2009-14, Class KS, IO, 1 Mo. LIBOR (x) -1 + 6.30% (c)................................................. 5.71% 03/20/39 2,651 89,930 Series 2009-25, Class SE, IO, 1 Mo. LIBOR (x) -1 + 7.60% (c)................................................. 7.01% 09/20/38 8,317 2,747,796 Series 2009-29, Class PC..................................... 7.00% 05/20/39 3,057,091 406,657 Series 2009-32, Class SZ..................................... 5.50% 05/16/39 437,109 302,624 Series 2009-42, Class BI, IO................................. 6.00% 06/20/39 36,116 3,732,479 Series 2009-57, Class VB..................................... 5.00% 06/16/39 3,868,923 272,974 Series 2009-61, Class PZ..................................... 7.50% 08/20/39 323,431 9,644,638 Series 2009-61, Class WQ, IO, 1 Mo. LIBOR (x) -1 + 6.25% (c)................................................. 5.66% 11/16/35 1,123,690 1,067,115 Series 2009-69, Class ZB..................................... 6.00% 08/20/39 1,099,731 See Notes to Financial Statements Page 17 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Government National Mortgage Association (Continued) $ 743,929 Series 2009-72, Class SM, IO, 1 Mo. LIBOR (x) -1 + 6.25% (c)................................................. 5.66% 08/16/39 $ 75,621 455,000 Series 2009-75, Class JN..................................... 5.50% 09/16/39 492,511 610,383 Series 2009-78, Class KZ..................................... 5.50% 09/16/39 680,433 111,543 Series 2009-79, Class OK, PO................................. (b) 11/16/37 100,063 143,619 Series 2009-81, Class TZ..................................... 5.50% 09/20/39 156,764 689,194 Series 2009-87, Class EI, IO................................. 5.50% 08/20/39 66,744 69,000 Series 2009-94, Class AL..................................... 5.00% 10/20/39 72,672 290,553 Series 2009-106, Class DZ.................................... 5.50% 11/20/39 321,141 4,115,244 Series 2009-106, Class SL, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.51% 04/20/36 358,834 49,414 Series 2009-106, Class WZ.................................... 5.50% 11/16/39 54,323 732,000 Series 2009-126, Class LB.................................... 5.00% 12/20/39 781,279 27,473 Series 2010-4, Class WA...................................... 3.00% 01/16/40 27,059 1,077,374 Series 2010-14, Class BV, IO, 1 Mo. LIBOR (x) -1 + 6.25% (c)................................................. 5.66% 02/16/40 80,026 105,788 Series 2010-42, Class CO, PO................................. (b) 06/16/39 103,516 1,655,062 Series 2010-46, Class FC, 1 Mo. LIBOR + 0.80% (a)............ 1.39% 03/20/35 1,672,865 909,366 Series 2010-59, Class ZD..................................... 6.50% 05/20/40 1,086,974 1,247,031 Series 2010-85, Class SL, IO, 1 Mo. LIBOR (x) -1 + 6.60% (c)................................................. 6.01% 07/20/37 80,758 87,000 Series 2010-116, Class BM.................................... 4.50% 09/16/40 92,136 1,493,733 Series 2010-116, Class JB.................................... 5.00% 06/16/40 1,528,412 637,326 Series 2010-157, Class OP, PO................................ (b) 12/20/40 556,499 86,778 Series 2010-166, Class DI, IO................................ 4.50% 02/20/39 2,270 152,511 Series 2011-4, Class PZ...................................... 5.00% 01/20/41 162,196 771,202 Series 2011-35, Class BP..................................... 4.50% 03/16/41 794,656 230,447 Series 2011-48, Class LI, IO................................. 5.50% 01/16/41 32,164 6,329,991 Series 2011-61, Class WS, IO, 1 Mo. LIBOR (x) -1 + 6.47% (c)................................................. 5.88% 02/20/38 573,402 47,150 Series 2011-63, Class BI, IO................................. 6.00% 02/20/38 3,759 640,943 Series 2011-71, Class ZC..................................... 5.50% 07/16/34 669,441 1,598,572 Series 2011-81, Class IC, IO, 1 Mo. LIBOR (x) -1 + 6.72%, 0.62% Cap (c)............................................. 0.62% 07/20/35 21,351 385,390 Series 2011-112, Class IP, IO................................ 0.50% 08/16/26 10 239,265 Series 2011-129, Class CL.................................... 5.00% 03/20/41 249,253 4,418 Series 2011-136, Class GB.................................... 2.50% 05/20/40 4,412 248,473 Series 2011-146, Class EI, IO................................ 5.00% 11/16/41 43,241 39,648 Series 2011-151, Class TB, IO, 1 Mo. LIBOR (x) -70 + 465.50%, 3.50% Cap (c)............................................. 3.50% 04/20/41 3,323 305,533 Series 2012-10, Class LI, IO................................. 3.50% 07/20/40 2,929 2,218,588 Series 2012-18, Class IA, IO, 1 Mo. LIBOR (x) -1 + 6.68%, 0.58% Cap (c)............................................. 0.58% 07/20/39 20,608 1,107,688 Series 2012-48, Class MI, IO................................. 5.00% 04/16/42 194,380 8,496,798 Series 2012-84, Class QS, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.51% 07/16/42 755,020 6,711,842 Series 2012-84, Class SJ, 1 Mo. LIBOR (x) -0.57 + 2.51% (c)................................................. 2.17% 07/16/42 4,647,610 251,623 Series 2012-108, Class KB.................................... 2.75% 09/16/42 230,293 4,324,287 Series 2012-143, Class TI, IO................................ 3.00% 12/16/27 227,584 1,842,856 Series 2012-149, Class PC (d)................................ 6.33% 12/20/42 2,003,096 14,492,819 Series 2013-4, Class IC, IO.................................. 4.00% 09/20/42 2,556,955 Page 18 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Government National Mortgage Association (Continued) $ 84,526 Series 2013-5, Class IA, IO.................................. 3.50% 10/16/42 $ 11,264 580,008 Series 2013-10, Class DI, IO................................. 3.50% 09/20/42 49,282 2,223,000 Series 2013-20, Class QM..................................... 2.63% 02/16/43 1,975,556 1,582,626 Series 2013-22, Class IO, IO................................. 3.00% 02/20/43 197,603 3,805,063 Series 2013-23, Class IP, IO................................. 3.50% 08/20/42 498,656 1,764,940 Series 2013-53, Class OI, IO................................. 3.50% 04/20/43 182,959 1,713,431 Series 2013-69, Class AI, IO................................. 3.50% 05/20/43 267,879 192,017 Series 2013-69, Class PI, IO................................. 5.00% 05/20/43 20,841 953,680 Series 2013-70, Class PM..................................... 2.50% 05/20/43 843,966 2,500,133 Series 2013-91, Class PB..................................... 3.50% 09/20/42 2,486,905 898,729 Series 2013-130, Class WS, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.51% 09/20/43 154,756 3,295,552 Series 2013-170, Class IG, IO................................ 5.50% 11/16/43 299,749 688,000 Series 2013-183, Class PB.................................... 4.50% 12/20/43 689,541 2,307,147 Series 2014-6, Class IJ, IO.................................. 4.50% 06/16/43 147,456 13,235,925 Series 2014-30, Class EA (d)................................. 1.74% 02/16/44 12,173,509 5,385,834 Series 2014-43, Class Z...................................... 4.00% 03/20/44 5,600,727 2,592,657 Series 2014-44, Class IC, IO................................. 3.00% 04/20/28 143,360 6,305,069 Series 2014-44, Class ID, IO (d) (e)......................... 0.33% 03/16/44 60,596 23,142 Series 2014-91, Class JI, IO................................. 4.50% 01/20/40 1,389 578,935 Series 2014-94, Class Z...................................... 4.50% 01/20/44 639,437 2,901,975 Series 2014-99, Class HI, IO................................. 4.50% 06/20/44 432,373 3,134,977 Series 2014-115, Class QI, IO................................ 3.00% 03/20/29 99,549 2,959,388 Series 2014-116, Class SB, IO, 1 Mo. LIBOR (x) -1 + 5.60% (c)................................................. 5.01% 08/20/44 416,340 1,735,538 Series 2014-118, Class TV, IO, 1 Mo. LIBOR (x) -1 + 6.25% (c)................................................. 5.66% 05/20/44 203,962 7,239,944 Series 2015-3, Class ZD...................................... 4.00% 01/20/45 7,495,464 10,074,520 Series 2015-40, Class IO, IO................................. 4.00% 03/20/45 1,686,648 5,548,729 Series 2015-66, Class LI, IO................................. 5.00% 05/16/45 559,334 36,607 Series 2015-95, Class IK, IO (d)............................. 1.48% 05/16/37 780 11,799,061 Series 2015-99, Class EI, IO................................. 5.50% 07/16/45 2,025,446 6,595,218 Series 2015-124, Class DI, IO................................ 3.50% 01/20/38 247,465 289,341 Series 2015-137, Class WA (d) (e)............................ 5.55% 01/20/38 312,337 416,027 Series 2015-138, Class MI, IO................................ 4.50% 08/20/44 46,770 96,347 Series 2015-151, Class KW (d)................................ 5.40% 04/20/34 99,507 3,691,279 Series 2015-162, Class ZG.................................... 4.00% 11/20/45 3,840,950 4,244,189 Series 2015-168, Class GI, IO................................ 5.50% 02/16/33 351,084 192,471 Series 2016-16, Class KZ..................................... 3.00% 02/16/46 167,374 7,733,786 Series 2016-37, Class AF, 1 Mo. LIBOR + 0.47% (a)............ 0.93% 11/20/43 7,725,106 159,076 Series 2016-55, Class PB (d)................................. 5.63% 03/20/31 164,921 976,249 Series 2016-69, Class WI, IO................................. 4.50% 05/20/46 236,945 2,938,126 Series 2016-75, Class SA, IO, 1 Mo. LIBOR (x) -1 + 6.00% (c)................................................. 5.41% 05/20/40 319,112 531,265 Series 2016-78, Class UI, IO................................. 4.00% 06/20/46 59,165 2,823,238 Series 2016-89, Class HI, IO................................. 3.50% 07/20/46 486,909 334,833 Series 2016-99, Class JA (d)................................. 5.51% 11/20/45 358,368 1,013,003 Series 2016-109, Class ZM.................................... 3.50% 08/20/36 964,958 7,119,273 Series 2016-111, Class PI, IO................................ 3.50% 06/20/45 680,938 743,718 Series 2016-118, Class GI, IO................................ 4.50% 02/16/40 105,105 8,298,402 Series 2016-120, Class AS, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.51% 09/20/46 1,327,348 See Notes to Financial Statements Page 19 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Government National Mortgage Association (Continued) $ 464,000 Series 2016-141, Class PC.................................... 5.00% 10/20/46 $ 519,581 324,265 Series 2016-145, Class LZ.................................... 3.00% 10/20/46 271,219 566,450 Series 2016-154, Class WF, 1 Mo. LIBOR + 0.40% (a)........... 0.86% 11/20/45 564,119 7,332,385 Series 2016-156, Class ZM.................................... 3.50% 11/20/46 6,940,687 303,000 Series 2016-160, Class LE.................................... 2.50% 11/20/46 258,525 217,403 Series 2016-167, Class KI, IO................................ 6.00% 12/16/46 32,250 2,270,481 Series 2017-12, Class SD, IO, 1 Mo. LIBOR (x) -1 + 6.10% (c)................................................. 5.51% 01/20/47 368,668 938,842 Series 2017-17, Class KZ..................................... 4.50% 02/20/47 1,017,156 4,425,567 Series 2017-32, Class DI, IO................................. 5.50% 05/20/35 775,112 2,610,260 Series 2017-32, Class IB, IO................................. 5.00% 02/16/47 268,745 6,045,558 Series 2017-33, Class PZ..................................... 3.00% 02/20/47 5,726,160 4,880,099 Series 2017-56, Class BI, IO................................. 6.00% 04/16/47 804,208 8,731,357 Series 2017-57, Class IO, IO................................. 5.00% 04/20/47 1,644,721 3,248,136 Series 2017-113, Class IE, IO................................ 5.50% 07/20/47 528,212 8,422,924 Series 2017-117, Class ZN.................................... 3.00% 08/20/47 7,901,374 12,366,726 Series 2017-122, Class CZ.................................... 3.00% 08/20/47 11,508,866 4,137,004 Series 2017-123, Class IO, IO................................ 5.00% 08/16/47 965,321 5,426,876 Series 2017-130, Class LS, IO, 1 Mo. LIBOR (x) -1 + 6.20% (c)................................................. 5.61% 08/16/47 602,545 5,391,389 Series 2017-133, Class JI, IO................................ 7.00% 06/20/41 792,952 11,541,864 Series 2017-134, Class AZ.................................... 3.00% 09/20/47 10,774,052 5,086,282 Series 2017-177, Class DI, IO................................ 4.50% 11/16/47 933,670 14,114,521 Series 2017-179, Class IN, IO................................ 5.00% 07/20/44 3,410,406 3,846,239 Series 2017-186, Class TI, IO, 1 Mo. LIBOR (x) -1 + 6.50%, 0.50% Cap (c)............................................. 0.50% 05/20/40 47,560 903,775 Series 2018-44, Class Z...................................... 2.50% 09/20/47 746,337 5,686,862 Series 2018-79, Class IO, IO................................. 5.00% 06/20/48 793,219 13,057,963 Series 2018-97, Class DZ..................................... 3.50% 07/20/48 12,871,134 6,623,062 Series 2018-131, Class IA, IO................................ 5.00% 04/20/44 758,111 10,000,000 Series 2018-134, Class KB.................................... 3.50% 10/20/48 9,577,457 8,856,687 Series 2018-155, Class KD.................................... 4.00% 11/20/48 8,827,086 6,682,263 Series 2018-160, Class GY.................................... 4.50% 11/20/48 6,672,270 5,332,621 Series 2018-78I, Class EZ.................................... 3.00% 04/20/48 4,988,142 3,500,893 Series 2019-6, Class EI, IO.................................. 5.00% 09/20/39 473,053 8,788,150 Series 2019-15, Class MZ..................................... 4.50% 02/20/49 8,818,036 12,488,006 Series 2019-18, Class TP..................................... 3.50% 02/20/49 12,221,845 1,162,463 Series 2019-27, Class DI, IO................................. 5.50% 01/20/40 184,158 3,469,097 Series 2019-35, Class BZ..................................... 3.50% 03/20/49 3,475,581 5,470,267 Series 2019-45, Class ZB..................................... 3.50% 04/20/49 5,417,526 37,471,898 Series 2019-128, Class EF, 1 Mo. LIBOR + 0.57% (a)........... 1.16% 10/20/49 36,606,529 20,290,097 Series 2020-31, Class IO, IO................................. 6.50% 03/20/50 2,805,607 14,385,074 Series 2020-62, Class IA, IO................................. 5.50% 05/20/50 2,809,524 3,000,000 Series 2020-62, Class IC, IO................................. 2.50% 01/20/50 740,770 14,014,801 Series 2020-62, Class WI, IO................................. 2.50% 08/20/49 3,266,061 7,097,422 Series 2020-84, Class IM, IO................................. 2.50% 05/20/50 1,821,387 19,759,118 Series 2020-84, Class IO, IO................................. 2.50% 04/20/50 5,262,074 29,612,304 Series 2020-104, Class AI, IO................................ 3.00% 07/20/50 4,675,451 26,069,966 Series 2020-129, Class IO, IO................................ 2.50% 09/20/50 3,160,050 88,501,134 Series 2020-129, Class IU, IO................................ 2.50% 09/20/50 10,825,786 18,414,193 Series 2020-144, Class IK, IO................................ 2.50% 09/20/50 2,232,640 56,175,572 Series 2020-146, Class CI, IO................................ 2.50% 10/20/50 7,228,403 Page 20 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Government National Mortgage Association (Continued) $ 42,373,649 Series 2020-162, Class NI, IO................................ 2.50% 10/20/50 $ 5,255,960 57,698,586 Series 2020-173, Class MI, IO................................ 2.50% 11/20/50 7,617,644 11,124,722 Series 2020-188, Class IW, IO................................ 2.50% 12/20/50 1,545,486 22,248,342 Series 2020-189, Class IV, IO................................ 3.00% 12/20/50 2,868,067 1,943,845 Series 2021-7, Class KI, IO.................................. 2.50% 01/20/51 259,408 20,618,165 Series 2021-8, Class DI, IO.................................. 3.50% 01/20/51 2,388,309 16,524,662 Series 2021-15, Class JI, IO................................. 2.50% 01/20/51 1,844,088 105,277,138 Series 2021-24, Class XI, IO................................. 2.00% 02/20/51 11,765,762 50,612,181 Series 2021-27, Class IO, IO................................. 2.50% 02/20/51 6,841,623 39,017,404 Series 2021-27, Class PI, IO................................. 2.00% 02/20/51 3,819,897 35,121,331 Series 2021-32, Class AI, IO................................. 2.00% 02/20/51 3,894,316 7,485,831 Series 2021-46, Class IL, IO................................. 3.00% 03/20/51 1,073,386 12,696,965 Series 2021-46, Class LI, IO................................. 3.00% 03/20/51 1,674,194 10,317,535 Series 2021-69, Class IX, IO................................. 3.00% 04/20/51 1,571,581 26,107,627 Series 2021-91, Class IB, IO................................. 3.00% 05/20/51 3,427,610 104,150,857 Series 2021-97, Class NI, IO................................. 2.50% 08/20/49 10,400,192 33,910,141 Series 2021-159, Class QE.................................... 2.00% 09/20/51 31,001,851 40,930,000 Series 2021-188, Class PA.................................... 2.00% 10/20/51 37,725,651 17,014,000 Series 2022-46, Class LY..................................... 3.00% 03/20/52 15,478,287 5,537,209 Series 2022-60, Class CZ..................................... 3.00% 03/20/52 4,409,909 31,879,216 Series 2022-63, Class AZ (f)................................. 3.00% 08/20/51 29,687,520 16,305,930 Series 2022-63, Class BZ (f)................................. 3.50% 11/20/46 16,280,452 19,165,098 Series 2022-63, Class HZ (f)................................. 2.50% 11/20/51 15,913,020 10,927,213 Series 2022-63, Class MZ (f)................................. 3.00% 05/20/51 10,194,748 6,982,427 Series 2022-68, Class DZ (f)................................. 3.50% 04/20/52 6,461,472 12,170,000 Series 2022-68, Class MZ (f)................................. 3.50% 04/20/52 12,280,291 50,000,000 Series 2022-68, Class XA (f)................................. 3.50% 02/20/49 49,908,203 12,563,000 Series 2022-68, Class Z (f).................................. 3.50% 04/20/52 11,954,480 16,891,166 Series 2022-68, Class ZC (f)................................. 3.50% 04/20/52 16,785,596 12,991,946 Series 2022-69, Class QL..................................... 3.00% 04/20/52 12,409,741 10,917,513 Series 2022-78, Class AM (f)................................. 3.50% 04/20/52 10,211,286 20,000,000 Series BMOC-2631, Class Z (a) (f) (g)........................ 0.00% 09/01/57 13,840,625 Seasoned Credit Risk Transfer Trust 15,000,000 Series 2022-1, Class MBU..................................... 3.25% 11/25/61 13,709,337 Seasoned Loans Structured Transaction Trust 4,352,120 Series 2019-3, Class A1C..................................... 2.75% 11/25/29 4,240,062 Vendee Mortgage Trust 1,819,382 Series 2003-2, Class Z....................................... 5.00% 05/15/33 1,880,421 6,422,691 Series 2010-1, Class DZ...................................... 4.25% 04/15/40 6,406,586 10,030,323 Series 2011-1, Class DZ...................................... 3.75% 09/15/46 9,608,267 20,313,753 Series 2011-2, Class DZ...................................... 3.75% 10/15/41 19,741,470 ---------------- 1,705,956,351 ---------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- 11.7% Federal Home Loan Mortgage Corporation Multiclass Certificates 50,000,000 Series 2020-RR06, Class BX, IO (d)........................... 1.84% 05/27/33 7,136,007 37,600,000 Series 2020-RR09, Class AX, IO (d) (f) (i)................... 2.63% 11/27/28 5,457,866 47,500,000 Series 2020-RR09, Class BX, IO (d) (f) (i)................... 2.20% 02/27/29 6,085,938 96,907,000 Series 2020-RR10, Class X, IO (d)............................ 2.01% 12/27/27 8,440,105 112,919,000 Series 2020-RR11, Class AX, IO (d)........................... 2.84% 01/27/29 16,302,658 44,200,500 Series 2020-RR11, Class BX, IO (d)........................... 2.44% 12/27/28 4,697,302 39,569,234 Series 2021-P009, Class X, IO (e)............................ 1.56% 01/25/31 2,816,059 See Notes to Financial Statements Page 21 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED) Federal Home Loan Mortgage Corporation Multiclass Certificates (Continued) $ 4,377,911 Series 2021-P011, Class X1, IO (e)........................... 1.84% 09/25/45 $ 620,783 112,345,000 Series 2021-RR15, Class X, IO (e)............................ 1.56% 10/27/34 14,762,167 100,924,000 Series 2021-RR18, Class X, IO (e) (f) (i).................... 1.90% 10/27/28 9,781,756 55,000,000 Series 2021-RR20, Class X, IO (e)............................ 1.85% 04/25/33 8,631,007 Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates 114,005,843 Series 2013-K030, Class X1, IO (e)........................... 0.26% 04/25/23 151,958 75,206,460 Series 2014-K036, Class X1, IO (e)........................... 0.84% 10/25/23 675,602 42,758,691 Series 2015-K721, Class X1, IO (e)........................... 0.45% 08/25/22 34,233 290,132,823 Series 2016-KIR1, Class X, IO (e)............................ 1.19% 03/25/26 10,176,467 12,000,000 Series 2018-K156, Class A3................................... 3.70% 06/25/33 12,103,700 28,941,200 Series 2018-K157, Class A2................................... 3.99% 05/25/33 30,023,873 7,101,000 Series 2018-K159, Class A3................................... 3.95% 11/25/33 7,258,355 57,765,039 Series 2019-K099, Class X1, IO (e)........................... 1.00% 09/25/29 3,136,491 57,790,000 Series 2019-K099, Class XAM, IO (e).......................... 1.26% 09/25/29 4,262,301 69,644,531 Series 2019-K101, Class X1, IO (d)........................... 0.95% 10/25/29 3,612,963 64,993,000 Series 2019-K102, Class XAM, IO (d).......................... 1.21% 10/25/29 4,600,529 59,029,000 Series 2019-K103, Class XAM, IO (e).......................... 1.01% 11/25/29 3,543,806 103,328,139 Series 2019-K734, Class X1, IO (e)........................... 0.78% 02/25/26 2,114,404 68,018,000 Series 2019-K734, Class XAM, IO (e).......................... 0.55% 02/25/26 1,113,115 42,398,402 Series 2019-K735, Class X1, IO (e)........................... 1.09% 05/25/26 1,387,594 57,404,996 Series 2019-K736, Class X1, IO (e)........................... 1.43% 07/25/26 2,464,058 28,620,944 Series 2019-K1510, Class X1, IO (e).......................... 0.64% 01/25/34 1,227,163 158,343,252 Series 2019-K1512, Class X1, IO (e).......................... 1.05% 04/25/34 12,084,709 56,995,381 Series 2019-K1513, Class X1, IO (e).......................... 0.99% 08/25/34 4,233,241 18,674,000 Series 2020-K109, Class XAM, IO (e).......................... 1.91% 04/25/30 2,263,216 108,672,016 Series 2020-K110, Class X1, IO (e)........................... 1.81% 04/25/30 11,550,890 29,090,000 Series 2020-K112, Class XAM, IO (e).......................... 1.77% 05/25/30 3,303,492 82,019,000 Series 2020-K113, Class XAM, IO (e).......................... 1.69% 06/25/30 8,935,880 53,100,000 Series 2020-K114, Class XAM, IO (e).......................... 1.44% 06/25/30 4,877,421 50,703,859 Series 2020-K115, Class X1, IO (e)........................... 1.43% 06/25/30 4,425,433 55,537,412 Series 2020-K115, Class XAM, IO (e).......................... 1.65% 07/25/30 5,921,815 16,455,041 Series 2020-K116, Class X1, IO (e)........................... 1.53% 07/25/30 1,516,872 55,500,000 Series 2020-K116, Class XAM, IO (e).......................... 1.70% 08/25/30 6,195,587 63,500,000 Series 2020-K117, Class XAM, IO (e).......................... 1.53% 09/25/30 6,355,683 34,886,485 Series 2020-K118, Class X1, IO (e)........................... 1.05% 09/25/30 2,261,126 37,051,661 Series 2020-K118, Class XAM, IO (e).......................... 1.26% 09/25/30 3,082,961 51,000,000 Series 2020-K119, Class XAM, IO (e).......................... 1.23% 10/25/30 4,123,574 75,535,017 Series 2020-K120, Class XAM, IO (e).......................... 1.31% 10/25/30 6,537,767 21,236,000 Series 2020-K121, Class XAM, IO (e).......................... 1.29% 11/25/30 1,829,847 29,940,542 Series 2020-K122, Class X1, IO (e)........................... 0.97% 11/25/30 1,796,908 35,210,000 Series 2020-K122, Class XAM, IO (e).......................... 1.17% 11/25/30 2,754,292 75,577,469 Series 2020-K737, Class X1, IO (d)........................... 0.75% 10/25/26 1,753,102 38,559,000 Series 2020-K738, Class XAM, IO (d).......................... 1.48% 03/25/27 2,287,802 131,750,487 Series 2020-K739, Class X1, IO (e)........................... 1.32% 09/25/27 6,830,419 40,072,531 Series 2020-K739, Class XAM, IO (e).......................... 1.67% 09/25/27 2,930,765 33,000,000 Series 2020-K740, Class XAM (e).............................. 1.20% 10/25/27 1,762,735 90,051,216 Series 2020-K1515, Class X1, IO (e).......................... 1.64% 02/25/35 12,147,099 86,959,598 Series 2020-K1516, Class X1, IO (e).......................... 1.63% 05/25/35 12,693,032 94,352,088 Series 2020-K1517, Class X1, IO (e).......................... 1.44% 07/25/35 12,130,291 52,941,375 Series 2020-KG04, Class X1, IO (e)........................... 0.94% 11/25/30 3,072,950 Page 22 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED) Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates (Continued) $ 49,625,000 Series 2021-K123, Class XAM, IO (a).......................... 1.07% 12/25/30 $ 3,544,461 26,688,000 Series 2021-K124, Class XAM, IO (e).......................... 1.03% 01/25/31 1,827,898 41,267,000 Series 2021-K125, Class XAM, IO (e).......................... 0.87% 01/25/31 2,406,246 33,900,000 Series 2021-K128, Class XAM, IO (e).......................... 0.83% 03/25/31 1,881,257 27,836,000 Series 2021-K129, Class XAM, IO (a).......................... 1.33% 05/25/31 2,542,220 41,565,013 Series 2021-K130, Class XAM, IO (e).......................... 1.32% 07/25/31 3,899,530 44,491,000 Series 2021-K132, Class XAM, IO (e).......................... 0.96% 09/25/31 2,989,773 107,703,000 Series 2021-K741, Class XAM, IO (e).......................... 1.03% 12/25/27 5,175,668 107,126,540 Series 2021-K744, Class X1, IO (e)........................... 0.96% 07/25/28 4,869,051 149,814,120 Series 2021-K1520, Class X1, IO (e).......................... 0.58% 02/25/36 6,976,289 142,000,000 Series 2021-KG05, Class X1, IO (e)........................... 0.40% 01/25/31 3,343,433 64,485,402 Series 2021-KG06, Class X1, IO (e)........................... 0.63% 10/25/31 2,639,691 13,000,000 Series 2021-KI08, Class A, 30 Day Average SOFR + 0.20% (a)................................................. 0.36% 10/25/26 12,981,192 FREMF Mortgage Trust 5,000,000 Series 2013-K24, Class B (e) (j)............................. 3.63% 11/25/45 5,018,142 9,850,000 Series 2013-K26, Class B (e) (j)............................. 3.72% 12/25/45 9,900,223 6,203,000 Series 2013-K28, Class B (e) (j)............................. 3.61% 06/25/46 6,215,715 8,700,000 Series 2013-K29, Class B (e) (j)............................. 3.59% 05/25/46 8,713,589 11,943,000 Series 2013-K32, Class B (e) (j)............................. 3.64% 10/25/46 11,935,973 23,320,000 Series 2013-K35, Class B (e) (j)............................. 4.07% 12/25/46 23,509,233 5,710,000 Series 2015-K720, Class B (e) (j)............................ 3.54% 07/25/22 5,716,176 8,401,000 Series 2015-K720, Class C (e) (j)............................ 3.54% 07/25/22 8,406,110 16,266,829 Series 2015-K721, Class B (e) (j)............................ 3.71% 11/25/47 16,313,741 Government National Mortgage Association 3,526,862 Series 2011-31, Class Z (d).................................. 3.58% 09/16/52 3,364,796 18,656,237 Series 2012-120, Class Z (d)................................. 2.46% 01/16/55 15,661,002 100,000 Series 2013-74, Class AG (e)................................. 2.60% 12/16/53 89,237 6,959 Series 2013-194, Class AE (d)................................ 2.75% 11/16/44 6,785 16,056,385 Series 2015-30, Class DZ..................................... 2.95% 05/16/55 14,844,537 27,885,020 Series 2015-30, Class IO, IO (d)............................. 0.68% 07/16/56 878,866 7,720,866 Series 2015-70, Class IO, IO (d)............................. 0.61% 12/16/49 178,652 4,609,972 Series 2015-125, Class VA (d)................................ 2.70% 05/16/35 4,423,249 18,226,797 Series 2016-2, Class IO, IO (d).............................. 0.56% 04/16/57 467,840 16,671,861 Series 2016-11, Class IO, IO (d)............................. 0.84% 01/16/56 669,814 9,278,969 Series 2016-26, Class IO, IO (d)............................. 0.69% 02/16/58 290,311 25,403,119 Series 2016-34, Class IO, IO (d)............................. 0.92% 01/16/58 1,112,321 10,865,473 Series 2016-36, Class IO, IO (d)............................. 0.73% 08/16/57 374,710 12,920,320 Series 2016-52, Class IO, IO (d)............................. 0.75% 03/16/58 483,984 4,021,015 Series 2016-110, Class VA.................................... 2.10% 01/16/38 3,628,582 19,079,517 Series 2016-113, Class IO, IO (d)............................ 1.08% 02/16/58 1,050,955 10,972,209 Series 2016-127, Class IO, IO (d)............................ 0.86% 05/16/58 511,735 33,896,377 Series 2016-166, Class IO, IO (d)............................ 0.92% 04/16/58 1,629,934 3,145,979 Series 2017-23, Class Z...................................... 2.50% 05/16/59 2,589,725 4,093,376 Series 2017-35, Class Z (d).................................. 2.50% 05/16/59 3,421,654 7,020,000 Series 2017-76, Class B...................................... 2.60% 12/16/56 6,237,429 3,234,287 Series 2017-106, Class AE.................................... 2.60% 12/16/56 3,006,866 2,599,995 Series 2017-146, Class Z..................................... 2.60% 09/16/57 2,203,141 4,280,169 Series 2018-4, Class Z....................................... 2.50% 10/16/59 3,503,317 13,696,340 Series 2018-98, Class C (d).................................. 3.00% 08/16/60 11,987,053 17,117,421 Series 2018-123, Class Z..................................... 2.50% 06/16/60 14,166,292 See Notes to Financial Statements Page 23 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED) Government National Mortgage Association (Continued) $ 24,481,854 Series 2018-170, Class Z..................................... 2.50% 11/16/60 $ 21,749,941 18,087,544 Series 2019-7, Class Z....................................... 2.50% 01/16/61 15,209,389 1,856,688 Series 2019-104, Class Z..................................... 2.80% 05/16/61 1,538,081 10,200,000 Series 2020-143, Class B..................................... 2.00% 03/16/62 7,980,240 6,700,000 Series 2020-161, Class B..................................... 2.00% 08/16/62 5,180,943 8,720,766 Series 2020-169, Class Z..................................... 1.83% 06/16/62 5,372,907 22,373,468 Series 2022-43, Class Z...................................... 2.00% 09/16/61 16,881,697 ---------------- 643,778,765 ---------------- PASS-THROUGH SECURITIES -- 43.0% Federal Home Loan Mortgage Corporation 1,230,480 Pool 760043, 5 Yr. Constant Maturity Treasury Rate + 1.39% (a)................................................. 2.98% 12/01/48 1,248,744 4,606,710 Pool 840359, 12 Mo. LIBOR + 1.64% (a)........................ 1.93% 06/01/46 4,728,209 92,342 Pool A19763.................................................. 5.00% 04/01/34 96,989 389,945 Pool A47828.................................................. 3.50% 08/01/35 382,646 179,324 Pool A47937.................................................. 5.50% 08/01/35 191,087 62,658 Pool A48972.................................................. 5.50% 05/01/36 66,658 70,195 Pool A54675.................................................. 5.50% 01/01/36 75,664 148,098 Pool A65324.................................................. 5.50% 09/01/37 156,164 87,821 Pool A97294.................................................. 4.00% 02/01/41 89,043 711,425 Pool B70791.................................................. 4.00% 06/01/39 725,112 3,337 Pool C01310.................................................. 6.50% 03/01/32 3,630 11,276 Pool C03458.................................................. 5.00% 02/01/40 11,974 40,783 Pool C03949.................................................. 3.50% 05/01/42 40,410 97,257 Pool C04269.................................................. 3.00% 10/01/42 93,984 157,449 Pool C91167.................................................. 5.00% 04/01/28 163,317 113,166 Pool C91353.................................................. 3.50% 01/01/31 110,202 16,826 Pool C91482.................................................. 3.50% 07/01/32 16,797 14,223 Pool E02883.................................................. 4.00% 04/01/26 14,532 15,671 Pool G01443.................................................. 6.50% 08/01/32 16,829 255,239 Pool G02017.................................................. 5.00% 12/01/35 272,574 252,820 Pool G04593.................................................. 5.50% 01/01/37 269,378 114,789 Pool G04814.................................................. 5.50% 10/01/38 122,318 22,069 Pool G05173.................................................. 4.50% 11/01/31 22,797 233,115 Pool G05275.................................................. 5.50% 02/01/39 249,407 64,519 Pool G05449.................................................. 4.50% 05/01/39 67,423 191,951 Pool G06583.................................................. 5.00% 06/01/41 205,347 470,998 Pool G07100.................................................. 5.50% 07/01/40 502,693 44,772 Pool G07266.................................................. 4.00% 12/01/42 45,171 335,978 Pool G07329.................................................. 4.00% 01/01/43 340,651 351,416 Pool G07683.................................................. 4.00% 03/01/44 356,312 1,818 Pool G08113.................................................. 6.50% 02/01/36 1,967 955,641 Pool G08854.................................................. 5.00% 12/01/48 998,766 2,766 Pool G12959.................................................. 6.50% 10/01/22 2,781 119 Pool G12978.................................................. 5.50% 12/01/22 120 7,993 Pool G13625.................................................. 5.50% 01/01/24 8,103 32,638 Pool G13733.................................................. 5.00% 11/01/24 33,393 29,749 Pool G14088.................................................. 4.00% 02/01/26 30,345 27,304 Pool G14106.................................................. 6.00% 10/01/24 27,527 8,098 Pool G14167.................................................. 5.50% 07/01/23 8,190 1,671 Pool G14233.................................................. 6.00% 01/01/24 1,679 Page 24 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 Home Loan Mortgage Corporation (Continued) $ 325,888 Pool G14348.................................................. 4.00% 10/01/26 $ 331,980 10,837 Pool G14376.................................................. 4.00% 09/01/25 11,035 19,842 Pool G14995.................................................. 5.50% 12/01/24 20,054 1,171 Pool G15821.................................................. 5.00% 07/01/25 1,195 72,904 Pool G15949.................................................. 4.00% 01/01/29 74,266 11,200 Pool G15957.................................................. 5.50% 12/01/24 11,264 56,998 Pool G18264.................................................. 5.00% 07/01/23 58,153 85,998 Pool G18287.................................................. 5.50% 12/01/23 87,501 10,044 Pool G60020.................................................. 4.50% 12/01/43 10,350 407,689 Pool G60114.................................................. 5.50% 06/01/41 434,341 620,563 Pool G60168.................................................. 4.50% 07/01/45 646,286 218,038 Pool G60194.................................................. 3.50% 08/01/45 215,863 227,007 Pool G60808.................................................. 3.00% 10/01/46 218,258 2,133,751 Pool G60921.................................................. 4.50% 02/01/47 2,210,397 8,324,232 Pool G60940.................................................. 4.00% 09/01/46 8,469,962 2,832,390 Pool G61160.................................................. 4.50% 11/01/45 2,959,058 5,228 Pool H09034.................................................. 5.50% 05/01/37 5,476 2,385 Pool J05364.................................................. 6.00% 08/01/22 2,393 60,093 Pool J09465.................................................. 4.00% 04/01/24 61,182 35,085 Pool J09504.................................................. 4.00% 04/01/24 35,722 9,387 Pool J09798.................................................. 4.00% 05/01/24 9,561 15,782 Pool J10623.................................................. 4.00% 09/01/24 16,069 170,903 Pool N70075.................................................. 5.00% 01/01/35 173,669 286,669 Pool N70081.................................................. 5.50% 07/01/38 295,328 57,572 Pool Q07189.................................................. 4.00% 04/01/42 58,374 19,332 Pool Q07479.................................................. 3.50% 04/01/42 19,155 83,474 Pool Q11791.................................................. 3.50% 10/01/42 82,708 57,303 Pool Q11836.................................................. 3.50% 10/01/42 56,777 407,690 Pool Q14034.................................................. 3.50% 12/01/42 405,672 1,750,268 Pool Q50564.................................................. 4.50% 09/01/47 1,793,243 6,602,997 Pool Q53219.................................................. 4.50% 12/01/47 6,910,093 465,665 Pool Q54651.................................................. 4.50% 03/01/48 484,513 768,302 Pool Q55037.................................................. 4.50% 04/01/48 800,664 5,336,616 Pool Q55152.................................................. 4.50% 04/01/48 5,523,523 2,293,471 Pool Q56260.................................................. 5.00% 05/01/48 2,448,377 2,932,919 Pool Q58363.................................................. 5.00% 09/01/48 3,054,747 1,457,195 Pool Q58483.................................................. 4.50% 09/01/48 1,488,591 2,007,725 Pool Q61217.................................................. 4.00% 01/01/49 2,027,248 3,434,196 Pool QA4774.................................................. 4.00% 11/01/49 3,482,848 2,601,542 Pool QB4340.................................................. 3.00% 10/01/50 2,465,443 14,701,818 Pool QD5978.................................................. 3.00% 02/01/52 13,919,855 10,284,129 Pool QD5999.................................................. 3.00% 02/01/52 9,735,645 11,961,441 Pool QE0773.................................................. 4.00% 04/01/52 12,099,835 14,008,724 Pool QE1612.................................................. 4.00% 05/01/52 14,248,763 8,477,414 Pool QK1195.................................................. 2.50% 11/01/41 7,899,951 13,814,136 Pool QK1203.................................................. 2.50% 11/01/41 12,864,924 3,478,494 Pool QN2804.................................................. 1.50% 07/01/35 3,190,803 324,290 Pool QN3055.................................................. 1.50% 08/01/35 297,489 5,788,213 Pool RA3086.................................................. 2.50% 07/01/50 5,304,007 41,201 Pool SC0036.................................................. 3.00% 06/01/38 39,721 34,913,389 Pool SD0859.................................................. 3.50% 05/01/50 34,101,364 24,051,677 Pool SD0927.................................................. 3.50% 04/01/52 23,684,468 See Notes to Financial Statements Page 25 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 Home Loan Mortgage Corporation (Continued) $ 24,807,973 Pool SD0959.................................................. 3.50% 04/01/52 $ 24,331,015 8,236,445 Pool SD8031.................................................. 3.50% 12/01/49 8,035,348 1 Pool SD8044.................................................. 3.00% 02/01/50 1 2,379,306 Pool SD8045.................................................. 3.50% 02/01/50 2,324,223 6,293,097 Pool SD8062.................................................. 3.00% 05/01/50 5,972,907 339,440 Pool U50165.................................................. 4.00% 05/01/32 342,581 2,242,086 Pool U59020.................................................. 4.00% 06/01/35 2,262,565 1,345,599 Pool U64762.................................................. 4.50% 10/01/45 1,400,121 5,679,587 Pool U69020.................................................. 5.00% 07/01/44 6,037,937 3,598,552 Pool U69041.................................................. 5.00% 11/01/43 3,834,994 98,883 Pool U80068.................................................. 3.50% 10/01/32 97,368 65,304 Pool U80212.................................................. 3.50% 02/01/33 64,360 83,095 Pool U90245.................................................. 3.50% 10/01/42 82,523 845,770 Pool U90690.................................................. 3.50% 06/01/42 839,938 12,149 Pool U90932.................................................. 3.00% 02/01/43 11,666 34,147 Pool U92272.................................................. 4.50% 12/01/43 35,762 99,518 Pool U99045.................................................. 3.50% 03/01/43 98,829 108,635 Pool U99084.................................................. 4.50% 02/01/44 114,157 49,377 Pool U99091.................................................. 4.50% 03/01/44 51,385 147,587 Pool U99096.................................................. 4.50% 05/01/44 154,570 1,461,275 Pool ZS2492.................................................. 6.50% 04/01/35 1,602,691 Federal National Mortgage Association 42,454 Pool 190371.................................................. 6.50% 07/01/36 46,084 25,164 Pool 255190.................................................. 5.50% 05/01/34 26,802 12,419 Pool 255984.................................................. 4.50% 11/01/25 12,656 77,610 Pool 256181.................................................. 5.50% 03/01/36 80,909 294,779 Pool 256576.................................................. 5.50% 01/01/37 310,129 6,744 Pool 256808.................................................. 5.50% 07/01/37 6,819 49,497 Pool 256936.................................................. 6.00% 10/01/37 51,729 52,225 Pool 545759.................................................. 6.50% 07/01/32 56,518 11,889 Pool 555851.................................................. 6.50% 01/01/33 12,709 190,504 Pool 683246.................................................. 5.50% 02/01/33 202,506 160,585 Pool 725014.................................................. 5.50% 12/01/33 171,578 348,473 Pool 735415.................................................. 6.50% 12/01/32 375,335 3,116 Pool 745875.................................................. 6.50% 09/01/36 3,360 40,973 Pool 747097.................................................. 6.00% 10/01/29 42,452 308,630 Pool 788149.................................................. 5.50% 05/01/33 332,048 145,793 Pool 812741.................................................. 5.50% 02/01/35 152,405 172,141 Pool 827948.................................................. 5.50% 05/01/35 179,975 262,039 Pool 850000.................................................. 5.50% 01/01/36 282,188 35,300 Pool 871039.................................................. 5.50% 02/01/37 36,155 917,282 Pool 879015.................................................. 4.00% 10/01/35 930,547 111,689 Pool 888001.................................................. 5.50% 10/01/36 120,420 95,952 Pool 888163.................................................. 7.00% 12/01/33 105,207 82 Pool 888435.................................................. 5.50% 06/01/22 82 316,806 Pool 889610.................................................. 5.50% 06/01/38 337,440 10,800 Pool 890149.................................................. 6.50% 10/01/38 11,879 16,683 Pool 890231.................................................. 5.00% 07/01/25 17,027 3,250 Pool 890314.................................................. 5.50% 12/01/22 3,264 3,174 Pool 890378.................................................. 6.00% 05/01/24 3,220 777,306 Pool 890556.................................................. 4.50% 10/01/43 807,022 647,642 Pool 890736.................................................. 5.00% 07/01/30 677,635 Page 26 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 (Continued) $ 139,478 Pool 905917.................................................. 5.50% 01/01/37 $ 149,911 66,960 Pool 922386.................................................. 5.50% 01/01/37 66,972 11,008 Pool 930562.................................................. 5.00% 02/01/39 11,770 82,511 Pool 931808.................................................. 5.50% 08/01/39 87,901 129,907 Pool 953115.................................................. 5.50% 11/01/38 135,845 19,596 Pool 962556.................................................. 5.00% 04/01/23 19,965 7,971 Pool 973561.................................................. 5.00% 03/01/23 8,119 42,822 Pool 976871.................................................. 6.50% 08/01/36 46,095 14,418 Pool 995097.................................................. 6.50% 10/01/37 15,863 78,869 Pool 995149.................................................. 6.50% 10/01/38 85,965 37,154 Pool 995228.................................................. 6.50% 11/01/38 41,081 24,027 Pool 995252.................................................. 5.00% 12/01/23 24,494 12,020 Pool 995259.................................................. 6.50% 11/01/23 12,175 97,616 Pool AA3303.................................................. 5.50% 06/01/38 100,902 448,039 Pool AB0460.................................................. 5.50% 02/01/37 471,966 150,041 Pool AB0731.................................................. 4.00% 06/01/39 153,329 37,931 Pool AB2092.................................................. 4.00% 01/01/41 38,438 16,179 Pool AB2133.................................................. 4.00% 01/01/26 16,468 869,686 Pool AB2506.................................................. 5.00% 03/01/41 930,800 1,043,725 Pool AB2959.................................................. 4.50% 07/01/40 1,051,061 74,733 Pool AB5174.................................................. 3.50% 05/01/42 73,986 91,670 Pool AB5919.................................................. 3.00% 08/01/42 88,513 188,832 Pool AB6671.................................................. 3.00% 10/01/42 182,330 244,259 Pool AB7765.................................................. 3.00% 02/01/43 235,845 152,912 Pool AB7859.................................................. 3.50% 02/01/43 151,380 438,677 Pool AB8676.................................................. 3.50% 05/01/42 419,380 630,457 Pool AB9551.................................................. 3.00% 06/01/43 608,296 18,955 Pool AC1232.................................................. 5.00% 07/01/24 19,337 177,143 Pool AC3267.................................................. 5.50% 09/01/39 190,087 44,458 Pool AD0889.................................................. 6.00% 09/01/24 45,127 286,357 Pool AD4317.................................................. 4.00% 04/01/40 288,967 8,926 Pool AD5222.................................................. 4.50% 05/01/30 9,097 58,572 Pool AD7137.................................................. 5.50% 07/01/40 62,932 187,842 Pool AE0137.................................................. 4.50% 03/01/36 196,030 63,300 Pool AE4476.................................................. 4.00% 03/01/41 64,122 83,305 Pool AE7005.................................................. 4.00% 10/01/40 84,261 3,040,342 Pool AE7733.................................................. 5.00% 11/01/40 3,241,440 21,083 Pool AE9284.................................................. 4.00% 11/01/40 21,358 493,380 Pool AE9959.................................................. 5.00% 03/01/41 520,273 242,305 Pool AH0979.................................................. 3.50% 01/01/41 235,453 161,378 Pool AH1089.................................................. 4.00% 11/01/40 162,725 89,682 Pool AH1141.................................................. 4.50% 12/01/40 93,629 61,705 Pool AH4404.................................................. 4.00% 01/01/41 62,512 56,226 Pool AH7204.................................................. 4.00% 03/01/41 56,963 144,421 Pool AI6093.................................................. 4.50% 06/01/31 147,438 55,008 Pool AI6503.................................................. 5.00% 11/01/39 57,083 22,823 Pool AI6581.................................................. 4.50% 07/01/41 23,833 103,831 Pool AI8779.................................................. 4.00% 11/01/41 105,186 330,091 Pool AI9114.................................................. 4.00% 06/01/42 337,057 1,712,401 Pool AI9124.................................................. 4.00% 08/01/42 1,748,537 942,881 Pool AI9158.................................................. 6.50% 01/01/41 1,062,637 644,264 Pool AK0765.................................................. 4.00% 03/01/42 660,830 See Notes to Financial Statements Page 27 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 (Continued) $ 120,751 Pool AK4520.................................................. 4.00% 03/01/42 $ 122,138 112,438 Pool AK5555.................................................. 4.00% 04/01/42 113,903 71,860 Pool AL0212.................................................. 5.50% 02/01/38 76,517 179,928 Pool AL0241.................................................. 4.00% 04/01/41 182,282 3,749 Pool AL0399.................................................. 6.00% 08/01/24 3,792 1,694 Pool AL0446.................................................. 6.00% 05/01/24 1,710 4,839 Pool AL1195.................................................. 6.00% 09/01/23 4,901 389,323 Pool AL1850.................................................. 5.50% 07/01/40 414,573 69,399 Pool AL2142.................................................. 6.50% 09/01/38 75,374 336,096 Pool AL2551.................................................. 3.50% 10/01/42 332,735 8,032 Pool AL2589.................................................. 5.50% 05/01/25 8,103 68,006 Pool AL2892.................................................. 3.50% 12/01/42 67,331 445,976 Pool AL3093.................................................. 3.50% 02/01/43 441,528 18,108 Pool AL3154.................................................. 3.00% 02/01/43 17,484 1,023,269 Pool AL4703.................................................. 3.50% 12/01/28 1,017,059 5,168 Pool AL4962.................................................. 6.00% 05/01/24 5,234 96,906 Pool AL5616.................................................. 5.50% 09/01/41 103,195 519,627 Pool AL5890.................................................. 4.50% 03/01/43 543,813 1,449 Pool AL6057.................................................. 6.00% 08/01/24 1,458 1,950,755 Pool AL6513.................................................. 5.00% 07/01/44 2,063,678 56,134 Pool AL6948.................................................. 5.00% 09/01/25 57,259 67,470 Pool AL7046.................................................. 3.50% 06/01/45 66,750 188,978 Pool AL7231.................................................. 3.50% 08/01/45 186,925 414,109 Pool AL7449.................................................. 8.50% 12/01/37 468,415 518,832 Pool AL7637.................................................. 5.00% 01/01/42 530,325 1,800,129 Pool AL7905.................................................. 4.50% 03/01/34 1,869,882 76,770 Pool AL8139.................................................. 4.00% 02/01/32 76,599 58,767 Pool AL8353.................................................. 3.50% 08/01/44 58,180 2,719,524 Pool AL8652.................................................. 5.00% 07/01/44 2,959,459 341,696 Pool AL9143.................................................. 3.50% 09/01/36 340,071 115,841 Pool AL9226.................................................. 5.50% 12/01/41 126,006 866,052 Pool AL9777.................................................. 4.50% 01/01/47 899,638 189,303 Pool AP1197.................................................. 3.50% 09/01/42 187,878 115,180 Pool AP7963.................................................. 4.00% 09/01/42 117,074 1,591,639 Pool AQ0411.................................................. 3.50% 10/01/42 1,575,839 683,215 Pool AQ0535.................................................. 3.00% 11/01/42 658,343 428,914 Pool AQ1534.................................................. 3.50% 10/01/32 421,939 361,661 Pool AQ1607.................................................. 3.50% 11/01/32 355,735 44,703 Pool AQ9715.................................................. 3.00% 01/01/43 43,098 260,737 Pool AQ9999.................................................. 3.00% 02/01/43 251,505 958,997 Pool AR7582.................................................. 3.50% 03/01/33 943,540 185,126 Pool AR7961.................................................. 3.50% 03/01/33 182,148 2,523,182 Pool AS1719.................................................. 5.00% 02/01/44 2,698,034 324,246 Pool AS5236.................................................. 4.00% 05/01/45 323,510 565,488 Pool AS5515.................................................. 3.50% 06/01/30 570,263 230,087 Pool AS5635.................................................. 3.00% 08/01/45 221,026 191,560 Pool AS7211.................................................. 3.00% 04/01/46 182,055 4,591,239 Pool AS8548.................................................. 3.50% 12/01/46 4,561,172 214,827 Pool AS9990.................................................. 4.50% 07/01/47 219,660 69,125 Pool AT0332.................................................. 3.00% 04/01/43 64,973 536,852 Pool AT1747.................................................. 3.00% 04/01/43 518,185 310,815 Pool AT3892.................................................. 3.00% 06/01/43 294,592 Page 28 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 (Continued) $ 194,975 Pool AT4180.................................................. 3.50% 05/01/33 $ 191,919 64,290 Pool AY0013.................................................. 4.50% 01/01/45 65,531 407,974 Pool BA4113.................................................. 3.00% 04/01/46 389,666 7,006,901 Pool BD6438.................................................. 3.00% 10/01/46 6,730,789 276,591 Pool BE3631.................................................. 4.50% 05/01/47 284,745 1,621,311 Pool BH2633.................................................. 5.00% 08/01/47 1,703,207 16,129 Pool BH9428.................................................. 4.50% 09/01/47 16,578 9,881,221 Pool BJ1637.................................................. 3.50% 11/01/47 9,716,066 82,595 Pool BJ6232.................................................. 5.00% 04/01/48 85,771 765,637 Pool BJ9100.................................................. 4.50% 02/01/48 802,685 456,907 Pool BJ9111.................................................. 4.50% 03/01/48 473,207 1,163,120 Pool BJ9124.................................................. 4.50% 04/01/48 1,220,248 263,724 Pool BK4769.................................................. 5.00% 08/01/48 275,104 79,715 Pool BK4851.................................................. 5.00% 05/01/48 82,621 3,549,725 Pool BK8883.................................................. 5.00% 09/01/48 3,810,274 1,396,092 Pool BK9563.................................................. 4.50% 12/01/48 1,434,108 3,423,841 Pool BK9599.................................................. 5.00% 08/01/48 3,575,037 12,535,730 Pool BM4122.................................................. 7.47% 01/01/40 13,919,914 4,370,770 Pool BM4561.................................................. 5.00% 09/01/48 4,622,115 5,678,331 Pool BM4785.................................................. 4.50% 10/01/38 6,000,826 5,933,513 Pool BM5671.................................................. 4.50% 01/01/49 6,216,680 5,706,536 Pool BM6018.................................................. 5.00% 05/01/49 5,735,069 900,642 Pool BM6602.................................................. 3.50% 02/01/48 867,191 421,686 Pool BN1027.................................................. 5.50% 03/01/49 444,442 17,515,849 Pool BN3925.................................................. 4.50% 01/01/49 18,252,176 1,130,973 Pool BN4059.................................................. 4.00% 12/01/48 1,126,302 3,207,632 Pool BN4328.................................................. 5.00% 01/01/49 3,394,375 5,681,984 Pool BO5426.................................................. 4.00% 10/01/49 5,779,096 7,261,603 Pool BP1649.................................................. 3.50% 02/01/50 7,078,283 3,199,821 Pool BP4238.................................................. 3.00% 04/01/50 3,036,404 656,857 Pool BP6504.................................................. 1.50% 07/01/35 602,543 1,770,431 Pool BP8797.................................................. 3.00% 07/01/50 1,688,641 4,984,902 Pool BQ3099.................................................. 3.00% 10/01/50 4,741,349 10,689,022 Pool BT9396.................................................. 2.50% 11/01/41 9,954,508 6,825,332 Pool BT9397.................................................. 2.50% 11/01/41 6,360,378 10,753,570 Pool BU8953.................................................. 4.00% 04/01/52 10,861,256 6,491,259 Pool CA1576.................................................. 5.00% 01/01/48 6,796,707 3,756,956 Pool CA1917.................................................. 5.00% 06/01/48 3,979,991 2,104,583 Pool CA2520.................................................. 4.00% 10/01/33 2,165,281 3,826,982 Pool CA2947.................................................. 4.00% 12/01/48 3,907,706 9,320,296 Pool CA4978.................................................. 3.00% 01/01/50 8,845,535 7,341,578 Pool CA5352.................................................. 3.50% 03/01/50 7,157,172 27,643,844 Pool CA5569.................................................. 4.00% 04/01/50 27,945,159 10,449,189 Pool CA6423.................................................. 3.00% 07/01/50 9,910,161 50,168,483 Pool CB3507.................................................. 4.00% 04/01/52 50,704,355 1,998,696 Pool FM1284.................................................. 3.50% 02/01/46 1,978,791 1,824,947 Pool FM1285.................................................. 4.00% 10/01/43 1,848,678 1,879,456 Pool FM1287.................................................. 5.00% 11/01/44 1,973,949 40,937,979 Pool FM1725.................................................. 2.50% 11/01/47 37,765,132 20,527,367 Pool FM1873.................................................. 3.00% 11/01/49 19,468,101 8,734,357 Pool FM2001.................................................. 5.00% 09/01/49 9,138,566 5,608,830 Pool FM2450.................................................. 3.50% 12/01/39 5,705,273 See Notes to Financial Statements Page 29 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 (Continued) $ 50,455,005 Pool FM3047.................................................. 4.00% 04/01/45 $ 51,565,255 17,347,923 Pool FM3053.................................................. 3.50% 04/01/50 16,928,428 15,554,663 Pool FM3431.................................................. 3.00% 05/01/50 14,787,341 9,597,770 Pool FM4681.................................................. 2.50% 11/01/50 8,819,781 13,831,487 Pool FM7685.................................................. 3.00% 06/01/51 13,108,667 7,404,093 Pool FM8218.................................................. 4.00% 04/01/48 7,520,769 35,440,970 Pool FM8927.................................................. 4.00% 10/01/49 36,290,279 12,819,084 Pool FM8953.................................................. 5.00% 11/01/43 13,659,682 19,632,897 Pool FM9224.................................................. 4.00% 10/01/51 19,686,003 43,952,157 Pool FM9263.................................................. 2.00% 10/01/41 40,005,495 5,577,964 Pool FM9408.................................................. 4.50% 06/01/46 5,774,934 11,515,797 Pool FS0032.................................................. 3.00% 12/01/51 10,999,529 54,288,945 Pool FS0697.................................................. 2.50% 02/01/42 50,828,599 19,307,553 Pool FS1021.................................................. 3.00% 02/01/52 18,415,011 17,547,409 Pool FS1029.................................................. 3.00% 02/01/52 16,760,734 28,175,698 Pool FS1143.................................................. 3.00% 03/01/52 26,892,899 36,317,832 Pool FS1267.................................................. 4.00% 04/01/52 36,715,648 49,989,360 Pool FS1268.................................................. 4.00% 04/01/52 50,664,031 30,000,000 Pool FS1501.................................................. 4.00% 08/01/51 29,970,092 61,921,998 Pool FS1524.................................................. 2.50% 04/01/42 57,512,004 13,777,294 Pool FS1525.................................................. 3.00% 04/01/52 13,159,624 16,683,039 Pool FS1540.................................................. 3.00% 04/01/42 16,150,100 30,148,500 Pool FS1541.................................................. 3.00% 04/01/42 29,109,349 27,169,608 Pool FS1573.................................................. 2.50% 11/01/41 25,268,308 11,187,050 Pool FS1639.................................................. 4.00% 04/01/52 11,332,495 25,000,000 Pool FS1640.................................................. 4.00% 04/01/52 25,207,085 26,848,196 Pool FS1666.................................................. 3.50% 05/01/52 26,430,314 25,616,779 Pool FS1670.................................................. 4.00% 04/01/52 25,914,524 25,000,000 Pool FS1671.................................................. 4.00% 05/01/52 25,272,613 25,000,000 Pool FS1672.................................................. 4.00% 05/01/52 25,194,722 86,006 Pool MA0096.................................................. 4.50% 06/01/29 87,653 2,051 Pool MA0293.................................................. 4.50% 01/01/30 2,090 33,413 Pool MA0295.................................................. 5.00% 01/01/30 34,963 29,132 Pool MA0353.................................................. 4.50% 03/01/30 29,690 770,410 Pool MA0443.................................................. 5.00% 05/01/30 806,248 17,699 Pool MA0444.................................................. 5.00% 06/01/40 18,696 204,440 Pool MA0575.................................................. 4.50% 11/01/30 208,770 104,586 Pool MA0633.................................................. 5.00% 01/01/41 109,539 3,651 Pool MA0777.................................................. 5.00% 06/01/31 3,820 30,559 Pool MA1222.................................................. 4.00% 10/01/32 31,004 52,092 Pool MA1228.................................................. 3.00% 09/01/42 50,224 296,419 Pool MA1373.................................................. 3.50% 03/01/43 294,123 153,764 Pool MA2024.................................................. 4.00% 07/01/29 157,734 652,831 Pool MA2099.................................................. 3.50% 11/01/29 658,398 278,607 Pool MA2454.................................................. 3.50% 09/01/30 280,758 2,129 Pool MA2509.................................................. 3.00% 01/01/46 1,999 1,295,839 Pool MA2916.................................................. 4.00% 02/01/47 1,328,976 187,514 Pool MA3101.................................................. 4.50% 08/01/47 192,906 125,113 Pool MA3123.................................................. 5.00% 08/01/47 131,178 250,037 Pool MA3205.................................................. 5.00% 10/01/47 262,181 11,311,804 Pool MA3774.................................................. 3.00% 09/01/49 10,723,349 2,701,676 Pool MA3835.................................................. 3.50% 11/01/49 2,635,994 Page 30 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 (Continued) $ 1,890,444 Pool MA3991.................................................. 3.00% 04/01/50 $ 1,793,235 942,045 Pool MA4122.................................................. 1.50% 09/01/35 864,178 797,128 Pool MA4154.................................................. 1.50% 10/01/35 731,233 10,000,000 Pool TBA..................................................... 2.50% 05/15/52 9,133,594 68,000,000 Pool TBA..................................................... 3.00% 05/15/52 64,198,906 60,000,000 Pool TBA..................................................... 2.50% 06/15/52 54,688,753 85,000,000 Pool TBA (k)................................................. 1.50% 06/15/52 71,642,928 10,000,000 Pool TBA..................................................... 2.00% 06/15/52 8,817,642 277,000,000 Pool TBA (k)................................................. 4.00% 06/15/52 274,949,549 230,000,000 Pool TBA (k)................................................. 4.50% 06/15/52 232,987,454 150,000,000 Pool TBA (k)................................................. 4.00% 07/15/52 148,532,226 Government National Mortgage Association 60,652 Pool 3149.................................................... 6.00% 10/20/31 64,939 39,017 Pool 3172.................................................... 6.00% 12/20/31 42,796 40,747 Pool 3227.................................................... 6.00% 04/20/32 43,505 8,175 Pool 3474.................................................... 6.00% 11/20/33 8,824 83,523 Pool 4251.................................................... 5.50% 10/20/23 84,706 56,985 Pool 455986.................................................. 5.25% 07/15/25 56,004 81,585 Pool 487108.................................................. 6.00% 04/15/29 87,426 33,791 Pool 553144.................................................. 5.50% 04/15/33 36,339 134 Pool 589331.................................................. 6.00% 10/15/22 134 105,312 Pool 604338.................................................. 5.00% 05/15/33 112,055 93,900 Pool 604897.................................................. 5.00% 12/15/33 99,816 106,882 Pool 605389.................................................. 5.00% 04/15/34 113,747 243,532 Pool 615403.................................................. 4.50% 08/15/33 257,039 8,929 Pool 627123.................................................. 5.50% 03/15/34 9,660 70,941 Pool 638704.................................................. 5.50% 11/15/36 75,803 154,998 Pool 653143.................................................. 4.90% 04/15/36 162,562 244,772 Pool 658324.................................................. 5.50% 03/15/37 258,604 123,415 Pool 677190.................................................. 5.00% 06/15/38 131,353 16,449 Pool 687833.................................................. 6.00% 08/15/38 18,112 41,868 Pool 706840.................................................. 4.50% 05/15/40 44,547 190,797 Pool 706855.................................................. 4.50% 09/15/40 203,002 249,645 Pool 711483.................................................. 4.00% 01/15/40 259,456 113,323 Pool 711543.................................................. 4.00% 11/15/40 117,791 742,307 Pool 711563.................................................. 4.50% 03/15/41 789,832 4,806,030 Pool 720225.................................................. 4.50% 07/15/39 5,076,055 249,424 Pool 723216.................................................. 4.50% 08/15/40 262,972 66,068 Pool 723248.................................................. 5.00% 10/15/39 70,302 250,681 Pool 724230.................................................. 5.00% 08/15/39 266,115 64,958 Pool 724267.................................................. 5.00% 09/15/39 68,995 169,636 Pool 724340.................................................. 4.50% 09/15/39 177,617 81,422 Pool 725272.................................................. 4.50% 11/15/39 84,259 42,542 Pool 726394.................................................. 4.50% 10/15/39 44,919 19,193 Pool 728921.................................................. 4.50% 12/15/24 19,479 205,519 Pool 733595.................................................. 4.50% 04/15/40 226,440 78,291 Pool 733733.................................................. 5.00% 06/15/40 82,975 505,088 Pool 736317.................................................. 4.25% 06/20/36 518,143 103,570 Pool 736617.................................................. 4.00% 12/15/35 106,609 772,712 Pool 737673.................................................. 4.50% 11/15/40 814,449 181,907 Pool 737996.................................................. 4.00% 02/15/41 188,241 244,428 Pool 739341.................................................. 3.50% 10/15/41 245,860 See Notes to Financial Statements Page 31 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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) Government National Mortgage Association (Continued) $ 153,787 Pool 743673.................................................. 4.50% 07/15/40 $ 164,581 257,367 Pool 745478.................................................. 5.00% 08/20/40 273,440 570,997 Pool 748939.................................................. 4.00% 09/20/40 580,275 78,635 Pool 754384.................................................. 4.50% 03/20/42 83,702 286,854 Pool 762905.................................................. 4.50% 04/15/41 301,628 1,208,467 Pool 769102.................................................. 4.50% 07/20/41 1,230,968 311,448 Pool 781623.................................................. 5.00% 06/15/33 326,612 49,309 Pool 781697.................................................. 6.00% 11/15/33 54,322 253,213 Pool 781824.................................................. 5.50% 11/15/34 276,609 9,980 Pool 781862.................................................. 5.50% 01/15/35 10,947 32,991 Pool 782070.................................................. 7.00% 06/15/32 35,072 105,189 Pool 782259.................................................. 5.00% 02/15/36 109,831 53,109 Pool 782810.................................................. 4.50% 11/15/39 56,821 81,303 Pool 783091.................................................. 5.50% 06/15/40 89,540 17,858 Pool 783220.................................................. 5.50% 09/15/24 18,239 129,776 Pool 783375.................................................. 5.00% 08/15/41 137,567 8,076,463 Pool 783590.................................................. 4.50% 06/20/41 8,491,971 204,962 Pool 783760.................................................. 5.00% 02/15/42 218,291 2,883,569 Pool 784063.................................................. 5.00% 09/20/45 3,044,234 456,829 Pool 784343.................................................. 5.00% 02/15/41 487,429 3,802,451 Pool 784752.................................................. 4.00% 03/15/45 3,952,374 2,214,984 Pool 785020.................................................. 3.00% 05/20/50 2,097,308 2,008,284 Pool AC0197.................................................. 4.00% 12/20/42 2,063,102 408,119 Pool AD0026.................................................. 3.50% 06/20/33 406,017 84,940 Pool AD0856.................................................. 3.75% 08/20/33 85,845 36,361 Pool AG8899.................................................. 4.00% 12/20/43 37,095 671,225 Pool AI6317.................................................. 4.50% 06/20/44 690,899 408,966 Pool AK2389.................................................. 4.50% 11/20/44 419,967 112,128 Pool AN4469.................................................. 5.00% 12/15/40 117,114 234,294 Pool AR8421.................................................. 5.00% 10/20/41 243,536 990,953 Pool BB1216.................................................. 4.50% 06/20/47 1,051,293 430,239 Pool BB4731.................................................. 4.00% 07/20/47 435,081 303,582 Pool BB4757.................................................. 4.00% 08/20/47 307,276 166,853 Pool BB4769.................................................. 4.00% 08/20/47 167,785 433,437 Pool BD0483.................................................. 4.50% 11/20/47 454,663 454,791 Pool BF0415.................................................. 5.00% 06/20/35 473,755 275,026 Pool BL6909.................................................. 5.00% 03/20/49 285,096 5,431,638 Pool BU8989.................................................. 5.50% 06/20/40 5,846,384 860,701 Pool BX7975.................................................. 5.50% 09/20/39 926,614 1,451,224 Pool CB3161.................................................. 5.50% 03/20/50 1,549,807 1,459,195 Pool CB8275.................................................. 5.50% 09/20/39 1,555,611 2,503,665 Pool CC3552.................................................. 5.50% 08/20/40 2,696,103 1,956,352 Pool CC3563.................................................. 5.50% 09/20/35 2,106,380 1,916,847 Pool CC3564.................................................. 6.00% 09/20/39 2,071,170 927,609 Pool CC3565.................................................. 6.50% 01/20/39 1,047,857 4,859,479 Pool CC3583.................................................. 5.50% 09/20/35 5,241,947 2,206,665 Pool CC8859.................................................. 5.50% 10/20/35 2,375,154 4,519,074 Pool CC8868.................................................. 5.50% 06/20/40 4,848,649 3,787,405 Pool CD4286.................................................. 6.00% 11/20/39 4,110,190 761,469 Pool CD6819.................................................. 6.50% 01/20/39 820,714 1,648,844 Pool CE1292.................................................. 6.00% 01/20/39 1,788,468 860,270 Pool CE1819.................................................. 5.50% 12/20/39 925,946 Page 32 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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) Government National Mortgage Association (Continued) $ 3,029,157 Pool CE6488.................................................. 6.00% 09/20/39 $ 3,284,895 1,734,834 Pool CE6489.................................................. 6.50% 12/20/38 1,889,022 5,028,901 Pool CE6491.................................................. 6.00% 07/20/36 5,454,234 733,192 Pool CE6626.................................................. 6.00% 12/20/38 795,097 1,740,675 Pool CE7158.................................................. 5.50% 05/20/40 1,867,618 1,249,748 Pool CE9078.................................................. 5.50% 01/20/39 1,324,487 142,674 Pool MA1017.................................................. 6.00% 05/20/43 155,366 100,713 Pool MA1162.................................................. 6.00% 07/20/43 109,735 12,185 Pool MA2215.................................................. 3.50% 09/20/44 11,887 92,904 Pool MA2683.................................................. 6.00% 03/20/45 101,166 91,580 Pool MA2759.................................................. 6.00% 01/20/45 99,726 40,353 Pool MA2897.................................................. 6.00% 03/20/45 43,948 180,731 Pool MA2966.................................................. 6.00% 09/20/39 196,924 200,994 Pool MA3249.................................................. 6.00% 04/20/40 219,002 405,306 Pool MA3459.................................................. 6.00% 08/20/39 441,629 411,630 Pool MA4076.................................................. 7.00% 01/20/39 449,850 2,888,152 Pool MA5714.................................................. 6.00% 01/20/49 3,085,685 ---------------- 2,377,307,787 ---------------- TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES..................................... 4,727,042,903 (Cost $4,939,301,031) ---------------- MORTGAGE-BACKED SECURITIES -- 13.3% COLLATERALIZED MORTGAGE OBLIGATIONS -- 8.4% Angel Oak Mortgage Trust 6,603,373 Series 2021-4, Class A1 (j).................................. 1.04% 01/20/65 6,216,142 7,782,224 Series 2021-5, Class A1 (j).................................. 0.95% 07/25/66 7,041,630 Arroyo Mortgage Trust 9,000,000 Series 2019-2, Class M1 (j).................................. 4.76% 04/25/49 8,619,339 3,464,718 Series 2019-3, Class A3 (j).................................. 3.42% 10/25/48 3,384,274 3,251,575 Series 2021-1R, Class A2 (j)................................. 1.48% 10/25/48 3,055,443 4,489,125 Series 2021-1R, Class A3 (j)................................. 1.64% 10/25/48 4,222,302 Barclays Mortgage Loan Trust 6,446,064 Series 2021-NQM1, Class A1 (j)............................... 1.75% 09/25/51 6,090,410 BRAVO Residential Funding Trust 2,299,175 Series 2021-NQM1, Class A2 (j)............................... 1.26% 02/25/49 2,185,830 5,747,937 Series 2021-NQM1, Class A3 (j)............................... 1.33% 02/25/49 5,462,382 4,555,466 Series 2021-NQM2, Class A1 (j)............................... 0.97% 03/25/60 4,418,905 CFMT LLC 4,052,000 Series 2021-EBO1, Class M1 (j)............................... 1.65% 11/25/50 3,892,399 Chase Home Lending Mortgage Trust 3,194,730 Series 2019-1, Class A11, 1 Mo. LIBOR + 0.85% (a) (j)........ 1.52% 03/25/50 3,179,036 248,457 Series 2019-ATR2, Class A11, 1 Mo. LIBOR + 0.90% (a) (j)............................................. 1.57% 07/25/49 246,699 CHL Mortgage Pass-Through Trust 30,253 Series 2004-8, Class 2A1..................................... 4.50% 06/25/19 30,328 CIM Trust 1,137,257 Series 2017-7, Class A (j)................................... 3.00% 04/25/57 1,140,444 2,292,360 Series 2018-J1, Class A22 (j)................................ 3.50% 03/25/48 2,206,847 1,996,899 Series 2019-INV1, Class A11 (j).............................. 4.00% 02/25/49 1,991,455 3,763,716 Series 2019-INV3, Class A11, 1 Mo. LIBOR + 1.00% (a) (j)............................................. 1.41% 08/25/49 3,757,468 See Notes to Financial Statements Page 33 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Citigroup Global Markets Mortgage Securities VII, Inc. $ 241 Series 2003-UP2, Class PO1, PO............................... (b) 12/25/18 $ 214 Connecticut Avenue Securities Trust 3,252,753 Series 2019-R01, Class 2M2, 1 Mo. LIBOR + 2.45% (a) (j)...... 3.12% 07/25/31 3,264,371 1,525,852 Series 2019-R02, Class 1M2, 1 Mo. LIBOR + 2.30% (a) (j)...... 2.97% 08/25/31 1,526,917 483,775 Series 2019-R03, Class 1M2, 1 Mo. LIBOR + 2.15% (a) (j)...... 2.82% 09/25/31 483,934 2,564,447 Series 2019-R06, Class 2M2, 1 Mo. LIBOR + 2.10% (a) (j)...... 2.77% 09/25/39 2,565,081 2,950,000 Series 2022-R02, Class 2M2, 30 Day Average SOFR + 3.00% (a) (j)............................................. 3.29% 01/25/42 2,911,735 6,000,000 Series 2022-R03, Class 1M2, 30 Day Average SOFR + 3.50% (a) (j)............................................. 3.79% 03/25/42 6,114,805 4,251,000 Series 2022-R04, Class 1M2, 30 Day Average SOFR + 3.10% (a) (j)............................................. 3.39% 03/25/42 4,278,648 Ellington Financial Mortgage Trust 6,248,000 Series 2022-2, Class A1 (j).................................. 4.30% 04/25/67 6,191,597 Federal Home Loan Mortgage Corporation STACR Debt Notes 14,432,499 Series 2020-HQA5, Class M2, 30 Day Average SOFR + 2.60% (a) (j)............................................. 2.89% 11/25/50 14,479,411 5,500,000 Series 2022-DNA2, Class M1B, 30 Day Average SOFR + 2.40% (a) (j)............................................. 2.69% 02/25/42 5,408,518 Federal Home Loan Mortgage Corporation STACR REMIC Trust 1,697,988 Series 2020-DNA1, Class M2, 1 Mo. LIBOR + 1.70% (a) (j)............................................. 2.37% 01/25/50 1,692,443 1,623,624 Series 2020-HQA2, Class M2, 1 Mo. LIBOR + 3.10% (a) (j)............................................. 3.77% 03/25/50 1,631,514 6,250,000 Series 2021-DNA5, Class M2, 30 Day Average SOFR + 1.65% (a) (j)............................................. 1.94% 01/25/34 6,203,737 4,000,000 Series 2022-DNA3, Class M1B, 30 Day Average SOFR + 2.90% (a) (j)............................................. 3.15% 04/25/42 4,008,340 Federal Home Loan Mortgage Corporation STACR Trust 11,439,641 Series 2018-DNA2, Class M2, 1 Mo. LIBOR + 2.15% (a) (j)............................................. 2.82% 12/25/30 11,537,022 5,936,144 Series 2019-HQA1, Class M2, 1 Mo. LIBOR + 2.35% (a) (j)............................................. 3.02% 02/25/49 5,981,623 5,694,137 Series 2019-HQA2, Class M2, 1 Mo. LIBOR + 2.05% (a) (j)............................................. 2.72% 04/25/49 5,720,711 4,326,280 Series 2019-HQA3, Class M2, 1 Mo. LIBOR + 1.85% (a) (j)............................................. 2.52% 09/25/49 4,319,206 Federal National Mortgage Association Connecticut Avenue Securities 12,540,232 Series 2018-C03, Class 1M2, 1 Mo. LIBOR + 2.15% (a).......... 2.82% 10/25/30 12,650,541 11,505,153 Series 2018-C06, Class 1M2, 1 Mo. LIBOR + 2.00% (a).......... 2.67% 03/25/31 11,522,581 Flagstar Mortgage Trust 532,959 Series 2018-2, Class A4 (j).................................. 3.50% 04/25/48 531,653 2,482,614 Series 2018-4, Class B1 (e) (j).............................. 4.25% 07/25/48 2,419,011 1,796,205 Series 2019-2, Class A11 (j)................................. 3.50% 12/25/49 1,733,324 3,236,725 Series 2020-1INV, Class A11, 1 Mo. LIBOR + 0.85% (a) (j)..... 1.52% 03/25/50 3,209,012 18,345,064 Series 2021-9INV, Class A1 (j)............................... 2.50% 09/25/41 17,211,598 GMACM Mortgage Loan Trust 892 Series 2003-J10, Class A1.................................... 4.75% 01/25/19 874 GS Mortgage-Backed Securities Corp. Trust 829,996 Series 2019-PJ3, Class A1 (j)................................ 3.50% 03/25/50 818,855 Page 34 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) JP Morgan Mortgage Trust $ 6,086 Series 2004-S2, Class 5A1.................................... 5.50% 12/25/19 $ 5,692 4,175 Series 2014-IVR3, Class 2A1 (e) (j).......................... 2.34% 09/25/44 4,194 4,401,585 Series 2015-IVR2, Class A5 (e) (j)........................... 2.24% 01/25/45 4,369,787 841,419 Series 2018-5, Class A1 (j).................................. 3.50% 10/25/48 825,077 1,229,051 Series 2018-5, Class A13 (j)................................. 3.50% 10/25/48 1,175,771 5,840,358 Series 2018-7FRB, Class A2, 1 Mo. LIBOR + 0.75% (a) (j)...... 1.42% 04/25/46 5,818,397 1,913,890 Series 2018-8, Class A7 (j).................................. 4.00% 01/25/49 1,894,885 2,385,973 Series 2019-1, Class A5 (j).................................. 4.00% 05/25/49 2,366,107 776,646 Series 2019-5, Class A15 (j)................................. 4.00% 11/25/49 768,802 797,840 Series 2019-8, Class A15 (j)................................. 3.50% 03/25/50 769,382 1,170,723 Series 2019-9, Class A11, 1 Mo. LIBOR + 0.90% (a) (j)........ 1.36% 05/25/50 1,164,784 1,479,919 Series 2019-INV2, Class A15 (j).............................. 3.50% 02/25/50 1,439,347 11,359 Series 2019-LTV2, Class A11, 1 Mo. LIBOR + 0.90% (a) (j)............................................. 1.57% 12/25/49 11,360 322,356 Series 2019-LTV3, Class A15 (j).............................. 3.50% 03/25/50 320,103 11,379,342 Series 2020-7, Class A3 (j).................................. 3.00% 01/25/51 10,641,882 5,153,228 Series 2020-INV1, Class A15 (j).............................. 3.50% 08/25/50 4,978,004 7,784,257 Series 2021-3, Class A11, 30 Day Average SOFR + 0.60% (a) (j)............................................. 0.70% 07/25/51 7,557,060 9,224,880 Series 2021-INV4, Class A2 (j)............................... 3.00% 01/25/52 8,474,638 9,221,610 Series 2021-INV6, Class A2 (j)............................... 3.00% 04/25/52 8,466,737 JPMorgan Wealth Management 10,000,000 Series 2020-ATR1, Class A5 (j)............................... 3.00% 02/25/50 9,194,680 MASTR Seasoned Securitization Trust 1,003 Series 2005-2, Class 3A1..................................... 6.00% 11/25/17 988 Mello Mortgage Capital Acceptance 5,063,004 Series 2018-MTG2, Class A9 (j)............................... 4.35% 10/25/48 5,042,995 MetLife Securitization Trust 3,360,898 Series 2018-1A, Class A (j).................................. 3.75% 03/25/57 3,350,380 MFA Trust 7,248,377 Series 2021-NQM2, Class A1 (j)............................... 1.03% 11/25/64 6,657,896 9,817,648 Series 2022-INV1, Class A1, steps up to 4.91% on 03/25/26 (j) (l).......................................... 3.91% 04/25/66 9,726,084 MRA Issuance Trust 6,000,000 Series 2021-8, Class A2X, 1 Mo. LIBOR + 1.15% (a) (j)........ 1.38% 05/15/22 5,988,245 New Residential Mortgage Loan Trust 5,896,312 Series 2015-2A, Class B1 (j)................................. 4.50% 08/25/55 5,888,705 4,542,107 Series 2016-1A, Class A1 (j)................................. 3.75% 03/25/56 4,448,752 2,981,330 Series 2018-4A, Class A1M, 1 Mo. LIBOR + 0.90% (a) (j)....... 1.57% 01/25/48 2,950,721 26,768,503 Series 2018-4A, Class A1S, 1 Mo. LIBOR + 0.75% (a) (j)....... 1.42% 01/25/48 26,493,666 5,830,090 Series 2019-NQM5, Class A1 (j)............................... 2.71% 11/25/59 5,759,762 OBX Trust 1,811,468 Series 2018-EXP1, Class 1A3 (j).............................. 4.00% 04/25/48 1,759,263 1,941,964 Series 2018-EXP1, Class 2A1, 1 Mo. LIBOR + 0.85% (a) (j)............................................. 1.52% 04/25/48 1,949,518 PRKCM Trust 8,849,474 Series 2021-AFC1, Class A1 (j)............................... 1.51% 08/25/56 7,935,676 Provident Funding Mortgage Trust 1,439,062 Series 2019-1, Class A5 (j).................................. 3.00% 12/25/49 1,375,729 2,199,297 Series 2020-1, Class A5 (j).................................. 3.00% 02/25/50 2,101,516 PSMC Trust 3,485,716 Series 2020-3, Class A1 (j).................................. 3.00% 11/25/50 3,337,296 See Notes to Financial Statements Page 35 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- MORTGAGE-BACKED SECURITIES (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) RUN Trust $ 9,901,928 Series 2022-NQM1, Class A1 (j)............................... 4.00% 03/25/67 $ 9,780,580 Sequoia Mortgage Trust 2,015,425 Series 2017-2, Class A19 (j)................................. 3.50% 02/25/47 1,921,089 641,476 Series 2017-CH1, Class A13 (j)............................... 4.00% 08/25/47 636,977 5,396,144 Series 2018-CH1, Class B1B (j)............................... 4.47% 03/25/48 5,096,855 11,798,561 Series 2020-1, Class A7 (j).................................. 3.50% 02/25/50 11,327,675 3,798,779 Series 2020-1, Class A19 (j)................................. 3.50% 02/25/50 3,613,940 Starwood Mortgage Residential Trust 2022-3 9,000,000 Series 2022-3, Class A1 (j).................................. 4.16% 03/25/67 8,988,779 TIAA Bank Mortgage Loan Trust 410,720 Series 2018-3, Class A1 (j).................................. 4.00% 11/25/48 406,030 Towd Point Mortgage Trust 4,066,272 Series 2018-2, Class A1 (j).................................. 3.25% 03/25/58 4,046,787 Verus Securitization Trust 3,678,341 Series 2019-INV3, Class A2 (j)............................... 2.95% 11/25/59 3,674,524 6,255,000 Series 2020-INV1, Class A3, steps up to 4.89% on 05/26/24 (j) (l).......................................... 3.89% 03/25/60 6,228,115 5,597,620 Series 2021-1, Class A1 (j).................................. 0.82% 01/25/66 5,351,762 6,500,000 Series 2022-4, Class A1, steps up to 5.47% on 04/25/26 (j) (l).......................................... 4.47% 04/25/67 6,520,471 Vista Point Securitization Trust 4,200,000 Series 2020-1, Class M1 (j).................................. 4.15% 03/25/65 4,149,576 Wells Fargo Mortgage Backed Securities Trust 583,239 Series 2019-1, Class A1 (j).................................. 3.97% 11/25/48 579,960 265,744 Series 2019-3, Class A1 (j).................................. 3.50% 07/25/49 254,545 14,063,683 Series 2021-INV2, Class A2 (j)............................... 2.50% 09/25/51 12,463,723 WinWater Mortgage Loan Trust 1,403,324 Series 2016-1, Class 1A18 (j)................................ 3.50% 01/20/46 1,353,349 655,192 Series 2016-1, Class 2A3 (j)................................. 3.00% 12/20/30 631,437 4,081,198 Series 2016-1, Class B1 (e) (j).............................. 3.81% 01/20/46 3,951,394 ---------------- 461,550,058 ---------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- 4.9% Austin Fairmont Hotel Trust 5,000,000 Series 2019-FAIR, Class A, 1 Mo. LIBOR + 1.05% (a) (j)....... 1.60% 09/15/32 4,943,225 BAMLL Commercial Mortgage Securities Trust 7,000,000 Series 2013-WBRK, Class A (e) (j)............................ 3.53% 03/10/37 6,830,547 BBCMS Mortgage Trust 12,000,000 Series 2017-DELC, Class A, 1 Mo. LIBOR + 0.85% (a) (j)....... 1.40% 08/15/36 11,833,237 8,394,000 Series 2018-TALL, Class A, 1 Mo. LIBOR + 0.72% (a) (j)....... 1.28% 03/15/37 8,158,155 BPR Trust 4,876,376 Series 2021-WILL, Class A, 1 Mo. LIBOR + 1.75% (a) (j)....... 2.30% 06/15/38 4,809,369 10,000,000 Series 2022-OANA, Class A, 1 Mo. CME Term SOFR + 1.90% (a) (j)............................................. 2.25% 04/15/37 10,003,888 BX Commercial Mortgage Trust 10,000,000 Series 2019-IMC, Class A, 1 Mo. LIBOR + 1.00% (a) (j)........ 1.55% 04/15/34 9,865,148 Citigroup Commercial Mortgage Trust 8,500,000 Series 2012-GC8, Class AS (j)................................ 3.68% 09/10/45 8,501,362 2,915,000 Series 2014-GC23, Class B.................................... 4.18% 07/10/47 2,893,726 90,666,609 Series 2016-P4, Class XA, IO (e)............................. 2.05% 07/10/49 5,577,982 COMM Mortgage Trust 7,450,000 Series 2012-CR3, Class AM (j)................................ 3.42% 10/15/45 7,417,789 Page 36 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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) COMM Mortgage Trust (Continued) $ 10,000,000 Series 2013-CR13, Class AM................................... 4.45% 11/10/46 $ 10,083,335 11,300,000 Series 2014-CR15, Class AM................................... 4.43% 02/10/47 11,337,528 6,850,000 Series 2014-CR21, Class AM................................... 3.99% 12/10/47 6,792,326 DBWF Mortgage Trust 10,844,968 Series 2018-GLKS, Class A, 1 Mo. LIBOR + 1.03% (a) (j)....... 1.58% 12/19/30 10,699,484 Fontainebleau Miami Beach Trust 5,000,000 Series 2019-FBLU, Class C (j)................................ 3.75% 12/10/36 4,849,459 GS Mortgage Securities Corp Trust 14,050,000 Series 2019-BOCA, Class A, 1 Mo. LIBOR + 1.20% (a) (j)....... 1.75% 06/15/38 14,044,400 GS Mortgage Securities Corp. II 10,717,000 Series 2012-TMSQ, Class A (j)................................ 3.01% 12/10/30 10,693,597 GS Mortgage Securities Trust 3,985,930 Series 2014-GC18, Class A3................................... 3.80% 01/10/47 3,977,900 Hawaii Hotel Trust 9,290,000 Series 2019-MAUI, Class A, 1 Mo. LIBOR + 1.15% (a) (j)....... 1.70% 05/15/38 9,190,181 J.P. Morgan Chase Commercial Mortgage Securities Trust 9,690,857 Series 2018-PHH, Class A, 1 Mo. LIBOR + 1.06%, 2.56% Floor (a) (j)............................................. 2.56% 06/15/35 9,512,926 MHC Commercial Mortgage Trust 6,335,000 Series 2021-MHC, Class A, 1 Mo. LIBOR + 0.80% (a) (j)........ 1.36% 04/15/38 6,220,579 Morgan Stanley Bank of America Merrill Lynch Trust 8,015,000 Series 2014-C15, Class AS.................................... 4.26% 04/15/47 8,038,867 Motel Trust 6,240,231 Series 2021-MTL6, Class A, 1 Mo. LIBOR + 0.90% (a) (j)....... 1.45% 09/15/38 6,150,766 RBS Commercial Funding, Inc. Trust 7,045,000 Series 2013-GSP, Class A (e) (j)............................. 3.96% 01/15/32 7,024,198 Ready Capital Mortgage Financing LLC 9,800,000 Series 2021-FL6, Class A, 1 Mo. LIBOR + 0.95% (a) (j)........ 1.62% 07/25/36 9,614,515 RIAL 2022-FL8 Issuer Ltd. 4,428,000 Series 2022-FL8, Class A (a) (f) (g) (j)..................... 0.00% 01/19/27 4,428,000 UBS-Barclays Commercial Mortgage Trust 5,856,000 Series 2012-C3, Class B (e) (j).............................. 4.37% 08/10/49 5,865,455 12,250,000 Series 2013-C5, Class A4..................................... 3.18% 03/10/46 12,257,421 VMC Finance LLC 3,932,999 Series 2021-HT1, Class A, 1 Mo. LIBOR + 1.65% (a) (j)........ 2.20% 01/18/37 3,935,455 Wells Fargo Commercial Mortgage Trust 12,980,000 Series 2012-LC5, Class B..................................... 4.14% 10/15/45 13,015,182 4,379,333 Series 2015-LC22, Class ASB.................................. 3.57% 09/15/58 4,384,823 7,500,000 Series 2015-NXS2, Class B (e)................................ 4.43% 07/15/58 7,429,532 67,592,329 Series 2016-C37, Class XA, IO (e)............................ 0.96% 12/15/49 1,921,434 5,450,000 Series 2020-SDAL, Class C, 1 Mo. LIBOR + 1.74% (a) (j)....... 2.29% 02/15/37 5,319,919 WFRBS Commercial Mortgage Trust 4,292,804 Series 2013-C18, Class A4.................................... 3.90% 12/15/46 4,291,739 ---------------- 271,913,449 ---------------- TOTAL MORTGAGE-BACKED SECURITIES............................................................ 733,463,507 (Cost $758,160,386) ---------------- See Notes to Financial Statements Page 37 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- ASSET-BACKED SECURITIES -- 4.6% Affirm Asset Securitization Trust $ 8,160,000 Series 2021-A, Class A (j)................................... 0.88% 08/15/25 $ 8,112,856 American Credit Acceptance Receivables Trust 12,806,519 Series 2022-1, Class A (j)................................... 0.99% 12/15/25 12,687,756 9,000,000 Series 2022-1, Class B (j)................................... 1.68% 09/14/26 8,704,360 6,000,000 Series 2022-2, Class A (j)................................... 2.66% 02/13/26 6,012,104 AMSR Trust 2,500,000 Series 2020-SFR2, Class A (j)................................ 1.63% 07/17/37 2,334,221 6,393,000 Series 2020-SFR5, Class A (j)................................ 1.38% 11/17/37 5,852,470 CIG Auto Receivables Trust 6,873,355 Series 2021-1A, Class A (j).................................. 0.69% 04/14/25 6,776,859 Corevest American Finance Trust 13,651,866 Series 2020-3, Class A (j)................................... 1.36% 08/15/53 12,335,269 6,290,001 Series 2020-4, Class A (j)................................... 1.17% 12/15/52 5,725,351 CWABS, Inc. Asset-Backed Certificates Trust 3,260,981 Series 2004-5, Class M1, 1 Mo. LIBOR + 0.86% (a)............. 1.52% 08/25/34 3,236,150 Diamond Resorts Owner Trust 7,007,196 Series 2021-1A, Class A (j).................................. 1.51% 11/21/33 6,682,001 DT Auto Owner Trust 5,657,982 Series 2021-4A, Class A (j).................................. 0.56% 09/15/25 5,582,030 FCI Funding LLC 3,762,421 Series 2019-1A, Class A (j).................................. 3.63% 02/18/31 3,774,742 Flagship Credit Auto Trust 22,220,669 Series 2021-4, Class A (j)................................... 0.81% 07/17/26 21,644,267 13,922,778 Series 2022-1, Class A (j)................................... 1.79% 10/15/26 13,697,771 FNA VI LLC 9,179,482 Series 2021-1A, Class A (j).................................. 1.35% 01/10/32 8,713,166 Foursight Capital Automobile Receivables Trust 14,285,000 Series 2022-1, Class A2 (j).................................. 1.15% 09/15/25 14,057,250 GLS Auto Receivables Issuer Trust 23,235,975 Series 2021-4A, Class A (j).................................. 0.84% 07/15/25 22,969,830 GSAMP Trust 6,120,540 Series 2006-SEA1, Class M2, 1 Mo. LIBOR + 1.65% (a) (j)...... 2.32% 05/25/36 6,097,782 M360 Ltd. 5,000,000 Series 2021-CRE3, Class A, 1 Mo. LIBOR + 1.50% (a) (j)....... 2.13% 11/22/38 4,918,750 MF1 Ltd. 4,000,000 Series 2021-FL7, Class A, 1 Mo. LIBOR + 1.08% (a) (j)........ 1.63% 10/16/36 3,932,500 Mill City Mortgage Loan Trust 1,505,984 Series 2018-1, Class A1 (j).................................. 3.25% 05/25/62 1,495,354 1,553,712 Series 2018-2, Class A1 (e) (j).............................. 3.50% 05/25/58 1,543,578 Oscar US Funding XIV LLC 10,750,000 Series 2022-1A, Class A2 (j)................................. 1.60% 03/10/25 10,603,491 Santander Drive Auto Receivables Trust 10,115,000 Series 2021-4, Class A3...................................... 0.51% 08/15/25 9,990,688 9,500,000 Series 2022-1, Class A3...................................... 1.94% 11/17/25 9,351,586 Sierra Timeshare Receivables Funding LLC 2,517,469 Series 2019-1A, Class A (j).................................. 3.20% 01/20/36 2,493,526 5,455,709 Series 2020-2A, Class A (j).................................. 1.33% 07/20/37 5,182,927 Towd Point Mortgage Trust 73,714 Series 2015-3, Class A4B (j)................................. 3.50% 03/25/54 73,902 2,937,459 Series 2019-1, Class A1 (j).................................. 3.66% 03/25/58 2,901,499 United Auto Credit Securitization Trust 7,938,794 Series 2022-1, Class A (j)................................... 1.11% 07/10/24 7,910,735 Page 38 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- ASSET-BACKED SECURITIES (CONTINUED) Westlake Automobile Receivables Trust $ 10,750,000 Series 2021-3A, Class A3 (j)................................. 0.95% 06/16/25 $ 10,478,865 10,000,000 Series 2022-1A, Class A3 (j)................................. 2.42% 07/15/25 9,861,756 ---------------- TOTAL ASSET-BACKED SECURITIES............................................................... 255,735,392 (Cost $262,246,312) ---------------- SHARES DESCRIPTION VALUE ---------------- -------------------------------------------------------------------------------------------- ---------------- EXCHANGE-TRADED FUNDS -- 0.0% CAPITAL MARKETS -- 0.0% 29,359 First Trust Long Duration Opportunities ETF (m)............................................. 716,360 (Cost $805,933) ---------------- MONEY MARKET FUNDS -- 8.0% 160,513,072 BlackRock Treasury Trust Fund - Institutional Shares - 0.35% (n)............................ 160,513,072 280,309,642 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Shares - 0.23% (n)................................................................................ 280,309,642 ---------------- TOTAL MONEY MARKET FUNDS.................................................................... 440,822,714 (Cost $440,822,714) ---------------- TOTAL INVESTMENTS -- 111.5%................................................................. 6,157,780,876 (Cost $6,401,336,376) ---------------- NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE ---------------- ------------------------------------------------- ------------- ------------ ------------ ---------------- PUT OPTIONS PURCHASED -- 0.0% 150 U.S. 5-Year Treasury Futures Put................. $ 16,900,781 $ 117.00 05/20/22 651,562 250 U.S. Treasury Long Bond Futures Put.............. 35,171,875 138.00 05/20/22 242,188 ---------------- TOTAL PUT OPTIONS PURCHASED................................................................. 893,750 (Cost $306,642) ---------------- PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ---------------------------------------------------------------- ------------ ------------ ---------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT -- (21.2)% Federal National Mortgage Association $ (15,000,000) Pool TBA..................................................... 2.50% 05/15/52 (13,700,391) (30,000,000) Pool TBA..................................................... 3.50% 05/15/52 (29,137,500) (102,000,000) Pool TBA..................................................... 4.00% 05/15/52 (101,559,726) (135,000,000) Pool TBA..................................................... 3.00% 06/15/52 (127,193,111) (15,000,000) Pool TBA..................................................... 3.50% 06/15/52 (14,533,639) (242,500,000) Pool TBA (k)................................................. 1.50% 06/15/37 (221,696,097) (175,000,000) Pool TBA (k)................................................. 1.50% 07/15/37 (159,760,811) (346,000,000) Pool TBA (k)................................................. 2.00% 06/15/52 (305,090,423) (225,000,000) Pool TBA (k)................................................. 2.00% 07/15/52 (198,069,914) ---------------- TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT.......................... (1,170,741,612) (Proceeds $1,195,190,937) ---------------- See Notes to Financial Statements Page 39 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE ---------------- ------------------------------------------------- ------------- ------------ ------------ ---------------- WRITTEN OPTIONS -- (0.0)% CALL OPTIONS WRITTEN -- (0.0)% (100) U.S. 5-Year Treasury Futures Call................ $ (11,267,187) $ 114.75 05/20/22 $ (7,031) (100) U.S. 10-Year Treasury Futures Call............... (11,915,625) 127.00 05/20/22 (3,125) (350) U.S. Treasury Long Bond Futures Call............. (49,240,625) 145.00 05/20/22 (207,813) ---------------- TOTAL CALL OPTIONS WRITTEN.................................................................. (217,969) (Premiums received $312,243) ---------------- PUT OPTIONS WRITTEN -- (0.0)% (100) U.S. 5-Year Treasury Futures Put................. (11,267,187) 113.00 05/20/22 (80,469) (100) U.S. 5-Year Treasury Futures Put................. (11,267,187) 114.00 05/20/22 (149,219) (50) U.S. 5-Year Treasury Futures Put................. (5,633,594) 116.00 05/20/22 (167,578) (50) U.S. 10-Year Treasury Futures Put................ (6,450,000) 129.00 05/20/22 (70,312) ---------------- TOTAL PUT OPTIONS WRITTEN................................................................... (467,578) (Premiums received $202,737) ---------------- TOTAL WRITTEN OPTIONS....................................................................... (685,547) (Premiums received $514,980) ---------------- NET OTHER ASSETS AND LIABILITIES -- 9.7%.................................................... 537,785,790 ---------------- NET ASSETS -- 100.0%........................................................................ $ 5,525,033,257 ================ FUTURES CONTRACTS AT APRIL 30, 2022 (See Note 2D - Futures Contracts in the Notes to Financial Statements): UNREALIZED APPRECIATION NUMBER OF EXPIRATION NOTIONAL (DEPRECIATION)/ FUTURES CONTRACTS POSITION CONTRACTS DATE VALUE VALUE ------------------------------------------------------ ----------- ----------- ----------- --------------- ---------------- U.S. 2-Year Treasury Notes Short 150 Jun-2022 $ (31,621,875) $ 82,850 U.S. 5-Year Treasury Notes Short 2,249 Jun-2022 (253,399,047) 1,392,579 U.S. 10-Year Treasury Notes Short 251 Jun-2022 (29,908,219) (16,308) Ultra 10-Year U.S. Treasury Notes Short 6,686 Jun-2022 (862,494,000) 52,621,536 U.S. Treasury Long Bond Futures Short 1,479 Jun-2022 (208,076,813) 7,943,758 Ultra U.S. Treasury Bond Futures Short 225 Jun-2022 (36,098,437) 446,819 --------------- ---------------- $(1,421,598,391) $ 62,471,234 =============== ================ ----------------------------- (a) Floating or variable rate security. (b) Zero coupon security. (c) Inverse floating rate security. (d) Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have different coupons. The coupon may change in any period. (e) Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment's underlying collateral. The interest rate resets periodically. (f) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At April 30, 2022, securities noted as such are valued at $378,082,807 or 6.8% of net assets. (g) When-issued security. The interest rate shown reflects the rate in effect at April 30, 2022. Interest will begin accruing on the security's first settlement date. (h) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P. (the "Advisor"), the Fund's advisor. (i) This security's value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). Page 40 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2022 (UNAUDITED) (j) This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be liquid by 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 $946,136,364 or 17.1% of net assets. (k) All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2I- Mortgage Dollar Rolls and TBA Transactions in the Notes to Financial Statements). (l) Step-up security. A security where the coupon increases or steps up at a predetermined date. (m) Investment in an affiliated fund. (n) Rate shown reflects yield as of April 30, 2022. IO - Interest-Only Security - Principal amount shown represents par value on which interest payments are based. LIBOR - London Interbank Offered Rate PO - Principal-Only Security REMIC - Real Estate Mortgage Investment Conduit SOFR - Secured Overnight Financing Rate STRIPS - Separate Trading of Registered Interest and Principal of Securities TBA - To-Be-Announced Security ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 4/30/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- U.S. Government Agency Mortgage-Backed Securities..... $ 4,727,042,903 $ -- $ 4,705,717,343 $ 21,325,560 Mortgage-Backed Securities............................ 733,463,507 -- 733,463,507 -- Asset-Backed Securities............................... 255,735,392 -- 255,735,392 -- Exchange-Traded Funds*................................ 716,360 716,360 -- -- Money Market Funds.................................... 440,822,714 440,822,714 -- -- --------------- --------------- --------------- --------------- Total Investments..................................... 6,157,780,876 441,539,074 5,694,916,242 21,325,560 Put Options Purchased................................. 893,750 893,750 -- -- Futures Contracts**................................... 62,487,542 62,487,542 -- -- --------------- --------------- --------------- --------------- Total................................................. $ 6,221,162,168 $ 504,920,366 $ 5,694,916,242 $ 21,325,560 =============== =============== =============== =============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 4/30/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- U.S. Government Agency Mortgage-Backed Securities Sold Short......................................... $(1,170,741,612) $ -- $(1,170,741,612) $ -- Call Options Written.................................. (217,969) (217,969) -- -- Put Options Written................................... (467,578) (467,578) -- -- Futures Contracts**................................... (16,308) (16,308) -- -- --------------- --------------- --------------- --------------- Total................................................. $(1,171,443,467) $ (701,855) $(1,170,741,612) $ -- =============== =============== =============== =============== * See Portfolio of Investments for industry breakout. ** Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day's variation margin is presented on the Statement of Assets and Liabilities. Level 3 Investments that are fair valued by the Advisor's Pricing Committee are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs. See Notes to Financial Statements Page 41 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2022 (UNAUDITED) ASSETS: Investments, at value - Unaffiliated...................................... $ 6,157,064,516 Investments, at value - Affiliated........................................ 716,360 --------------- Total investments, at value............................................... 6,157,780,876 Options contracts purchased, at value..................................... 893,750 Cash...................................................................... 505,789,520 Cash segregated as collateral for open futures and options contracts...... 26,799,708 Receivables: Investment securities sold............................................. 6,561,698,184 Interest............................................................... 19,938,053 Variation margin....................................................... 3,047,363 Dividends.............................................................. 94,801 --------------- Total Assets........................................................... 13,276,042,255 --------------- LIABILITIES: Investments sold short, at value (proceeds $1,195,190,937)................ 1,170,741,612 Options contracts written, at value....................................... 685,547 Payables: Investment securities purchased........................................ 6,576,585,930 Investment advisory fees............................................... 2,987,516 Other Liabilities...................................................... 8,393 --------------- Total Liabilities...................................................... 7,751,008,998 --------------- NET ASSETS................................................................ $ 5,525,033,257 =============== NET ASSETS CONSIST OF: Paid-in capital........................................................... $ 5,778,949,653 Par value................................................................. 1,133,500 Accumulated distributable earnings (loss)................................. (255,049,896) --------------- NET ASSETS................................................................ $ 5,525,033,257 --------------- NET ASSET VALUE, per share................................................ $ 48.74 =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................................. 113,350,002 =============== Investments, at cost - Unaffiliated....................................... $ 6,400,530,443 =============== Investments, at cost - Affiliated......................................... $ 805,933 =============== Total investments, at cost................................................ $ 6,401,336,376 =============== Premiums paid on options contracts purchased.............................. $ 306,642 =============== Premiums received on options contracts written............................ $ 514,980 =============== Page 42 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2022 (UNAUDITED) INVESTMENT INCOME: Interest.................................................................. $ 51,321,672 Dividends - Unaffiliated.................................................. 175,445 Dividends - Affiliated.................................................... 5,983 --------------- Total investment income................................................ 51,503,100 --------------- EXPENSES: Investment advisory fees.................................................. 19,467,475 --------------- Total expenses......................................................... 19,467,475 --------------- NET INVESTMENT INCOME (LOSS).............................................. 32,035,625 --------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments - Unaffiliated............................................. (151,986,679) Investments - Affiliated............................................... -- Investments sold short................................................. 71,813,246 Futures contracts...................................................... 80,199,556 Purchased options contracts............................................ (1,165,816) Written options contracts.............................................. 7,195,714 --------------- Net realized gain (loss).................................................. 6,056,021 --------------- Net change in unrealized appreciation (depreciation) on: Investments - Unaffiliated............................................. (254,624,452) Investments - Affiliated............................................... (97,178) Investments sold short................................................. 23,932,727 Futures contracts...................................................... 48,023,510 Purchased options contracts............................................ 587,108 Written options contracts.............................................. 792,889 --------------- Net change in unrealized appreciation (depreciation)...................... (181,385,396) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................... (175,329,375) --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................................ $ (143,293,750) =============== See Notes to Financial Statements Page 43 FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) STATEMENTS OF CHANGES IN NET ASSETS SIX MONTHS ENDED YEAR 4/30/2022 ENDED (UNAUDITED) 10/31/2021 --------------- -------------- OPERATIONS: Net investment income (loss).............................................. $ 32,035,625 $ 50,844,582 Net realized gain (loss).................................................. 6,056,021 31,189,777 Net change in unrealized appreciation (depreciation)...................... (181,385,396) (86,269,103) --------------- -------------- Net increase (decrease) in net assets resulting from operations........... (143,293,750) (4,234,744) --------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................................... (55,858,126) (48,092,827) Return of capital......................................................... -- (90,717,550) --------------- -------------- Total distributions to shareholders....................................... (55,858,126) (138,810,377) --------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................................. -- 1,099,737,143 Cost of shares redeemed................................................... (1,056,782,579) (565,466,073) --------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................................... (1,056,782,579) 534,271,070 --------------- -------------- Total increase (decrease) in net assets................................... (1,255,934,455) 391,225,949 NET ASSETS: Beginning of period....................................................... 6,780,967,712 6,389,741,763 --------------- -------------- End of period............................................................. $ 5,525,033,257 $6,780,967,712 =============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................................... 134,550,002 124,200,002 Shares sold............................................................... -- 21,450,000 Shares redeemed........................................................... (21,200,000) (11,100,000) --------------- -------------- Shares outstanding, end of period......................................... 113,350,002 134,550,002 =============== ============== Page 44 See Notes to Financial Statements FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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..... $ 50.40 $ 51.45 $ 51.87 $ 50.78 $ 51.76 $ 52.54 ---------- ---------- ---------- ---------- ---------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)............. 0.27 0.39 0.87 1.24 1.17 1.13 Net realized and unrealized gain (loss).. (1.46) (0.40) (0.10) 1.21 (0.74) (0.50) ---------- ---------- ---------- ---------- ---------- -------- Total from investment operations......... (1.19) (0.01) 0.77 2.45 0.43 0.63 ---------- ---------- ---------- ---------- ---------- -------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.................... (0.47) (0.36) (0.99) (1.23) (1.13) (1.14) Net realized gain........................ -- -- -- (0.05) (0.28) (0.02) Return of capital........................ -- (0.68) (0.20) (0.08) -- (0.25) ---------- ---------- ---------- ---------- ---------- -------- Total distributions...................... (0.47) (1.04) (1.19) (1.36) (1.41) (1.41) ---------- ---------- ---------- ---------- ---------- -------- Net asset value, end of period........... $ 48.74 $ 50.40 $ 51.45 $ 51.87 $ 50.78 $ 51.76 ========== ========== ========== ========== ========== ======== TOTAL RETURN (a)......................... (2.36)% (0.02)% 1.50% 4.88% 0.84% 1.22% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..... $5,525,033 $6,780,968 $6,389,742 $3,765,469 $1,729,078 $846,322 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (b)............................ 0.65% (c) 0.65% 0.65% 0.65% 0.65% 0.65% Ratio of net investment income (loss) to average net assets.................... 1.07% (c) 0.75% 1.57% 2.41% 2.32% 2.20% Portfolio turnover rate (d) (e).......... 394% 495% 434% 373% 331% 190% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. (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. (e) The portfolio turnover rate not including mortgage dollar rolls was 301% for the six months ended April 30, 2022, and 368%, 245%, 246%, 117% and 97% for the years ended October 31, 2021, 2020, 2019, 2018 and 2017, respectively. See Notes to Financial Statements Page 45 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 Low Duration Opportunities ETF (the "Fund"), a diversified series of the Trust, which trades under the ticker "LMBS" 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 primary investment objective is to generate current income. The Fund's secondary investment objective is to provide capital appreciation. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 60% of its net assets (including investment borrowings) in mortgage-related debt securities and other mortgage-related instruments (collectively, "Mortgage-Related Investments"). The Fund normally expects to invest in Mortgage-Related Investments tied to residential and commercial mortgages. Mortgage-Related Investments include residential mortgage-backed securities, commercial mortgage-backed securities, stripped mortgage-backed securities, collateralized mortgage obligations and real estate mortgage investment conduits. The Fund may also invest in investment companies, including ETFs, that invest primarily in Mortgage-Related Investments. The Fund will limit its investments in Mortgage-Related Investments that are not issued or guaranteed by Government Entities(1) to 20% of its net assets (including investment borrowings). The Fund may invest, without limitation, in mortgage dollar rolls. The Fund intends to enter into mortgage dollar rolls only with high quality securities dealers and banks, as determined by the Fund's investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"). The Fund may also invest in to-be-announced transactions ("TBA Transactions"). Further, the Fund may enter into short sales as part of its overall portfolio management strategies or to offset a potential decline in the value of a security; however, the Fund does not expect, under normal market conditions, to engage in short sales with respect to more than 30% of the value of its net assets (including investment borrowings). Although the Fund intends to invest primarily in investment grade securities, the Fund may invest up to 20% of its net assets (including investment borrowings) in securities of any credit quality, including securities that are below investment grade, which are also known as high yield securities, or commonly referred to as "junk" bonds, or unrated securities that have not been judged by the Advisor to be of comparable quality to rated investment grade securities. In the case of a split rating between one or more of the nationally recognized statistical rating organizations, the Fund will consider the highest rating. The Fund targets an estimated effective duration of three years or less. 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 Advisor's Pricing Committee, in ----------------------------- (1) "Government Entities" means the U.S. government, its agencies and instrumentalities, and U.S. government-sponsored entities. Page 46 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund's investments are valued as follows: U.S. government securities, mortgage-backed securities, asset-backed securities and other debt securities are fair valued on the basis of valuations provided by dealers who make markets in such securities or by a third-party pricing service approved by the Trust's Board of Trustees, which may use the following valuation inputs when available: 1) benchmark yields; 2) reported trades; 3) broker/dealer quotes; 4) issuer spreads; 5) benchmark securities; 6) bids and offers; and 7) reference data including market research publications. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Exchange-traded futures contracts are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded futures contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Exchange-traded options contracts are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded options contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Fixed income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the Advisor's Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific conditions existing at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following: 1) the credit conditions in the relevant market and changes thereto; 2) the liquidity conditions in the relevant market and changes thereto; 3) the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); 4) issuer-specific conditions (such as significant credit deterioration); and 5) any other market-based data the Advisor's Pricing Committee considers relevant. In this regard, the Advisor's Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but Page 47 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) before the calculation of the Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the fundamental business data relating to the issuer; 2) an evaluation of the forces which influence the market in which these securities are purchased and sold; 3) the type, size and cost of a security; 4) the financial statements of the issuer; 5) the credit quality and cash flow of the issuer, based on the Advisor's or external analysis; 6) the information as to any transactions in or offers for the security; 7) the price and extent of public trading in similar securities of the issuer/borrower, or comparable companies; 8) the coupon payments; 9) the quality, value and salability of collateral, if any, securing the security; 10) the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer's management (for corporate debt only); 11) the prospects for the issuer's industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and 12) other relevant factors. 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. Page 48 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) 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. The Fund invests in interest-only securities. For these securities, if there is a change in the estimated cash flows, based on an evaluation of current information, then the estimated yield is adjusted. Additionally, if the evaluation of current information indicates a permanent impairment of the security, the cost basis of the security is written down and a loss is recognized. Debt obligations may be placed on non-accrual status and the related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Securities purchased or sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments until payment is made. At April 30, 2022, the Fund held $38,171,246 when-issued or delayed-delivery securities. At April 30, 2022, the Fund held $1,034,904,160 of forward purchase commitments. C. SHORT SALES Short sales are utilized to manage interest rate and spread risk, and are transactions in which securities or other instruments (such as options, forwards, futures or other derivative contracts) are sold that are not currently owned in the Fund's portfolio. When the Fund engages in a short sale, the Fund must borrow the security sold short and deliver the security to the counterparty. Short selling allows the Fund to profit from a decline in a market price to the extent such decline exceeds the transaction costs and the costs of borrowing the securities. The Fund is charged a fee or premium to borrow the securities sold short and is obligated to repay the lenders of the securities. Any dividends or interest that accrues on the securities during the period of the loan are due to the lenders. A gain, limited to the price at which the security was sold short, or a loss, unlimited in size, will be recognized upon the termination of the short sale; which is effected by the Fund purchasing the security sold short and delivering the security to the lender. Any such gain or loss may be offset, completely or in part, by the change in the value of the long portion of the Fund's portfolio. The Fund is subject to the risk it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. Also, there is the risk that the counterparty to a short sale may fail to honor its contractual terms, causing a loss to the Fund. D. FUTURES CONTRACTS The Fund may purchase or sell (i.e., is long or short) exchange-listed futures contracts to hedge against or gain exposure to changes in interest rates (interest rate risk). Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Open futures contracts can also be closed out prior to settlement by entering into an offsetting transaction in a matching futures contract. If the Fund is not able to enter into an offsetting transaction, the Fund will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included in "Net realized gain (loss) on futures contracts" on the Statement of Operations. Upon entering into a futures contract, the Fund must deposit funds, called margin, with its custodian in the name of the clearing broker equal to a specified percentage of the current value of the contract. Open futures contracts are marked-to-market daily with the change in value recognized as a component of "Net change in unrealized appreciation (depreciation) on futures contracts" on the Statement of Operations. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are included in "Variation margin" receivable or payable Page 49 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) on the Statement of Assets and Liabilities. If market conditions change unexpectedly, the Fund may not achieve the anticipated benefits of the futures contract and may realize a loss. The use of futures contracts involves the risk of imperfect correlation in movements in the price of the futures contracts, interest rates and the underlying instruments. E. OPTIONS CONTRACTS The Fund may invest in exchange-listed options on U.S. Treasury securities, exchange-listed options on U.S. Treasury futures contracts and exchange-listed U.S. Treasury futures contracts. The Fund may also invest up to 20% of its net assets in over-the-counter derivatives. The Fund uses derivative instruments primarily to hedge interest rate risk and actively manage interest rate exposure. The primary risk exposure is interest rate risk. The Fund may purchase (buy) or write (sell) put and call options on futures contracts and enter into closing transactions with respect to such options to terminate an existing position. A futures option gives the holder the right, in return for the premium paid, to assume a long position (call) or short position (put) in a futures contract at a specified exercise price prior to the expiration of the option. Upon exercise of a call option, the holder acquires a long position in the futures contract and the writer is assigned the opposite short position. In the case of a put option, the opposite is true. Prior to exercise or expiration, a futures option contract may be closed out by an offsetting purchase or sale of a futures option of the same series. When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is included in "Options contracts written, at value" on the Statement of Assets and Liabilities. When the Fund purchases (buys) an option, the premium paid represents the cost of the option, which is included in "Premiums paid on options contracts purchased" on the Statement of Assets and Liabilities. Options are marked-to-market daily and their value is affected by changes in the value of the underlying security, changes in interest rates, changes in the actual or perceived volatility of the securities markets and the underlying securities, and the remaining time to the option's expiration. The value of options may also be adversely affected if the market for the options becomes less liquid or the trading volume diminishes. The Fund uses options on futures contracts in connection with hedging strategies. Generally, these strategies are applied under the same market and market sector conditions in which the Fund uses put and call options on securities. The purchase of put options on futures contracts is analogous to the purchase of puts on securities so as to hedge the Fund's securities holdings against the risk of declining market prices. The writing of a call option or the purchasing of a put option on a futures contract constitutes a partial hedge against declining prices of securities which are deliverable upon exercise of the futures contract. If the price at expiration of a written call option is below the exercise price, the Fund will retain the full amount of the option premium which provides a partial hedge against any decline that may have occurred in the Fund's holdings of securities. If the price when the option is exercised is above the exercise price, however, the Fund will incur a loss, which may be offset, in whole or in part, by the increase in the value of the securities held by the Fund that were being hedged. Writing a put option or purchasing a call option on a futures contract serves as a partial hedge against an increase in the value of the securities the Fund intends to acquire. Realized gains and losses on written options are included in "Net realized gain (loss) on written options contracts" on the Statement of Operations. Realized gains and losses on purchased options are included in "Net realized gain (loss) on purchased options contracts" on the Statement of Operations. The Fund is required to deposit and maintain margin with respect to put and call options on futures contracts written by it. Such margin deposits will vary depending on the nature of the underlying futures contract (and the related initial margin requirements), the current market value of the option and other futures positions held by the Fund. The Fund will pledge in a segregated account at the Fund's custodian, liquid assets, such as cash, U.S. government securities or other high-grade liquid debt obligations equal in value to the amount due on the underlying obligation. Such segregated assets will be marked-to-market daily, and additional assets will be pledged in the segregated account whenever the total value of the pledged assets falls below the amount due on the underlying obligation. The risks associated with the use of options on future contracts include the risk that the Fund may close out its position as a writer of an option only if a liquid secondary market exists for such options, which cannot be assured. The Fund's successful use of options on futures contracts depends on the Advisor's ability to correctly predict the movement in prices on futures contracts and the underlying instruments, which may prove to be incorrect. In addition, there may be imperfect correlation between the instruments being hedged and the futures contract subject to option. F. INTEREST-ONLY SECURITIES An interest-only security ("IO Security") is the interest-only portion of a mortgage-backed security that receives some or all of the interest portion of the underlying mortgage-backed security and little or no principal. A reference principal value called a notional value is used to calculate the amount of interest due to the IO Security. IO Securities are sold at a deep discount to their notional principal amount. Generally speaking, when interest rates are falling and prepayment rates are increasing, the value of an IO Security will fall. Conversely, when interest rates are rising and prepayment rates are decreasing, generally the value of an IO Security will rise. These securities, if any, are identified on the Portfolio of Investments. Page 50 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) G. PRINCIPAL-ONLY SECURITIES A principal-only security ("PO Security") is the principal-only portion of a mortgage-backed security that does not receive any interest, is priced at a deep discount to its redemption value and ultimately receives the redemption value. Generally speaking, when interest rates are falling and prepayment rates are increasing, the value of a PO Security will rise. Conversely, when interest rates are rising and prepayment rates are decreasing, generally the value of a PO Security will fall. These securities, if any, are identified on the Portfolio of Investments. H. STRIPPED MORTGAGE-BACKED SECURITIES Stripped mortgage-backed securities are created by segregating the cash flows from underlying mortgage loans or mortgage securities to create two or more new securities, each with a specified percentage of the underlying security's principal or interest payments. Mortgage-backed securities may be partially stripped so that each investor class receives some interest and some principal. When securities are completely stripped, however, all of the interest is distributed to holders of one type of security known as an IO Security and all of the principal is distributed to holders of another type of security known as a PO Security. These securities, if any, are identified on the Portfolio of Investments. I. MORTGAGE DOLLAR ROLLS AND TBA TRANSACTIONS The Fund may invest, without limitation, in mortgage dollar rolls. The Fund intends to enter into mortgage dollar rolls only with high quality securities dealers and banks, as determined by the Fund's investment advisor. In a mortgage dollar roll, the Fund will sell (or buy) mortgage-backed securities for delivery on a specified date and simultaneously contract to repurchase (or sell) substantially similar (same type, coupon and maturity) securities on a future date. Mortgage dollar rolls are recorded as separate purchases and sales in the Fund. The Fund may also invest in TBA Transactions. A TBA Transaction is a method of trading mortgage-backed securities. TBA Transactions generally are conducted in accordance with widely-accepted guidelines which establish commonly observed terms and conditions for execution, settlement and delivery. In a TBA Transaction, the buyer and the seller agree on general trade parameters such as agency, settlement date, par amount and price. J. AFFILIATED TRANSACTIONS The Fund invests in securities of affiliated funds. Dividend income and realized gains and losses, and change in appreciation (depreciation) from affiliated funds are presented on the Statement of Operations. The Fund's investment performance and risks are directly related to the investment performance and risks of the affiliated funds. Amounts related to these investments at April 30, 2022 and for the six months then ended are as follows: CHANGES IN UNREALIZED REALIZED SHARES AT VALUE AT APPRECIATION GAIN VALUE AT DIVIDEND SECURITY NAME 4/30/2022 10/31/2021 PURCHASES SALES (DEPRECIATION) (LOSS) 4/30/2022 INCOME ------------------------------------------------------------------------------------------------------------------------------------ First Trust Long Duration Opportunities ETF 29,359 $ 813,538 $ -- $ -- $ (97,178) $ -- $ 716,360 $ 5,983 K. DIVIDENDS AND DISTRIBUTION 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. Page 51 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) The tax character of distributions paid during the fiscal year ended October 31, 2021 was as follows: Distributions paid from: Ordinary income................................. $ 48,718,452 Capital gains................................... -- Return of capital............................... 90,717,550 As of October 31, 2021, the components of distributable earnings on a tax basis for the Fund were as follows: Undistributed ordinary income................... $ (10,258,184) Accumulated capital and other gain (loss)....... (72,543,076) Net unrealized appreciation (depreciation)...... 26,903,240 L. 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. 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 $72,543,076. During the taxable year ended October 31, 2021, the Fund utilized non-expiring capital loss carryforwards in the amount of $36,399,411. 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) ---------------- ---------------- ---------------- ---------------- $ 5,205,937,101 $ 105,974,609 $ (262,193,009) $ (156,218,400) M. 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. Page 52 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of the Fund's assets and is responsible for the Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, pro rata share of fees and expenses attributable to investments in other investment companies ("acquired fund fees and expenses"), brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Fund has agreed to pay First Trust an annual unitary management fee equal to 0.65% of its average daily net assets. In addition, the Fund incurs acquired fund fees and expenses. The total of the unitary management fee and acquired fund fees and expenses represents the Fund's total annual operating expenses. 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. 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 cost of purchases of U.S. Government securities and non-U.S. Government securities, excluding investments sold short and short-term investments, for the six months ended April 30, 2022, were $14,551,541,304 and $542,206,291, respectively. The proceeds from sales and paydowns of U.S. Government securities and non-U.S. Government securities, excluding investments sold short and short-term investments, for the six months ended April 30, 2022, were $14,850,049,237 and $304,997,134, respectively. The cost of purchases to cover investments sold short and the proceeds of investments sold short were $10,623,256,992 and $11,315,839,191, respectively. For the six months ended April 30, 2022, the Fund had no in-kind transactions. 5. DERIVATIVE TRANSACTIONS The following table presents the types of derivatives held by the Fund at April 30, 2022, the primary underlying risk exposure and the location of these instruments as presented on the Statement of Assets and Liabilities. ASSET DERIVATIVES LIABILITY DERIVATIVES ----------------------------------------- --------------------------------------- DERIVATIVE RISK STATEMENT OF ASSETS AND STATEMENT OF ASSETS AND INSTRUMENTS EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ----------- --------- ---------------------------- ----------- -------------------------- ----------- Futures Interest Unrealized appreciation on Unrealized depreciation on rate risk futures contracts* $62,487,542 futures contracts* $ 16,308 Options Interest Options contracts purchased, Options contracts written, rate risk at value 893,750 at value 685,547 * Includes cumulative appreciation/depreciation on futures contracts as reported in the Portfolio of Investments. Only the current day's variation margin is presented on the Statement of Assets and Liabilities. Page 53 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended April 30, 2022, on derivative instruments, as well as the primary underlying risk exposure associated with the instruments. STATEMENT OF OPERATIONS LOCATION INTEREST RATE RISK ---------------------------------------------------------------------------------- Net realized gain (loss) on: Futures contracts $ 80,199,556 Purchased options contracts (1,165,816) Written options contracts 7,195,714 Net change in unrealized appreciation (depreciation) on: Futures contracts 48,023,510 Purchased options contracts 587,108 Written options contracts 792,889 For the six months ended April 30, 2022, the notional value of futures contracts opened and closed were $10,636,680,448 and $10,631,212,892, respectively. During the six months ended April 30, 2022, the premiums for purchased options contracts opened were $1,500,447 and the premiums for purchased options contracts closed, exercised and expired were $1,193,805. During the six months ended April 30, 2022, the premiums for written options contracts opened were $10,440,444 and the premiums for written options contracts closed, exercised and expired were $14,050,516. The Fund does not have the right to offset financial assets and financial liabilities related to futures and options contracts on the Statement of Assets and Liabilities. 6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES 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 or one of 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. Page 54 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) 7. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. 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. 8. 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. 9. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 55 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 56 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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 57 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) 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. VALUATION RISK. The valuation of municipal bonds or securitized assets may carry more risk than that of common stock. Uncertainties in the conditions of the financial markets, unreliable reference data, lack of transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing. The Fund may hold investments in sizes smaller than institutionally-sized round lot positions (sometimes referred to as odd lots). However, third-party pricing services generally provide evaluations on the basis of institutionally-sized round lots. If the Fund sells certain of its investments in an odd lot transaction, the sale price may be less than the value at which such securities have been held by the Fund. Odd lots often trade at lower prices than institutional round lots. There is no assurance that the Fund will be able to sell a portfolio security at the price established by the pricing service, which could result in a loss to the Fund. 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 Page 58 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION OPPORTUNITIES ETF (LMBS) APRIL 30, 2022 (UNAUDITED) 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, 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 any 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 59 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]