UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23147
First Trust Exchange-Traded Fund VIII
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: August 31
Date of reporting period: February 28, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) The Report to Shareholders is attached herewith.
FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- First Trust CEF Income Opportunity ETF (FCEF) First Trust Municipal CEF Income Opportunity ETF (MCEF) ---------------------------- Semi-Annual Report For the Six Months Ended February 28, 2021 ---------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview First Trust CEF Income Opportunity ETF (FCEF)............................. 2 First Trust Municipal CEF Income Opportunity ETF (MCEF)................... 4 Notes to Fund Performance Overview........................................... 6 Portfolio Management......................................................... 7 Understanding Your Fund Expenses............................................. 8 Portfolio of Investments First Trust CEF Income Opportunity ETF (FCEF)............................. 9 First Trust Municipal CEF Income Opportunity ETF (MCEF)................... 11 Statements of Assets and Liabilities......................................... 13 Statements of Operations..................................................... 14 Statements of Changes in Net Assets.......................................... 15 Financial Highlights......................................................... 16 Notes to Financial Statements................................................ 17 Additional Information....................................................... 23 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 any series of First Trust Exchange-Traded Fund VIII (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") 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 any Fund described in this report will achieve its investment objective(s). Each 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 a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds. 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 each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO FEBRUARY 28, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the First Trust CEF Income Opportunity ETF ("FCEF") and the First Trust Municipal CEF Income Opportunity ETF ("MCEF" and together with FCEF, the "Funds"), each a series of the First Trust Exchange-Traded Fund VIII, which contains detailed information about the Funds for the six months ended February 28, 2021. For the better part of the past year, we Americans have been operating under the premise that the U.S. government's decision to inject trillions of dollars of capital into the economy was likely the best approach to keeping it propped up until one or more coronavirus ("COVID-19") vaccines could garner approval from the Food and Drug Administration ("FDA"). In other words, we have literally been buying time until a remedy for this virus could be discovered, approved, manufactured, and brought to market. While the jury may still be out with respect to whether or not such a massive amount of money was truly necessary, I am pleased to report that we now have three FDA-approved vaccines, and we got them in record time. Nobody thought it was possible to accomplish this task within the scope of 12 months. Even the most experienced scientists, including Dr. Anthony Fauci, were hoping for one by the 18-month mark at best. When you combine the number of people who have already contracted COVID-19 and developed the antibodies to it along with the people who are projected to receive the vaccine in the weeks ahead it is conceivable that the U.S. population could achieve a type of herd immunity - where at least 70% of the population develops antibodies - by the end of April 2021, according to Brian Wesbury, Chief Economist at First Trust. Keep in mind that Wesbury's April target is probably more optimistic than most, but I am willing to wager that he has done considerably more in-depth research on the pandemic than most. Achieving herd immunity sooner than expected is a potential boon for investors, in my opinion. Think about how much more optimistic consumers are likely to be once the entire U.S. economy is deemed open for business. Consider how much pent up demand there could be for activities such as leisure travel, attending theme parks, ballparks and movie theaters, as well as dining out and in-store shopping. Best of all, think about how achieving herd immunity could expedite putting at least some of the 10 million or so Americans who lost their jobs due to the pandemic back to work. Corporate executives seem ready to go. The Conference Board reported that its first quarter 2021 survey, which tracks CEO confidence levels, hit its highest reading since the first quarter of 2004, when the measure stood at 74, according to its own release. The measure currently stands at 73, up from 64 in the third quarter of 2020. A reading above 50 points reflects more positive than negative responses. Eighty-two percent of those CEOs polled expect economic conditions to improve over the next six months. Looking out 12 months, 47% of CEOs expect to grow their workforce. Investors, like top executives, should keep at least one eye on the future. What might the future hold for investors? The stimulus designed to mitigate the fallout from the pandemic comes at a cost. No free lunch! The added Treasury debt used to fund the stimulus will have to be paid back at some point - just not anytime soon. Expect economic growth to accelerate. The outlook for U.S. economic growth is robust, according to the Federal Reserve (the "Fed"). On March 17, 2021, the Fed raised its forecast for real gross domestic product this year from 4.2% to 6.5%, largely due to the passage of the $1.9 trillion American Rescue Plan Act of 2021, according to Wesbury. The outlook for corporate earnings is optimistic. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 24.35% and 15.20%, respectively, as of March 19, 2021. While the Fed continues to stick to its mandate of keeping short-term lending rates at a quarter-point through at least 2022, there is less certainty when it comes to the direction of inflation and intermediate to long-term bond yields. The yield on the 10-Year Treasury Note has already risen 70 basis points this year to 1.62% (thru March 23), according to Bloomberg. The prospects for robust economic activity moving forward suggests to us that investors should prepare for higher inflation and higher bond yields and adjust their investment portfolios accordingly, if necessary. We encourage investors to remain engaged and to stay invested. 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 Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 1 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF) The First Trust CEF Income Opportunity ETF (the "Fund") seeks to provide current income with a secondary emphasis on total return. Under normal market conditions, the Fund seeks to achieve its investment objectives by investing at least 80% of its net assets (including investment borrowings) in a portfolio of closed-end investment companies that are listed and traded in the United States on registered exchanges. The Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on The Nasdaq Stock Market LLC under the ticker symbol "FCEF." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (9/27/16) Inception (9/27/16) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 18.02% 17.54% 9.00% 46.34% Market Price 18.07% 17.48% 9.01% 46.39% INDEX PERFORMANCE Russell 3000(R) Index 13.45% 35.33% 16.35% 95.32% Blended Benchmark (1) 14.91% 16.25% 8.06% 40.87% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 6.) ----------------------------- (1) A blended benchmark (the "Blended Benchmark") comprised 60% of the First Trust Equity Closed-End Fund Total Return Index, a cap-weighted index (based on NAV) designed to provide a broad representation of the equity based closed-end fund universe, and 40% of the First Trust Taxable Fixed Income Closed-End Fund Total Return Index, a cap-weighted index (based on NAV) designed to provide a broad representation of the taxable fixed income closed-end fund universe, has been selected as a secondary benchmark to provide a more direct correlation to the Fund's underlying portfolio. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Index returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 60-40 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Index for each period shown above. Page 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF) (CONTINUED) ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- BlackRock Science & Technology Trust 5.38% Eaton Vance Tax-Advantaged Global Dividend Income Fund 4.32 Cohen & Steers REIT and Preferred and Income Fund, Inc. 4.17 PIMCO Dynamic Credit and Mortgage Income Fund 3.72 Eaton Vance Tax-Advantaged Dividend Income Fund 3.69 Ares Dynamic Credit Allocation Fund, Inc. 3.41 Tekla Healthcare Opportunities Fund 3.30 PGIM Global High Yield Fund, Inc. 3.30 Tekla Healthcare Investors 3.29 DoubleLine Income Solutions Fund 3.17 -------- Total 37.75% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM WORLD REGIONS INVESTMENTS ---------------------------------------------------------- North America 76.81% Europe 11.37 Asia 11.82 -------- Total 100.00% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM MARKET CAPITALIZATION INVESTMENTS ---------------------------------------------------------- Mega 28.61% Large 34.18 Mid 27.13 Small 7.09 Micro 2.99 -------- Total 100.00% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM CREDIT QUALITY (2) INVESTMENTS ---------------------------------------------------------- AAA 7.17% AA 0.53 A 1.33 BBB 18.06 BB 26.66 B 26.85 CCC-D 9.82 NR 9.58 -------- Total 100.00% ======== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 27, 2016 - FEBRUARY 28, 2021 First Trust CEF Income Russell 3000(R) Blended Opportunity ETF Index Benchmark <S> <C> <C> <C> 9/28/16 $10,000 $10,000 $10,000 2/28/17 10,698 11,058 10,693 8/31/17 11,348 11,637 11,267 2/28/18 11,572 12,853 11,410 8/31/18 12,267 13,993 12,041 2/28/19 12,044 13,502 11,833 8/31/19 12,657 14,176 12,452 2/29/20 12,451 14,434 12,117 8/31/20 12,399 17,215 12,258 2/28/21 14,633 19,531 14,085 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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. ----------------------------- (2) The ratings are by Standard & Poor's except where otherwise indicated. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. "NR" indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. Page 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF) The First Trust Municipal CEF Income Opportunity ETF (the "Fund") seeks to provide current income. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in a portfolio of closed-end investment companies that are listed and traded in the United States on registered exchanges which invest primarily in municipal debt securities, some or all of which pay interest that is exempt from regular federal income taxes. The Fund may also invest in exchange-traded funds. The Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on The Nasdaq Stock Market LLC under the ticker symbol "MCEF." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (9/27/16) Inception (9/27/16) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 6.00% 4.96% 3.49% 16.36% Market Price 6.05% 4.85% 3.47% 16.29% INDEX PERFORMANCE Bloomberg Barclays Municipal Bond Index 0.86% 1.06% 3.26% 15.22% First Trust Municipal Closed-End Fund Total Return Index (1) 6.19% 4.87% 4.15% 19.71% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 6.) ----------------------------- (1) The First Trust Municipal Closed-End Fund Total Return Index, a cap-weighted index (based on NAV) designed to provide a broad representation of the taxable fixed income closed-end fund universe, has been selected as a secondary benchmark to provide a more direct correlation to the Fund's underlying portfolio. The index does not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. Page 4 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF) (CONTINUED) ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Nuveen AMT-Free Quality Municipal Income Fund 5.08% Nuveen AMT-Free Municipal Credit Income Fund 5.07 Nuveen Quality Municipal Income Fund 4.66 BlackRock Muni Intermediate Duration Fund, Inc. 4.07 Invesco Quality Municipal Income Trust 3.77 BlackRock MuniYield Quality Fund III, Inc. 3.77 Nuveen Enhanced Municipal Value Fund 3.69 Nuveen Municipal Value Fund, Inc. 3.53 Nuveen Municipal Credit Income Fund 3.48 Western Asset Municipal Partners Fund, Inc. 3.42 -------- Total 40.54% ======== ---------------------------------------------------------- % OF TOTAL TOP STATE EXPOSURE INVESTMENTS ---------------------------------------------------------- Illinois 11.81% California 9.40 New York 8.61 Texas 8.00 New Jersey 7.37 -------- Total 45.19% ======== ---------------------------------------------------------- % OF TOTAL CREDIT QUALITY (2) INVESTMENTS ---------------------------------------------------------- AAA 7.84% AA 26.44 A 24.97 BBB 18.35 BB 6.34 B 2.05 CCC-D 0.95 NR 13.06 -------- Total 100.00% ======== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 27, 2016 - FEBRUARY 28, 2021 First Trust Municipal CEF Bloomberg Barclays First Trust Municipal Income Opportunity ETF Municipal Bond Index Closed-End Fund Index <S> <C> <C> <C> 9/28/16 $10,000 $10,000 $10,000 2/28/17 9,433 9,758 9,359 8/31/17 9,919 10,128 9,978 2/28/18 9,415 10,003 9,399 8/31/18 9,613 10,178 9,693 2/28/19 9,889 10,416 10,017 8/31/19 10,859 11,066 11,182 2/29/20 11,086 11,402 11,415 8/31/20 10,978 11,425 11,274 2/28/21 11,637 11,523 11,972 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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. ----------------------------- (2) The ratings are by Standard & Poor's except where otherwise indicated. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. "NR" indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. Page 5 <PAGE> -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the period since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. Each 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 each 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 each 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 each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 6 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 (UNAUDITED) INVESTMENT ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to the First Trust CEF Income Opportunity ETF ("FCEF") and the First Trust Municipal CEF Income Opportunity ETF ("MCEF" and together with FCEF, the "Funds"), each a series of the First Trust Exchange-Traded Fund VIII, and is responsible for the selection and ongoing monitoring of the securities in the Funds' portfolios and certain other services necessary for the management of the portfolios. PORTFOLIO MANAGEMENT Ken Fincher, Senior Vice President of First Trust, and Jordan Ramsland, Vice President of First Trust are the Funds' portfolio managers and have responsibility for the day-to-day management of each Fund's investment portfolio. Mr. Fincher has nearly 30 years of experience in financial markets. His current responsibilities include management of two First Trust exchange-traded funds and separately managed accounts that invest primarily in closed-end funds. He has also helped develop new product structures in the closed-end fund space. Mr. Fincher has been named Outstanding Individual Contributor to the Closed-End Fund Sector in 2007, 2006, 2005 and 2004 by financial analysts and his peers in the closed-end fund community and served on the Closed-End Fund committee of the Investment Company Institute. Mr. Fincher received a B.A. in financial administration from Michigan State University and an M.B.A. from Loyola University Graduate School of Business. Mr. Ramsland joined First Trust in 2013, and his current responsibilities include research and management of strategies that invest primarily in closed-end funds. He is responsible for updating and maintaining First Trust's proprietary closed-end fund models as part of the investment process for the First Trust closed-end funds, exchange-traded funds and separately managed accounts. Mr. Ramsland graduated from Palm Beach Atlantic University in 2011 with a B.S. in Finance. Page 7 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII UNDERSTANDING YOUR FUND EXPENSES FEBRUARY 28, 2021 (UNAUDITED) As a shareholder of First Trust CEF Income Opportunity ETF or First Trust Municipal CEF Income Opportunity ETF (each a "Fund" and collectively, the "Funds"), 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 Funds 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 February 28, 2021. 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 each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------ ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX MONTH SIX MONTH SEPTEMBER 1, 2020 FEBRUARY 28, 2021 PERIOD (a) PERIOD (a) (b) ------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF) Actual $1,000.00 $1,180.20 0.85% $4.59 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF) Actual $1,000.00 $1,060.00 0.75% $3.83 Hypothetical (5% return before expenses) $1,000.00 $1,021.08 0.75% $3.76 </TABLE> (a) Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which each 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 (September 1, 2020 through February 28, 2021), multiplied by 181/365 (to reflect the six-month period). Page 8 <PAGE> FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CLOSED-END FUNDS -- 98.9% CAPITAL MARKETS -- 98.9% 38,439 Advent Convertible and Income Fund $ 661,151 19,934 Apollo Tactical Income Fund, Inc. 290,040 74,310 Ares Dynamic Credit Allocation Fund, Inc. 1,096,816 22,081 Barings Global Short Duration High Yield Fund 343,801 21,973 BlackRock Corporate High Yield Fund, Inc. 251,151 22,762 BlackRock Health Sciences Trust II 619,809 20,713 BlackRock Income Trust, Inc. 125,728 24,785 BlackRock Multi-Sector Income Trust 435,472 31,254 BlackRock Science & Technology Trust 1,731,159 26,550 BlackRock Science & Technology Trust II 966,951 46,437 Blackstone Strategic Credit Fund 611,111 9,906 Central Securities Corp. 354,139 39,082 Cohen & Steers Infrastructure Fund, Inc. 996,200 57,604 Cohen & Steers REIT and Preferred and Income Fund, Inc. 1,340,445 58,349 DoubleLine Income Solutions Fund 1,019,357 10,481 Eaton Vance Enhanced Equity Income Fund 172,098 41,195 Eaton Vance Short Duration Diversified Income Fund 538,831 48,978 Eaton Vance Tax-Advantaged Dividend Income Fund 1,186,737 76,404 Eaton Vance Tax-Advantaged Global Dividend Income Fund 1,389,025 39,383 Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund 990,482 43,893 Gabelli Dividend & Income Trust (The) 995,932 17,197 General American Investors Co., Inc. 650,734 41,960 John Hancock Tax-Advantaged Dividend Income Fund 891,650 12,457 Lazard Global Total Return and Income Fund, Inc. 230,579 33,089 Macquarie Global Infrastructure Total Return Fund, Inc. 679,317 14,596 Morgan Stanley China A Share Fund, Inc. 323,885 148,945 Nuveen Credit Strategies Income Fund 957,716 80,356 Nuveen Preferred & Income Opportunities Fund 728,829 27,403 Nuveen Real Asset Income and Growth Fund 392,411 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 38,329 Nuveen Tax-Advantaged Dividend Growth Fund $ 547,338 71,935 PGIM Global High Yield Fund, Inc. 1,061,761 55,610 PIMCO Dynamic Credit and Mortgage Income Fund 1,198,396 16,164 PIMCO Dynamic Income Opportunities Fund 337,019 31,608 Principal Real Estate Income Fund 425,444 16,015 Royce Micro-Cap Trust, Inc. 187,696 38,507 Royce Value Trust, Inc. 686,580 17,032 Source Capital, Inc. 712,585 42,473 Tekla Healthcare Investors 1,060,126 51,137 Tekla Healthcare Opportunities Fund 1,063,138 18,959 Tekla Life Sciences Investors 396,054 21,539 Templeton Emerging Markets Fund 423,672 27,461 Tri-Continental Corp. 847,446 22,875 Virtus AllianzGI Artificial Intelligence & Technology Opportunities Fund 627,004 24,425 Virtus AllianzGI Convertible & Income 2024 Target Term Fund 245,227 11,164 Virtus AllianzGI Equity & Convertible Income Fund 314,825 46,099 Western Asset Emerging Markets Debt Fund, Inc. 602,975 62,363 Western Asset High Income Opportunity Fund, Inc. 306,826 13,380 Western Asset Inflation-Linked Opportunities & Income Fund 164,173 ------------- TOTAL CLOSED-END FUNDS -- 98.9% 32,179,841 (Cost $30,877,770) ------------- MONEY MARKET FUNDS -- 0.9% 276,318 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (a) 276,318 (Cost $276,318) ------------- TOTAL INVESTMENTS -- 99.8% 32,456,159 (Cost $31,154,088) (b) NET OTHER ASSETS AND LIABILITIES -- 0.2% 71,367 ------------- NET ASSETS -- 100.0% $ 32,527,526 ============= See Notes to Financial Statements Page 9 <PAGE> FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,883,964 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,581,893. The net unrealized appreciation was $1,302,071. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------ Closed-End Funds* $32,179,841 $ -- $ -- Money Market Funds 276,318 -- -- ------------------------------------------ Total Investments $32,456,159 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 10 See Notes to Financial Statements <PAGE> FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CLOSED-END FUNDS -- 94.8% CAPITAL MARKETS -- 94.8% 16,875 BlackRock Investment Quality Municipal Trust, Inc. $ 295,650 15,435 BlackRock Long-Term Municipal Advantage Trust 194,327 24,125 BlackRock Muni Intermediate Duration Fund, Inc. 357,532 11,610 BlackRock Municipal 2030 Target Term Trust 291,875 18,372 BlackRock Municipal Income Investment Trust 250,594 15,671 BlackRock Municipal Income Trust 235,065 19,069 BlackRock MuniEnhanced Fund, Inc. 225,968 5,656 BlackRock MuniHoldings Fund, Inc. 91,288 14,234 BlackRock MuniHoldings Investment Quality Fund 198,991 13,710 BlackRock MuniHoldings Quality Fund, Inc. 178,915 18,919 BlackRock MuniYield Quality Fund II, Inc. 260,136 23,697 BlackRock MuniYield Quality Fund III, Inc. 330,810 7,881 BlackRock MuniYield Quality Fund, Inc. 125,860 6,741 DTF Tax-Free Income, Inc. 96,059 9,874 Eaton Vance Municipal Bond Fund 129,843 11,941 Eaton Vance Municipal Income 2028 Term Trust 262,224 15,447 Eaton Vance Municipal Income Trust 204,055 4,226 Eaton Vance National Municipal Opportunities Trust 92,042 11,841 Invesco Municipal Trust 151,802 6,647 Invesco Pennsylvania Value Municipal Income Trust 83,952 26,197 Invesco Quality Municipal Income Trust 331,130 12,700 Invesco Trust for Investment Grade Municipals 168,021 6,014 MainStay MacKay DefinedTerm Municipal Opportunities Fund 131,586 7,130 Neuberger Berman Municipal Fund, Inc. 111,371 27,166 Nuveen AMT-Free Municipal Credit Income Fund 444,707 30,719 Nuveen AMT-Free Quality Municipal Income Fund 445,426 8,737 Nuveen Dynamic Municipal Opportunities Fund 136,297 20,631 Nuveen Enhanced Municipal Value Fund 323,494 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 6,344 Nuveen Intermediate Duration Municipal Term Fund $ 87,738 6,607 Nuveen Intermediate Duration Quality Municipal Term Fund 96,000 19,115 Nuveen Municipal Credit Income Fund 305,075 17,536 Nuveen Municipal Credit Opportunities Fund 243,049 19,911 Nuveen Municipal High Income Opportunity Fund 282,139 28,290 Nuveen Municipal Value Fund, Inc. 309,493 27,248 Nuveen Quality Municipal Income Fund 408,720 21,302 Western Asset Intermediate Muni Fund, Inc. 193,848 3,998 Western Asset Municipal Defined Opportunity Trust, Inc. 83,798 8,408 Western Asset Municipal High Income Fund, Inc. 63,985 19,423 Western Asset Municipal Partners Fund, Inc. 300,474 ------------- TOTAL CLOSED-END FUNDS -- 94.8% 8,523,339 (Cost $8,438,498) ------------- EXCHANGE-TRADED FUNDS -- 2.8% CAPITAL MARKETS -- 2.8% 4,092 VanEck Vectors High-Yield Muni ETF 251,904 (Cost $264,850) ------------- TOTAL INVESTMENTS -- 97.6% 8,775,243 (Cost $8,703,348) (a) NET OTHER ASSETS AND LIABILITIES -- 2.4% 218,767 ------------- NET ASSETS -- 100.0% $ 8,994,010 ============= (a) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $170,288 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $98,393. The net unrealized appreciation was $71,895. See Notes to Financial Statements Page 11 <PAGE> FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------ Closed-End Funds* $ 8,523,339 $ -- $ -- Exchange-Traded Funds* 251,904 -- -- ------------------------------------------ Total Investments $ 8,775,243 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 12 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF ASSETS AND LIABILITIES FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST MUNICIPAL CEF CEF INCOME INCOME OPPORTUNITY ETF OPPORTUNITY ETF (FCEF) (MCEF) --------------- --------------- <S> <C> <C> ASSETS: Investments, at value.................................................. $ 32,456,159 $ 8,775,243 Cash................................................................... -- 153,969 Receivables: Dividends........................................................... 70,623 25,998 Investment securities sold.......................................... 22,176 44,078 --------------- --------------- Total Assets........................................................ 32,548,958 8,999,288 --------------- --------------- LIABILITIES: Investment advisory fees payable....................................... 21,432 5,278 --------------- --------------- Total Liabilities................................................... 21,432 5,278 --------------- --------------- NET ASSETS............................................................. $ 32,527,526 $ 8,994,010 =============== =============== NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 30,589,072 $ 8,932,955 Par value.............................................................. 14,050 4,500 Accumulated distributable earnings (loss).............................. 1,924,404 56,555 --------------- --------------- NET ASSETS............................................................. $ 32,527,526 $ 8,994,010 =============== =============== NET ASSET VALUE, per share............................................. $ 23.15 $ 19.99 =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 1,405,000 450,002 =============== =============== Investments, at cost................................................... $ 31,154,088 $ 8,703,348 =============== =============== </TABLE> See Notes to Financial Statements Page 13 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST MUNICIPAL CEF CEF INCOME INCOME OPPORTUNITY ETF OPPORTUNITY ETF (FCEF) (MCEF) --------------- --------------- <S> <C> <C> INVESTMENT INCOME: Dividends.............................................................. $ 1,194,418 $ 199,177 --------------- --------------- Total investment income............................................. 1,194,418 199,177 --------------- --------------- EXPENSES: Investment advisory fees............................................... 141,176 32,966 --------------- --------------- Total expenses...................................................... 141,176 32,966 --------------- --------------- NET INVESTMENT INCOME (LOSS)........................................... 1,053,242 166,211 --------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... (60,190) 21,681 In-kind redemptions................................................. 767,782 -- Distribution of capital gains from investment companies............. 137,578 7,204 --------------- --------------- Net realized gain (loss)............................................... 845,170 28,885 Net change in unrealized appreciation (depreciation) on investments.... 3,837,946 316,808 --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 4,683,116 345,693 --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 5,736,358 $ 511,904 =============== =============== </TABLE> Page 14 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST FIRST TRUST CEF INCOME MUNICIPAL CEF INCOME OPPORTUNITY ETF OPPORTUNITY ETF (FCEF) (MCEF) -------------------------------- -------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR 2/28/2021 ENDED 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (UNAUDITED) 8/31/2020 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss).............................. $ 1,053,242 $ 1,441,253 $ 166,211 $ 321,427 Net realized gain (loss).................................. 845,170 1,374,432 28,885 11,822 Net change in unrealized appreciation (depreciation)...... 3,837,946 (2,466,746) 316,808 (559,211) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations........................................ 5,736,358 348,939 511,904 (225,962) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (852,838) (2,002,675) (164,251) (289,376) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 1,990,006 14,808,321 -- 3,994,750 Cost of shares redeemed................................... (7,647,496) (16,937,688) -- (5,618,446) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... (5,657,490) (2,129,367) -- (1,623,696) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................... (773,970) (3,783,103) 347,653 (2,139,034) NET ASSETS: Beginning of period....................................... 33,301,496 37,084,599 8,646,357 10,785,391 --------------- --------------- --------------- --------------- End of period............................................. $ 32,527,526 $ 33,301,496 $ 8,994,010 $ 8,646,357 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 1,655,000 1,705,000 450,002 550,002 Shares sold............................................... 100,000 750,000 -- 200,000 Shares redeemed........................................... (350,000) (800,000) -- (300,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period......................... 1,405,000 1,655,000 450,002 450,002 =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 15 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED AUGUST 31, PERIOD 2/28/2021 ------------------------------------------- ENDED (UNAUDITED) 2020 2019 2018 8/31/2017 (a) ------------- ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period.................. $ 20.12 $ 21.75 $ 22.26 $ 21.66 $ 20.05 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss).......................... 0.68 0.82 0.82 0.78 1.02 Net realized and unrealized gain (loss)............... 2.89 (1.29) (0.18) 0.93 1.61 --------- --------- --------- --------- --------- Total from investment operations...................... 3.57 (0.47) 0.64 1.71 2.63 --------- --------- --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income................................. (0.54) (1.10) (0.96) (1.01) (0.79) Net realized gain..................................... -- (0.06) (0.19) (0.10) (0.12) Return of capital..................................... -- -- -- -- (0.11) --------- --------- --------- --------- --------- Total distributions................................... (0.54) (1.16) (1.15) (1.11) (1.02) --------- --------- --------- --------- --------- Net asset value, end of period........................ $ 23.15 $ 20.12 $ 21.75 $ 22.26 $ 21.66 ========= ========= ========= ========= ========= TOTAL RETURN (b)...................................... 18.02% (2.04)% 3.18% 8.09% 13.49% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's).................. $ 32,528 $ 33,301 $ 37,085 $ 45,754 $ 31,517 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (c)..... 0.85% (d) 0.85% 0.85% 0.85% 0.85% (d) Ratio of net investment income (loss) to average net assets......................................... 6.34% (d) 4.01% 3.92% 3.14% 5.99% (d) Portfolio turnover rate (e)........................... 3% 6% 13% 15% 23% </TABLE> FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED AUGUST 31, PERIOD 2/28/2021 ------------------------------------------- ENDED (UNAUDITED) 2020 2019 2018 8/31/2017 (a) ------------- ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period.................. $ 19.21 $ 19.61 $ 17.94 $ 19.20 $ 20.05 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss).......................... 0.37 0.68 0.62 0.64 0.61 Net realized and unrealized gain (loss)............... 0.78 (0.48) 1.65 (1.24) (0.80) --------- --------- --------- --------- --------- Total from investment operations...................... 1.15 0.20 2.27 (0.60) (0.19) --------- --------- --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income................................. (0.37) (0.60) (0.60) (0.64) (0.61) Return of capital..................................... -- -- -- (0.02) (0.05) --------- --------- --------- --------- --------- Total distributions................................... (0.37) (0.60) (0.60) (0.66) (0.66) --------- --------- --------- --------- --------- Net asset value, end of period........................ $ 19.99 $ 19.21 $ 19.61 $ 17.94 $ 19.20 ========= ========= ========= ========= ========= TOTAL RETURN (b)...................................... 6.00% 1.10% 12.96% (3.09)% (0.81)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's).................. $ 8,994 $ 8,646 $ 10,785 $ 13,454 $ 13,441 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (c)..... 0.75% (d) 0.75% 0.75% 0.75% 0.75% (d) Ratio of net investment income (loss) to average net assets......................................... 3.78% (d) 3.49% 3.49% 3.54% 3.59% (d) Portfolio turnover rate (e)........................... 9% 7% 20% 11% 18% </TABLE> (a) Inception date is September 27, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 16 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on February 22, 2016, 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 thirty-seven funds that are offering shares. This report covers the two funds (each a "Fund" and collectively, the "Funds") listed below. The shares of each Fund are listed and traded on The Nasdaq Stock Market LLC ("Nasdaq"). First Trust CEF Income Opportunity ETF - (Nasdaq ticker "FCEF") First Trust Municipal CEF Income Opportunity ETF - (Nasdaq ticker "MCEF") Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." Each Fund is an actively managed exchange-traded fund and principally invests in a portfolio of closed-end investment companies that are listed and traded in the United States on registered exchanges ("Closed-End Funds"). FCEF's primary investment objective is to provide current income with a secondary emphasis on total return. MCEF's investment objective is to provide current income. Each Fund seeks to achieve its investment objective(s) by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings) in Closed-End Funds. MCEF invests in Closed-End Funds ("Municipal Closed-End Funds") which invest primarily in municipal debt securities, some or all of which pay interest that is exempt from regular federal income taxes ("Municipal Securities"). The Funds may also invest in exchange-traded funds. Closed-End Funds issue shares of common stock that are traded on a securities exchange. Because the shares of Closed-End Funds cannot be redeemed upon demand to the issuer like the shares of an open-end investment company, investors seek to buy and sell shares of Closed-End Funds in the secondary market. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow 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 Funds 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 Each 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. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Page 17 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. The Funds are 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 investments. 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 each Fund's investments as of February 28, 2021, is included with each 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. C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid monthly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds 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 18 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) The tax character of distributions paid by each Fund during the fiscal year ended August 31, 2020 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions Distributions paid from paid from paid from paid from Ordinary Capital Tax-Exempt Return of Income Gains Income Capital ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> First Trust CEF Income Opportunity ETF $ 1,906,929 $ 95,746 $ -- $ -- First Trust Municipal CEF Income Opportunity ETF 2,603 -- 286,773 -- </TABLE> As of August 31, 2020, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Net Undistributed Capital and Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ------------- ------------- ------------- <S> <C> <C> <C> First Trust CEF Income Opportunity ETF $ -- $ (396,660) $ (2,562,456) First Trust Municipal CEF Income Opportunity ETF 36,827 (83,376) (244,549) </TABLE> D. INCOME TAXES Each 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, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. In addition, the First Trust Municipal CEF Income Opportunity ETF intends to invest in such Municipal Closed-End Funds to allow it to qualify to pass through "exempt dividends" as defined in the Internal Revenue Code. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2017, 2018, 2019 and 2020 remain open to federal and state audit. As of February 28, 2021, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each 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. Each 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 August 31, 2020, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders. Non-Expiring Capital Loss Carryforwards ------------- First Trust CEF Income Opportunity ETF $ -- First Trust Municipal CEF Income Opportunity ETF 83,376 During the taxable year ended August 31, 2020, the following Fund utilized non-expiring capital loss carryforwards in the following amount: Capital Loss Carryforward Utilized ------------- First Trust Municipal CEF Income Opportunity ETF $ 2,917 Page 19 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 August 31, 2020, the following Fund listed below incurred and elected to defer net late year ordinary or capital losses as follows: <TABLE> <CAPTION> Qualified Late Year Losses ---------------------------------------- Ordinary Losses Capital Losses --------------- -------------- <S> <C> <C> First Trust CEF Income Opportunity ETF $ -- $ 396,660 </TABLE> E. 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 Funds, 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 each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of the Funds' assets and is responsible for the expenses of each Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees (if any), 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, which are paid by each respective Fund. FCEF and MCEF have each agreed to pay First Trust an annual unitary management fee equal to 0.85% and 0.75% of its average daily net assets, respectively. In addition, each Fund incurs acquired fund fees and expenses. The total of the unitary management fee and acquired fund fees and expenses represents each 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 each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each 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 is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the six months ended February 28, 2021, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales ------------ ------------ <S> <C> <C> First Trust CEF Income Opportunity ETF $ 1,809,874 $ 1,082,251 First Trust Municipal CEF Income Opportunity ETF 759,094 788,972 </TABLE> Page 20 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) For the six months ended February 28, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales ------------ ------------ <S> <C> <C> First Trust CEF Income Opportunity ETF $ 1,959,809 $ 7,472,556 First Trust Municipal CEF Income Opportunity ETF -- -- </TABLE> 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each 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 a 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, a 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 a 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 a 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 a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each 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 a 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. Each 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 a 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 a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, 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 Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before December 31, 2021. 7. INDEMNIFICATION The Trust, on behalf of the Funds, 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. Page 21 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were the following subsequent events: On March 22, 2021, FT Cboe Vest U.S. Equity Buffer ETF - March, FT Cboe Vest U.S. Equity Deep Buffer ETF - March, FT Cboe Vest Growth-100 Buffer ETF - March and FT Cboe Vest International Equity Buffer ETF - March, additional series of the Trust, began trading under the symbols "FMAR," "DMAR," "QMAR," and "YMAR," respectively, on Cboe BZX Exchange, Inc. On April 19, 2021, FT Cboe Vest U.S. Equity Buffer ETF - April and FT Cboe Vest U.S. Equity Deep Buffer ETF - April, additional series of the Trust, began trading under the symbols "FAPR" and "DAPR," respectively, on Cboe BZX Exchange, Inc. Page 22 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (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 each 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 each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each 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. Each 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 each Fund is available to investors within 60 days after the period to which it relates. Each 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 large 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 not concentrated. 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. 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 Page 23 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) (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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in 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. 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. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision Page 24 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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. Although the funds and the Advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 25 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII 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 111 W. Monroe Street Chicago, IL 60603 <PAGE> [BLANK BACK COVER] <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- First Trust TCW Opportunistic Fixed Income ETF (FIXD) First Trust TCW Unconstrained Plus Bond ETF (UCON) First Trust TCW Securitized Plus ETF (DEED) First Trust TCW Emerging Markets Debt ETF (EFIX) ---------------------------- Semi-Annual Report For the Period Ended February 28, 2021 ---------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview First Trust TCW Opportunistic Fixed Income ETF (FIXD)..................... 2 First Trust TCW Unconstrained Plus Bond ETF (UCON)........................ 4 First Trust TCW Securitized Plus ETF (DEED)............................... 6 First Trust TCW Emerging Markets Debt ETF (EFIX).......................... 8 Notes to Fund Performance Overview........................................... 10 Portfolio Management......................................................... 11 Understanding Your Fund Expenses............................................. 12 Portfolio of Investments First Trust TCW Opportunistic Fixed Income ETF (FIXD)..................... 13 First Trust TCW Unconstrained Plus Bond ETF (UCON)........................ 43 First Trust TCW Securitized Plus ETF (DEED)............................... 63 First Trust TCW Emerging Markets Debt ETF (EFIX).......................... 70 Statements of Assets and Liabilities......................................... 75 Statements of Operations..................................................... 76 Statements of Changes in Net Assets.......................................... 77 Financial Highlights......................................................... 79 Notes to Financial Statements................................................ 81 Additional Information....................................................... 92 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and/or TCW Investment Management Company LLC ("TCW" or the "Sub-Advisor") and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund VIII (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each 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 a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds. 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 each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. The statistical information that follows may help you understand each Fund's performance compared to that of a relevant market benchmark. It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO FEBRUARY 28, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for certain series of the First Trust Exchange-Traded Fund VIII (the "Funds"), which contains detailed information about the Funds for the six months ended February 28, 2021. Please note that the First Trust TCW Emerging Markets Debt ETF ("EFIX") was incepted on February 17, 2021, and so information in this letter and the report prior to that date will not apply to this Fund. For the better part of the past year, we Americans have been operating under the premise that the U.S. government's decision to inject trillions of dollars of capital into the economy was likely the best approach to keeping it propped up until one or more coronavirus ("COVID-19") vaccines could garner approval from the Food and Drug Administration ("FDA"). In other words, we have literally been buying time until a remedy for this virus could be discovered, approved, manufactured, and brought to market. While the jury may still be out with respect to whether or not such a massive amount of money was truly necessary, I am pleased to report that we now have three FDA-approved vaccines, and we got them in record time. Nobody thought it was possible to accomplish this task within the scope of 12 months. Even the most experienced scientists, including Dr. Anthony Fauci, were hoping for one by the 18-month mark at best. When you combine the number of people who have already contracted COVID-19 and developed the antibodies to it along with the people who are projected to receive the vaccine in the weeks ahead it is conceivable that the U.S. population could achieve a type of herd immunity - where at least 70% of the population develops antibodies - by the end of April 2021, according to Brian Wesbury, Chief Economist at First Trust. Keep in mind that Wesbury's April target is probably more optimistic than most, but I am willing to wager that he has done considerably more in-depth research on the pandemic than most. Achieving herd immunity sooner than expected is a potential boon for investors, in my opinion. Think about how much more optimistic consumers are likely to be once the entire U.S. economy is deemed open for business. Consider how much pent up demand there could be for activities such as leisure travel, attending theme parks, ballparks and movie theaters, as well as dining out and in-store shopping. Best of all, think about how achieving herd immunity could expedite putting at least some of the 10 million or so Americans who lost their jobs due to the pandemic back to work. Corporate executives seem ready to go. The Conference Board reported that its first quarter 2021 survey, which tracks CEO confidence levels, hit its highest reading since the first quarter of 2004, when the measure stood at 74, according to its own release. The measure currently stands at 73, up from 64 in the third quarter of 2020. A reading above 50 points reflects more positive than negative responses. Eighty-two percent of those CEOs polled expect economic conditions to improve over the next six months. Looking out 12 months, 47% of CEOs expect to grow their workforce. Investors, like top executives, should keep at least one eye on the future. What might the future hold for investors? The stimulus designed to mitigate the fallout from the pandemic comes at a cost. No free lunch! The added Treasury debt used to fund the stimulus will have to be paid back at some point - just not anytime soon. Expect economic growth to accelerate. The outlook for U.S. economic growth is robust, according to the Federal Reserve (the "Fed"). On March 17, 2021, the Fed raised its forecast for real gross domestic product this year from 4.2% to 6.5%, largely due to the passage of the $1.9 trillion American Rescue Plan Act of 2021, according to Wesbury. The outlook for corporate earnings is optimistic. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 24.35% and 15.20%, respectively, as of March 19, 2021. While the Fed continues to stick to its mandate of keeping short-term lending rates at a quarter-point through at least 2022, there is less certainty when it comes to the direction of inflation and intermediate to long-term bond yields. The yield on the 10-Year Treasury Note has already risen 70 basis points this year to 1.62% (thru March 23), according to Bloomberg. The prospects for robust economic activity moving forward suggests to us that investors should prepare for higher inflation and higher bond yields and adjust their investment portfolios accordingly, if necessary. We encourage investors to remain engaged and to stay invested. 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 Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 1 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) The investment objective of the First Trust TCW Opportunistic Fixed Income ETF (the "Fund") is to seek to maximize long-term total return. Under normal market conditions, the Fund pursues its objective by investing at least 80% of its net assets (including investment borrowings) in fixed income securities. The Fund's investments principally include securities issued or guaranteed by the U.S. government or its agencies, instrumentalities or U.S. government-sponsored entities; Treasury Inflation Protected Securities (TIPS); agency and non-agency residential mortgage-backed securities (RMBS); agency and non-agency commercial mortgage-backed securities (CMBS); agency and non-agency asset-backed securities (ABS); U.S. corporate bonds; fixed income securities issued by non-U.S. corporations and governments, including issuers with significant ties to emerging market countries; bank loans, including first lien senior secured floating rate bank loans; municipal bonds; collateralized loan obligations (CLOs); Rule 144A securities, and other debt securities bearing fixed, floating or variable interest rates of any maturity. The Fund may utilize listed and over-the-counter derivatives instruments. Shares of the Fund are listed on The Nasdaq Stock Market LLC under the ticker symbol "FIXD." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (2/14/17) Inception (2/14/17) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV -1.10% 2.99% 4.72% 20.48% Market Value -0.69% 3.41% 4.84% 21.01% INDEX PERFORMANCE Bloomberg Barclays U.S. Aggregate Bond Index -1.55% 1.38% 4.22% 18.18% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 10.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT FEBRUARY 14, 2017 - FEBRUARY 28, 2021 First Trust TCW Bloomberg Barclays Opportunistic Fixed U.S. Aggregate Income ETF Bond Index <S> <C> <C> 2/14/17 $10,000 $10,000 2/28/17 10,068 10,066 8/31/17 10,323 10,342 2/28/18 10,130 10,117 8/31/18 10,265 10,233 2/28/19 10,470 10,437 8/31/19 11,325 11,274 2/29/20 11,698 11,657 8/31/20 12,182 12,004 2/28/21 12,048 11,818 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) (CONTINUED) ---------------------------------------------------------- % OF TOTAL FUND ALLOCATION NET ASSETS ---------------------------------------------------------- U.S. Government Bonds and Notes 36.69% U.S. Government Agency Mortgage-Backed Securities 32.51 Corporate Bonds and Notes 16.34 Mortgage-Backed Securities 7.01 Asset-Backed Securities 6.37 Foreign Sovereign Bonds and Notes 4.37 Foreign Corporate Bonds and Notes 3.93 Municipal Bonds 1.79 Senior Floating-Rate Loan Interests 1.54 Capital Preferred Securities 0.01 U.S. Treasury Bills 11.33 Money Market Funds 12.61 Put Swaptions Purchased 0.02 Net Other Assets and Liabilities* (34.52) -------- Total 100.00% ======== * Includes variation margin on futures contracts and unrealized appreciation on forward foreign currency contracts. ---------------------------------------------------------- % OF FIXED-INCOME CREDIT QUALITY(1) INVESTMENTS ---------------------------------------------------------- Government/Agency 66.06% AAA 1.65 AA+ 0.37 AA 0.41 AA- 1.05 A+ 2.84 A 0.64 A- 1.55 BBB+ 4.05 BBB 3.86 BBB- 3.10 BB+ 1.13 BB 0.64 BB- 0.74 B+ 0.47 B 0.72 B- 0.46 CCC+ 0.12 CCC 0.51 CC 2.90 D 0.57 NR 6.16 -------- Total 100.00% ======== ---------------------------------------------------------- % OF FIXED-INCOME TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Federal National Mortgage Association, Pool TBA, 2.00%, 04/15/51 11.52% U.S. Treasury Note, 0.13%, 12/31/22 5.43 U.S. Treasury Note, 0.38%, 01/31/26 4.99 U.S. Treasury Note, 0.50%, 02/28/26 4.09 U.S. Treasury Note, 0.13%, 02/28/23 4.05 U.S. Treasury Bill, 0.00%, 08/19/21 4.01 U.S. Treasury Bond, 1.63%, 11/15/20 2.94 U.S. Treasury Note, 0.13%, 01/31/23 2.91 U.S. Treasury Note, 0.13%, 11/30/22 2.80 Federal National Mortgage Association, Pool TBA, 2.50%, 04/15/51 2.15 -------- Total 44.89% ======== ----------------------------- (1) The ratings are by Standard & Poor's. 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 on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. "NR" indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the fund, and not to the fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under "Government/Agency". Credit ratings are subject to change. Page 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) The investment objective of the First Trust TCW Unconstrained Plus Bond ETF (the "Fund") is to seek to maximize long-term total return. Under normal market conditions, the Fund pursues its objective by investing at least 80% of its net assets (including investment borrowings) in a portfolio of fixed income securities. The Fund's investment sub-advisor, TCW Investment Management Company LLC, manages the Fund's portfolio in an "unconstrained" manner, meaning that its investment universe is not limited to the securities of any particular index and it has discretion to invest in fixed income securities of any type or credit quality. The Fund's investments principally include securities issued or guaranteed by the U.S. government or its agencies, instrumentalities or U.S. government-sponsored entities; Treasury Inflation Protected Securities (TIPS); agency and non-agency residential mortgage-backed securities (RMBS); agency and non-agency commercial mortgage-backed securities (CMBS); agency and non-agency asset-backed securities (ABS); U.S. corporate bonds; fixed income securities issued by non-U.S. corporations and governments, including issuers with significant ties to emerging market countries; bank loans, including first lien senior secured floating rate bank loans; municipal bonds; collateralized loan obligations (CLOs); Rule 144A securities, and other debt securities bearing fixed, floating or variable interest rates of any maturity. The Fund may also invest in preferred stock and common stock and the Fund may utilize listed and over-the-counter derivatives. Under normal market conditions, the Fund's average portfolio duration will vary from between 0 to 10 years. Shares of the Fund are listed on The NYSE Arca, Inc. under the ticker symbol "UCON." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (6/4/18) Inception (6/4/18) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 2.97% 5.80% 5.56% 15.95% Market Value 2.96% 5.64% 5.63% 16.17% INDEX PERFORMANCE ICE BofA US Dollar 3-Month Deposit Offered Rate Average Index 0.12% 0.60% 1.75% 4.87% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 10.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JUNE 4, 2018 - FEBRUARY 28, 2021 First Trust TCW ICE BofA US Dollar Opportunistic Fixed 3-Month Deposit Offered Income ETF Rate Average Index <S> <C> <C> 6/4/18 $10,000 $10,000 8/31/18 10,106 10,057 2/28/19 10,323 10,185 8/31/19 10,728 10,318 2/29/20 10,960 10,424 8/31/20 11,261 10,475 2/28/21 11,595 10,487 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) (CONTINUED) ---------------------------------------------------------- % OF TOTAL FUND ALLOCATION NET ASSETS ---------------------------------------------------------- Corporate Bonds and Notes 25.40% U.S. Government Agency Mortgage-Backed Securities 22.65 Mortgage-Backed Securities 18.99 Asset-Backed Securities 11.27 Foreign Corporate Bonds and Notes 6.59 Foreign Sovereign Bonds and Notes 5.88 U.S. Government Bonds and Notes 0.94 Municipal Bonds 0.92 U.S. Treasury Bills 17.00 Money Market Funds 2.75 Net Other Assets and Liabilities* (12.39) -------- Total 100.00% ======== * Includes variation margin on futures contracts and unrealized appreciation on forward foreign currency contracts. ---------------------------------------------------------- % OF FIXED-INCOME CREDIT QUALITY(1) INVESTMENTS ---------------------------------------------------------- Government/Agency 37.02% AAA 1.44 AA+ 0.61 AA 0.17 AA- 1.32 A+ 3.28 A 0.64 A- 1.99 BBB+ 6.68 BBB 6.04 BBB- 6.31 BB+ 1.94 BB 2.12 BB- 1.66 B+ 0.80 B 1.53 B- 1.11 CCC+ 0.43 CCC 6.43 CC 4.49 D 1.55 NR 12.44 -------- Total 100.00% ======== ---------------------------------------------------------- % OF FIXED-INCOME TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Federal National Mortgage Association Pool TBA, 2.00%, 04/15/51 9.06% U.S. Treasury Bill, 0.00%, 08/12/21 4.17 U.S. Cash Management Bill, 0.00%, 07/20/21 3.90 Federal National Mortgage Association Pool TBA, 2.50%, 04/15/51 2.71 U.S. Treasury Bill, 0.00%, 04/29/21 2.31 U.S. Treasury Bill, 0.00%, 04/06/21 1.52 U.S. Treasury Bill, 0.00%, 05/06/21 1.23 U.S. Treasury Bill, 0.00%, 08/05/21 1.21 U.S. Treasury Bill, 0.00%, 08/19/21 1.18 U.S. Treasury Floating Rate Note, 3 Mo. U.S T-Bill MMY+ 0.06%, 0.10%, 10/31/22 0.85 -------- Total 28.14% ======== ----------------------------- (1) The ratings are by Standard & Poor's. 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 on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. "NR" indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the fund, and not to the fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under "Government/ Agency". Credit ratings are subject to change. Page 5 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) The First Trust TCW Securitized Plus ETF seeks to maximize long-term total return. Under normal market conditions, the Fund will invest at least 80% of its net assets (including investment borrowings) in securitized debt securities, including asset-backed securities, residential and commercial mortgage-backed securities and collateralized loan obligations (CLOs). The Fund's investment sub-advisor, TCW Investment Management Company LLC ("TCW" or the "Sub-Advisor") seeks to outperform the Bloomberg Barclays U.S. Mortgage-Backed Securities Index over time through the utilization of independent, bottom-up research to identify securities that are relatively undervalued. Under normal conditions, the Fund's average portfolio duration varies within two years (plus or minus) of the portfolio duration of the securities comprising the Bloomberg Barclays U.S. Mortgage-Backed Securities Index. As a separate measure, there is no limit on the weighted average maturity of the Fund's portfolio. While maturity refers to the expected life of a security, duration is a measure of the expected price volatility of a debt security as a result of changes in market rates of interest. Shares of the Fund are listed on The NYSE Arca, Inc. under the ticker symbol "DEED." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS 6 Months Ended Inception (4/29/20) 2/28/21 to 2/28/21 <S> <C> <C> FUND PERFORMANCE NAV 1.08% 4.92% Market Value 1.44% 5.17% INDEX PERFORMANCE Bloomberg Barclays U.S. Mortgage-Backed Securities Index -0.45% -0.10% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 10.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 29, 2020 - FEBRUARY 28, 2021 First Trust TCW Bloomberg Barclays U.S. Securitized Plus ETF Mortgage-Backed Securities Index <S> <C> <C> 4/29/20 $10,000 $10,000 8/31/20 10,380 10,036 2/28/21 10,492 9,990 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 6 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) (CONTINUED) ---------------------------------------------------------- % OF TOTAL FUND ALLOCATION NET ASSETS ---------------------------------------------------------- U.S. Government Agency Mortgage-Backed Securities 55.85% Asset-Backed Securities 20.72 U.S. Government Bonds and Notes 19.79 Mortgage-Backed Securities 19.01 U.S. Treasury Bills 18.93 Money Market Funds 9.18 Net Other Assets and Liabilities* (43.48) -------- Total 100.00% ======== * Includes variation margin on futures contracts. ---------------------------------------------------------- % OF FIXED-INCOME CREDIT QUALITY(1) INVESTMENTS ---------------------------------------------------------- Government/Agency 70.42% AAA 5.31 AA+ 0.11 AA 0.58 A+ 0.25 A 1.56 BBB- 0.32 BB+ 0.35 BB 0.30 B 0.73 B- 0.99 CCC 6.52 CC 2.58 D 0.62 NR 9.36 -------- Total 100.00% ======== ---------------------------------------------------------- % OF FIXED-INCOME TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Federal National Mortgage Association, Pool TBA, 2.00%, 04/15/51 10.30% Federal National Mortgage Association, Pool TBA, 2.50%, 04/15/51 5.96 Government National Mortgage Association, Pool TBA, 2.50%, 04/15/51 3.73 U.S. Treasury Bill, 0.00%, 04/29/21 3.47 Government National Mortgage Association, Pool TBA, 2.00%, 04/15/51 3.28 U.S. Treasury Note, 0.13%, 01/31/23 3.22 U.S. Treasury Bill, 0.00%, 08/19/21 3.13 Federal National Mortgage Association, Pool TBA, 2.00%, 04/15/36 2.98 Federal Home Loan Bank Discount Notes, 0.00%, 04/30/21 2.89 U.S. Treasury Bill, 0.00%, 07/29/21 2.89 -------- Total 41.85% ======== ----------------------------- (1) The ratings are by Standard & Poor's. 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 on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. "NR" indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the fund, and not to the fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under "Government/Agency". Credit ratings are subject to change. Page 7 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) The First Trust TCW Emerging Markets Debt ETF (the "Fund") seeks to provide high total return from current income and capital appreciation. Under normal market conditions, the Fund will invest at least 80% of its net assets (including investment borrowings) in debt securities issued or guaranteed by companies, financial institutions and government entities located in emerging market countries. An "emerging market country" is a country that, at the time the Fund invests in the related security or instrument, is classified as an emerging or developing economy by any supranational organization such as the World Bank or the United Nations, or related entities, or is considered an emerging market country for purposes of constructing a major emerging market securities index. The Fund's investments include, but are not limited to, debt securities issued by sovereign entities, quasi-sovereign entities and corporations. "Quasi-Sovereign" refers to an entity that is either 100% owned by a sovereign entity or whose debt is 100% guaranteed by a sovereign entity. The Fund may invest up to 25% of its net assets in securities issued by non-Quasi-Sovereign corporations in emerging market countries. The Fund will invest at least 90% of its assets in dollar-denominated securities. The Fund may invest up to 10% of its assets in securities denominated in Euros and/or Japanese yen. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (2/17/21) to 2/28/21 <S> <C> FUND PERFORMANCE NAV -1.75% Market Value -1.85% INDEX PERFORMANCE JP Morgan Emerging Market Bond Index Global Diversified -1.77% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 10.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT FEBRUARY 17, 2021 - FEBRUARY 28, 2021 First Trust TCW JP Morgan Emerging Emerging Markets Market Bond Index Debt ETF Global Diversified <S> <C> <C> 2/17/21 $10,000 $10,000 2/28/21 9,825 9,823 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 8 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL ASSET CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Foreign Sovereign Bonds and Notes 64.41% Foreign Corporate Bonds and Notes 33.40 Money Market Funds 2.19 -------- Total 100.00% ======== ---------------------------------------------------------- % OF FIXED-INCOME CREDIT QUALITY(1) INVESTMENTS ---------------------------------------------------------- AA 1.03% AA- 2.48 A+ 1.64 BBB+ 2.59 BBB 11.68 BBB- 5.11 BB 3.57 BB- 10.66 B+ 5.28 B 5.87 B- 6.13 CCC+ 3.50 NR 40.46 -------- Total 100.00% ======== ---------------------------------------------------------- % OF FIXED-INCOME TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Panama Government International Bond (USD), 2.25%, 09/29/32 3.09% Saudi Government International Bond (USD), 2.25%, 02/02/33 2.45 Oman Government International Bond (USD), 6.00%, 08/01/29 2.26 KazMunayGas National Co. JSC (USD), 3.50%, 04/14/33 2.20 Egypt Government International Bond (USD), 7.05%, 01/15/32 1.81 Perusahaan Penerbit SBSN Indonesia III (USD), 4.15%, 03/29/27 1.79 Indonesia Asahan Aluminium Persero PT (USD), 5.45%, 05/15/30 1.70 Dominican Republic International Bond (USD), 4.88%, 09/23/32 1.65 Chile Government International Bond (USD), 2.55%, 01/27/32 1.64 Turkey Government International Bond (USD), 4.88%, 10/09/26 1.62 -------- Total 20.21% ======== ----------------------------- (1) The ratings are by Standard & Poor's. 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 on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. "NR" indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the fund, and not to the fund or its shares. U.S. Treasury, U.S. Agency and U.S. Agency mortgage-backed securities appear under "Government/Agency". Credit ratings are subject to change. Page 9 <PAGE> -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived by the Advisor. Each 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 each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each 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 each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 10 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust") is the investment advisor to the First Trust TCW Opportunistic Fixed Income ETF ("FIXD"), the First Trust TCW Unconstrained Plus Bond ETF ("UCON"), the First Trust TCW Securitized Plus ETF ("DEED"), and the First Trust TCW Emerging Markets Debt ETF ("EFIX") (each a "Fund"). First Trust is responsible for the ongoing monitoring of each Fund's investment portfolio, managing each Fund's business affairs and providing certain administrative services necessary for the management of each Fund. SUB-ADVISOR TCW Investment Management Company LLC ("TCW" or the "Sub-Advisor") serves as investment sub-advisor. In this capacity, TCW is responsible for the selection and ongoing monitoring of the securities in each Fund's investment portfolio. TCW, with principal offices at 865 South Figueroa Street, Los Angeles, California 90017, was founded in 1987, and is a wholly-owned subsidiary of The TCW Group, Inc. ("TCW Group"). TCW, together with TCW Group and its other subsidiaries, which provide investment management and investment advisory services, had approximately $251 billion under management or committed to management, including $214 billion of U.S. fixed income investments, as of February 28, 2021. PORTFOLIO MANAGEMENT TEAM FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) Bryan T. Whalen, CFA, Generalist Portfolio Manager in TCW's Fixed Income Group Tad Rivelle, Chief Investment Officer of the Fixed Income Group of TCW Stephen M. Kane, CFA, Generalist Portfolio Manager in the Fixed Income Group of TCW Laird Landmann, Co-Director and Generalist Portfolio Manager in the Fixed Income Group of TCW FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) Bryan T. Whalen, CFA, Generalist Portfolio Manager in TCW's Fixed Income Group Mitchell Flack, Managing Director of Securitized Products at TCW Harrison Choi, Specialist Portfolio Manager of Securitized Products in the Fixed Income Group of TCW Elizabeth Crawford, Specialist Portfolio Manager of Securitized Products in the Fixed Income Group of TCW FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) Penelope D. Foley, Group Managing Director at TCW David I. Robbins, Group Managing Director at TCW Alex Stanojevic, Group Managing Director at TCW Page 11 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII UNDERSTANDING YOUR FUND EXPENSES FEBRUARY 28, 2021 (UNAUDITED) As a shareholder of First Trust TCW Opportunistic Fixed Income ETF, First Trust TCW Unconstrained Plus Bond ETF, First Trust TCW Securitized Plus ETF or First Trust TCW Emerging Markets Debt ETF (each a "Fund" and collectively, the "Funds"), 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 Funds 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 (or since inception) and held through the six-month (or shorter) period ended February 28, 2021. 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 (or shorter) period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each 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 Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH SEPTEMBER 1, 2020 FEBRUARY 28, 2021 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) Actual $1,000.00 $ 989.00 0.55% $2.71 Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.55% $2.76 FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) Actual $1,000.00 $1,029.70 0.75% $3.77 Hypothetical (5% return before expenses) $1,000.00 $1,021.08 0.75% $3.76 FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) Actual $1,000.00 $1,010.80 0.65% $3.24 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 ----------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE FEBRUARY 17, 2021 (c) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO FEBRUARY 17, 2021 (c) FEBRUARY 28, 2021 IN THE PERIOD (a) FEBRUARY 28, 2021 (d) ----------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) Actual $1,000.00 $ 982.50 0.85% $0.28 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 </TABLE> (a) These expense ratios reflect an expense waiver. See Note 3 in the Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2020 through February 28, 2021), multiplied by 181/365 (to reflect the six-month period). (c) Inception date. (d) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 17, 2021 through February 28, 2021), multiplied by 12/365. Hypothetical expenses are assumed for the most recent six-month period. Page 12 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT BONDS AND NOTES -- 36.7% <S> <C> <C> <C> <C> $ 29,139,000 U.S. Treasury Bond.................................................. 1.88% 02/15/41 $ 28,100,923 206,076,000 U.S. Treasury Bond.................................................. 1.63% 11/15/50 180,413,098 82,855,000 U.S. Treasury Bond.................................................. 1.88% 02/15/51 77,223,449 172,028,000 U.S. Treasury Note.................................................. 0.13% 11/30/22 171,994,401 333,637,000 U.S. Treasury Note.................................................. 0.13% 12/31/22 333,532,739 178,975,000 U.S. Treasury Note.................................................. 0.13% 01/31/23 178,898,096 248,766,000 U.S. Treasury Note.................................................. 0.13% 02/28/23 248,673,686 32,675,000 U.S. Treasury Note.................................................. 0.38% 12/31/25 32,094,253 312,447,000 U.S. Treasury Note.................................................. 0.38% 01/31/26 306,539,799 254,482,000 U.S. Treasury Note.................................................. 0.50% 02/28/26 251,062,398 42,030,000 U.S. Treasury Note.................................................. 1.13% 02/15/31 40,742,831 -------------- TOTAL U.S. GOVERNMENT BONDS AND NOTES.......................................................... 1,849,275,673 (Cost $1,883,213,750) -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 32.5% COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.3% Federal Home Loan Mortgage Corporation 258,103 Series 2017-4656, Class EZ....................................... 4.00% 02/15/47 287,497 Federal National Mortgage Association 3,424,078 Series 2012-20, Class ZT......................................... 3.50% 03/25/42 3,646,249 3,037,120 Series 2012-84, Class VZ......................................... 3.50% 08/25/42 3,260,901 687,023 Series 2018-38, Class PA......................................... 3.50% 06/25/47 718,866 1,589,500 Series 2018-43, Class CT......................................... 3.00% 06/25/48 1,652,989 699,078 Series 2018-86, Class JA......................................... 4.00% 05/25/47 728,370 271,802 Series 2018-94, Class KD......................................... 3.50% 12/25/48 287,251 330,138 Series 2019-1, Class KP.......................................... 3.25% 02/25/49 345,800 368,975 Series 2019-20, Class BA......................................... 3.50% 02/25/48 382,975 152,078 Series 2019-52, Class PA......................................... 3.00% 09/25/49 158,441 Government National Mortgage Association 369,398 Series 2018-115, Class DE........................................ 3.50% 08/20/48 393,906 393,671 Series 2018-124, Class NW........................................ 3.50% 09/20/48 422,177 1,531,757 Series 2019-12, Class QA......................................... 3.50% 09/20/48 1,612,727 193,310 Series 2019-71, Class PT......................................... 3.00% 06/20/49 200,676 1,596,784 Series 2019-119, Class JE........................................ 3.00% 09/20/49 1,651,710 -------------- 15,750,535 -------------- PASS-THROUGH SECURITIES -- 32.2% Federal Home Loan Mortgage Corporation 127,239 Pool C91981...................................................... 3.00% 02/01/38 133,091 93,226 Pool G07961...................................................... 3.50% 03/01/45 101,141 92,592 Pool G08692...................................................... 3.00% 02/01/46 97,858 2,746,168 Pool G08715...................................................... 3.00% 08/01/46 2,900,744 54,758 Pool G08721...................................................... 3.00% 09/01/46 57,832 629,933 Pool G08726...................................................... 3.00% 10/01/46 668,722 1,498,925 Pool G08732...................................................... 3.00% 11/01/46 1,591,701 208,801 Pool G08738...................................................... 3.50% 12/01/46 223,177 377,574 Pool G08741...................................................... 3.00% 01/01/47 400,579 253,717 Pool G08747...................................................... 3.00% 02/01/47 269,387 204,675 Pool G08748...................................................... 3.50% 02/01/47 218,807 817,997 Pool G08750...................................................... 3.00% 03/01/47 862,323 </TABLE> See Notes to Financial Statements Page 13 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> PASS-THROUGH SECURITIES (CONTINUED) Federal Home Loan Mortgage Corporation (Continued) $ 246,030 Pool G08766...................................................... 3.50% 06/01/47 $ 262,124 653,049 Pool G08788...................................................... 3.50% 11/01/47 693,464 2,116,917 Pool G08792...................................................... 3.50% 12/01/47 2,253,335 303,373 Pool G08800...................................................... 3.50% 02/01/48 323,113 490,468 Pool G08816...................................................... 3.50% 06/01/48 520,344 153,395 Pool G08833...................................................... 5.00% 07/01/48 170,566 26,577 Pool G08838...................................................... 5.00% 09/01/48 29,528 485,486 Pool G08843...................................................... 4.50% 10/01/48 529,343 112,671 Pool G08844...................................................... 5.00% 10/01/48 124,935 313,871 Pool G08849...................................................... 5.00% 11/01/48 347,994 657,584 Pool G16085...................................................... 2.50% 02/01/32 696,688 439,092 Pool G16350...................................................... 2.50% 10/01/32 464,422 586,179 Pool G16396...................................................... 3.50% 02/01/33 630,054 1,635,686 Pool G16524...................................................... 3.50% 05/01/33 1,763,065 194,474 Pool G18670...................................................... 3.00% 12/01/32 205,411 58,567 Pool G18691...................................................... 3.00% 06/01/33 61,773 182,434 Pool G18713...................................................... 3.50% 11/01/33 194,567 2,119,858 Pool G60038...................................................... 3.50% 01/01/44 2,305,997 562,509 Pool G60080...................................................... 3.50% 06/01/45 614,040 1,178,535 Pool G60344...................................................... 4.00% 12/01/45 1,308,564 366,883 Pool G60440...................................................... 3.50% 03/01/46 400,418 1,184,534 Pool G60582...................................................... 3.50% 05/01/46 1,286,547 1,018,238 Pool G60658...................................................... 3.50% 07/01/46 1,117,011 565,613 Pool G61556...................................................... 3.50% 08/01/48 613,211 3,380,266 Pool G61748...................................................... 3.50% 11/01/48 3,687,202 1,096,539 Pool G67700...................................................... 3.50% 08/01/46 1,194,348 2,489,648 Pool G67703...................................................... 3.50% 04/01/47 2,716,795 9,502,981 Pool G67706...................................................... 3.50% 12/01/47 10,341,408 2,122,721 Pool G67707...................................................... 3.50% 01/01/48 2,333,790 13,016,767 Pool G67708...................................................... 3.50% 03/01/48 14,131,302 2,348,316 Pool G67709...................................................... 3.50% 03/01/48 2,561,541 1,992,855 Pool G67710...................................................... 3.50% 03/01/48 2,144,544 2,972,363 Pool G67714...................................................... 4.00% 07/01/48 3,273,117 4,054,138 Pool G67717...................................................... 4.00% 11/01/48 4,459,727 6,961,808 Pool G67718...................................................... 4.00% 01/01/49 7,626,232 215,904 Pool Q44452...................................................... 3.00% 11/01/46 227,574 438,127 Pool Q50135...................................................... 3.50% 08/01/47 466,671 12,750,566 Pool QA7837...................................................... 3.50% 03/01/50 14,013,240 20,614,386 Pool RA3078...................................................... 3.00% 07/01/50 22,122,202 2,872,837 Pool RE6029...................................................... 3.00% 02/01/50 2,939,105 6,821,456 Pool SD7511...................................................... 3.50% 01/01/50 7,390,580 18,761,389 Pool SD7513...................................................... 3.50% 04/01/50 20,557,006 435,945 Pool U90772...................................................... 3.50% 01/01/43 478,226 544,747 Pool U99114...................................................... 3.50% 02/01/44 597,580 1,177,815 Pool ZA4692...................................................... 3.50% 06/01/46 1,272,593 540,345 Pool ZM0063...................................................... 4.00% 08/01/45 598,448 27,332,013 Pool ZM1779...................................................... 3.00% 09/01/46 28,950,214 5,997,784 Pool ZS4667...................................................... 3.00% 06/01/46 6,339,125 9,632,493 Pool ZS4688...................................................... 3.00% 11/01/46 10,225,835 </TABLE> Page 14 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> PASS-THROUGH SECURITIES (CONTINUED) Federal Home Loan Mortgage Corporation (Continued) $ 18,340,422 Pool ZS4735...................................................... 3.50% 09/01/47 $ 19,522,936 568,909 Pool ZS8602...................................................... 3.00% 03/01/31 601,110 1,031,616 Pool ZS9844...................................................... 3.50% 07/01/46 1,116,989 3,045,360 Pool ZT0277...................................................... 3.50% 10/01/46 3,296,218 1,220,810 Pool ZT0531...................................................... 3.50% 04/01/47 1,331,756 1,264,926 Pool ZT0536...................................................... 3.50% 03/01/48 1,372,782 3,811,795 Pool ZT0537...................................................... 3.50% 03/01/48 4,156,547 736,120 Pool ZT0542...................................................... 4.00% 07/01/48 810,385 189,301 Pool ZT1403...................................................... 3.50% 11/01/33 201,838 2,300,775 Pool ZT1703...................................................... 4.00% 01/01/49 2,519,672 Federal National Mortgage Association 4,542,065 Pool AL8825...................................................... 3.50% 06/01/46 4,920,944 111,402 Pool AM5673...................................................... 3.65% 04/01/23 116,764 117,259 Pool AN2786...................................................... 2.76% 09/01/36 125,488 2,180,512 Pool AS0225...................................................... 4.00% 08/01/43 2,416,246 2,406,757 Pool AS3134...................................................... 3.50% 08/01/44 2,610,344 605,654 Pool AS6620...................................................... 3.50% 02/01/46 652,123 187,940 Pool AS9334...................................................... 3.00% 03/01/32 198,204 186,466 Pool AS9749...................................................... 4.00% 06/01/47 201,694 169,430 Pool BD7081...................................................... 4.00% 03/01/47 183,599 12,937,702 Pool BE3774...................................................... 4.00% 07/01/47 14,014,471 1,661,187 Pool BJ2692...................................................... 3.50% 04/01/48 1,766,538 2,120,000 Pool BL6060...................................................... 2.46% 04/01/40 2,174,992 1,564,319 Pool BM1903...................................................... 3.50% 08/01/47 1,691,619 518,269 Pool BM2000...................................................... 3.50% 05/01/47 553,243 1,405,399 Pool BM3260...................................................... 3.50% 01/01/48 1,512,054 755,117 Pool BM4299...................................................... 3.00% 03/01/30 796,115 725,209 Pool BM4304...................................................... 3.00% 02/01/30 764,543 1,318,928 Pool BM4472...................................................... 3.50% 07/01/48 1,438,010 3,072,539 Pool BM5585...................................................... 3.00% 11/01/48 3,238,811 1,687,433 Pool CA0854...................................................... 3.50% 12/01/47 1,834,333 759,229 Pool CA0907...................................................... 3.50% 12/01/47 825,321 679,521 Pool CA0996...................................................... 3.50% 01/01/48 738,677 4,967,628 Pool CA1182...................................................... 3.50% 02/01/48 5,384,474 1,180,386 Pool CA1187...................................................... 3.50% 02/01/48 1,260,351 752,262 Pool CA1710...................................................... 4.50% 05/01/48 819,650 507,034 Pool CA1711...................................................... 4.50% 05/01/48 553,417 334,516 Pool CA2208...................................................... 4.50% 08/01/48 364,672 802,976 Pool CA2327...................................................... 4.00% 09/01/48 894,450 5,393,262 Pool CA3633...................................................... 3.50% 06/01/49 5,831,606 6,564,165 Pool FM2870...................................................... 3.00% 03/01/50 7,010,681 442,015 Pool MA1146...................................................... 4.00% 08/01/42 485,674 700,737 Pool MA1373...................................................... 3.50% 03/01/43 768,447 741,298 Pool MA2077...................................................... 3.50% 11/01/34 800,090 194,881 Pool MA2145...................................................... 4.00% 01/01/45 214,887 891,896 Pool MA2670...................................................... 3.00% 07/01/46 946,482 826,463 Pool MA2806...................................................... 3.00% 11/01/46 876,868 25,235 Pool MA2896...................................................... 3.50% 02/01/47 26,955 919,744 Pool MA3057...................................................... 3.50% 07/01/47 979,955 </TABLE> See Notes to Financial Statements Page 15 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> PASS-THROUGH SECURITIES (CONTINUED) Federal National Mortgage Association (Continued) $ 423,911 Pool MA3088...................................................... 4.00% 08/01/47 $ 458,946 925,569 Pool MA3210...................................................... 3.50% 12/01/47 985,399 10,169,744 Pool MA3238...................................................... 3.50% 01/01/48 10,784,091 929,054 Pool MA3239...................................................... 4.00% 01/01/48 1,006,127 444,392 Pool MA3276...................................................... 3.50% 02/01/48 471,498 1,298,332 Pool MA3332...................................................... 3.50% 04/01/48 1,381,206 340,346 Pool MA3336...................................................... 3.50% 04/01/38 362,379 238,881 Pool MA3410...................................................... 3.50% 07/01/33 254,924 409,964 Pool MA3537...................................................... 4.50% 12/01/48 446,097 1,886,816 Pool MA3846...................................................... 3.00% 11/01/49 1,940,350 13,891,001 Pool MA4093...................................................... 2.00% 08/01/40 14,124,555 9,459,510 Pool MA4128...................................................... 2.00% 09/01/40 9,618,555 9,856,431 Pool MA4152...................................................... 2.00% 10/01/40 10,070,791 5,243,472 Pool MA4176...................................................... 2.00% 11/01/40 5,357,510 60,175,000 Pool TBA (a)..................................................... 1.50% 04/15/36 60,623,822 82,825,000 Pool TBA (a)..................................................... 2.00% 04/15/36 85,332,205 37,425,000 Pool TBA (a)..................................................... 1.50% 04/15/51 36,533,963 704,835,000 Pool TBA (a)..................................................... 2.00% 04/15/51 707,546,958 128,025,000 Pool TBA (a)..................................................... 2.50% 04/15/51 131,998,275 Government National Mortgage Association 302,071 Pool MA1157...................................................... 3.50% 07/20/43 328,897 1,062,055 Pool MA2825...................................................... 3.00% 05/20/45 1,127,806 371,047 Pool MA3521...................................................... 3.50% 03/20/46 398,521 15,896,965 Pool MA3662...................................................... 3.00% 05/20/46 16,822,617 1,456,868 Pool MA3663...................................................... 3.50% 05/20/46 1,568,989 973,429 Pool MA3735...................................................... 3.00% 06/20/46 1,030,166 20,031,254 Pool MA3937...................................................... 3.50% 09/20/46 21,475,051 276,299 Pool MA4069...................................................... 3.50% 11/20/46 296,421 153,980 Pool MA4195...................................................... 3.00% 01/20/47 162,782 190,696 Pool MA4196...................................................... 3.50% 01/20/47 203,468 878,831 Pool MA4261...................................................... 3.00% 02/20/47 929,062 246,492 Pool MA4262...................................................... 3.50% 02/20/47 263,625 6,960,072 Pool MA4322...................................................... 4.00% 03/20/47 7,531,351 6,895,217 Pool MA4382...................................................... 3.50% 04/20/47 7,359,988 83,518 Pool MA4453...................................................... 4.50% 05/20/47 91,711 88,979 Pool MA4586...................................................... 3.50% 07/20/47 94,926 603,992 Pool MA4588...................................................... 4.50% 07/20/47 661,119 1,459,808 Pool MA4651...................................................... 3.00% 08/20/47 1,539,429 2,272,846 Pool MA4652...................................................... 3.50% 08/20/47 2,426,376 805,873 Pool MA4719...................................................... 3.50% 09/20/47 856,626 97,033 Pool MA4722...................................................... 5.00% 09/20/47 107,975 74,642 Pool MA4777...................................................... 3.00% 10/20/47 78,688 2,005,115 Pool MA4778...................................................... 3.50% 10/20/47 2,141,119 1,797,648 Pool MA4836...................................................... 3.00% 11/20/47 1,896,851 1,983,583 Pool MA4837...................................................... 3.50% 11/20/47 2,120,639 693,573 Pool MA4838...................................................... 4.00% 11/20/47 751,217 115,416 Pool MA4901...................................................... 4.00% 12/20/47 124,836 473,683 Pool MA4961...................................................... 3.00% 01/20/48 499,725 713,255 Pool MA4962...................................................... 3.50% 01/20/48 765,052 </TABLE> Page 16 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> PASS-THROUGH SECURITIES (CONTINUED) Government National Mortgage Association (Continued) $ 1,079,923 Pool MA4963...................................................... 4.00% 01/20/48 $ 1,168,684 579,191 Pool MA5078...................................................... 4.00% 03/20/48 625,715 1,370,613 Pool MA5136...................................................... 3.50% 04/20/48 1,463,513 1,226,468 Pool MA5399...................................................... 4.50% 08/20/48 1,340,631 460,026 Pool MA5466...................................................... 4.00% 09/20/48 496,700 131,816 Pool MA5467...................................................... 4.50% 09/20/48 143,401 397,829 Pool MA5597...................................................... 5.00% 11/20/48 435,648 992,119 Pool MA5976...................................................... 3.50% 06/20/49 1,028,908 175,760 Pool MA6030...................................................... 3.50% 07/20/49 183,638 802,576 Pool MA6080...................................................... 3.00% 08/20/49 825,611 94,050,000 Pool TBA (a)..................................................... 2.00% 04/15/51 95,023,565 64,950,000 Pool TBA (a)..................................................... 2.50% 04/15/51 67,086,246 -------------- 1,622,788,250 -------------- TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 1,638,538,785 (Cost $1,644,230,028) -------------- CORPORATE BONDS AND NOTES -- 16.3% AEROSPACE/DEFENSE -- 0.0% 143,000 BAE Systems Holdings, Inc. (b)...................................... 3.85% 12/15/25 159,299 -------------- AGRICULTURE -- 0.5% 11,920,000 BAT Capital Corp.................................................... 3.56% 08/15/27 12,909,918 2,650,000 BAT Capital Corp.................................................... 2.73% 03/25/31 2,606,920 2,280,000 BAT Capital Corp.................................................... 4.39% 08/15/37 2,418,572 545,000 BAT Capital Corp.................................................... 4.54% 08/15/47 554,000 1,010,000 Reynolds American, Inc.............................................. 5.70% 08/15/35 1,210,982 3,735,000 Reynolds American, Inc.............................................. 5.85% 08/15/45 4,413,350 -------------- 24,113,742 -------------- AIRLINES -- 0.4% 1,015,576 American Airlines Pass-Through Trust, Series 2014-1, Class A........ 3.70% 10/01/26 1,000,343 118,029 American Airlines Pass-Through Trust, Series 2015-2, Class AA....... 3.60% 09/22/27 119,463 3,928,101 American Airlines Pass-Through Trust, Series 2016-1, Class AA....... 3.58% 01/15/28 3,948,912 778,164 Continental Airlines Pass-Through Trust, Series 2007-1, Class A..... 5.98% 04/19/22 797,977 63,324 Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1......... 6.72% 01/02/23 64,920 4,850,515 Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA......... 2.00% 06/10/28 4,902,775 9,000,000 JetBlue Pass-Through Trust, Series 2020-1, Class A.................. 4.00% 11/15/32 9,882,021 456,283 US Airways Pass-Through Trust, Series 2012-1, Class A............... 5.90% 10/01/24 465,401 -------------- 21,181,812 -------------- AUTO MANUFACTURERS -- 0.6% 1,440,000 Daimler Finance North America LLC (b)............................... 2.20% 10/30/21 1,458,612 1,965,000 Daimler Finance North America LLC, 3 Mo. LIBOR + 0.90% (b) (c).................................................... 1.09% 02/15/22 1,980,243 3,135,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 0.81% (c).................. 1.05% 04/05/21 3,132,661 285,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 0.88% (c).................. 1.10% 10/12/21 283,986 1,585,000 Ford Motor Credit Co. LLC........................................... 3.81% 10/12/21 1,606,730 2,916,000 Ford Motor Credit Co. LLC........................................... 5.60% 01/07/22 3,010,770 4,655,000 Ford Motor Credit Co. LLC........................................... 3.22% 01/09/22 4,719,006 390,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 1.27% (c).................. 1.52% 03/28/22 388,103 </TABLE> See Notes to Financial Statements Page 17 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> AUTO MANUFACTURERS (CONTINUED) $ 705,000 Ford Motor Credit Co. LLC........................................... 3.34% 03/28/22 $ 714,482 150,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 1.08% (c).................. 1.28% 08/03/22 148,896 4,000,000 Ford Motor Credit Co. LLC........................................... 2.98% 08/03/22 4,045,440 655,000 Ford Motor Credit Co. LLC........................................... 4.25% 09/20/22 675,724 1,822,000 General Motors Financial Co., Inc................................... 3.20% 07/06/21 1,835,261 2,360,000 General Motors Financial Co., Inc................................... 4.38% 09/25/21 2,414,444 2,140,000 General Motors Financial Co., Inc................................... 4.20% 11/06/21 2,195,169 760,000 General Motors Financial Co., Inc................................... 3.45% 04/10/22 780,756 2,095,000 General Motors Financial Co., Inc................................... 3.15% 06/30/22 2,160,902 -------------- 31,551,185 -------------- BANKS -- 1.8% 180,000 Bank of America Corp. (d)........................................... 3.00% 12/20/23 187,960 1,500,000 Bank of America Corp., Medium-Term Note (d)......................... 1.32% 06/19/26 1,507,603 210,000 Bank of America Corp., Medium-Term Note (d)......................... 4.27% 07/23/29 242,708 840,000 Bank of America Corp., Medium-Term Note (d)......................... 2.50% 02/13/31 856,468 9,990,000 Bank of America Corp., Medium-Term Note (d)......................... 4.08% 03/20/51 11,451,759 2,180,000 Citigroup, Inc. (d)................................................. 3.35% 04/24/25 2,352,643 1,505,000 Citigroup, Inc...................................................... 3.20% 10/21/26 1,639,211 1,670,000 Citigroup, Inc. (d)................................................. 4.41% 03/31/31 1,934,784 3,605,000 Citigroup, Inc. (d)................................................. 2.57% 06/03/31 3,684,530 2,720,000 Fifth Third Bancorp................................................. 2.55% 05/05/27 2,889,568 12,120,000 Goldman Sachs Group, (The), Inc..................................... 0.48% 01/27/23 12,121,313 750,000 Goldman Sachs Group, (The), Inc. (d)................................ 2.91% 07/24/23 775,211 1,950,000 Goldman Sachs Group, (The), Inc. (d)................................ 3.27% 09/29/25 2,112,174 800,000 Goldman Sachs Group, (The), Inc. (d)................................ 3.69% 06/05/28 896,212 1,385,000 JPMorgan Chase & Co. (d)............................................ 4.02% 12/05/24 1,515,616 500,000 JPMorgan Chase & Co................................................. 3.90% 07/15/25 556,455 1,455,000 JPMorgan Chase & Co................................................. 3.20% 06/15/26 1,590,081 2,855,000 JPMorgan Chase & Co. (d)............................................ 4.49% 03/24/31 3,372,890 2,044,000 JPMorgan Chase & Co. (d)............................................ 3.11% 04/22/51 2,058,705 2,145,000 Morgan Stanley, Global Medium-Term Note, SOFR + 0.70% (c)........... 0.76% 01/20/23 2,154,544 425,000 Morgan Stanley, Global Medium-Term Note (d)......................... 4.43% 01/23/30 496,509 4,875,000 Morgan Stanley, Medium-Term Note (d)................................ 0.53% 01/25/24 4,876,988 400,000 PNC Bank N.A........................................................ 3.80% 07/25/23 430,521 3,270,000 Wells Fargo & Co. (d)............................................... 3.07% 04/30/41 3,327,437 2,300,000 Wells Fargo & Co., Medium-Term Note................................. 3.75% 01/24/24 2,498,138 1,600,000 Wells Fargo & Co., Medium-Term Note (d)............................. 3.58% 05/22/28 1,768,174 5,364,000 Wells Fargo & Co., Medium-Term Note (d)............................. 2.39% 06/02/28 5,556,932 5,790,000 Wells Fargo & Co., Medium-Term Note (d)............................. 2.88% 10/30/30 6,108,581 5,385,000 Wells Fargo & Co., Medium-Term Note (d)............................. 4.48% 04/04/31 6,337,053 4,245,000 Wells Fargo & Co., Medium-Term Note (d)............................. 5.01% 04/04/51 5,605,816 -------------- 90,906,584 -------------- BEVERAGES -- 0.2% 2,700,000 Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc....... 4.90% 02/01/46 3,230,819 635,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.75% 01/23/29 748,021 1,200,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.60% 04/15/48 1,380,771 200,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.44% 10/06/48 224,889 2,000,000 Constellation Brands, Inc........................................... 3.75% 05/01/50 2,157,544 -------------- 7,742,044 -------------- </TABLE> Page 18 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> BIOTECHNOLOGY -- 0.4% $ 1,412,000 Amgen, Inc.......................................................... 4.40% 05/01/45 $ 1,672,217 11,260,000 Gilead Sciences, Inc., 3 Mo. LIBOR + 0.52% (c)...................... 0.77% 09/29/23 11,287,066 175,000 Gilead Sciences, Inc................................................ 3.65% 03/01/26 193,947 5,510,000 Regeneron Pharmaceuticals, Inc...................................... 1.75% 09/15/30 5,200,777 -------------- 18,354,007 -------------- CHEMICALS -- 0.2% 5,744,000 International Flavors & Fragrances, Inc............................. 5.00% 09/26/48 7,261,237 3,735,000 Nutrition & Biosciences, Inc. (b)................................... 3.47% 12/01/50 3,772,653 -------------- 11,033,890 -------------- COMMERCIAL SERVICES -- 0.1% 700,000 Pomona College, Series A............................................ 2.89% 01/01/51 699,460 2,500,000 RELX Capital, Inc................................................... 3.00% 05/22/30 2,666,770 950,000 University of (The) Chicago, Series 20B............................. 2.76% 04/01/45 946,041 -------------- 4,312,271 -------------- COMPUTERS -- 0.0% 1,500,000 Apple, Inc.......................................................... 2.65% 02/08/51 1,391,409 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 1,485,000 Air Lease Corp...................................................... 3.50% 01/15/22 1,524,222 1,890,000 Air Lease Corp...................................................... 3.25% 03/01/25 1,997,580 940,000 Air Lease Corp., Medium-Term Note................................... 0.70% 02/15/24 930,845 360,000 Air Lease Corp., Medium-Term Note................................... 2.30% 02/01/25 367,525 6,755,000 Discover Financial Services......................................... 3.95% 11/06/24 7,421,900 2,010,000 GE Capital Funding LLC (b).......................................... 4.40% 05/15/30 2,296,689 450,000 Raymond James Financial, Inc........................................ 4.95% 07/15/46 563,575 -------------- 15,102,336 -------------- ELECTRIC -- 1.0% 4,128,000 Alliant Energy Finance LLC (b)...................................... 3.75% 06/15/23 4,411,904 2,655,000 Alliant Energy Finance LLC (b)...................................... 1.40% 03/15/26 2,631,694 200,000 Ameren Illinois Co.................................................. 3.70% 12/01/47 221,128 3,000,000 Appalachian Power Co., Series Z..................................... 3.70% 05/01/50 3,199,470 750,000 Cleco Power LLC..................................................... 6.00% 12/01/40 954,539 500,000 Consolidated Edison Co. of New York, Inc............................ 4.50% 05/15/58 600,876 1,695,000 Dominion Energy, Inc., Series A..................................... 3.30% 03/15/25 1,834,856 155,000 Duke Energy Carolinas LLC........................................... 3.70% 12/01/47 171,325 7,229,000 Duquesne Light Holdings, Inc. (b)................................... 5.90% 12/01/21 7,488,407 750,000 Entergy Texas, Inc.................................................. 3.45% 12/01/27 816,619 1,250,000 Interstate Power and Light Co....................................... 3.25% 12/01/24 1,357,748 4,855,000 Interstate Power and Light Co....................................... 2.30% 06/01/30 4,947,259 3,000,000 ITC Holdings Corp. (b).............................................. 2.95% 05/14/30 3,154,619 1,750,000 Jersey Central Power & Light Co. (b)................................ 4.30% 01/15/26 1,932,705 830,000 Metropolitan Edison Co. (b)......................................... 4.00% 04/15/25 886,782 2,253,000 Metropolitan Edison Co. (b)......................................... 4.30% 01/15/29 2,519,917 10,000,000 Niagara Mohawk Power Corp. (b)...................................... 3.03% 06/27/50 9,617,774 1,150,000 PNM Resources, Inc.................................................. 3.25% 03/09/21 1,150,608 825,000 Public Service Co. of New Mexico.................................... 3.85% 08/01/25 895,934 300,000 Southwestern Electric Power Co...................................... 3.55% 02/15/22 306,693 700,000 Trans-Allegheny Interstate Line Co. (b)............................. 3.85% 06/01/25 757,155 </TABLE> See Notes to Financial Statements Page 19 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> ELECTRIC (CONTINUED) $ 750,000 Tucson Electric Power Co............................................ 5.15% 11/15/21 $ 766,193 1,505,000 Xcel Energy, Inc.................................................... 4.80% 09/15/41 1,819,247 -------------- 52,443,452 -------------- ENGINEERING & CONSTRUCTION -- 0.0% 1,091,000 PowerTeam Services LLC (b).......................................... 9.03% 12/04/25 1,211,010 -------------- ENTERTAINMENT -- 0.1% 1,842,000 Caesars Entertainment, Inc. (b)..................................... 6.25% 07/01/25 1,952,520 1,997,000 Churchill Downs, Inc. (b)........................................... 5.50% 04/01/27 2,085,298 740,000 Churchill Downs, Inc. (b)........................................... 4.75% 01/15/28 769,885 1,329,000 Live Nation Entertainment, Inc. (b)................................. 6.50% 05/15/27 1,468,651 488,000 Live Nation Entertainment, Inc. (b)................................. 4.75% 10/15/27 493,741 -------------- 6,770,095 -------------- ENVIRONMENTAL CONTROL -- 0.1% 1,573,000 Clean Harbors, Inc. (b)............................................. 5.13% 07/15/29 1,699,524 1,722,000 Waste Pro USA, Inc. (b)............................................. 5.50% 02/15/26 1,775,236 -------------- 3,474,760 -------------- FOOD -- 0.4% 1,000,000 Campbell Soup Co., 3 Mo. LIBOR + 0.63% (c).......................... 0.85% 03/15/21 1,000,200 1,000,000 Kraft Heinz Foods Co................................................ 5.00% 07/15/35 1,202,497 2,405,000 Kraft Heinz Foods Co................................................ 5.00% 06/04/42 2,809,740 2,635,000 Kraft Heinz Foods Co................................................ 5.20% 07/15/45 3,170,142 3,845,000 Kraft Heinz Foods Co................................................ 4.38% 06/01/46 4,170,288 2,755,000 Kraft Heinz Foods Co................................................ 4.88% 10/01/49 3,220,344 97,000 Kroger (The) Co..................................................... 5.40% 01/15/49 128,028 20,000 Lamb Weston Holdings, Inc. (b)...................................... 4.63% 11/01/24 20,810 1,611,000 Pilgrim's Pride Corp. (b)........................................... 5.88% 09/30/27 1,730,375 1,250,000 Post Holdings, Inc. (b)............................................. 5.50% 12/15/29 1,339,781 2,877,000 Post Holdings, Inc. (b)............................................. 4.63% 04/15/30 2,923,751 -------------- 21,715,956 -------------- FOREST PRODUCTS & PAPER -- 0.0% 2,200,000 Georgia-Pacific LLC (b)............................................. 2.30% 04/30/30 2,257,625 -------------- GAS -- 0.0% 500,000 Piedmont Natural Gas Co., Inc....................................... 3.35% 06/01/50 512,070 400,000 Southern Co. Gas Capital Corp....................................... 5.88% 03/15/41 547,017 200,000 Spire, Inc.......................................................... 3.54% 02/27/24 208,751 -------------- 1,267,838 -------------- HEALTHCARE-PRODUCTS -- 0.1% 2,390,000 Alcon Finance Corp. (b)............................................. 2.75% 09/23/26 2,566,114 1,500,000 Alcon Finance Corp. (b)............................................. 2.60% 05/27/30 1,540,338 3,015,000 DENTSPLY SIRONA, Inc................................................ 3.25% 06/01/30 3,202,667 -------------- 7,309,119 -------------- HEALTHCARE-SERVICES -- 1.4% 1,300,000 Advocate Health & Hospitals Corp., Series 2020...................... 3.01% 06/15/50 1,303,299 120,000 Anthem, Inc......................................................... 3.65% 12/01/27 135,057 2,300,000 Anthem, Inc......................................................... 2.88% 09/15/29 2,448,569 </TABLE> Page 20 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> HEALTHCARE-SERVICES (CONTINUED) $ 4,800,000 Bon Secours Mercy Health, Inc., Series 20-2......................... 2.10% 06/01/31 $ 4,798,064 200,000 Centene Corp. (b)................................................... 5.38% 08/15/26 211,000 120,000 Centene Corp........................................................ 4.25% 12/15/27 124,853 990,000 Children's Hospital of (The) Philadelphia, Series 2020.............. 2.70% 07/01/50 941,293 4,135,000 CommonSpirit Health................................................. 2.76% 10/01/24 4,401,462 1,985,000 CommonSpirit Health................................................. 3.35% 10/01/29 2,135,186 1,475,000 CommonSpirit Health................................................. 2.78% 10/01/30 1,530,718 4,999,000 Fresenius Medical Care US Finance II, Inc. (b)...................... 5.88% 01/31/22 5,237,442 5,215,000 Hackensack Meridian Health, Inc., Series 2020....................... 2.88% 09/01/50 5,016,863 7,704,000 HCA, Inc............................................................ 5.00% 03/15/24 8,622,502 950,000 HCA, Inc............................................................ 5.25% 04/15/25 1,092,784 3,250,000 HCA, Inc............................................................ 4.50% 02/15/27 3,706,974 3,490,000 HCA, Inc............................................................ 4.13% 06/15/29 3,931,795 400,000 HCA, Inc............................................................ 5.13% 06/15/39 490,623 1,540,000 HCA, Inc............................................................ 5.25% 06/15/49 1,915,309 500,000 Humana, Inc......................................................... 3.15% 12/01/22 520,052 360,000 Humana, Inc......................................................... 2.90% 12/15/22 374,122 2,200,000 Kaiser Foundation Hospitals......................................... 4.88% 04/01/42 2,910,747 3,475,000 Methodist (The) Hospital, Series 20A................................ 2.71% 12/01/50 3,295,148 1,386,000 Molina Healthcare, Inc.............................................. 5.38% 11/15/22 1,466,561 2,000,000 Molina Healthcare, Inc. (b)......................................... 4.38% 06/15/28 2,077,000 200,000 New York and Presbyterian (The) Hospital............................ 3.56% 08/01/36 213,767 5,230,000 NYU Langone Hospitals, Series 2020.................................. 3.38% 07/01/55 5,165,878 1,650,000 Partners Healthcare System, Inc., Series 2020....................... 3.34% 07/01/60 1,700,698 101,000 Tenet Healthcare Corp............................................... 4.63% 07/15/24 102,616 4,693,000 Tenet Healthcare Corp. (b).......................................... 5.13% 11/01/27 4,930,982 160,000 UnitedHealth Group, Inc............................................. 4.45% 12/15/48 197,728 1,185,000 UnitedHealth Group, Inc............................................. 2.90% 05/15/50 1,154,352 725,000 UnitedHealth Group, Inc............................................. 3.88% 08/15/59 813,559 -------------- 72,967,003 -------------- INSURANCE -- 0.7% 700,000 Farmers Exchange Capital III (b) (d)................................ 5.45% 10/15/54 870,757 600,000 Farmers Insurance Exchange (b)...................................... 8.63% 05/01/24 716,137 3,495,000 Farmers Insurance Exchange (b) (d).................................. 4.75% 11/01/57 3,720,303 1,800,000 Massachusetts Mutual Life Insurance Co. (b)......................... 3.38% 04/15/50 1,822,857 7,000,000 National General Holdings Corp. (b) (e)............................. 6.75% 05/15/24 8,264,620 1,525,000 Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (b) (c)........ 2.51% 12/15/24 1,525,019 6,905,000 New York Life Insurance Co. (b)..................................... 3.75% 05/15/50 7,599,526 2,035,000 Pacific LifeCorp (b)................................................ 3.35% 09/15/50 2,095,810 1,790,000 Teachers Insurance & Annuity Association of America (b)............. 4.90% 09/15/44 2,277,349 3,910,000 Teachers Insurance & Annuity Association of America (b)............. 4.27% 05/15/47 4,544,534 3,770,000 Teachers Insurance & Annuity Association of America (b)............. 3.30% 05/15/50 3,795,167 240,000 Teachers Insurance & Annuity Association of America (b) (d)......... 4.38% 09/15/54 256,066 -------------- 37,488,145 -------------- MEDIA -- 0.7% 1,003,000 CCO Holdings LLC / CCO Holdings Capital Corp. (b)................... 4.50% 08/15/30 1,039,504 2,322,000 CCO Holdings LLC / CCO Holdings Capital Corp. (b)................... 4.25% 02/01/31 2,353,928 2,475,000 Charter Communications Operating LLC / Charter Communications Operating Capital................................................ 4.91% 07/23/25 2,817,790 </TABLE> See Notes to Financial Statements Page 21 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> MEDIA (CONTINUED) $ 1,410,000 Charter Communications Operating LLC / Charter Communications Operating Capital................................................ 2.30% 02/01/32 $ 1,343,529 1,471,000 Charter Communications Operating LLC / Charter Communications Operating Capital................................................ 5.38% 04/01/38 1,749,704 4,920,000 Charter Communications Operating LLC / Charter Communications Operating Capital................................................ 5.38% 05/01/47 5,732,856 100,000 Comcast Corp........................................................ 3.97% 11/01/47 113,349 345,000 CSC Holdings LLC (b)................................................ 5.38% 02/01/28 365,597 2,929,000 CSC Holdings LLC (b)................................................ 6.50% 02/01/29 3,235,007 2,450,000 Time Warner Cable LLC............................................... 5.50% 09/01/41 2,981,517 4,000,000 ViacomCBS, Inc...................................................... 4.20% 05/19/32 4,579,416 2,040,000 Walt Disney (The) Co................................................ 2.65% 01/13/31 2,127,159 5,770,000 Walt Disney (The) Co................................................ 3.60% 01/13/51 6,215,518 -------------- 34,654,874 -------------- MISCELLANEOUS MANUFACTURING -- 0.2% 1,000,000 General Electric Co., Global Medium-Term Note....................... 6.88% 01/10/39 1,417,512 1,000,000 General Electric Co., Medium-Term Note, 3 Mo. LIBOR + 0.38% (c)........................................................ 0.58% 05/05/26 980,599 2,775,000 General Electric Co., Medium-Term Note.............................. 6.75% 03/15/32 3,733,644 1,395,000 General Electric Co., Medium-Term Note.............................. 5.88% 01/14/38 1,820,247 -------------- 7,952,002 -------------- OIL & GAS -- 0.2% 2,435,000 BP Capital Markets America, Inc..................................... 3.63% 04/06/30 2,710,324 33,000 Endeavor Energy Resources L.P. / EER Finance, Inc. (b).............. 5.75% 01/30/28 34,930 635,000 Exxon Mobil Corp.................................................... 4.23% 03/19/40 724,918 3,180,000 Exxon Mobil Corp.................................................... 4.33% 03/19/50 3,725,737 400,000 Hess Corp........................................................... 5.60% 02/15/41 476,425 -------------- 7,672,334 -------------- OIL & GAS SERVICES -- 0.0% 1,510,000 USA Compression Partners L.P. / USA Compression Finance Corp........ 6.88% 04/01/26 1,561,906 350,000 USA Compression Partners L.P. / USA Compression Finance Corp........ 6.88% 09/01/27 368,092 -------------- 1,929,998 -------------- PACKAGING & CONTAINERS -- 0.5% 1,995,000 Bemis Co., Inc...................................................... 2.63% 06/19/30 2,061,191 7,990,000 Berry Global, Inc. (b).............................................. 0.95% 02/15/24 7,998,350 4,157,000 Berry Global, Inc. (b).............................................. 1.57% 01/15/26 4,165,023 50,000 Graphic Packaging International LLC................................. 4.88% 11/15/22 52,238 3,150,000 Graphic Packaging International LLC (b)............................. 4.75% 07/15/27 3,493,539 140,000 Mauser Packaging Solutions Holding Co. (b).......................... 5.50% 04/15/24 140,730 1,840,000 Sealed Air Corp. (b)................................................ 4.00% 12/01/27 1,927,893 3,670,000 WRKCo, Inc.......................................................... 3.00% 06/15/33 3,868,579 -------------- 23,707,543 -------------- PHARMACEUTICALS -- 1.4% 4,550,000 AbbVie, Inc......................................................... 3.80% 03/15/25 5,000,680 3,162,000 AbbVie, Inc......................................................... 4.50% 05/14/35 3,780,465 690,000 AbbVie, Inc......................................................... 4.05% 11/21/39 784,345 4,150,000 AbbVie, Inc......................................................... 4.40% 11/06/42 4,907,889 </TABLE> Page 22 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> PHARMACEUTICALS (CONTINUED) $ 1,870,000 AbbVie, Inc......................................................... 4.45% 05/14/46 $ 2,189,643 1,895,000 Bayer US Finance II LLC (b)......................................... 3.88% 12/15/23 2,059,592 1,045,000 Bayer US Finance II LLC (b)......................................... 3.38% 07/15/24 1,126,484 11,880,000 Bayer US Finance II LLC (b)......................................... 4.25% 12/15/25 13,357,638 3,160,000 Bayer US Finance II LLC (b)......................................... 4.38% 12/15/28 3,652,804 815,000 Bayer US Finance II LLC (b)......................................... 4.63% 06/25/38 964,717 425,000 Bayer US Finance II LLC (b)......................................... 4.40% 07/15/44 486,589 2,540,000 Bayer US Finance II LLC (b)......................................... 4.88% 06/25/48 3,138,795 852,000 Becton Dickinson and Co............................................. 2.89% 06/06/22 876,498 3,385,000 Becton Dickinson and Co............................................. 3.36% 06/06/24 3,653,433 1,000,000 Becton Dickinson and Co............................................. 6.70% 08/01/28 1,252,509 2,000,000 Cigna Corp.......................................................... 3.40% 03/01/27 2,207,458 75,000 Cigna Corp.......................................................... 3.05% 10/15/27 81,960 4,204,000 Cigna Corp.......................................................... 2.40% 03/15/30 4,249,961 1,030,000 Cigna Corp.......................................................... 3.88% 10/15/47 1,121,374 2,129,000 Cigna Corp.......................................................... 4.90% 12/15/48 2,665,295 150,000 CVS Health Corp..................................................... 3.88% 07/20/25 166,621 1,850,000 CVS Health Corp..................................................... 5.13% 07/20/45 2,321,968 4,775,000 CVS Health Corp..................................................... 5.05% 03/25/48 5,986,559 535,000 Elanco Animal Health, Inc........................................... 5.27% 08/28/23 576,128 2,443,000 Elanco Animal Health, Inc........................................... 5.90% 08/28/28 2,841,514 -------------- 69,450,919 -------------- PIPELINES -- 0.8% 140,000 Cheniere Energy Partners L.P........................................ 5.25% 10/01/25 144,067 145,000 Energy Transfer Operating L.P....................................... 5.20% 02/01/22 149,180 375,000 Energy Transfer Operating L.P....................................... 4.20% 04/15/27 413,882 198,000 Energy Transfer Operating L.P....................................... 5.50% 06/01/27 231,221 2,030,000 Energy Transfer Operating L.P....................................... 4.95% 06/15/28 2,305,846 315,000 Energy Transfer Operating L.P....................................... 3.75% 05/15/30 331,484 3,200,000 Energy Transfer Operating L.P....................................... 4.90% 03/15/35 3,460,001 1,463,000 Energy Transfer Operating L.P....................................... 6.50% 02/01/42 1,770,211 260,000 Energy Transfer Operating L.P....................................... 5.15% 03/15/45 273,327 2,600,000 Energy Transfer Operating L.P....................................... 6.13% 12/15/45 2,996,044 200,000 Energy Transfer Operating L.P....................................... 6.25% 04/15/49 237,140 1,015,000 Energy Transfer Operating L.P....................................... 5.00% 05/15/50 1,064,518 1,270,000 Kinder Morgan Energy Partners L.P................................... 5.80% 03/15/35 1,599,303 650,000 Kinder Morgan, Inc.................................................. 5.30% 12/01/34 781,040 922,000 NGPL PipeCo LLC (b)................................................. 4.38% 08/15/22 960,006 3,640,000 NGPL PipeCo LLC (b)................................................. 4.88% 08/15/27 4,136,722 270,240 Pipeline Funding Co. LLC (b)........................................ 7.50% 01/15/30 345,670 150,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 2.85% 01/31/23 153,633 50,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 4.65% 10/15/25 55,348 2,035,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 4.50% 12/15/26 2,254,990 425,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.55% 12/15/29 434,792 716,000 Rockies Express Pipeline LLC (b).................................... 4.95% 07/15/29 766,567 1,500,000 Rockies Express Pipeline LLC (b).................................... 4.80% 05/15/30 1,560,180 1,360,000 Rockies Express Pipeline LLC (b).................................... 6.88% 04/15/40 1,509,600 360,295 Ruby Pipeline LLC (b)............................................... 7.75% 04/01/22 327,915 325,000 Sabine Pass Liquefaction LLC........................................ 5.63% 03/01/25 374,117 </TABLE> See Notes to Financial Statements Page 23 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> PIPELINES (CONTINUED) $ 1,000,000 Sabine Pass Liquefaction LLC........................................ 5.00% 03/15/27 $ 1,160,135 1,135,000 Sunoco Logistics Partners Operations L.P............................ 5.30% 04/01/44 1,224,512 3,606,000 Sunoco Logistics Partners Operations L.P............................ 5.40% 10/01/47 3,935,294 145,000 TC PipeLines L.P.................................................... 4.65% 06/15/21 145,212 1,000,000 TC PipeLines L.P.................................................... 4.38% 03/13/25 1,112,012 1,775,000 TransMontaigne Partners L.P. / TLP Finance Corp..................... 6.13% 02/15/26 1,793,087 500,000 Williams Cos (The), Inc............................................. 5.10% 09/15/45 588,110 -------------- 38,595,166 -------------- REAL ESTATE INVESTMENT TRUSTS -- 1.5% 250,000 Alexandria Real Estate Equities, Inc................................ 4.30% 01/15/26 284,417 1,107,000 Alexandria Real Estate Equities, Inc................................ 3.80% 04/15/26 1,240,246 612,000 Alexandria Real Estate Equities, Inc................................ 4.50% 07/30/29 723,510 4,320,000 American Campus Communities Operating Partnership L.P............... 3.75% 04/15/23 4,590,127 800,000 American Campus Communities Operating Partnership L.P............... 4.13% 07/01/24 875,997 4,545,000 American Campus Communities Operating Partnership L.P............... 3.30% 07/15/26 4,957,242 332,000 American Campus Communities Operating Partnership L.P............... 3.63% 11/15/27 367,493 215,000 American Tower Corp................................................. 3.00% 06/15/23 227,019 785,000 Boston Properties L.P............................................... 3.20% 01/15/25 843,035 2,945,000 Boston Properties L.P............................................... 3.25% 01/30/31 3,100,712 625,000 CC Holdings GS V LLC / Crown Castle GS III Corp..................... 3.85% 04/15/23 667,734 750,000 CubeSmart L.P....................................................... 4.38% 02/15/29 860,413 3,425,000 CyrusOne L.P. / CyrusOne Finance Corp............................... 2.90% 11/15/24 3,636,031 1,945,000 CyrusOne L.P. / CyrusOne Finance Corp............................... 2.15% 11/01/30 1,839,387 2,710,000 GLP Capital L.P. / GLP Financing II, Inc............................ 3.35% 09/01/24 2,886,164 1,000,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.25% 06/01/25 1,130,720 1,750,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 04/15/26 2,012,736 1,210,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.30% 01/15/29 1,386,557 3,525,000 GLP Capital L.P. / GLP Financing II, Inc............................ 4.00% 01/15/30 3,754,742 3,955,000 GLP Capital L.P. / GLP Financing II, Inc............................ 4.00% 01/15/31 4,217,869 914,000 Healthcare Realty Trust, Inc........................................ 3.63% 01/15/28 1,001,921 2,000,000 Healthcare Realty Trust, Inc........................................ 2.05% 03/15/31 1,924,436 2,000,000 Healthcare Trust of America Holdings L.P............................ 3.10% 02/15/30 2,112,240 3,490,000 Healthcare Trust of America Holdings L.P............................ 2.00% 03/15/31 3,352,334 3,335,000 Hudson Pacific Properties L.P....................................... 3.95% 11/01/27 3,618,779 1,000,000 Hudson Pacific Properties L.P....................................... 4.65% 04/01/29 1,138,738 1,000,000 Kilroy Realty L.P................................................... 3.45% 12/15/24 1,077,449 860,000 Kilroy Realty L.P................................................... 2.50% 11/15/32 830,060 1,300,000 Kimco Realty Corp................................................... 3.40% 11/01/22 1,353,859 1,605,000 Lexington Realty Trust.............................................. 2.70% 09/15/30 1,609,474 200,000 Life Storage L.P.................................................... 3.88% 12/15/27 225,523 1,135,000 Life Storage L.P.................................................... 2.20% 10/15/30 1,111,255 40,000 MGM Growth Properties Operating Partnership L.P. / MGP Finance Co.-Issuer, Inc.................................................. 5.63% 05/01/24 43,275 1,714,000 MGM Growth Properties Operating Partnership L.P. / MGP Finance Co.-Issuer, Inc. (b)............................................. 4.63% 06/15/25 1,818,554 80,000 MGM Growth Properties Operating Partnership L.P. / MGP Finance Co.-Issuer, Inc.................................................. 4.50% 01/15/28 84,800 176,000 National Retail Properties, Inc..................................... 3.30% 04/15/23 185,225 350,000 Piedmont Operating Partnership L.P.................................. 3.40% 06/01/23 365,069 </TABLE> Page 24 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> REAL ESTATE INVESTMENT TRUSTS (CONTINUED) $ 670,000 Piedmont Operating Partnership L.P.................................. 3.15% 08/15/30 $ 668,344 22,000 SBA Communications Corp............................................. 4.88% 09/01/24 22,593 6,580,000 SL Green Operating Partnership L.P., 3 Mo. LIBOR + 0.98% (c)........ 1.17% 08/16/21 6,580,171 300,000 SL Green Operating Partnership L.P.................................. 3.25% 10/15/22 311,308 550,000 SL Green Realty Corp................................................ 4.50% 12/01/22 578,940 1,000,000 Ventas Realty L.P................................................... 2.65% 01/15/25 1,055,345 400,000 Ventas Realty L.P................................................... 3.85% 04/01/27 445,403 550,000 WEA Finance LLC (b)................................................. 3.15% 04/05/22 562,496 75,000 Welltower, Inc...................................................... 4.50% 01/15/24 82,356 1,125,000 Welltower, Inc...................................................... 4.00% 06/01/25 1,250,263 -------------- 73,012,361 -------------- RETAIL -- 0.2% 7,335,000 7-Eleven, Inc. (b).................................................. 0.80% 02/10/24 7,337,812 770,000 McDonald's Corp., Medium-Term Note.................................. 3.63% 09/01/49 822,820 500,000 Walgreens Boots Alliance, Inc....................................... 3.30% 11/18/21 507,881 150,000 Walgreens Boots Alliance, Inc....................................... 3.80% 11/18/24 164,944 -------------- 8,833,457 -------------- SEMICONDUCTORS -- 0.2% 935,000 Broadcom, Inc....................................................... 3.63% 10/15/24 1,019,504 5,400,000 Intel Corp.......................................................... 4.75% 03/25/50 6,952,059 -------------- 7,971,563 -------------- SOFTWARE -- 0.1% 140,000 Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. (b)......................................................... 5.75% 03/01/25 143,602 1,400,000 Fiserv, Inc......................................................... 2.25% 06/01/27 1,451,357 510,000 Fiserv, Inc......................................................... 2.65% 06/01/30 525,367 2,372,000 SS&C Technologies, Inc. (b)......................................... 5.50% 09/30/27 2,515,032 -------------- 4,635,358 -------------- TELECOMMUNICATIONS -- 2.2% 907,000 AT&T, Inc. (b)...................................................... 2.55% 12/01/33 870,119 3,175,000 AT&T, Inc........................................................... 4.50% 05/15/35 3,636,052 3,500,000 AT&T, Inc........................................................... 5.25% 03/01/37 4,298,378 3,140,000 AT&T, Inc........................................................... 4.30% 12/15/42 3,422,009 8,270,000 AT&T, Inc........................................................... 4.75% 05/15/46 9,432,093 3,880,000 AT&T, Inc........................................................... 4.50% 03/09/48 4,225,843 2,375,000 AT&T, Inc. (b)...................................................... 3.50% 09/15/53 2,154,618 14,047,000 AT&T, Inc. (b)...................................................... 3.80% 12/01/57 13,273,671 1,422,000 CenturyLink, Inc. (b)............................................... 4.00% 02/15/27 1,456,640 2,200,000 Frontier Communications Corp. (b)................................... 5.00% 05/01/28 2,275,625 1,150,000 Level 3 Financing, Inc. (b)......................................... 3.88% 11/15/29 1,244,484 2,540,000 Qwest Corp.......................................................... 7.25% 09/15/25 3,032,125 4,500,000 SES GLOBAL Americas Holdings G.P. (b)............................... 5.30% 03/25/44 5,071,032 3,249,000 Sprint Corp......................................................... 7.88% 09/15/23 3,724,166 608,438 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (b)......................................... 3.36% 09/20/21 613,953 7,115,000 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (b)......................................... 4.74% 03/20/25 7,653,072 </TABLE> See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> TELECOMMUNICATIONS (CONTINUED) $ 18,250,000 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (b)......................................... 5.15% 03/20/28 $ 21,222,377 2,535,000 T-Mobile USA, Inc. (b).............................................. 1.50% 02/15/26 2,531,347 9,987,000 T-Mobile USA, Inc................................................... 2.25% 02/15/26 9,961,034 1,220,000 T-Mobile USA, Inc. (b).............................................. 3.75% 04/15/27 1,345,074 2,300,000 T-Mobile USA, Inc. (b).............................................. 3.88% 04/15/30 2,528,505 4,600,000 T-Mobile USA, Inc. (b).............................................. 2.55% 02/15/31 4,576,862 2,845,000 T-Mobile USA, Inc. (b).............................................. 4.38% 04/15/40 3,150,724 750,000 T-Mobile USA, Inc. (b).............................................. 4.50% 04/15/50 834,563 -------------- 112,534,366 -------------- TOTAL CORPORATE BONDS AND NOTES................................................................ 823,703,523 (Cost $799,854,749) -------------- MORTGAGE-BACKED SECURITIES -- 7.0% COLLATERALIZED MORTGAGE OBLIGATIONS -- 5.1% Alternative Loan Trust 6,328,794 Series 2005-16, Class A4, 1 Mo. LIBOR + 0.48% (c)................ 0.60% 06/25/35 5,938,390 910,481 Series 2005-56, Class 1A1, 1 Mo. LIBOR + 1.46% (c)............... 1.58% 11/25/35 890,236 8,371,663 Series 2005-67CB, Class A1....................................... 5.50% 01/25/36 7,786,020 3,171,597 Series 2007-13, Class A1......................................... 6.00% 06/25/47 2,417,921 American Home Mortgage Assets Trust 14,235,393 Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (c)..... 1.08% 02/25/47 8,400,711 American Home Mortgage Investment Trust 2,172,078 Series 2005-4, Class 1A1, 1 Mo. LIBOR + 0.58% (c)................ 0.70% 11/25/45 2,122,263 Banc of America Funding Trust 715,000 Series 2014-R6, Class 2A13 (b) (f)............................... 0.39% 07/26/36 697,406 Bear Stearns Mortgage Funding Trust 134,725 Series 2006-AR1, Class 1A1, 1 Mo. LIBOR + 0.21% (c).............. 0.33% 07/25/36 128,829 3,184,318 Series 2006-AR3, Class 1A1, 1 Mo. LIBOR + 0.18% (c).............. 0.30% 10/25/36 3,032,049 4,456,530 Series 2006-AR5, Class 2A1, 1 Mo. LIBOR + 0.19% (c).............. 0.31% 01/25/37 4,187,939 231,519 Series 2007-AR5, Class 1A1G, 1 Mo. LIBOR + 0.16% (c)............. 0.28% 06/25/47 219,686 CIM Trust 2,740,933 Series 2017-3, Class A1, 1 Mo. LIBOR + 2.00% (b) (c)............. 2.12% 01/25/57 2,784,513 2,210,986 Series 2017-6, Class A1 (b)...................................... 3.02% 06/25/57 2,217,726 10,471,055 Series 2018-R6, Class A1, 1 Mo. LIBOR + 1.08% (b) (c)............ 1.20% 09/25/58 10,394,825 4,242,136 Series 2019-R1, Class A (b)...................................... 3.25% 10/25/58 3,946,440 5,298,554 Series 2019-R4, Class A1 (b)..................................... 3.00% 10/25/59 5,181,088 8,943,799 Series 2020-R3, Class A1A (b).................................... 4.00% 01/26/60 8,521,422 11,002,454 Series 2020-R4, Class A1A (b) (g)................................ 3.30% 06/25/60 10,981,591 21,112,000 Series 2020-R7, Class A1B (b) (g)................................ 2.25% 12/27/61 18,096,130 CitiMortgage Alternative Loan Trust 2,813,828 Series 2006-A4, Class 1A8........................................ 6.00% 09/25/36 2,753,902 Credit Suisse Mortgage Trust 10,870,943 Series 2007-2, Class 1A4......................................... 5.75% 03/25/37 8,988,047 29,668,014 Series 2007-3, Class 1A1A........................................ 5.84% 04/25/37 12,418,624 106,151 Series 2010-7R, Class 1A12 (b)................................... 4.00% 01/26/37 106,646 175,046 Series 2010-8R, Class 4A5 (b) (f)................................ 2.91% 12/26/35 177,058 160,944 Series 2010-8R, Class 10A5 (b) (f)............................... 3.44% 04/26/47 160,845 12,050 Series 2011-5R, Class 2A1 (b) (f)................................ 2.98% 08/27/46 12,076 12,023,845 Series 2019-RPL8, Class A1 (b)................................... 3.32% 10/25/58 12,138,044 </TABLE> Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) GMACM Mortgage Loan Trust $ 1,773,279 Series 2006-AR1, Class 1A1 (f)................................... 3.21% 04/19/36 $ 1,571,895 1,874,212 Series 2006-J1, Class A4......................................... 5.75% 04/25/36 1,874,515 GreenPoint Mortgage Funding Trust 149,706 Series 2006-AR1, Class A1A, 1 Mo. LIBOR + 0.58% (c).............. 0.70% 02/25/36 148,629 GSR Mortgage Loan Trust 26,587,727 Series 2006-OA1, Class 2A2, 1 Mo. LIBOR + 0.52% (c).............. 0.64% 08/25/46 16,155,171 HarborView Mortgage Loan Trust 505,849 Series 2005-10, Class 2A1A, 1 Mo. LIBOR + 0.62% (c).............. 0.73% 11/19/35 470,736 1,495,696 Series 2007-7, Class 1A1, 1 Mo. LIBOR + 1.00% (c)................ 1.12% 10/25/37 1,415,376 HomeBanc Mortgage Trust 1,027,491 Series 2004-2, Class A1, 1 Mo. LIBOR + 0.74% (c)................. 0.86% 12/25/34 1,085,164 Impac CMB Trust 269,111 Series 2005-2, Class 1A1, 1 Mo. LIBOR + 0.52% (c)................ 0.64% 04/25/35 269,145 909,301 Series 2005-4, Class 1A1A, 1 Mo. LIBOR + 0.27% (c)............... 0.66% 05/25/35 939,257 IndyMac INDX Mortgage Loan Trust 1,815,398 Series 2005-AR14, Class 2A1A, 1 Mo. LIBOR + 0.60% (c)............ 0.72% 07/25/35 1,747,391 4,492,203 Series 2006-AR6, Class 2A1A, 1 Mo. LIBOR + 0.40% (c)............. 0.52% 06/25/46 4,098,578 5,510,247 Series 2007-FLX4, Class 2A2, 1 Mo. LIBOR + 0.25% (c)............. 0.37% 07/25/37 5,319,664 JP Morgan Mortgage Trust 2,091,598 Series 2006-A4, Class 1A1 (f).................................... 3.33% 06/25/36 1,831,851 Lehman XS Trust 317,279 Series 2006-16N, Class A4A, 1 Mo. LIBOR + 0.19% (c).............. 0.31% 11/25/46 299,762 6,391,013 Series 2007-16N, Class 1A1, 1 Mo. LIBOR + 0.47% (c).............. 0.59% 09/25/47 6,207,784 3,483,114 Series 2007-16N, Class 2A1, 1 Mo. LIBOR + 0.40% (c).............. 0.52% 09/25/47 3,348,889 Merrill Lynch Alternative Note Asset Trust 4,736,218 Series 2007-OAR3, Class A1, 1 Mo. LIBOR + 0.19% (c).............. 0.31% 07/25/47 4,491,742 Morgan Stanley Mortgage Loan Trust 801,310 Series 2004-6AR, Class 1M1, 1 Mo. LIBOR + 0.98% (c).............. 1.09% 07/25/34 818,206 58,184 Series 2005-2AR, Class A, 1 Mo. LIBOR + 0.26% (c)................ 0.38% 04/25/35 57,812 Morgan Stanley Resecuritization Trust 5,032 Series 2015-R2, Class 1A1, 12 Mo. Treasury Average + 0.71% (b) (c)................................................. 1.21% 12/27/46 5,027 MortgageIT Trust 90,740 Series 2005-5, Class A1, 1 Mo. LIBOR + 0.52% (c)................. 0.64% 12/25/35 91,116 Nomura Resecuritization Trust 2,506,285 Series 2015-5R, Class 1A1 (b).................................... 4.00% 08/26/37 2,572,759 Opteum Mortgage Acceptance Corp. 1,323,615 Series 2005-5, Class 1A1D, 1 Mo. LIBOR + 0.76% (c)............... 0.88% 12/25/35 1,332,834 430,046 Series 2006-1, Class 1APT, 1 Mo. LIBOR + 0.42% (c)............... 0.54% 04/25/36 404,899 RALI Trust 9,257,653 Series 2007-QS7, Class 1A1....................................... 6.00% 05/25/37 9,052,787 4,379,570 Series 2007-QS9, Class A33....................................... 6.50% 07/25/37 4,302,437 RFMSI Trust 9,360,271 Series 2007-S6, Class 1A4........................................ 6.00% 06/25/37 9,394,303 Stanwich Mortgage Loan Co. LLC 4,005,070 Series 2019-RPL1, Class A, steps up to 4.72% on 12/15/22 (b) (h).............................................. 3.72% 02/15/49 4,098,324 Structured Adjustable Rate Mortgage Loan Trust 34,371 Series 2004-12, Class 3A1 (f).................................... 2.59% 09/25/34 35,177 </TABLE> See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Structured Adjustable Rate Mortgage Loan Trust (Continued) $ 28,178,879 Series 2006-2, Class 4A1 (f)..................................... 3.26% 03/25/36 $ 22,370,006 Structured Asset Mortgage Investments II Trust 2,932,278 Series 2006-AR1, Class 3A1, 1 Mo. LIBOR + 0.46% (c).............. 0.58% 02/25/36 2,801,484 8,571,664 Series 2006-AR7, Class A1A, 1 Mo. LIBOR + 0.21% (c).............. 0.33% 08/25/36 8,487,379 4,372,062 Series 2007-AR6, Class A1, 12 Mo. Treasury Average + 1.50% (c)..................................................... 1.88% 08/25/47 4,285,046 WaMu Mortgage Pass-Through Certificates Trust 104,475 Series 2005-AR1, Class A2A1, 1 Mo. LIBOR + 0.34% (c)............. 0.80% 01/25/45 103,642 199,725 Series 2005-AR15, Class A1A1, 1 Mo. LIBOR + 0.26% (c)............ 0.64% 11/25/45 199,970 282,508 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average + 1.00% (c)..................................................... 1.38% 02/25/46 284,658 416,917 Series 2006-AR4, Class 1A1A, 12 Mo. Treasury Average + 0.94% (c)..................................................... 1.44% 05/25/46 417,332 -------------- 257,091,174 -------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- 1.9% Banc of America Merrill Lynch Large Loan Commercial Mortgage Securities Trust 285,000 Series 2015-200P, Class A (b).................................... 3.22% 04/14/33 307,897 Citigroup Commercial Mortgage Trust 14,620,261 Series 2020-WSS, Class A, 1 Mo. LIBOR + 1.95% (b) (c)............ 2.06% 02/15/39 14,982,492 COMM Mortgage Trust 8,249,616 Series 2012-CR4, Class A3........................................ 2.85% 10/15/45 8,481,462 206,646 Series 2012-CR5, Class A3........................................ 2.54% 12/10/45 210,665 315,000 Series 2012-CR5, Class A4........................................ 2.77% 12/10/45 325,238 13,200,000 Series 2013-SFS, Class A2 (b) (f)................................ 2.99% 04/12/35 13,557,290 CSAIL Commercial Mortgage Trust 13,250,000 Series 2019-C16, Class A2........................................ 3.07% 06/15/52 13,937,519 DBJPM Mortgage Trust 2,050,000 Series 2016-SFC, Class A (b)..................................... 2.83% 08/10/36 2,085,605 Eleven Madison Mortgage Trust 305,000 Series 2015-11MD, Class A (b) (f)................................ 3.55% 09/10/35 333,808 GS Mortgage Securities Corp. Trust 9,581,658 Series 2019-70P, Class A, 1 Mo. LIBOR + 1.00% (b) (c)............ 1.11% 10/15/36 9,613,494 JP Morgan Chase Commercial Mortgage Securities Trust 5,660,597 Series 2012-HSBC, Class A (b).................................... 3.09% 07/05/32 5,822,003 JPMDB Commercial Mortgage Securities Trust 8,500,000 Series 2018-C8, Class A3......................................... 3.94% 06/15/51 9,513,652 Manhattan West 3,855,000 Series 2020-1MW, Class A (b)..................................... 2.13% 09/10/39 3,938,901 MKT Mortgage Trust 1,730,000 Series 2020-525M, Class A (b).................................... 2.69% 02/12/40 1,808,391 Natixis Commercial Mortgage Securities Trust 1,490,000 Series 2020-2PAC, Class A (b).................................... 2.97% 12/15/38 1,554,402 SFAVE Commercial Mortgage Securities Trust 150,000 Series 2015-5AVE, Class A1 (b) (f)............................... 3.87% 01/05/43 153,517 9,265,000 Series 2015-5AVE, Class A2A (b) (f).............................. 3.66% 01/05/43 9,415,690 50,000 Series 2015-5AVE, Class A2B (b) (f).............................. 4.14% 01/05/43 50,474 </TABLE> Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED) UBS-Barclays Commercial Mortgage Trust $ 242,490 Series 2013-C6, Class A3......................................... 2.97% 04/10/46 $ 250,052 -------------- 96,342,552 -------------- TOTAL MORTGAGE-BACKED SECURITIES............................................................... 353,433,726 (Cost $352,776,966) -------------- ASSET-BACKED SECURITIES -- 6.4% ACE Securities Corp. Home Equity Loan Trust 17,692,908 Series 2007-HE1, Class A1, 1 Mo. LIBOR + 0.15% (c)............... 0.27% 01/25/37 11,924,751 15,091,816 Series 2007-WM2, Class A1, 1 Mo. LIBOR + 0.21% (c)............... 0.33% 02/25/37 8,948,383 Ajax Mortgage Loan Trust 4,520,308 Series 2019-F, Class A1, steps up to 3.86% on 11/25/26 (b) (h)... 2.86% 07/25/59 4,660,354 Ammc CLO 19 Ltd. 4,675,000 Series 2016-19A, Class AR, 3 Mo. LIBOR + 1.14% (b) (c)........... 1.38% 10/16/28 4,672,111 Argent Securities, Inc. 250,894 Series 2005-W2, Class M1, 1 Mo. LIBOR + 0.74% (c)................ 0.85% 10/25/35 251,256 Asset Backed Funding Certificates Trust 10,243,028 Series 2006-HE1, Class A2B, 1 Mo. LIBOR + 0.11% (c).............. 0.23% 01/25/37 7,230,737 75,859 Series 2006-OPT1, Class A2, 1 Mo. LIBOR + 0.28% (c).............. 0.40% 09/25/36 75,342 Barings CLO Ltd. 364,232 Series 2013-IA, Class AR, 3 Mo. LIBOR + 0.80% (b) (c)............ 1.02% 01/20/28 364,356 729,030 Series 2016-2A, Class AR, 3 Mo. LIBOR + 1.08% (b) (c)............ 1.30% 07/20/28 729,471 Brazos Higher Education Authority, Inc. 270,000 Series 2011-1, Class A3, 3 Mo. LIBOR + 1.05% (c)................. 1.24% 11/25/33 272,520 300,000 Series 2011-2, Class A3, 3 Mo. LIBOR + 1.00% (c)................. 1.22% 10/27/36 301,835 Carrington Mortgage Loan Trust 1,452,393 Series 2006-OPT1, Class M1, 1 Mo. LIBOR + 0.35% (c).............. 0.47% 02/25/36 1,447,499 Citigroup Mortgage Loan Trust 1,397,292 Series 2006-HE2, Class M1, 1 Mo. LIBOR + 0.29% (c)............... 0.41% 08/25/36 1,389,599 Dryden Senior Loan Fund 900,000 Series 2013-26A, Class AR, 3 Mo. LIBOR + 0.90% (b) (c)........... 1.14% 04/15/29 900,257 572,000 Series 2013-28A, Class A1LR, 3 Mo. LIBOR + 1.20% (b) (c)......... 1.39% 08/15/30 572,562 ECMC Group Student Loan Trust 1,656,578 Series 2017-2A, Class A, 1 Mo. LIBOR + 1.05% (b) (c)............. 1.17% 05/25/67 1,679,768 EFS Volunteer No 3 LLC 138,153 Series 2012-1, Class A3, 1 Mo. LIBOR + 1.00% (b) (c)............. 1.12% 04/25/33 139,100 First Franklin Mortgage Loan Trust 21,521,883 Series 2006-FF13, Class A2C, 1 Mo. LIBOR + 0.32% (c)............. 0.44% 10/25/36 17,325,327 15,056,442 Series 2007-FF2, Class A1, 1 Mo. LIBOR + 0.14% (c)............... 0.26% 03/25/37 10,595,259 GE-WMC Mortgage Securities LLC 849,996 Series 2005-1, Class M1, 1 Mo. LIBOR + 0.66% (c)................. 0.78% 10/25/35 844,651 GoldenTree Loan Management US CLO Ltd. 4,227,000 Series 2017-1A, Class AR, 3 Mo. LIBOR + 0.95% (b) (c)............ 1.17% 04/20/29 4,228,055 5,000,000 Series 2020-8A, Class A, 3 Mo. LIBOR + 1.55% (b) (c)............. 1.77% 07/20/31 5,037,946 GSAA Home Equity Trust 1,477,599 Series 2005-6, Class M1, 1 Mo. LIBOR + 0.65% (c)................. 0.76% 06/25/35 1,485,899 GSAMP Trust 15,803,006 Series 2006-NC2, Class A2C, 1 Mo. LIBOR + 0.15% (c).............. 0.27% 06/25/36 11,280,312 11,259,321 Series 2007-FM2, Class A1, 1 Mo. LIBOR + 0.14% (c)............... 0.26% 01/25/37 8,309,428 </TABLE> See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- ASSET-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> JP Morgan Mortgage Acquisition Trust $ 125,883 Series 2006-ACC1, Class M1, 1 Mo. LIBOR + 0.27% (c).............. 0.39% 05/25/36 $ 125,899 2,527,230 Series 2006-WF1, Class A6, steps up to 6.50% after Redemption Date (h)...................................................... 6.50% 07/25/36 1,189,859 20,984,067 Series 2006-WMC2, Class A4, 1 Mo. LIBOR + 0.15% (c).............. 0.27% 07/25/36 12,510,936 8,284,929 Series 2006-WMC2, Class A5, 1 Mo. LIBOR + 0.25% (c).............. 0.37% 07/25/36 5,044,788 405,000 Series 2007-CH2, Class MV1, 1 Mo. LIBOR + 0.28% (c).............. 0.40% 01/25/37 399,153 Legacy Mortgage Asset Trust 3,305,877 Series 2019-GS1, Class A1 (b) (h)................................ 4.00% 01/25/59 3,388,628 2,024,623 Series 2019-GS4, Class A1 (b) (h)................................ 3.44% 05/25/59 2,041,714 Lehman XS Trust 4,105,996 Series 2006-9, Class A1C, 1 Mo. LIBOR + 0.52% (c)................ 0.64% 05/25/46 3,936,380 Long Beach Mortgage Loan Trust 760,179 Series 2006-1, Class 1A, 1 Mo. LIBOR + 0.44% (c)................. 0.56% 02/25/36 746,385 Magnetite CLO Ltd. 800,000 Series 2019-21A, Class A, 3 Mo. LIBOR + 1.28% (b) (c)............ 1.50% 04/20/30 800,549 Magnetite VII Ltd. 4,691,000 Series 2012-7A, Class A1R2, 3 Mo. LIBOR + 0.80% (b) (c).......... 1.04% 01/15/28 4,693,908 Magnetite XXVII Ltd. 2,500,000 Series 2020-27A, Class A1, 3 Mo. LIBOR + 1.55% (b) (c)........... 1.77% 07/20/33 2,506,527 Mastr Asset Backed Securities Trust 8,113,157 Series 2006-WMC3, Class A2, 1 Mo. LIBOR + 0.05% (c).............. 0.17% 08/25/36 3,859,699 Merrill Lynch First Franklin Mortgage Loan Trust 350,884 Series 2007-3, Class A2B, 1 Mo. LIBOR + 0.13% (c)................ 0.25% 06/25/37 321,330 Mid-State Trust 169,223 Series 2003-11, Class A1......................................... 4.86% 07/15/38 181,239 Morgan Stanley ABS Capital I, Inc. Trust 12,341,679 Series 2006-HE4, Class A3, 1 Mo. LIBOR + 0.30% (c)............... 0.42% 06/25/36 8,463,094 6,400,003 Series 2006-HE8, Class A2B, 1 Mo. LIBOR + 0.10% (c).............. 0.22% 10/25/36 3,870,916 823,826 Series 2006-NC1, Class M1, 1 Mo. LIBOR + 0.57% (c)............... 0.69% 12/25/35 821,378 7,095,931 Series 2007-HE1, Class A2D, 1 Mo. LIBOR + 0.23% (c).............. 0.35% 11/25/36 5,293,131 30,079,114 Series 2007-HE2, Class A2D, 1 Mo. LIBOR + 0.21% (c).............. 0.33% 01/25/37 18,936,423 Navient Student Loan Trust 265,935 Series 2014-1, Class A3, 1 Mo. LIBOR + 0.51% (c)................. 0.63% 06/25/31 264,238 224,365 Series 2014-3, Class A, 1 Mo. LIBOR + 0.62% (c).................. 0.74% 03/25/83 222,069 187,319 Series 2015-1, Class A2, 1 Mo. LIBOR + 0.60% (c)................. 0.72% 04/25/40 185,673 1,750,000 Series 2016-2A, Class A3, 1 Mo. LIBOR + 1.50% (b) (c)............ 1.62% 06/25/65 1,814,907 3,890,791 Series 2016-5A, Class A, 1 Mo. LIBOR + 1.25% (b) (c)............. 1.37% 06/25/65 4,011,322 300,000 Series 2017-3A, Class A3, 1 Mo. LIBOR + 1.05% (b) (c)............ 1.17% 07/26/66 306,467 3,439,275 Series 2017-5A, Class A, 1 Mo. LIBOR + 0.80% (b) (c)............. 0.92% 07/26/66 3,450,238 New Century Home Equity Loan Trust 2,600,000 Series 2005-4, Class M3, 1 Mo. LIBOR + 0.83% (c)................. 0.94% 09/25/35 2,587,809 OCP CLO Ltd. 6,200,000 Series 2020-19A, Class A1, 3 Mo. LIBOR + 1.75% (b) (c)........... 1.97% 07/20/31 6,218,441 Palmer Square Loan Funding Ltd. 166,472 Series 2019-1A, Class A1, 3 Mo. LIBOR + 1.05% (b) (c)............ 1.27% 04/20/27 166,571 1,539,919 Series 2019-4A, Class A1, 3 Mo. LIBOR + 0.90% (b) (c)............ 1.12% 10/24/27 1,540,693 Residential Asset Mortgage Products, Inc. 75,556 Series 2006-RZ1, Class M2, 1 Mo. LIBOR + 0.42% (c)............... 0.75% 03/25/36 75,701 2,000,000 Series 2006-RZ1, Class M3, 1 Mo. LIBOR + 0.45% (c)............... 0.79% 03/25/36 2,006,189 </TABLE> Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- ASSET-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> Residential Asset Securities Corp. $ 205,446 Series 2006-EMX3, Class A3, 1 Mo. LIBOR + 0.28% (c).............. 0.68% 04/25/36 $ 203,090 1,397,097 Series 2006-KS3, Class M1, 1 Mo. LIBOR + 0.33% (c)............... 0.61% 04/25/36 1,371,948 Rockford Tower CLO Ltd. 10,000,000 Series 2017-3A, Class A, 3 Mo. LIBOR + 1.19% (b) (c)............. 1.41% 10/20/30 10,007,607 Saxon Asset Securities Trust 693,671 Series 2007-2, Class A2C, 1 Mo. LIBOR + 0.24% (c)................ 0.36% 05/25/47 603,364 Securitized Asset-Backed Receivables LLC Trust 134,695 Series 2006-OP1, Class M2, 1 Mo. LIBOR + 0.59% (c)............... 0.70% 10/25/35 134,181 26,685,612 Series 2006-WM4, Class A1, 1 Mo. LIBOR + 0.19% (b) (c)........... 0.31% 11/25/36 16,870,238 Skyline Aircraft Finance LLC 14,000,000 Series 2020-1, Class A (e)....................................... 3.23% 05/10/38 14,000,000 SLC Student Loan Trust 5,054,000 Series 2006-1, Class A6, 3 Mo. LIBOR + 0.16% (c)................. 0.38% 03/15/55 4,914,466 130,000 Series 2006-2, Class A6, 3 Mo. LIBOR + 0.16% (c)................. 0.38% 09/15/39 126,639 1,807,477 Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (c)................ 1.82% 12/15/32 1,859,439 SLM Student Loan Trust 92,891 Series 2003-10A, Class A3, 3 Mo. LIBOR + 0.47% (b) (c)........... 0.69% 12/15/27 92,918 565,546 Series 2005-9, Class A7A, 3 Mo. LIBOR + 0.60% (c)................ 0.82% 01/25/41 566,599 24,727 Series 2007-6, Class A4, 3 Mo. LIBOR + 0.38% (c)................. 0.60% 10/25/24 24,708 80,000 Series 2007-7, Class B, 3 Mo. LIBOR + 0.75% (c).................. 0.97% 10/27/70 72,824 865,024 Series 2008-1, Class A4, 3 Mo. LIBOR + 0.65% (c)................. 0.87% 01/25/22 839,399 5,080,029 Series 2008-2, Class A3, 3 Mo. LIBOR + 0.75% (c)................. 0.97% 04/25/23 4,962,227 130,000 Series 2008-2, Class B, 3 Mo. LIBOR + 1.20% (c).................. 1.42% 01/25/83 117,030 700,000 Series 2008-3, Class B, 3 Mo. LIBOR + 1.20% (c).................. 1.42% 04/26/83 655,174 5,182,443 Series 2008-6, Class A4, 3 Mo. LIBOR + 1.10% (c)................. 1.32% 07/25/23 5,170,763 320,000 Series 2008-7, Class B, 3 Mo. LIBOR + 1.85% (c).................. 2.07% 07/26/83 319,610 2,451,961 Series 2008-8, Class A4, 3 Mo. LIBOR + 1.50% (c)................. 1.72% 04/25/23 2,468,716 4,150,000 Series 2011-2, Class A2, 1 Mo. LIBOR + 1.20% (c)................. 1.32% 10/25/34 4,224,070 729,855 Series 2012-2, Class A, 1 Mo. LIBOR + 0.70% (c).................. 0.82% 01/25/29 709,027 716,012 Series 2012-3, Class A, 1 Mo. LIBOR + 0.65% (c).................. 0.77% 12/27/38 712,955 267,368 Series 2012-6, Class A3, 1 Mo. LIBOR + 0.75% (c)................. 0.87% 05/26/26 265,053 3,842,475 Series 2012-7, Class A3, 1 Mo. LIBOR + 0.65% (c)................. 0.77% 05/26/26 3,772,688 555,000 Series 2012-7, Class B, 1 Mo. LIBOR + 1.80% (c).................. 1.92% 09/25/43 551,258 136,926 Series 2013-2, Class A, 1 Mo. LIBOR + 0.45% (c).................. 0.57% 06/25/43 135,777 Soundview Home Loan Trust 7,728,748 Series 2007-OPT4, Class 1A1, 1 Mo. LIBOR + 1.00% (c)............. 1.12% 09/25/37 6,260,400 878,391 Series 2004-6, Class A3, 1 Mo. LIBOR + 0.80% (c)................. 0.92% 07/25/34 869,714 214,500 Series 2005-2, Class M2, 1 Mo. LIBOR + 0.74% (c)................. 0.85% 03/25/35 214,125 Structured Asset Securities Corp. Mortgage Loan Trust 1,350,000 Series 2005-NC2, Class M5, 1 Mo. LIBOR + 0.93% (c)............... 1.05% 05/25/35 1,345,259 TAL Advantage VII LLC 11,475,000 Series 2020-1A, Class A (b)...................................... 2.05% 09/20/45 11,655,137 TIF Funding II LLC 9,336,250 Series 2020-1A, Class A (b)...................................... 2.09% 08/20/45 9,439,049 Towd Point Mortgage Trust 154,623 Series 2015-2, Class 1A13 (b) (c)................................ 2.50% 11/25/60 154,945 Treman Park CLO Ltd. 778,297 Series 2015-1A, Class ARR, 3 Mo. LIBOR + 1.07% (b) (c)........... 1.29% 10/20/28 780,315 Voya CLO Ltd. 47,991 Series 2014-3A, Class A1R, 3 Mo. LIBOR + 0.72% (b) (c)........... 0.94% 07/25/26 47,993 </TABLE> See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- ASSET-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> Wachovia Student Loan Trust $ 960,462 Series 2006-1, Class A6, 3 Mo. LIBOR + 0.17% (b) (c)............. 0.39% 04/25/40 $ 943,752 WaMu Asset-Backed Certificates WaMu Trust 1,197,188 Series 2007-HE2, Class 2A1, 1 Mo. LIBOR + 0.11% (c).............. 0.23% 04/25/37 598,815 4,154,445 Series 2007-HE2, Class 2A2, 1 Mo. LIBOR + 0.19% (c).............. 0.31% 04/25/37 2,100,052 8,902,382 Series 2007-HE2, Class 2A3, 1 Mo. LIBOR + 0.25% (c).............. 0.37% 04/25/37 4,535,077 -------------- TOTAL ASSET-BACKED SECURITIES.................................................................. 321,345,433 (Cost $314,050,941) -------------- </TABLE> <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN SOVEREIGN BONDS AND NOTES-- 4.4% <S> <C> <C> <C> <C> BRAZIL -- 0.1% 3,830,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 3,817,553 -------------- CHILE -- 0.0% 1,400,000 Chile Government International Bond (USD)........................... 2.45% 01/31/31 1,423,114 -------------- COLOMBIA -- 0.2% 684,000 Colombia Government International Bond (USD)........................ 4.50% 01/28/26 757,431 4,900,000 Colombia Government International Bond (USD)........................ 3.00% 01/30/30 4,869,988 471,000 Colombia Government International Bond (USD)........................ 3.13% 04/15/31 469,469 1,633,000 Colombia Government International Bond (USD)........................ 5.20% 05/15/49 1,823,726 -------------- 7,920,614 -------------- DOMINICAN REPUBLIC -- 0.1% 3,485,000 Dominican Republic International Bond (USD) (b)..................... 4.50% 01/30/30 3,532,919 1,680,000 Dominican Republic International Bond (USD) (i)..................... 4.88% 09/23/32 1,711,500 -------------- 5,244,419 -------------- EGYPT -- 0.0% 800,000 Egypt Government International Bond (USD) (b)....................... 5.58% 02/21/23 834,860 1,200,000 Egypt Government International Bond (USD) (b)....................... 7.60% 03/01/29 1,325,220 -------------- 2,160,080 -------------- INDONESIA -- 0.1% 957,000 Indonesia Government International Bond (USD)....................... 2.85% 02/14/30 982,187 2,600,000 Perusahaan Penerbit SBSN Indonesia III (USD) (b).................... 2.80% 06/23/30 2,626,026 -------------- 3,608,213 -------------- JAPAN -- 2.7% 4,735,000,000 Japan Treasury Discount Bill, Series 956 (JPY)...................... (j) 03/15/21 44,422,174 4,815,000,000 Japan Treasury Discount Bill, Series 958 (JPY)...................... (j) 03/22/21 45,173,574 4,970,000,000 Japan Treasury Discount Bill, Series 962 (JPY)...................... (j) 04/05/21 46,629,592 -------------- 136,225,340 -------------- MEXICO -- 0.2% 8,772,000 Mexico Government International Bond (USD).......................... 2.66% 05/24/31 8,471,647 1,560,000 Mexico Government International Bond (USD).......................... 3.77% 05/24/61 1,375,350 -------------- 9,846,997 -------------- </TABLE> Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> PANAMA -- 0.1% 5,383,000 Panama Government International Bond (USD).......................... 3.16% 01/23/30 $ 5,621,924 500,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 478,750 -------------- 6,100,674 -------------- PARAGUAY -- 0.1% 3,300,000 Paraguay Government International Bond (USD) (b).................... 4.95% 04/28/31 3,745,500 647,000 Paraguay Government International Bond (USD) (b).................... 2.74% 01/29/33 622,738 -------------- 4,368,238 -------------- PERU -- 0.1% 1,175,000 Peruvian Government International Bond (USD)........................ 4.13% 08/25/27 1,337,221 5,675,000 Peruvian Government International Bond (USD)........................ 2.84% 06/20/30 5,899,503 -------------- 7,236,724 -------------- QATAR -- 0.1% 3,724,000 Qatar Government International Bond (USD) (i)....................... 4.50% 04/23/28 4,406,535 2,053,000 Qatar Government International Bond (USD) (i)....................... 4.63% 06/02/46 2,466,638 -------------- 6,873,173 -------------- ROMANIA -- 0.1% 2,800,000 Romanian Government International Bond (USD) (i).................... 3.00% 02/14/31 2,841,952 -------------- RUSSIA -- 0.0% 1,600,000 Russian Foreign Bond - Eurobond (USD) (i)........................... 4.38% 03/21/29 1,814,024 -------------- SAUDI ARABIA -- 0.2% 4,040,000 Saudi Government International Bond (USD) (i)....................... 3.63% 03/04/28 4,464,345 1,120,000 Saudi Government International Bond (USD) (b)....................... 2.75% 02/03/32 1,143,212 1,200,000 Saudi Government International Bond (USD) (i)....................... 4.50% 10/26/46 1,349,172 600,000 Saudi Government International Bond (USD) (b)....................... 3.75% 01/21/55 594,099 -------------- 7,550,828 -------------- SOUTH AFRICA -- 0.1% 3,924,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 3,971,724 1,400,000 Republic of South Africa Government International Bond (USD)........ 5.75% 09/30/49 1,290,553 -------------- 5,262,277 -------------- TURKEY -- 0.0% 1,200,000 Turkey Government International Bond (USD).......................... 3.25% 03/23/23 1,194,990 -------------- UNITED ARAB EMIRATES -- 0.1% 3,037,000 Abu Dhabi Government International Bond (USD) (i)................... 2.50% 09/30/29 3,153,241 -------------- URUGUAY -- 0.1% 3,260,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 3,770,435 -------------- TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 220,412,886 (Cost $225,537,386) -------------- </TABLE> See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN CORPORATE BONDS AND NOTES -- 3.9% <S> <C> <C> <C> <C> AGRICULTURE -- 0.2% 2,325,000 Imperial Brands Finance PLC (USD) (b)............................... 3.13% 07/26/24 $ 2,474,369 5,085,000 Imperial Brands Finance PLC (USD) (b)............................... 4.25% 07/21/25 5,652,042 -------------- 8,126,411 -------------- AIRLINES -- 0.0% 654,000 Air Canada Pass-Through Trust, Series 2017-1, Class AA (USD) (b)........................................................ 3.30% 01/15/30 638,821 -------------- BANKS -- 0.9% 1,000,000 Banco Nacional de Comercio Exterior SNC (USD) (b) (d)............... 3.80% 08/11/26 1,003,570 4,880,000 Credit Suisse Group AG (b) (d)...................................... 1.31% 02/02/27 4,815,414 400,000 Global Bank Corp. (USD) (d) (i)..................................... 5.25% 04/16/29 426,600 4,145,000 HSBC Holdings PLC (USD), 3 Mo. LIBOR + 1.00% (c).................... 1.19% 05/18/24 4,201,759 20,000 HSBC Holdings PLC (USD) (d)......................................... 2.63% 11/07/25 21,140 3,450,000 HSBC Holdings PLC (USD) (d)......................................... 1.59% 05/24/27 3,441,043 7,100,000 HSBC Holdings PLC (USD) (d)......................................... 2.01% 09/22/28 7,138,545 1,155,000 Lloyds Banking Group PLC (USD)...................................... 4.05% 08/16/23 1,252,539 1,870,000 Lloyds Banking Group PLC (USD)...................................... 3.90% 03/12/24 2,047,268 3,125,000 Lloyds Banking Group PLC (USD) (d).................................. 3.87% 07/09/25 3,424,139 7,085,000 Macquarie Group Ltd. (USD) (b) (d).................................. 1.34% 01/12/27 7,023,903 500,000 Santander UK Group Holdings PLC (USD) (d)........................... 3.37% 01/05/24 525,080 9,565,000 Santander UK Group Holdings PLC (USD) (d)........................... 4.80% 11/15/24 10,597,738 1,585,000 Santander UK Group Holdings PLC (USD) (d)........................... 1.53% 08/21/26 1,585,149 -------------- 47,503,887 -------------- BEVERAGES -- 0.0% 245,000 Bacardi Ltd. (USD) (b).............................................. 4.70% 05/15/28 285,007 385,000 Bacardi Ltd. (USD) (b).............................................. 5.30% 05/15/48 491,079 1,800,000 Diageo Capital PLC (USD)............................................ 2.13% 04/29/32 1,802,322 -------------- 2,578,408 -------------- COMMERCIAL SERVICES -- 0.3% 2,800,000 DP World Crescent Ltd. (USD) (b).................................... 4.85% 09/26/28 3,171,238 1,689,000 IHS Markit Ltd. (USD) (b)........................................... 5.00% 11/01/22 1,795,028 2,500,000 IHS Markit Ltd. (USD)............................................... 3.63% 05/01/24 2,703,912 795,000 IHS Markit Ltd. (USD) (b)........................................... 4.75% 02/15/25 895,687 5,865,000 IHS Markit Ltd. (USD) (b)........................................... 4.00% 03/01/26 6,536,630 250,000 IHS Markit Ltd. (USD)............................................... 4.75% 08/01/28 293,919 -------------- 15,396,414 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 1,500,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.95% 02/01/22 1,540,525 1,100,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.50% 05/26/22 1,133,026 1,000,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 4.50% 09/15/23 1,079,795 2,841,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 4.88% 01/16/24 3,098,988 1,185,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 4.45% 10/01/25 1,293,673 3,380,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 5.13% 10/01/23 3,626,035 135,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 5.25% 05/15/24 146,896 885,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 2.88% 02/15/25 889,348 840,000 Fondo Mivivienda S.A. (USD) (i)..................................... 3.50% 01/31/23 886,330 9,840,000 GE Capital International Funding Co. Unlimited Co. (USD)............ 4.42% 11/15/35 11,165,108 </TABLE> Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> DIVERSIFIED FINANCIAL SERVICES (CONTINUED) 1,240,000 Park Aerospace Holdings Ltd. (USD) (b).............................. 5.25% 08/15/22 $ 1,296,407 850,000 Park Aerospace Holdings Ltd. (USD) (b).............................. 4.50% 03/15/23 889,038 1,670,000 Park Aerospace Holdings Ltd. (USD) (b).............................. 5.50% 02/15/24 1,817,466 -------------- 28,862,635 -------------- ELECTRIC -- 0.0% 1,200,000 Empresas Publicas de Medellin ESP (USD) (i)......................... 4.38% 02/15/31 1,228,962 600,000 Minejesa Capital B.V. (USD) (b)..................................... 5.63% 08/10/37 636,000 250,000 Mong Duong Finance Holdings B.V. (USD) (i).......................... 5.13% 05/07/29 254,219 -------------- 2,119,181 -------------- ENVIRONMENTAL CONTROL -- 0.1% 2,151,000 GFL Environmental, Inc. (USD) (b)................................... 3.75% 08/01/25 2,195,364 890,000 GFL Environmental, Inc. (USD) (b)................................... 5.13% 12/15/26 940,152 -------------- 3,135,516 -------------- FOOD -- 0.0% 150,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. (USD) (b)........................................................ 5.50% 01/15/30 168,187 -------------- MEDIA -- 0.2% 400,000 Virgin Media Secured Finance PLC (USD) (b).......................... 5.50% 08/15/26 417,200 345,000 Virgin Media Secured Finance PLC (USD) (b).......................... 5.50% 05/15/29 370,326 6,737,000 Virgin Media Secured Finance PLC (USD) (b).......................... 4.50% 08/15/30 6,895,320 -------------- 7,682,846 -------------- MINING -- 0.2% 64,000 Corp. Nacional del Cobre de Chile (USD) (i)......................... 4.50% 09/16/25 72,554 900,000 Corp. Nacional del Cobre de Chile (USD) (i)......................... 3.63% 08/01/27 990,746 3,155,000 Corp. Nacional del Cobre de Chile (USD) (i)......................... 3.15% 01/14/30 3,333,780 3,060,000 Indonesia Asahan Aluminium Persero PT (USD) (b)..................... 6.53% 11/15/28 3,751,943 600,000 Indonesia Asahan Aluminium Persero PT (USD) (b)..................... 5.45% 05/15/30 688,950 -------------- 8,837,973 -------------- OIL & GAS -- 0.4% 200,000 Ecopetrol S.A. (USD)................................................ 5.88% 05/28/45 216,716 1,600,000 KazMunayGas National Co. JSC (USD) (b).............................. 3.50% 04/14/33 1,635,984 2,691,000 KazMunayGas National Co. JSC (USD) (i).............................. 5.75% 04/19/47 3,180,929 2,504,000 Pertamina Persero PT (USD) (b)...................................... 3.10% 08/27/30 2,566,321 1,267,000 Petrobras Global Finance B.V. (USD)................................. 5.09% 01/15/30 1,344,034 750,000 Petroleos del Peru S.A. (USD) (i)................................... 4.75% 06/19/32 817,500 1,590,000 Petroleos Mexicanos (USD)........................................... 5.95% 01/28/31 1,535,344 215,000 Petroleos Mexicanos (USD)........................................... 6.63% 06/15/35 204,477 2,430,000 Petroleos Mexicanos (USD)........................................... 6.75% 09/21/47 2,142,652 2,035,000 Petroleos Mexicanos (USD)........................................... 7.69% 01/23/50 1,938,846 1,705,000 Petroleos Mexicanos (USD)........................................... 6.95% 01/28/60 1,509,351 2,713,000 Petronas Capital Ltd. (USD) (b)..................................... 3.50% 04/21/30 2,985,147 1,150,000 Saudi Arabian Oil Co. (USD) (b)..................................... 2.25% 11/24/30 1,123,379 600,000 Saudi Arabian Oil Co. (USD) (i)..................................... 4.25% 04/16/39 662,875 171,825 Transocean Pontus Ltd. (USD) (b).................................... 6.13% 08/01/25 164,415 517,000 Transocean Poseidon Ltd. (USD) (b).................................. 6.88% 02/01/27 484,364 -------------- 22,512,334 -------------- </TABLE> See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> OIL & GAS SERVICES -- 0.0% 1,943,400 Transocean Phoenix 2 Ltd. (USD) (b)................................. 7.75% 10/15/24 $ 1,928,824 15,000 Transocean Proteus Ltd. (USD) (b)................................... 6.25% 12/01/24 14,513 -------------- 1,943,337 -------------- PACKAGING & CONTAINERS -- 0.1% 1,363,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (USD) (b)........................................................ 5.25% 04/30/25 1,439,798 1,514,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (USD) (b)........................................................ 4.13% 08/15/26 1,568,743 51,000 OI European Group B.V. (USD) (b).................................... 4.00% 03/15/23 52,307 1,562,000 Trivium Packaging Finance B.V. (USD) (b)............................ 5.50% 08/15/26 1,637,093 -------------- 4,697,941 -------------- PHARMACEUTICALS -- 0.1% 7,034,000 Bausch Health Cos., Inc. (USD) (b).................................. 7.00% 03/15/24 7,192,705 -------------- PIPELINES -- 0.0% 800,000 Southern Gas Corridor CJSC (USD) (i)................................ 6.88% 03/24/26 957,900 -------------- RETAIL -- 0.2% 3,475,000 1011778 BC ULC / New Red Finance, Inc. (USD) (b).................... 3.50% 02/15/29 3,412,016 100,000 Alimentation Couche-Tard, Inc. (USD) (b)............................ 3.55% 07/26/27 109,825 4,230,000 Alimentation Couche-Tard, Inc. (USD) (b)............................ 3.80% 01/25/50 4,499,798 -------------- 8,021,639 -------------- SAVINGS & LOANS -- 0.3% 4,895,000 Nationwide Building Society (USD) (b) (d)........................... 3.62% 04/26/23 5,063,851 6,645,000 Nationwide Building Society (USD) (b) (d)........................... 3.77% 03/08/24 7,052,972 1,300,000 Nationwide Building Society (USD) (b) (d)........................... 4.36% 08/01/24 1,411,358 -------------- 13,528,181 -------------- SEMICONDUCTORS -- 0.1% 2,880,000 Broadcom Corp. / Broadcom Cayman Finance Ltd. (USD)................. 3.63% 01/15/24 3,099,112 -------------- TELECOMMUNICATIONS -- 0.2% 400,000 C&W Senior Financing DAC (USD) (b).................................. 6.88% 09/15/27 429,250 2,000,000 Intelsat Jackson Holdings S.A. (USD) (k)............................ 5.50% 08/01/23 1,275,000 3,860,000 Intelsat Jackson Holdings S.A. (USD) (b) (k)........................ 8.50% 10/15/24 2,518,264 390,000 Intelsat Jackson Holdings S.A. (USD) (b) (k)........................ 9.75% 07/15/25 250,458 500,000 SES S.A. (USD) (b).................................................. 3.60% 04/04/23 528,289 330,000 Vodafone Group PLC (USD)............................................ 3.75% 01/16/24 359,736 2,777,000 Vodafone Group PLC (USD)............................................ 4.88% 06/19/49 3,373,172 1,375,000 Vodafone Group PLC (USD)............................................ 4.25% 09/17/50 1,527,468 -------------- 10,261,637 -------------- TRANSPORTATION -- 0.0% 726,000 Empresa de Transporte de Pasajeros Metro S.A. (USD) (b)............. 3.65% 05/07/30 805,698 -------------- TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 198,070,763 (Cost $195,381,299) -------------- </TABLE> Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MUNICIPAL BONDS -- 1.8% <S> <C> <C> <C> <C> ARIZONA -- 0.0% $ 2,195,000 Maricopa Cnty Indl Dev Auth......................................... 3.00% 01/01/49 $ 2,236,990 -------------- CALIFORNIA -- 0.4% 1,505,000 City of Los Angeles Dept of Arpts................................... 5.00% 05/15/39 1,893,019 4,040,000 City of San Francisco CA Public Utilities Commission Water Rev...... 2.83% 11/01/41 4,176,067 2,585,000 Los Angeles CA Unif School District................................. 5.75% 07/01/34 3,538,710 4,215,000 Los Angeles Community College District.............................. 2.11% 08/01/32 4,290,786 4,715,000 Regents of the Univ of CA Medical Center Pooled Rev................. 3.26% 05/15/60 4,967,677 -------------- 18,866,259 -------------- COLORADO -- 0.1% 4,080,000 City & Cnty of Denver CO Arpt System Rev, Ser C..................... 2.14% 11/15/29 4,182,041 -------------- FLORIDA -- 0.1% 2,000,000 Cnty of Miami-Dade FL Aviation Rev.................................. 2.53% 10/01/30 2,047,180 1,790,000 Cnty of Miami-Dade FL Aviation Rev.................................. 5.00% 10/01/49 2,141,771 1,250,000 Greater Orlando Aviation Auth....................................... 5.00% 10/01/44 1,509,300 800,000 Greater Orlando Aviation Auth....................................... 5.00% 10/01/54 957,448 -------------- 6,655,699 -------------- MARYLAND -- 0.1% 820,000 Baltimore MD Rev Wastewater Proj, Ser A............................. 2.13% 07/01/33 823,157 1,250,000 Baltimore MD Rev Wastewater Proj, Ser A............................. 2.23% 07/01/34 1,255,950 1,450,000 Baltimore MD Rev Wastewater Proj, Ser B............................. 2.23% 07/01/34 1,492,833 -------------- 3,571,940 -------------- MASSACHUSETTS -- 0.1% 2,695,000 Commonwealth of MA.................................................. 3.00% 03/01/49 2,825,600 1,845,000 Massachusetts Sch Bldg Auth......................................... 2.97% 10/15/32 1,928,671 -------------- 4,754,271 -------------- NEW JERSEY -- 0.0% 2,000,000 NJ St Turnpike Auth Rev............................................. 1.86% 01/01/31 1,964,800 500,000 NJ St Turnpike Auth Rev............................................. 3.73% 01/01/36 574,375 -------------- 2,539,175 -------------- NEW YORK -- 0.9% 3,170,000 City of New York NY................................................. 3.62% 04/01/31 3,550,210 3,620,000 City of New York NY................................................. 1.92% 08/01/31 3,563,890 1,225,000 Metro Transprtn Auth................................................ 5.18% 11/15/49 1,584,243 400,000 New York City NY Transitional Fin Auth Rev Qualified Sch Constr, Ser BD G-3....................................................... 5.27% 05/01/27 484,720 970,000 New York City NY Transitional Fin Auth Rev, Ser A-3................. 3.96% 08/01/32 1,097,060 6,940,000 New York City NY Transitional Fin Auth Rev, Ser B-3................. 1.85% 08/01/32 6,808,695 2,000,000 New York City NY Transitional Fin Auth Rev, Ser C-1................. 4.00% 05/01/43 2,271,280 750,000 New York City Water & Sewer System.................................. 4.00% 06/15/50 865,103 1,615,000 New York City Water & Sewer System.................................. 5.00% 06/15/50 2,020,139 5,140,000 New York State Urban Development Corp............................... 2.97% 03/15/34 5,381,888 3,945,000 New York State Urban Development Corp............................... 4.00% 03/15/43 4,477,851 2,690,000 NY St Dorm Auth..................................................... 5.00% 03/15/24 3,046,533 1,405,000 NY St Dorm Auth..................................................... 2.96% 02/15/32 1,531,520 5,355,000 NY St Dorm Auth..................................................... 4.00% 03/15/44 6,088,260 </TABLE> See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MUNICIPAL BONDS (CONTINUED) <S> <C> <C> <C> <C> NEW YORK (CONTINUED) $ 1,870,000 Port Auth of NY & NJ................................................ 4.00% 07/15/50 $ 2,079,085 -------------- 44,850,477 -------------- NORTH CAROLINA -- 0.1% 2,250,000 Univ of NC at Chapel Hill........................................... 3.33% 12/01/36 2,575,620 -------------- TOTAL MUNICIPAL BONDS.......................................................................... 90,232,472 (Cost $88,745,939) -------------- </TABLE> <TABLE> <CAPTION> PRINCIPAL STATED VALUE DESCRIPTION RATE (l) MATURITY (m) VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- SENIOR FLOATING-RATE LOAN INTERESTS -- 1.6% <S> <C> <C> <C> <C> CABLE AND SATELLITE -- 0.1% 2,350,000 Eagleview Technology Corp., Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor...................................................... 3.62% 08/14/25 2,319,450 725,000 Virgin Media Bristol LLC, Term Loan N, 1 Mo. LIBOR + 2.50%, 0.00% Floor...................................................... 2.62% 01/31/28 723,021 -------------- 3,042,471 -------------- CONSUMER PRODUCTS -- 0.1% 7,155,129 Zep, Inc., Term Loan B, 3 Mo. LIBOR + 4.00%, 1.00% Floor............ 5.00% 08/11/24 7,078,497 -------------- DIVERSIFIED MANUFACTURING -- 0.0% 1,296,701 Mirion Technologies, Inc., Term Loan B, 3 Mo. LIBOR + 4.00%, 0.00% Floor...................................................... 4.23% 03/06/26 1,298,321 -------------- ENTERTAINMENT -- 0.1% 4,000,000 Caesars Resort Collection LLC, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor............................................... 2.86% 12/22/24 3,962,520 -------------- ENVIRONMENTAL -- 0.0% 319,103 GFL Environmental, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.50% Floor...................................................... 3.50% 05/31/25 320,433 -------------- FOOD AND BEVERAGE -- 0.0% 175,056 Hostess Brands LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor............................................................ 3.00% 08/03/25 174,728 1,629 Hostess Brands LLC, Term Loan B, 2 Mo. LIBOR + 2.25%, 0.75% Floor............................................................ 3.00% 08/03/25 1,626 466,799 Hostess Brands LLC, Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor............................................................ 3.00% 08/03/25 465,924 -------------- 642,278 -------------- GAMING -- 0.0% 250,000 VICI Properties, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor............................................................ 1.86% 12/22/24 248,220 -------------- HEALTHCARE -- 0.3% 2,150,000 ADMI Corp., Term Loan B2, 1 Mo. LIBOR + 3.25%, 0.50% Floor.......... 3.75% 12/23/27 2,139,637 4,827,461 Aveanna Healthcare LLC, Term Loan, 3 Mo. LIBOR + 4.25%, 1.00% Floor...................................................... 5.25% 03/16/24 4,789,228 897,739 CPI Holdco LLC, Term Loan, 1 Mo. LIBOR + 4.00%, 0.00% Floor............................................................ 4.12% 11/04/26 900,549 </TABLE> Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED VALUE DESCRIPTION RATE (l) MATURITY (m) VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED) <S> <C> <C> <C> <C> HEALTHCARE (CONTINUED) $ 2,879,096 Gentiva Health Services Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor...................................................... 2.88% 07/02/25 $ 2,880,910 247,500 Grifols Worldwide Operations Ltd., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor............................................... 2.09% 11/15/27 246,777 1,472,927 Pathway Vet Alliance LLC, Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor...................................................... 3.87% 03/31/27 1,474,400 -------------- 12,431,501 -------------- INSURANCE -- 0.0% 2,000,000 AmWINS Group Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor............................................................ 3.00% 02/19/28 1,999,160 -------------- LEISURE -- 0.1% 3,090,000 Crown Finance U.S., Inc, PIK Term B1 (n)............................ 5.25% 05/23/24 3,932,025 -------------- MEDICAL EQUIPMENT & DEVICES -- 0.1% 4,250,000 Avantor Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor......... 3.50% 11/06/27 4,272,567 -------------- PACKAGING -- 0.2% 1,425,000 Berry Global, Inc., Term Loan Y, 1 Mo. LIBOR + 2.00%, 0.00% Floor............................................................ 2.12% 07/01/26 1,423,732 4,350,000 Charter NEX U.S., Inc., Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor............................................................ 5.00% 12/01/27 4,382,625 1,550,000 Plaze, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor.......... 4.50% 08/03/26 1,544,188 4,621,647 Proampac PG Borrower LLC, Term Loan B, 1 Mo. LIBOR + 4.00%, 1.00% Floor............................................... 5.00% 11/03/25 4,633,201 -------------- 11,983,746 -------------- PHARMACEUTICALS -- 0.2% 724,457 Bausch Health Cos., Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor...................................................... 3.12% 06/01/25 725,094 5,084,611 Elanco Animal Health, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor...................................................... 1.87% 02/04/27 5,071,900 2,350,000 Horizon Therapeutics USA, Inc., Term Loan B2, 1 Mo. LIBOR + 2.00%, 0.50% Floor............................................... 2.50% 03/15/28 2,352,938 -------------- 8,149,932 -------------- RESTAURANTS -- 0.1% 3,715,473 Northeast Foods LLC, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor............................................................ 3.87% 07/20/25 3,666,726 -------------- TECHNOLOGY -- 0.1% 1,350,000 CT Technologies Intermediate Holdings, Inc., Term Loan, 1 Mo. LIBOR + 5.00%, 1.00% Floor....................................... 6.00% 12/16/25 1,355,062 4,021,734 Waystar Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor...................................................... 4.12% 10/23/26 4,034,322 -------------- 5,389,384 -------------- TELECOMMUNICATIONS -- 0.1% 2,000,000 Intelsat Jackson Holdings S.A., Term Loan B, 1 Mo. LIBOR + 3.75%, 1.00% Floor............................................... 4.75% 11/27/23 2,028,120 </TABLE> See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED VALUE DESCRIPTION RATE (l) MATURITY (m) VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED) <S> <C> <C> <C> <C> TELECOMMUNICATIONS (CONTINUED) $ 1,250,000 Intelsat Jackson Holdings S.A., Term Loan B......................... 6.63% 01/02/24 $ 1,273,437 -------------- 3,301,557 -------------- WIRELINES -- 0.1% 2,247,500 CenturyLink, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor............................................................ 2.36% 03/15/27 2,237,791 579,013 Front Range Bidco, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor...................................................... 3.12% 03/09/27 577,907 3,250,000 Level 3 Parent LLC, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor...................................................... 1.86% 03/01/27 3,238,495 -------------- 6,054,193 -------------- TOTAL SENIOR FLOATING-RATE LOAN INTERESTS...................................................... 77,773,531 (Cost $76,923,339) -------------- </TABLE> <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CAPITAL PREFERRED SECURITIES -- 0.0% <S> <C> <C> <C> <C> ELECTRIC -- 0.0% 300,000 Alabama Power Capital Trust V, 3 Mo. LIBOR + 3.10% (c).............. 3.34% 10/01/42 299,306 -------------- TOTAL CAPITAL PREFERRED SECURITIES............................................................. 299,306 (Cost $290,250) -------------- U.S. TREASURY BILLS -- 11.3% 25,000,000 U.S. Cash Management Bill........................................... (j) 07/13/21 24,998,139 31,450,000 U.S. Treasury Bill.................................................. (j) 03/11/21 31,449,760 101,275,000 U.S. Treasury Bill.................................................. (j) 04/08/21 101,271,926 119,930,000 U.S. Treasury Bill.................................................. (j) 05/06/21 119,923,404 46,635,000 U.S. Treasury Bill.................................................. (j) 08/12/21 46,624,909 246,710,000 U.S. Treasury Bill.................................................. (j) 08/19/21 246,651,406 -------------- TOTAL U.S. TREASURY BILLS...................................................................... 570,919,544 (Cost $570,924,054) -------------- </TABLE> <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ----------------------------------------------------------------------------------------------- -------------- MONEY MARKET FUNDS -- 12.6% <S> <C> <C> 635,805,438 JPMorgan 100% U.S. Treasury Securities Money Market - Fund Institutional Class - 0.01% (o)..... 635,805,438 (Cost $635,805,438) -------------- TOTAL INVESTMENTS -- 134.5%.................................................................... 6,779,811,080 (Cost $6,787,734,139) (p) -------------- </TABLE> <TABLE> <CAPTION> NOTIONAL EXERCISE EXPIRATION DESCRIPTION COUNTERPARTY AMOUNT RATE DATE VALUE ----------------------------------------------- -------------- -------------- -------------- -------------- -------------- PUT SWAPTIONS PURCHASED -- 0.0% <S> <C> <C> <C> <C> <C> 30 Year Interest Rate Swap, Pays 2.75% Semi- Annual, Receives 3 Month LIBOR Quarterly Barclays PLC $ 19,380,000 2.75% 01/23/54 1,009,411 (Cost $571,710) -------------- NET OTHER ASSETS AND LIABILITIES -- (34.5)%.................................................. (1,739,937,675) -------------- NET ASSETS -- 100.0%......................................................................... $5,040,882,816 ============== </TABLE> Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) FORWARD FOREIGN CURRENCY CONTRACTS AT FEBRUARY 28, 2021 (See Note 2D - Forward Foreign Currency Contracts in the Notes to Financial Statements): <TABLE> <CAPTION> PURCHASE VALUE SALE VALUE UNREALIZED SETTLEMENT AMOUNT AMOUNT AS OF AS OF APPRECIATION DATE COUNTERPARTY PURCHASED SOLD 2/28/2021 2/28/2021 (DEPRECIATION) -------------- -------------- -------------- ----------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> <C> <C> 3/15/2021 GSIL USD 45,498,441 JPY 4,735,000,000 $ 45,498,441 $ 44,428,661 $ 1,069,780 3/22/2021 GSIL USD 46,328,591 JPY 4,815,000,000 46,328,591 45,183,189 1,145,402 4/5/2021 GSIL USD 47,900,383 JPY 4,970,000,000 47,900,383 46,645,821 1,254,562 -------------- Net Unrealized Appreciation (Depreciation) $ 3,469,744 ============== </TABLE> Counterparty Abbreviations: GSIL Goldman Sachs International, London FUTURES CONTRACTS AT FEBRUARY 28, 2021 (See Note 2C - Futures Contracts in the Notes to Financial Statements): <TABLE> <CAPTION> UNREALIZED APPRECIATION NUMBER OF (DEPRECIATION)/ FUTURES CONTRACTS POSITION CONTRACTS EXPIRATION DATE NOTIONAL VALUE VALUE --------------------------------- ----------------- --------------- --------------- -------------- -------------- <S> <C> <C> <C> <C> <C> Ultra U.S. Treasury Bond Futures Long 33 Jun-2021 $ 6,239,062 $ (43,062) U.S. 10-Year Ultra Treasury Notes Short 11 Jun-2021 (1,620,781) 15,359 -------------- -------------- $ 4,618,281 $ (27,703) ============== ============== </TABLE> ----------------------------- (a) All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2J - Mortgage Dollar Rolls in the Notes to Financial Statements). (b) This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund's Advisor. 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 February 28, 2021, securities noted as such amounted to $631,618,772 or 12.5% of net assets. (c) Floating or variable rate security. (d) Fixed-to-floating rate security. The interest rate shown reflects the fixed rate in effect at February 28, 2021. At a predetermined date, the fixed rate will change to a floating rate. (e) 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 February 28, 2021, securities noted as such are valued at $22,264,620 or 0.4% of net assets. (f) Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment's underlying collateral. The interest rate resets periodically. (g) 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. (h) Step-up security. A security where the coupon increases or steps up at a predetermined date. (i) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (j) Zero coupon security. (k) This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer. (l) Senior Floating-Rate Loan Interests ("Senior Loans") in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR period, spread and floor, but different LIBOR reset. (m) Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown. (n) The issuer will pay interest on the loans in cash and in Payment-In-Kind ("PIK") interest. Interest paid in cash will accrue at the rate of 7.00% per annum ("Cash Interest Rate") and PIK interest will accrue on the loan at the rate of 8.25% per annum. The first interest payment is scheduled for March 31, 2021. See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) (o) Rate shown reflects yield as of February 28, 2021. (p) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $62,863,266 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $66,906,583. The net unrealized depreciation was $4,043,317. The unrealized amounts presented are inclusive of derivative contracts. IO - Interest-Only Security - Principal amount shown represents par value on which interest payments are based. LIBOR - London Interbank Offered Rates SOFR - Secured Overnight Finance Rates TBA - To-Be-Announced Security Currency Abbreviations: JPY - Japanese Yen USD - United States Dollar ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> U.S. Government Bonds and Notes..................... $1,849,275,673 $ -- $1,849,275,673 $ -- U.S. Government Agency Mortgage-Backed Securities... 1,638,538,785 -- 1,638,538,785 -- Corporate Bonds and Notes*.......................... 823,703,523 -- 823,703,523 -- Mortgage-Backed Securities.......................... 353,433,726 -- 353,433,726 -- Asset-Backed Securities............................. 321,345,433 -- 321,345,433 -- Foreign Sovereign Bonds and Notes**................. 220,412,886 -- 220,412,886 -- Foreign Corporate Bonds and Notes*.................. 198,070,763 -- 198,070,763 -- Municipal Bonds***.................................. 90,232,472 -- 90,232,472 -- Senior Floating-Rate Loan Interests*................ 77,773,531 -- 77,773,531 -- Capital Preferred Securities*....................... 299,306 -- 299,306 -- U.S. Treasury Bills................................. 570,919,544 -- 570,919,544 -- Money Market Funds.................................. 635,805,438 635,805,438 -- -- -------------- -------------- -------------- -------------- Total Investments................................... 6,779,811,080 635,805,438 6,144,005,642 -- Put Swaptions Purchased............................. 1,009,411 -- 1,009,411 -- Forward Foreign Currency Contracts.................. 3,469,744 -- 3,469,744 -- Futures Contracts****............................... 15,359 15,359 -- -- -------------- -------------- -------------- -------------- Total............................................... $6,784,305,594 $ 635,820,797 $6,148,484,797 $ -- ============== ============== ============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Futures Contracts****............................... $ (43,062) $ (43,062) $ -- $ -- ============== ============== ============== ============== </TABLE> * See Portfolio of Investments for industry breakout. ** See Portfolio of Investments for country breakout. *** See Portfolio of Investments for state 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 Statements of Assets and Liabilities. Page 42 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES -- 25.4% <S> <C> <C> <C> <C> ADVERTISING -- 0.1% $ 415,000 National CineMedia LLC (a).......................................... 5.88% 04/15/28 $ 382,838 -------------- AEROSPACE/DEFENSE -- 0.2% 635,000 Boeing (The) Co..................................................... 1.43% 02/04/24 636,313 -------------- AGRICULTURE -- 0.4% 30,000 BAT Capital Corp.................................................... 2.73% 03/25/31 29,512 250,000 BAT Capital Corp.................................................... 4.54% 08/15/47 254,128 645,000 Reynolds American, Inc.............................................. 5.85% 08/15/45 762,145 -------------- 1,045,785 -------------- AIRLINES -- 0.8% 338,525 American Airlines Pass-Through Trust, Series 2014-1, Class A........ 3.70% 10/01/26 333,448 259,388 Continental Airlines Pass-Through Trust, Series 2007-1, Class A..... 5.98% 04/19/22 265,992 163,377 Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1......... 6.72% 01/02/23 167,493 600,000 JetBlue Pass-Through Trust, Series 2020-1, Class A.................. 4.00% 11/15/32 658,801 508,412 United Airlines Pass-Through Trust, Series 2013-1, Class A.......... 4.30% 08/15/25 531,161 26,811 US Airways Pass-Through Trust, Series 2001-011G..................... 7.08% 03/20/21 26,787 129,626 US Airways Pass-Through Trust, Series 2012-1, Class A............... 5.90% 10/01/24 132,216 -------------- 2,115,898 -------------- AUTO MANUFACTURERS -- 1.5% 310,000 Daimler Finance North America LLC (a)............................... 2.20% 10/30/21 314,007 520,000 Daimler Finance North America LLC, 3 Mo. LIBOR + 0.90% (a) (b).................................................... 1.09% 02/15/22 524,034 580,000 Ford Motor Credit Co. LLC........................................... 3.34% 03/18/21 580,710 125,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 0.81% (b).................. 1.05% 04/05/21 124,907 300,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 0.88% (b).................. 1.10% 10/12/21 298,933 96,000 Ford Motor Credit Co. LLC........................................... 3.22% 01/09/22 97,320 500,000 Ford Motor Credit Co. LLC, 3 Mo. LIBOR + 1.27% (b).................. 1.52% 03/28/22 497,567 300,000 Ford Motor Credit Co. LLC........................................... 3.34% 03/28/22 304,035 475,000 General Motors Financial Co., Inc................................... 3.55% 04/09/21 476,401 405,000 General Motors Financial Co., Inc................................... 3.20% 07/06/21 407,948 115,000 General Motors Financial Co., Inc................................... 4.38% 09/25/21 117,653 80,000 General Motors Financial Co., Inc................................... 3.45% 04/10/22 82,185 -------------- 3,825,700 -------------- BANKS -- 1.9% 465,000 Bank of America Corp., Medium-Term Note (c)......................... 3.97% 02/07/30 527,566 165,000 Bank of America Corp., Medium-Term Note (c)......................... 2.88% 10/22/30 173,692 100,000 Citigroup, Inc. (c)................................................. 2.88% 07/24/23 103,302 500,000 Citigroup, Inc. (c)................................................. 3.35% 04/24/25 539,597 225,000 Citigroup, Inc. (c)................................................. 4.08% 04/23/29 255,313 135,000 Comerica, Inc. (c).................................................. 5.63% (d) 148,324 355,000 JPMorgan Chase & Co. (c)............................................ 2.18% 06/01/28 365,550 200,000 JPMorgan Chase & Co. (c)............................................ 4.01% 04/23/29 227,444 250,000 Morgan Stanley, 3 Mo. LIBOR + 0.93% (b)............................. 1.15% 07/22/22 250,837 510,000 Morgan Stanley, Global Medium-Term Note............................. 3.70% 10/23/24 562,459 510,000 Wells Fargo & Co., Medium-Term Note (c)............................. 3.58% 05/22/28 563,606 360,000 Wells Fargo & Co., Medium-Term Note (c)............................. 2.39% 06/02/28 372,948 250,000 Wells Fargo & Co., Medium-Term Note................................. 4.15% 01/24/29 287,539 305,000 Wells Fargo & Co., Medium-Term Note (c)............................. 2.88% 10/30/30 321,782 </TABLE> See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> BANKS (CONTINUED) $ 235,000 Wells Fargo & Co., Medium-Term Note (c)............................. 5.01% 04/04/51 $ 310,334 -------------- 5,010,293 -------------- BEVERAGES -- 0.4% 235,000 Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.............................................................. 4.90% 02/01/46 281,201 215,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.60% 04/15/48 247,388 390,000 Constellation Brands, Inc........................................... 4.25% 05/01/23 420,285 -------------- 948,874 -------------- BIOTECHNOLOGY -- 0.3% 650,000 Gilead Sciences, Inc., 3 Mo. LIBOR + 0.52% (b)...................... 0.77% 09/29/23 651,562 -------------- BUILDING MATERIALS -- 0.1% 300,000 Ingersoll-Rand Co................................................... 9.00% 08/15/21 310,039 -------------- CHEMICALS -- 0.2% 400,000 International Flavors & Fragrances, Inc............................. 4.45% 09/26/28 461,162 15,000 Nutrition & Biosciences, Inc. (a)................................... 3.47% 12/01/50 15,151 -------------- 476,313 -------------- COMMERCIAL SERVICES -- 0.3% 175,000 Adtalem Global Education, Inc. (a).................................. 5.50% 03/01/28 174,580 500,000 Global Payments, Inc................................................ 3.80% 04/01/21 500,000 61,000 Service Corp. International......................................... 4.63% 12/15/27 64,500 -------------- 739,080 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 570,000 Air Lease Corp...................................................... 3.88% 07/03/23 607,892 500,000 Aviation Capital Group LLC, 3 Mo. LIBOR + 0.95% (a) (b)............. 1.14% 06/01/21 499,649 -------------- 1,107,541 -------------- ELECTRIC -- 1.7% 75,000 Alliant Energy Finance LLC (a)...................................... 3.75% 06/15/23 80,158 600,000 Duquesne Light Holdings, Inc. (a)................................... 5.90% 12/01/21 621,531 100,000 Evergy Metro, Inc................................................... 4.20% 06/15/47 116,604 713,000 FirstEnergy Corp., Series C......................................... 3.40% 03/01/50 648,925 75,000 Florida Power & Light Co............................................ 3.95% 03/01/48 87,680 100,000 Metropolitan Edison Co. (a)......................................... 3.50% 03/15/23 103,782 550,000 NextEra Energy Capital Holdings, Inc., 3 Mo. LIBOR + 0.27% (b)...... 0.45% 02/22/23 550,232 500,000 Pennsylvania Electric Co. (a)....................................... 4.15% 04/15/25 540,363 900,000 PNM Resources, Inc.................................................. 3.25% 03/09/21 900,476 100,000 Puget Sound Energy, Inc............................................. 4.22% 06/15/48 119,227 450,000 Southwestern Electric Power Co., Series M........................... 4.10% 09/15/28 510,020 75,000 Tucson Electric Power Co............................................ 5.15% 11/15/21 76,619 -------------- 4,355,617 -------------- ENGINEERING & CONSTRUCTION -- 0.1% 313,000 PowerTeam Services LLC (a).......................................... 9.03% 12/04/25 347,430 -------------- ENTERTAINMENT -- 0.4% 189,000 Caesars Entertainment, Inc. (a)..................................... 6.25% 07/01/25 200,340 515,000 Churchill Downs, Inc. (a)........................................... 5.50% 04/01/27 537,771 </TABLE> Page 44 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> ENTERTAINMENT (CONTINUED) $ 117,000 Live Nation Entertainment, Inc. (a)................................. 4.75% 10/15/27 $ 118,376 116,000 Live Nation Entertainment, Inc. (a)................................. 3.75% 01/15/28 116,473 -------------- 972,960 -------------- ENVIRONMENTAL CONTROL -- 0.2% 200,000 Clean Harbors, Inc. (a)............................................. 4.88% 07/15/27 208,838 370,000 Waste Pro USA, Inc. (a)............................................. 5.50% 02/15/26 381,439 -------------- 590,277 -------------- FOOD -- 0.5% 240,000 Kraft Heinz Foods Co................................................ 4.38% 06/01/46 260,304 430,000 Kraft Heinz Foods Co................................................ 4.88% 10/01/49 502,631 140,000 Kroger (The) Co..................................................... 4.45% 02/01/47 162,838 20,000 Pilgrim's Pride Corp. (a)........................................... 5.88% 09/30/27 21,482 387,000 Smithfield Foods, Inc. (a).......................................... 5.20% 04/01/29 448,549 -------------- 1,395,804 -------------- GAS -- 0.1% 155,000 Southern Co. Gas Capital Corp....................................... 5.88% 03/15/41 211,969 -------------- HEALTHCARE-PRODUCTS -- 0.1% 208,000 Hologic, Inc. (a)................................................... 4.63% 02/01/28 220,652 -------------- HEALTHCARE-SERVICES -- 1.6% 635,000 Barnabas Health, Inc., Series 2012.................................. 4.00% 07/01/28 720,863 135,000 Centene Corp........................................................ 4.25% 12/15/27 140,460 461,000 Centene Corp........................................................ 3.00% 10/15/30 468,814 110,000 CommonSpirit Health................................................. 2.78% 10/01/30 114,155 200,000 Fresenius Medical Care US Finance II, Inc. (a)...................... 5.88% 01/31/22 209,540 260,000 HCA, Inc............................................................ 5.00% 03/15/24 290,998 90,000 HCA, Inc............................................................ 5.25% 04/15/25 103,527 640,000 HCA, Inc............................................................ 5.25% 06/15/49 795,973 100,000 Humana, Inc......................................................... 3.15% 12/01/22 104,010 120,000 Partners Healthcare System, Inc., Series 2020....................... 3.34% 07/01/60 123,687 424,000 Prime Healthcare Services, Inc. (a)................................. 7.25% 11/01/25 454,210 190,000 Quest Diagnostics, Inc.............................................. 4.20% 06/30/29 221,160 150,000 Tenet Healthcare Corp............................................... 4.63% 07/15/24 152,400 178,000 Tenet Healthcare Corp. (a).......................................... 4.63% 06/15/28 184,810 -------------- 4,084,607 -------------- HOUSEHOLD PRODUCTS/WARES -- 0.0% 60,000 Spectrum Brands, Inc................................................ 6.13% 12/15/24 61,596 -------------- INSURANCE -- 1.0% 250,000 Acrisure LLC / Acrisure Finance, Inc. (a)........................... 4.25% 02/15/29 245,990 465,000 Farmers Insurance Exchange (a) (c).................................. 4.75% 11/01/57 494,976 750,000 MassMutual Global Funding II (a).................................... 3.40% 03/08/26 827,752 500,000 Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (a) (b)........ 2.51% 12/15/24 500,006 50,000 Teachers Insurance & Annuity Association of America (a)............. 4.27% 05/15/47 58,114 220,000 Teachers Insurance & Annuity Association of America (a)............. 3.30% 05/15/50 221,469 175,000 Teachers Insurance & Annuity Association of America (a) (c)......... 4.38% 09/15/54 186,714 -------------- 2,535,021 -------------- </TABLE> See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> MEDIA -- 1.5% $ 400,000 Cable One, Inc. (a)................................................. 4.00% 11/15/30 $ 400,750 609,000 CCO Holdings LLC / CCO Holdings Capital Corp. (a)................... 4.50% 08/15/30 631,165 295,000 Charter Communications Operating LLC / Charter Communications Operating Capital................................................ 2.30% 02/01/32 281,093 120,000 Charter Communications Operating LLC / Charter Communications Operating Capital................................................ 5.38% 05/01/47 139,826 100,000 Charter Communications Operating LLC / Charter Communications Operating Capital................................................ 5.75% 04/01/48 122,199 500,000 Cox Communications, Inc. (a)........................................ 3.15% 08/15/24 537,507 20,000 CSC Holdings LLC (a)................................................ 5.38% 02/01/28 21,194 287,000 CSC Holdings LLC (a)................................................ 6.50% 02/01/29 316,984 672,000 Diamond Sports Group LLC / Diamond Sports Finance Co. (a)........... 5.38% 08/15/26 476,078 260,000 Sinclair Television Group, Inc. (a)................................. 4.13% 12/01/30 254,312 150,000 Sirius XM Radio, Inc. (a)........................................... 3.88% 08/01/22 150,938 390,000 Walt Disney (The) Co................................................ 4.00% 10/01/23 424,332 190,000 Walt Disney (The) Co................................................ 2.65% 01/13/31 198,118 -------------- 3,954,496 -------------- MISCELLANEOUS MANUFACTURING -- 0.1% 205,000 General Electric Co., Medium-Term Note.............................. 5.88% 01/14/38 267,491 -------------- OIL & GAS -- 0.4% 161,000 Antero Resources Corp. (a).......................................... 8.38% 07/15/26 176,241 170,000 EQT Corp............................................................ 3.90% 10/01/27 177,013 210,000 Exxon Mobil Corp.................................................... 4.33% 03/19/50 246,039 295,000 Hess Corp........................................................... 4.30% 04/01/27 326,782 -------------- 926,075 -------------- OIL & GAS SERVICES -- 0.2% 227,000 Archrock Partners L.P. / Archrock Partners Finance Corp. (a)........ 6.25% 04/01/28 236,931 340,000 USA Compression Partners L.P. / USA Compression Finance Corp........ 6.88% 04/01/26 351,688 -------------- 588,619 -------------- PACKAGING & CONTAINERS -- 0.4% 58,000 Ball Corp........................................................... 4.00% 11/15/23 61,444 465,000 Berry Global, Inc. (a).............................................. 1.57% 01/15/26 465,897 58,000 Graphic Packaging International LLC................................. 4.88% 11/15/22 60,596 20,000 Mauser Packaging Solutions Holding Co. (a).......................... 5.50% 04/15/24 20,104 60,000 Sealed Air Corp. (a)................................................ 5.50% 09/15/25 66,788 20,000 Sealed Air Corp. (a)................................................ 4.00% 12/01/27 20,955 405,000 WRKCo, Inc.......................................................... 4.65% 03/15/26 466,227 -------------- 1,162,011 -------------- PHARMACEUTICALS -- 1.4% 390,000 AbbVie, Inc......................................................... 4.55% 03/15/35 467,196 33,000 AbbVie, Inc......................................................... 4.50% 05/14/35 39,455 105,000 AbbVie, Inc......................................................... 4.05% 11/21/39 119,357 200,000 AbbVie, Inc......................................................... 4.45% 05/14/46 234,186 100,000 Bayer US Finance II LLC (a)......................................... 3.50% 06/25/21 100,738 180,000 Bayer US Finance II LLC (a)......................................... 4.25% 12/15/25 202,389 880,000 Bayer US Finance II LLC (a)......................................... 4.38% 12/15/28 1,017,237 265,000 Bayer US Finance II LLC (a)......................................... 4.63% 06/25/38 313,681 </TABLE> Page 46 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> PHARMACEUTICALS (CONTINUED) $ 330,000 Cigna Corp.......................................................... 4.38% 10/15/28 $ 383,503 420,000 CVS Health Corp..................................................... 5.05% 03/25/48 526,566 182,000 Elanco Animal Health, Inc........................................... 5.27% 08/28/23 195,991 -------------- 3,600,299 -------------- PIPELINES -- 1.3% 90,000 Cheniere Energy Partners L.P........................................ 5.25% 10/01/25 92,614 70,000 Energy Transfer Operating L.P....................................... 5.00% 05/15/50 73,415 411,000 Energy Transfer Operating L.P., Series B (c)........................ 6.63% (d) 363,735 370,000 Kinder Morgan, Inc.................................................. 5.55% 06/01/45 450,881 250,000 NGL Energy Operating LLC / NGL Energy Finance Corp. (a)............. 7.50% 02/01/26 258,294 90,080 Pipeline Funding Co. LLC (a)........................................ 7.50% 01/15/30 115,223 145,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 4.50% 12/15/26 160,675 350,000 Rockies Express Pipeline LLC (a).................................... 4.95% 07/15/29 374,719 100,000 Rockies Express Pipeline LLC (a).................................... 6.88% 04/15/40 111,000 56,591 Ruby Pipeline LLC (a)............................................... 7.75% 04/01/22 51,505 50,000 Sunoco Logistics Partners Operations L.P............................ 4.00% 10/01/27 54,288 930,000 Sunoco Logistics Partners Operations L.P............................ 5.40% 10/01/47 1,014,926 174,000 TransMontaigne Partners L.P. / TLP Finance Corp..................... 6.13% 02/15/26 175,773 -------------- 3,297,048 -------------- REAL ESTATE INVESTMENT TRUSTS -- 4.4% 450,000 Alexandria Real Estate Equities, Inc................................ 3.80% 04/15/26 504,165 75,000 Alexandria Real Estate Equities, Inc., Class E...................... 3.45% 04/30/25 82,017 75,000 American Campus Communities Operating Partnership L.P............... 3.75% 04/15/23 79,690 500,000 American Campus Communities Operating Partnership L.P............... 4.13% 07/01/24 547,498 250,000 Boston Properties L.P............................................... 2.75% 10/01/26 267,121 200,000 Boston Properties L.P............................................... 3.40% 06/21/29 215,524 550,000 Camden Property Trust............................................... 2.95% 12/15/22 571,422 500,000 CubeSmart L.P....................................................... 4.38% 02/15/29 573,609 515,000 CyrusOne L.P. / CyrusOne Finance Corp............................... 2.90% 11/15/24 546,732 665,000 CyrusOne L.P. / CyrusOne Finance Corp............................... 3.45% 11/15/29 700,601 200,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 11/01/23 219,223 250,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 04/15/26 287,534 175,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.75% 06/01/28 205,748 185,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.30% 01/15/29 211,994 115,000 GLP Capital L.P. / GLP Financing II, Inc............................ 4.00% 01/15/30 122,495 75,000 Healthpeak Properties, Inc.......................................... 4.00% 06/01/25 83,531 500,000 Hudson Pacific Properties L.P....................................... 3.95% 11/01/27 542,546 175,000 Hudson Pacific Properties L.P....................................... 4.65% 04/01/29 199,279 400,000 Kilroy Realty L.P................................................... 3.45% 12/15/24 430,980 400,000 Kilroy Realty L.P................................................... 4.38% 10/01/25 442,134 500,000 Kimco Realty Corp................................................... 3.40% 11/01/22 520,715 505,000 Lexington Realty Trust.............................................. 2.70% 09/15/30 506,408 117,000 MGM Growth Properties Operating Partnership L.P. / MGP Finance Co.-Issuer, Inc.................................................. 5.63% 05/01/24 126,579 109,000 MGM Growth Properties Operating Partnership L.P. / MGP Finance Co.-Issuer, Inc. (a)............................................. 4.63% 06/15/25 115,649 250,000 National Retail Properties, Inc..................................... 3.90% 06/15/24 272,897 40,000 SBA Communications Corp............................................. 4.88% 09/01/24 41,078 </TABLE> See Notes to Financial Statements Page 47 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> REAL ESTATE INVESTMENT TRUSTS (CONTINUED) $ 380,000 SL Green Operating Partnership L.P., 3 Mo. LIBOR + 0.98% (b)........ 1.17% 08/16/21 $ 380,010 325,000 SL Green Operating Partnership L.P.................................. 3.25% 10/15/22 337,250 300,000 Ventas Realty L.P................................................... 3.75% 05/01/24 325,345 250,000 Ventas Realty L.P................................................... 2.65% 01/15/25 263,836 75,000 Ventas Realty L.P................................................... 4.00% 03/01/28 84,280 250,000 VEREIT Operating Partnership L.P.................................... 4.63% 11/01/25 285,141 1,000,000 WEA Finance LLC (a)................................................. 3.15% 04/05/22 1,022,720 250,000 Welltower, Inc...................................................... 3.75% 03/15/23 264,594 -------------- 11,380,345 -------------- RETAIL -- 0.3% 323,000 FirstCash, Inc. (a)................................................. 4.63% 09/01/28 336,177 100,000 Walgreen Co......................................................... 3.10% 09/15/22 104,037 300,000 Walgreens Boots Alliance, Inc....................................... 3.30% 11/18/21 304,729 -------------- 744,943 -------------- SEMICONDUCTORS -- 0.3% 205,000 Broadcom, Inc....................................................... 3.63% 10/15/24 223,527 415,000 Intel Corp.......................................................... 3.73% 12/08/47 460,356 -------------- 683,883 -------------- TELECOMMUNICATIONS -- 2.8% 150,000 AT&T, Inc........................................................... 4.50% 05/15/35 171,782 200,000 AT&T, Inc........................................................... 5.25% 03/01/37 245,622 594,000 AT&T, Inc........................................................... 4.85% 03/01/39 689,577 605,000 AT&T, Inc........................................................... 4.75% 05/15/46 690,014 188,000 AT&T, Inc. (a)...................................................... 3.80% 12/01/57 177,650 300,000 Frontier Communications Corp. (a)................................... 5.00% 05/01/28 310,312 625,000 Level 3 Financing, Inc. (a)......................................... 4.63% 09/15/27 647,809 54,000 Qwest Corp.......................................................... 6.75% 12/01/21 56,126 342,000 Qwest Corp.......................................................... 7.25% 09/15/25 408,263 335,000 SES GLOBAL Americas Holdings G.P. (a)............................... 5.30% 03/25/44 377,510 320,000 Sprint Corp......................................................... 7.88% 09/15/23 366,800 1,745,000 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (a)......................................... 4.74% 03/20/25 1,876,966 90,000 T-Mobile USA, Inc................................................... 6.00% 03/01/23 90,581 238,000 T-Mobile USA, Inc................................................... 6.00% 04/15/24 239,785 120,000 T-Mobile USA, Inc. (a).............................................. 1.50% 02/15/26 119,827 125,000 T-Mobile USA, Inc................................................... 2.25% 02/15/26 124,675 74,000 T-Mobile USA, Inc................................................... 4.75% 02/01/28 78,353 200,000 T-Mobile USA, Inc. (a).............................................. 3.88% 04/15/30 219,870 35,000 T-Mobile USA, Inc. (a).............................................. 2.55% 02/15/31 34,824 250,000 T-Mobile USA, Inc. (a).............................................. 4.38% 04/15/40 276,865 -------------- 7,203,211 -------------- TOTAL CORPORATE BONDS AND NOTES................................................................ 65,834,590 (Cost $61,779,406) -------------- </TABLE> Page 48 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 22.7% <S> <C> <C> <C> <C> COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.4% Federal Home Loan Mortgage Corporation $ 411,639 Series 2019-4919, Class FP, 1 Mo. LIBOR + 0.45% (b).............. 0.57% 09/25/49 $ 415,532 Federal National Mortgage Association 2,247,661 Series 2011-116, Class SA, IO, 1 Mo. LIBOR (x) -1 + 6.00% (e).... 5.88% 11/25/41 391,994 384,235 Series 2011-130, Class NW, 1 Mo. LIBOR + 1.20% (b)............... 1.32% 12/25/41 392,086 237,817 Series 2012-56, Class FK, 1 Mo. LIBOR + 0.45% (b)................ 0.57% 06/25/42 239,860 402,044 Series 2012-128, Class UA........................................ 2.50% 06/25/42 406,042 1,899,894 Series 2013-18, Class MI, IO..................................... 3.00% 02/25/33 128,155 414,897 Series 2019-33, Class FN, 1 Mo. LIBOR + 0.40% (b)................ 0.52% 07/25/49 419,141 Government National Mortgage Association 1,403,386 Series 2003-110, Class S, IO, 1 Mo. LIBOR (x) -1 + 6.60% (e)..... 6.49% 10/20/33 202,144 1,682,923 Series 2018-63, Class IO, IO..................................... 4.00% 09/20/47 265,666 441,659 Series 2019-86, Class FE, 1 Mo. LIBOR + 0.40% (b)................ 0.51% 07/20/49 445,901 290,623 Series 2020-133, Class FA (f).................................... 0.53% 02/20/49 291,551 -------------- 3,598,072 -------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- 7.6% Federal Home Loan Mortgage Corporation Multifamily PC REMIC Trust 4,095,000 Series 2019-P002, Class X, IO (f)................................ 1.14% 07/25/33 472,133 Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates 550,000 Series 2011-KAIV, Class X2, IO (g)............................... 3.59% 06/25/41 271 8,139,000 Series 2012-K021, Class X3, IO (g)............................... 1.97% 07/25/40 179,343 2,500,000 Series 2012-K022, Class X3, IO (g)............................... 1.81% 08/25/40 53,457 11,075,000 Series 2013-K025, Class X3, IO (g)............................... 1.75% 11/25/40 273,847 75,206,916 Series 2013-K031, Class X1, IO (g)............................... 0.20% 04/25/23 303,159 17,470,128 Series 2013-K035, Class X1, IO (g)............................... 0.35% 08/25/23 136,480 4,000,000 Series 2013-K035, Class X3, IO (g)............................... 1.79% 12/25/41 155,663 2,500,000 Series 2014-K037, Class X3, IO (g)............................... 2.21% 01/25/42 141,652 31,918,043 Series 2014-K039, Class X1, IO (g)............................... 0.72% 07/25/24 685,698 2,145,000 Series 2014-K039, Class X3, IO (g)............................... 2.11% 08/25/42 156,730 1,516,638 Series 2014-K714, Class X3, IO (g)............................... 5.62% 01/25/42 15 1,770,972 Series 2014-K715, Class X3, IO (g)............................... 3.97% 02/25/41 38,391 30,235,000 Series 2014-K716, Class X3, IO (g)............................... 1.78% 08/25/42 84,664 9,459,273 Series 2015-K042, Class X1, IO (g)............................... 1.04% 12/25/24 327,733 32,044,869 Series 2015-K043, Class X1, IO (g)............................... 0.53% 12/25/24 593,590 14,251,960 Series 2015-K044, Class X1, IO (g)............................... 0.73% 01/25/25 332,954 8,584,708 Series 2015-K045, Class X1, IO (g)............................... 0.44% 01/25/25 127,644 17,152,394 Series 2015-K051, Class X1, IO (g)............................... 0.54% 09/25/25 377,402 487,530 Series 2015-K719, Class X1, IO (g)............................... 0.70% 06/25/22 366 1,374,788 Series 2015-K720, Class X1, IO (g)............................... 0.52% 08/25/22 5,881 6,897,149 Series 2016-K056, Class X3, IO (g)............................... 2.11% 06/25/44 694,832 4,811,558 Series 2016-K057, Class X1, IO (g)............................... 1.18% 07/25/26 263,689 1,900,000 Series 2016-K060, Class X3, IO (g)............................... 1.89% 12/25/44 183,567 490,705 Series 2016-KF25, Class A, 1 Mo. LIBOR + 0.48% (b)............... 0.60% 10/25/23 491,999 5,041,117 Series 2016-KIR1, Class X, IO (g)................................ 1.06% 03/25/26 229,054 9,856,354 Series 2016-KS05, Class X, IO (g)................................ 0.76% 01/25/23 109,167 3,728,726 Series 2016-KS06, Class X, IO (g)................................ 1.06% 08/25/26 156,099 4,967,085 Series 2016-KS07, Class X, IO (g)................................ 0.65% 09/25/25 131,342 </TABLE> See Notes to Financial Statements Page 49 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED) Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates (Continued) $ 6,230,568 Series 2016-KW01, Class X1, IO (g)............................... 0.97% 01/25/26 $ 248,589 11,068,507 Series 2017-K726, Class X1, IO (g)............................... 0.88% 04/25/24 244,716 2,230,000 Series 2017-K728, Class X3, IO (g)............................... 1.95% 11/25/45 143,745 3,630,000 Series 2018-K078, Class X3, IO (g)............................... 2.21% 10/25/28 513,780 125,000 Series 2018-K155, Class A3....................................... 3.75% 04/25/33 147,464 125,000 Series 2018-W5FX, Class AFX (g).................................. 3.34% 04/25/28 135,541 1,364,665 Series 2019-KC04, Class X1, IO (g)............................... 1.25% 12/25/26 71,658 7,183,244 Series 2019-KC05, Class X1, IO (g)............................... 1.20% 06/25/27 393,948 190,000 Series 2019-KF73, Class AL, 1 Mo. LIBOR + 0.60% (b).............. 0.72% 11/25/29 192,042 1,800,000 Series 2019-KS11, Class XFX, IO (g).............................. 1.60% 06/25/29 181,442 467,814 Series 2020-KF75, Class AL, 1 Mo. LIBOR + 0.51% (b).............. 0.62% 12/25/29 472,973 305,000 Series 2020-KF80, Class AL, 1 Mo. LIBOR + 0.44% (b).............. 0.56% 06/25/30 308,708 948,731 Series 2020-KF84, Class AL, 1 Mo. LIBOR + 0.30% (b).............. 0.42% 07/25/30 954,212 2,060,000 Series 2020-KF85, Class AL, 1 Mo. LIBOR + 0.30% (b).............. 0.41% 08/25/30 2,075,907 759,394 Series 2020-KF86, Class AL, 1 Mo. LIBOR + 0.29% (b).............. 0.40% 08/25/27 764,060 1,950,000 Series 2020-KF87, Class AL, 1 Mo. LIBOR + 0.35% (b).............. 0.46% 08/25/30 1,968,706 1,520,000 Series 2020-KF88, Class AL, 1 Mo. LIBOR + 0.33% (b).............. 0.44% 09/25/30 1,529,280 Federal National Mortgage Association 4,177,234 Series 2012-M4, Class X1, IO (f) (g)............................. 0.43% 04/25/22 12,297 706,775 Series 2014-M6, Class X2, IO (g) (h)............................. 0.48% 05/25/21 61 24,473,013 Series 2015-M4, Class X2, IO (g)................................. 0.41% 07/25/22 88,575 330,694 Series 2016-M2, Class AL......................................... 3.47% 04/25/36 326,398 138,070 Series 2016-M2, Class X3, IO (g) (h)............................. 2.06% 04/25/36 61 2,697,105 Series 2016-M4, Class X2, IO (g)................................. 2.66% 01/25/39 150,016 233,711 Series 2016-M11, Class X2, IO (g)................................ 2.82% 07/25/39 6,371 1,120,100 Series 2018-M10, Class A1 (g).................................... 3.37% 07/25/28 1,228,710 6,100,000 Series 2019-M29, Class X4, IO.................................... 0.70% 03/25/29 260,539 Government National Mortgage Association 456,708 Series 2011-119, Class D......................................... 3.51% 04/16/45 476,090 579,154 Series 2013-125, Class IO, IO (f)................................ 0.39% 10/16/54 10,830 1,164,000 Series 2014-125, Class IO, IO (f)................................ 0.81% 11/16/54 43,928 -------------- 19,657,469 -------------- PASS-THROUGH SECURITIES -- 13.7% Federal Home Loan Mortgage Corporation 573,013 Pool WN0006...................................................... 3.42% 07/01/30 634,570 Federal National Mortgage Association 400,401 Pool 464398...................................................... 5.97% 01/01/40 468,939 303,462 Pool 464400...................................................... 5.97% 01/01/40 355,406 479,877 Pool AM2974...................................................... 4.10% 04/01/43 541,733 25,650,000 Pool TBA (i)..................................................... 2.00% 04/15/51 25,748,692 7,475,000 Pool TBA (i)..................................................... 2.50% 04/15/51 7,706,988 -------------- 35,456,328 -------------- TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 58,711,869 (Cost $59,768,555) -------------- </TABLE> Page 50 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MORTGAGE-BACKED SECURITIES -- 19.0% <S> <C> <C> <C> <C> COLLATERALIZED MORTGAGE OBLIGATIONS -- 14.9% Adjustable Rate Mortgage Trust $ 113,979 Series 2005-8, Class 3A21 (g).................................... 3.07% 11/25/35 $ 103,040 Alternative Loan Trust 292,859 Series 2005-16, Class A3, 1 Mo. LIBOR + 0.50% (b)................ 0.62% 06/25/35 275,136 95,271 Series 2005-76, Class 1A1, 12 Mo. Treasury Average + 1.48% (b)... 1.86% 01/25/36 95,946 993,586 Series 2005-13CB, Class A8....................................... 5.50% 05/25/35 1,017,616 967,940 Series 2005-65CB, Class 2A4...................................... 5.50% 12/25/35 890,132 346,500 Series 2006-33CB, Class 2A1...................................... 6.00% 11/25/36 283,060 305,667 Series 2007-OA6, Class A1B, 1 Mo. LIBOR + 0.20% (b).............. 0.32% 06/25/37 289,401 American Home Mortgage Assets Trust 1,645,434 Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (b)..... 1.08% 02/25/47 971,017 American Home Mortgage Investment Trust 730,608 Series 2005-4, Class 1A1, 1 Mo. LIBOR + 0.58% (b)................ 0.70% 11/25/45 713,852 Banc of America Funding Trust 926,280 Series 2007-1, Class TA3A, 1 Mo. LIBOR + 0.16% (b)............... 0.28% 01/25/37 838,330 BCAP LLC Trust 327,433 Series 2007-AA3, Class 1A1A, 1 Mo. LIBOR + 0.42% (b)............. 0.54% 04/25/37 314,269 935,638 Series 2015-RR2, Class 25A3 (a) (g).............................. 0.36% 10/28/36 925,740 Bear Stearns ALT-A Trust 1,107,768 Series 2004-8, Class M1, 1 Mo. LIBOR + 0.92% (b)................. 1.03% 09/25/34 1,116,358 Bear Stearns Mortgage Funding Trust 744,534 Series 2006-AR1, Class 1A1, 1 Mo. LIBOR + 0.21% (b).............. 0.33% 07/25/36 711,948 639,850 Series 2006-AR3, Class 1A1, 1 Mo. LIBOR + 0.18% (b).............. 0.30% 10/25/36 609,253 242,067 Series 2007-AR1, Class 1A1, 1 Mo. LIBOR + 0.16% (b).............. 0.28% 01/25/37 229,754 217,238 Series 2007-AR3, Class 1A1, 1 Mo. LIBOR + 0.14% (b).............. 0.26% 03/25/37 206,247 CIM Trust 1,205,233 Series 2017-3, Class A1, 1 Mo. LIBOR + 2.00% (a) (b)............. 2.12% 01/25/57 1,224,396 920,000 Series 2017-5, Class A3 (a)...................................... 4.00% 05/25/57 922,073 232,690 Series 2018-R6, Class A1, 1 Mo. LIBOR + 1.08% (a) (b)............ 1.20% 09/25/58 230,996 947,555 Series 2020-R7, Class A1A (a) (f)................................ 2.25% 12/27/61 948,744 Citigroup Mortgage Loan Trust 726,620 Series 2005-8, Class 2A4A........................................ 5.50% 09/25/35 731,986 Credit Suisse Mortgage Capital Certificates......................... 819,219 Series 2019-RPL4, Class A1 (a)................................... 3.47% 08/26/58 820,951 Credit Suisse Mortgage Trust 86,248 Series 2010-7R, Class 1A12 (a)................................... 4.00% 01/26/37 86,650 78,125 Series 2014-2R, Class 28A1 (a) (g)............................... 3.00% 06/27/37 78,837 DSLA Mortgage Loan Trust 79,485 Series 2004-AR4, Class 2A1A, 1 Mo. LIBOR + 0.72% (b)............. 0.83% 01/19/45 72,451 First Horizon Alternative Mortgage Securities Trust 52,513 Series 2004-AA4, Class A1 (g).................................... 2.40% 10/25/34 54,378 1,224,575 Series 2007-FA1, Class A4........................................ 6.25% 03/25/37 817,397 GreenPoint Mortgage Funding Trust 82,597 Series 2006-AR1, Class A1A, 1 Mo. LIBOR + 0.58% (b).............. 0.70% 02/25/36 82,002 462,850 Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.20% (b)............. 0.32% 03/25/47 467,973 770,611 Series 2007-AR2, Class 2A1, 1 Mo. LIBOR + 0.20% (b).............. 0.32% 05/25/37 768,240 GreenPoint MTA Trust 484,828 Series 2005-AR3, Class 1A1, 1 Mo. LIBOR + 0.48% (b).............. 0.60% 08/25/45 464,223 HarborView Mortgage Loan Trust 213,330 Series 2005-9, Class 2A1A, 1 Mo. LIBOR + 0.68% (b)............... 0.79% 06/20/35 209,588 </TABLE> See Notes to Financial Statements Page 51 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) HarborView Mortgage Loan Trust (Continued) $ 587,841 Series 2005-9, Class 2A1C, 1 Mo. LIBOR + 0.90% (b)............... 1.01% 06/20/35 $ 584,220 914,037 Series 2007-7, Class 1A1, 1 Mo. LIBOR + 1.00% (b)................ 1.12% 10/25/37 864,953 HomeBanc Mortgage Trust 197,124 Series 2005-4, Class A1, 1 Mo. LIBOR + 0.54% (b)................. 0.66% 10/25/35 199,411 Impac CMB Trust 81,437 Series 2005-1, Class 1A1, 1 Mo. LIBOR + 0.52% (b)................ 0.64% 04/25/35 82,386 IndyMac INDX Mortgage Loan Trust 458,196 Series 2005-16IP, Class A1, 1 Mo. LIBOR + 0.64% (b).............. 0.76% 07/25/45 414,600 646,499 Series 2006-AR4, Class A1A, 1 Mo. LIBOR + 0.42% (b).............. 0.54% 05/25/46 629,213 279,330 Series 2006-AR21, Class A1, 1 Mo. LIBOR + 0.12% (b).............. 0.24% 08/25/36 265,165 201,175 Series 2007-FLX2, Class A1C, 1 Mo. LIBOR + 0.19% (b)............. 0.31% 04/25/37 191,521 JP Morgan Alternative Loan Trust 687,227 Series 2006-S1, Class 3A4........................................ 6.18% 03/25/36 673,024 86,544 Series 2007-S1, Class A2, 1 Mo. LIBOR + 0.34% (b)................ 0.46% 04/25/47 84,347 Legacy Mortgage Asset Trust 995,514 Series 2020-GS2, Class A1 (a) (j)................................ 2.75% 03/25/60 1,001,818 Lehman Mortgage Trust 924,062 Series 2006-1, Class 1A5......................................... 5.50% 02/25/36 743,765 Lehman XS Trust 301,106 Series 2005-5N, Class 3A1A, 1 Mo. LIBOR + 0.30% (b).............. 0.42% 11/25/35 301,201 887,783 Series 2006-2N, Class 2A1, 12 Mo. Treasury Average + 2.02% (b)..................................................... 2.40% 02/25/36 909,212 MASTR Adjustable Rate Mortgages Trust 756,954 Series 2004-14, Class B1, 1 Mo. LIBOR + 2.15% (b)................ 2.27% 01/25/35 804,128 497,484 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.15% (b)................. 0.27% 03/25/47 484,097 Merrill Lynch Mortgage Investors Trust 186,629 Series 2003-D, Class A, 1 Mo. LIBOR + 0.62% (b).................. 0.74% 08/25/28 187,742 273,128 Series 2004-E, Class A2B, 6 Mo. LIBOR + 0.72% (b)................ 0.99% 11/25/29 280,849 Morgan Stanley Resecuritization Trust 78,673 Series 2014-R8, Class 3B1, 12 Mo. Treasury Average + 0.75% (a) (b)................................................. 1.25% 06/26/47 75,861 Opteum Mortgage Acceptance Corp Trust 606,127 Series 2006-1, Class 1AC1, 1 Mo. LIBOR + 0.60% (b)............... 0.72% 04/25/36 599,453 RALI Trust 1,001,435 Series 2006-QO10, Class A1, 1 Mo. LIBOR + 0.16% (b).............. 0.28% 01/25/37 965,354 660,995 Series 2006-QS6, Class 1A15...................................... 6.00% 06/25/36 636,303 Structured Adjustable Rate Mortgage Loan Trust 47,662 Series 2005-12, Class 3A1 (g).................................... 2.71% 06/25/35 48,280 521,031 Series 2006-11, Class 1A1, 1 Mo. LIBOR + 0.32% (b)............... 0.44% 12/25/36 507,003 770,905 Series 2007-4, Class 1A1, 1 Mo. LIBOR + 0.48% (b)................ 0.60% 05/25/37 793,124 744,042 Series 2007-4, Class 1A2, 1 Mo. LIBOR + 0.44% (b)................ 0.56% 05/25/37 725,786 Structured Asset Mortgage Investments II Trust 372,424 Series 2005-AR2, Class 2A1, 1 Mo. LIBOR + 0.46% (b).............. 0.58% 05/25/45 372,892 553,469 Series 2006-AR1, Class 3A1, 1 Mo. LIBOR + 0.46% (b).............. 0.58% 02/25/36 528,782 428,036 Series 2006-AR3, Class 12A1, 1 Mo. LIBOR + 0.44% (b)............. 0.56% 05/25/36 415,946 476,976 Series 2006-AR4, Class 3A1, 1 Mo. LIBOR + 0.38% (b).............. 0.50% 06/25/36 450,959 70,708 Series 2006-AR5, Class 1A1, 1 Mo. LIBOR + 0.42% (b).............. 0.54% 05/25/36 61,572 1,203,103 Series 2006-AR8, Class A1A, 1 Mo. LIBOR + 0.20% (b).............. 0.32% 10/25/36 1,163,589 541,941 Series 2007-AR1, Class 1A1, 1 Mo. LIBOR + 0.16% (b).............. 0.28% 01/25/37 524,065 </TABLE> Page 52 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Structured Asset Mortgage Investments II Trust (Continued) $ 209,031 Series 2007-AR1, Class 2A1, 1 Mo. LIBOR + 0.18% (b).............. 0.30% 01/25/37 $ 200,126 790,132 Series 2007-AR6, Class A1, 12 Mo. Treasury Average + 1.50% (b)..................................................... 1.88% 08/25/47 774,406 Structured Asset Mortgage Investments Trust 187,603 Series 2003-AR3, Class A1, 1 Mo. LIBOR + 0.68% (b)............... 0.79% 11/19/33 188,055 TBW Mortgage-Backed Trust 654,736 Series 2006-4, Class A4 (j)...................................... 6.66% 09/25/36 645,737 WaMu Mortgage Pass-Through Certificates Trust 159,707 Series 2004-AR12, Class A2A, 1 Mo. LIBOR + 0.78% (b)............. 0.90% 10/25/44 157,544 398,289 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average + 1.00% (b)..................................................... 1.38% 02/25/46 401,320 63,473 Series 2006-AR11, Class 1A, 12 Mo. Treasury Average + 0.96% (b)..................................................... 1.34% 09/25/46 59,656 1,019,006 Series 2007-OA5, Class 1A, 12 Mo. Treasury Average + 0.75% (b)..................................................... 1.13% 06/25/47 974,688 Washington Mutual Mortgage Pass-Through Certificates WMALT 839,070 Series 2007-OC1, Class A4, 1 Mo. LIBOR + 0.32% (b)............... 0.44% 01/25/47 855,975 Wells Fargo Mortgage Backed Securities Trust 330,612 Series 2007-AR5, Class A1 (g).................................... 3.18% 10/25/37 326,892 -------------- 38,727,004 -------------- COMMERCIAL MORTGAGE-BACKED OBLIGATIONS -- 4.1% Banc of America Commercial Mortgage Trust 15,487,615 Series 2015-UBS7, Class XA, IO (g)............................... 0.79% 09/15/48 471,765 BXMT Ltd. 1,175,000 Series 2020-FL3, Class A, 1 Mo. LIBOR + 1.40% (a) (b)............ 1.51% 03/15/37 1,177,440 COMM Mortgage Trust 1,526,546 Series 2012-CR4, Class XA, IO (g)................................ 1.70% 10/15/45 32,948 5,600,000 Series 2020-CBM, Class XCP, IO (a) (g)........................... 0.49% 02/10/37 104,972 21,254,000 Series 2020-SBX, Class X, IO (a) (g)............................. 0.58% 01/10/38 562,487 DBWF Mortgage Trust 600,000 Series 2016-85T, Class A (a)..................................... 3.79% 12/10/36 673,129 GS Mortgage Securities Corp II...................................... 390,000 Series 2005-ROCK, Class A (a).................................... 5.37% 05/03/32 452,999 GS Mortgage Securities Corp Trust 2,600,000 Series 2020-UPTN, Class XA, IO (a) (g)........................... 0.35% 02/10/37 36,361 GS Mortgage Securities Trust 1,102,200 Series 2014-GC18, Class A3....................................... 3.80% 01/10/47 1,163,943 GSCG Trust 400,000 Series 2019-600C, Class A (a).................................... 2.94% 09/06/34 412,929 Morgan Stanley Capital I Trust 1,050,000 Series 2018-MP, Class A (a) (g).................................. 4.28% 07/11/40 1,146,063 MSDB Trust 500,000 Series 2017-712F, Class A (a) (g)................................ 3.32% 07/11/39 533,009 One Market Plaza Trust 476,000 Series 2017-1MKT, Class A (a).................................... 3.61% 02/10/32 493,473 RBS Commercial Funding, Inc. Trust 1,285,000 Series 2013-GSP, Class A (a) (g)................................. 3.83% 01/15/32 1,362,883 </TABLE> See Notes to Financial Statements Page 53 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> COMMERCIAL MORTGAGE-BACKED OBLIGATIONS (CONTINUED) SFAVE Commercial Mortgage Securities Trust $ 545,000 Series 2015-5AVE, Class C (a) (g)................................ 4.39% 01/05/43 $ 498,304 Wells Fargo Commercial Mortgage Trust 10,467,000 Series 2021-SAVE, Class XCP, IO (a) (g).......................... 10.12% 02/15/40 1,374,301 -------------- 10,497,006 -------------- TOTAL MORTGAGE-BACKED SECURITIES............................................................... 49,224,010 (Cost $48,683,152) -------------- ASSET-BACKED SECURITIES -- 11.3% 321 Henderson Receivables LLC 305,821 Series 2013-2A, Class A (a)...................................... 4.21% 03/15/62 346,190 ABFC Trust 99,067 Series 2007-NC1, Class A2, 1 Mo. LIBOR + 0.30% (a) (b)........... 0.42% 05/25/37 95,464 1,180,432 Series 2007-WMC1, Class A1A, 1 Mo. LIBOR + 1.25% (b)............. 1.37% 06/25/37 1,049,614 ACE Securities Corp. Home Equity Loan Trust 973,951 Series 2006-HE3, Class A2C, 1 Mo. LIBOR + 0.30% (b).............. 0.42% 06/25/36 815,802 Ameriquest Mortgage Securities, Inc. Asset Backed Pass-Through Ctfs 759,327 Series 2002-AR1, Class M1, 1 Mo. LIBOR + 1.07% (b)............... 1.20% 09/25/32 779,959 Argent Securities Trust 1,409,773 Series 2006-W2, Class A2B, 1 Mo. LIBOR + 0.38% (b)............... 0.50% 03/25/36 968,058 Argent Securities, Inc. 160,000 Series 2005-W3, Class M1, 1 Mo. LIBOR + 0.66% (b)................ 0.78% 11/25/35 157,000 BCMSC Trust 2,369,065 Series 2000-A, Class A5 (b)...................................... 8.32% 06/15/30 683,669 BNC Mortgage Loan Trust 1,001,111 Series 2006-2, Class A4, 1 Mo. LIBOR + 0.32% (b)................. 0.44% 11/25/36 971,211 Carrington Mortgage Loan Trust 40,206 Series 2005-NC5, Class M1, 1 Mo. LIBOR + 0.72% (b)............... 0.84% 10/25/35 40,305 Citigroup Mortgage Loan Trust 1,185,502 Series 2006-HE3, Class A2B, 1 Mo. LIBOR + 0.10% (b).............. 0.22% 12/25/36 1,004,340 Citigroup Mortgage Loan Trust, Inc. 10,741 Series 2005-HE4, Class M1, 1 Mo. LIBOR + 0.62% (b)............... 0.73% 10/25/35 11,159 425,000 Series 2007-WFH3, Class M1, 1 Mo. LIBOR + 0.26% (b).............. 0.38% 06/25/37 413,985 Conseco Finance Corp. 21,645 Series 1996-7, Class M1 (b)...................................... 7.70% 09/15/26 22,102 1,403,329 Series 1999-3, Class A8 (b)...................................... 7.06% 02/01/31 1,381,694 CoreVest American Finance Trust 405,000 Series 2020-1, Class A2 (a)...................................... 2.30% 03/15/50 410,522 1,594,448 Series 2020-1, Class XA, IO (a) (g).............................. 2.70% 03/15/50 168,063 1,539,893 Series 2020-3, Class XA, IO (a) (g).............................. 3.61% 08/15/53 216,763 1,250,000 Series 2020-3, Class XB, IO (a) (g).............................. 2.55% 08/15/53 230,531 Countrywide Asset-Backed Certificates............................... 178,963 Series 2006-6, Class 1A1, 1 Mo. LIBOR + 0.34% (b)................ 0.46% 09/25/36 178,038 Credit-Based Asset Servicing & Securitization LLC 957,000 Series 2006-MH1, Class B1 (a) (j)................................ 6.25% 10/25/36 988,913 EquiFirst Mortgage Loan Trust 78,422 Series 2005-1, Class M3, 1 Mo. LIBOR + 0.72% (b)................. 0.84% 04/25/35 78,622 First Franklin Mortgage Loan Trust 118,136 Series 2006-FF11, Class 2A3, 1 Mo. LIBOR + 0.30% (b)............. 0.42% 08/25/36 105,025 </TABLE> Page 54 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- ASSET-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> Fremont Home Loan Trust $ 69,201 Series 2005-D, Class 2A4, 1 Mo. LIBOR + 0.68% (b)................ 0.80% 11/25/35 $ 69,081 GSAA Home Equity Trust 647,826 Series 2007-8, Class A3, 1 Mo. LIBOR + 0.45% (b)................. 0.57% 08/25/37 646,174 GSAMP Trust 1,300,000 Series 2006-HE4, Class A2D, 1 Mo. LIBOR + 0.26% (b).............. 0.38% 06/25/36 1,273,550 1,356,169 Series 2007-FM2, Class A1, 1 Mo. LIBOR + 0.14% (b)............... 0.26% 01/25/37 1,000,858 JP Morgan Mortgage Acquisition Trust 875,061 Series 2006-CH2, Class AF6 (j)................................... 5.54% 10/25/36 710,478 680,944 Series 2006-WF1, Class A5........................................ 6.91% 07/25/36 320,407 1,187,688 Series 2007-CH2, Class AF6 (j)................................... 4.58% 01/25/37 842,472 Lehman XS Trust 985,870 Series 2007-11, Class A3, 1 Mo. LIBOR + 0.52% (b)................ 0.64% 02/25/47 972,848 Long Beach Mortgage Loan Trust 2,523,591 Series 2006-8, Class 2A3, 1 Mo. LIBOR + 0.16% (b)................ 0.28% 09/25/36 1,036,076 Mastr Asset Backed Securities Trust 143,836 Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (b)............... 0.28% 11/25/36 108,176 Mid-State Capital Trust 14,035 Series 2010-1, Class A (a)....................................... 3.50% 12/15/45 14,299 Morgan Stanley ABS Capital I, Inc. Trust 2,157,997 Series 2006-HE8, Class A2B, 1 Mo. LIBOR + 0.10% (b).............. 0.22% 10/25/36 1,305,222 1,407,809 Series 2007-HE4, Class A2B, 1 Mo. LIBOR + 0.18% (b).............. 0.30% 02/25/37 603,996 Navient Student Loan Trust 29,188 Series 2014-1, Class A3, 1 Mo. LIBOR + 0.51% (b)................. 0.63% 06/25/31 29,002 NovaStar Mortgage Funding Trust 973,052 Series 2007-2, Class A1A, 1 Mo. LIBOR + 0.20% (b)................ 0.32% 09/25/37 956,285 Residential Asset Mortgage Products, Inc. 98,488 Series 2005-RZ3, Class M3, 1 Mo. LIBOR + 0.83% (b)............... 0.94% 09/25/35 98,503 900,000 Series 2006-RZ1, Class M3, 1 Mo. LIBOR + 0.68% (b)............... 0.79% 03/25/36 902,785 1,050,000 Series 2006-RZ2, Class M1, 1 Mo. LIBOR + 0.50% (b)............... 0.61% 05/25/36 1,030,149 Residential Asset Securities Corp. 129,202 Series 2005-KS11, Class M2, 1 Mo. LIBOR + 0.63% (b).............. 0.75% 12/25/35 128,918 145,027 Series 2006-KS3, Class M1, 1 Mo. LIBOR + 0.50% (b)............... 0.61% 04/25/36 142,417 Skyline Aircraft Finance LLC 700,000 Series 2020-1, Class A (k)....................................... 3.23% 05/10/38 700,000 SLM Student Loan Trust 905,000 Series 2007-7, Class B, 3 Mo. LIBOR + 0.75% (b).................. 0.97% 10/27/70 823,824 300,000 Series 2008-2, Class B, 3 Mo. LIBOR + 1.20% (b).................. 1.42% 01/25/83 270,070 300,000 Series 2008-3, Class B, 3 Mo. LIBOR + 1.20% (b).................. 1.42% 04/26/83 280,789 650,000 Series 2008-5, Class B, 3 Mo. LIBOR + 1.85% (b).................. 2.07% 07/25/73 639,631 300,000 Series 2008-6, Class B, 3 Mo. LIBOR + 1.85% (b).................. 2.07% 07/26/83 295,627 220,000 Series 2008-8, Class B, 3 Mo. LIBOR + 2.25% (b).................. 2.47% 10/25/75 223,452 800,000 Series 2008-9, Class B, 3 Mo. LIBOR + 2.25% (b).................. 2.47% 10/25/83 810,509 100,000 Series 2012-7, Class B, 1 Mo. LIBOR + 1.80% (b).................. 1.92% 09/25/43 99,326 Soundview Home Loan Trust 265,661 Series 2007-OPT2, Class 2A4, 1 Mo. LIBOR + 0.25% (b)............. 0.37% 07/25/37 236,085 Structured Receivables Finance LLC 118,904 Series 2010-B, Class A (a)....................................... 3.73% 08/15/36 124,641 WaMu Asset-Backed Certificates WaMu Trust 1,780,476 Series 2007-HE2, Class 2A3, 1 Mo. LIBOR + 0.25% (b).............. 0.37% 04/25/37 907,016 </TABLE> See Notes to Financial Statements Page 55 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- ASSET-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> Washington Mutural Asset-Backed Certificates WMABS Trust $ 552,317 Series 2006-HE5, Class 1A, 1 Mo. LIBOR + 0.16% (b)............... 0.27% 10/25/36 $ 478,090 -------------- TOTAL ASSET-BACKED SECURITIES.................................................................. 29,197,785 (Cost $29,383,863) -------------- </TABLE> <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN CORPORATE BONDS AND NOTES -- 6.6% <S> <C> <C> <C> <C> BANKS -- 0.9% 200,000 Global Bank Corp. (USD) (c) (l)..................................... 5.25% 04/16/29 213,300 540,000 HSBC Holdings PLC (USD) (c)......................................... 2.01% 09/22/28 542,932 125,000 Lloyds Bank PLC (USD)............................................... 3.30% 05/07/21 125,697 115,000 Lloyds Banking Group PLC (USD) (c).................................. 2.86% 03/17/23 117,833 200,000 Lloyds Banking Group PLC (USD)...................................... 3.90% 03/12/24 218,959 365,000 Lloyds Banking Group PLC (USD) (c).................................. 3.87% 07/09/25 399,939 100,000 Santander UK Group Holdings PLC (USD) (c)........................... 4.80% 11/15/24 110,797 650,000 Santander UK PLC (USD).............................................. 3.40% 06/01/21 654,969 -------------- 2,384,426 -------------- BEVERAGES -- 0.0% 15,000 Bacardi Ltd. (USD) (a).............................................. 5.30% 05/15/48 19,133 -------------- COMMERCIAL SERVICES -- 0.5% 200,000 DP World Crescent Ltd. (USD) (a).................................... 4.85% 09/26/28 226,517 580,000 IHS Markit Ltd. (USD) (a)........................................... 4.75% 02/15/25 653,457 215,000 IHS Markit Ltd. (USD)............................................... 4.75% 08/01/28 252,770 -------------- 1,132,744 -------------- DIVERSIFIED FINANCIAL SERVICES -- 1.1% 20,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.95% 02/01/22 20,540 110,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.50% 05/26/22 113,302 55,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 4.13% 07/03/23 58,492 115,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust (USD)..... 3.88% 01/23/28 123,440 100,000 Avolon Holdings Funding Ltd. (USD) (a).............................. 3.95% 07/01/24 104,636 185,000 Avolon Holdings Funding Ltd. (USD) (a).............................. 2.88% 02/15/25 185,909 1,690,000 GE Capital International Funding Co. Unlimited Co. (USD)............ 4.42% 11/15/35 1,917,585 290,000 Park Aerospace Holdings Ltd. (USD) (a).............................. 5.50% 02/15/24 315,608 -------------- 2,839,512 -------------- ELECTRIC -- 0.1% 250,000 Mong Duong Finance Holdings B.V. (USD) (l).......................... 5.13% 05/07/29 254,219 -------------- ENVIRONMENTAL CONTROL -- 0.1% 300,000 Waste Connections, Inc. (USD)....................................... 2.60% 02/01/30 312,856 -------------- FOOD -- 0.0% 20,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. (USD) (a)........................................................ 5.50% 01/15/30 22,425 -------------- MACHINERY-DIVERSIFIED -- 0.1% 222,000 Titan Acquisition Ltd. / Titan Co.-Borrower LLC (USD) (a)........... 7.75% 04/15/26 229,215 -------------- </TABLE> Page 56 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> MEDIA -- 0.2% 200,000 Virgin Media Secured Finance PLC (USD) (a).......................... 5.50% 08/15/26 $ 208,600 270,000 Virgin Media Secured Finance PLC (USD) (a).......................... 5.50% 05/15/29 289,821 100,000 Virgin Media Secured Finance PLC (USD) (a).......................... 4.50% 08/15/30 102,350 -------------- 600,771 -------------- MINING -- 0.4% 250,000 Corp. Nacional del Cobre de Chile (USD) (l)......................... 3.63% 08/01/27 275,207 200,000 Corp. Nacional del Cobre de Chile (USD) (l)......................... 3.15% 01/14/30 211,333 500,000 Indonesia Asahan Aluminium Persero PT (USD) (a)..................... 6.53% 11/15/28 613,063 -------------- 1,099,603 -------------- MISCELLANEOUS MANUFACTURING -- 0.0% 40,000 Ingersoll-Rand Luxembourg Finance S.A. (USD)........................ 3.55% 11/01/24 43,782 -------------- OIL & GAS -- 1.4% 200,000 KazMunayGas National Co. JSC (USD) (a).............................. 3.50% 04/14/33 204,498 218,000 KazMunayGas National Co. JSC (USD) (l).............................. 5.75% 04/19/47 257,690 600,000 Pertamina Persero PT (USD) (a)...................................... 3.10% 08/27/30 614,933 233,000 Petrobras Global Finance B.V. (USD)................................. 5.09% 01/15/30 247,166 400,000 Petroleos del Peru S.A. (USD) (l)................................... 4.75% 06/19/32 436,000 270,000 Petroleos Mexicanos (USD)........................................... 5.95% 01/28/31 260,719 370,000 Petroleos Mexicanos (USD)........................................... 6.63% 06/15/35 351,891 105,000 Petroleos Mexicanos (USD)........................................... 6.75% 09/21/47 92,584 110,000 Petroleos Mexicanos (USD)........................................... 6.95% 01/28/60 97,378 200,000 Petronas Capital Ltd. (USD) (a)..................................... 3.50% 04/21/30 220,062 200,000 Saudi Arabian Oil Co. (USD) (l)..................................... 4.25% 04/16/39 220,958 150,000 Shell International Finance B.V. (USD).............................. 4.38% 05/11/45 177,925 10,000 Shell International Finance B.V. (USD).............................. 4.00% 05/10/46 11,190 97,150 Transocean Pontus Ltd. (USD) (a).................................... 6.13% 08/01/25 92,960 293,000 Transocean Poseidon Ltd. (USD) (a).................................. 6.88% 02/01/27 274,504 -------------- 3,560,458 -------------- PACKAGING & CONTAINERS -- 0.0% 18,000 OI European Group B.V. (USD) (a).................................... 4.00% 03/15/23 18,461 -------------- PIPELINES -- 0.2% 400,000 Southern Gas Corridor CJSC (USD) (l)................................ 6.88% 03/24/26 478,950 -------------- RETAIL -- 0.4% 568,000 1011778 BC ULC / New Red Finance, Inc. (USD) (a).................... 3.50% 02/15/29 557,705 510,000 Alimentation Couche-Tard, Inc. (USD) (a)............................ 3.55% 07/26/27 560,110 -------------- 1,117,815 -------------- SAVINGS & LOANS -- 0.4% 630,000 Nationwide Building Society (USD) (a) (c)........................... 3.62% 04/26/23 651,732 135,000 Nationwide Building Society (USD) (a) (c)........................... 3.77% 03/08/24 143,288 175,000 Nationwide Building Society (USD) (a) (c)........................... 4.36% 08/01/24 189,990 -------------- 985,010 -------------- TELECOMMUNICATIONS -- 0.7% 200,000 C&W Senior Financing DAC (USD) (a).................................. 6.88% 09/15/27 214,625 750,000 Intelsat Jackson Holdings S.A. (USD) (a) (m)........................ 8.50% 10/15/24 489,300 303,000 Intelsat Jackson Holdings S.A. (USD) (a) (m)........................ 9.75% 07/15/25 194,587 </TABLE> See Notes to Financial Statements Page 57 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> TELECOMMUNICATIONS (CONTINUED) 200,000 SES S.A. (USD) (a).................................................. 3.60% 04/04/23 $ 211,315 100,000 Vodafone Group PLC (USD)............................................ 3.75% 01/16/24 109,011 250,000 Vodafone Group PLC (USD)............................................ 5.25% 05/30/48 319,144 113,000 Vodafone Group PLC (USD)............................................ 4.88% 06/19/49 137,259 80,000 Vodafone Group PLC (USD)............................................ 4.25% 09/17/50 88,871 -------------- 1,764,112 -------------- TRANSPORTATION -- 0.1% 200,000 Empresa de Transporte de Pasajeros Metro S.A. (USD) (a)............. 3.65% 05/07/30 221,955 -------------- TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 17,085,447 (Cost $16,385,456) -------------- FOREIGN SOVEREIGN BONDS AND NOTES-- 5.9% BRAZIL -- 0.3% 650,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 647,887 -------------- COLOMBIA -- 0.5% 400,000 Colombia Government International Bond (USD)........................ 3.00% 01/30/30 397,550 647,000 Colombia Government International Bond (USD)........................ 3.13% 04/15/31 644,897 200,000 Colombia Government International Bond (USD)........................ 5.20% 05/15/49 223,359 -------------- 1,265,806 -------------- DOMINICAN REPUBLIC -- 0.2% 450,000 Dominican Republic International Bond (USD) (a)..................... 4.50% 01/30/30 456,187 150,000 Dominican Republic International Bond (USD) (l)..................... 4.88% 09/23/32 152,813 -------------- 609,000 -------------- EGYPT -- 0.1% 200,000 Egypt Government International Bond (USD) (a)....................... 5.58% 02/21/23 208,715 -------------- INDONESIA -- 0.1% 200,000 Indonesia Government International Bond (USD)....................... 2.85% 02/14/30 205,264 -------------- JAPAN -- 2.6% 235,000,000 Japan Treasury Discount Bill Series 956 (JPY)....................... (o) 03/15/21 2,204,691 245,000,000 Japan Treasury Discount Bill Series 958 (JPY)....................... (o) 03/22/21 2,298,551 250,000,000 Japan Treasury Discount Bill Series 962 (JPY)....................... (o) 04/05/21 2,345,553 -------------- 6,848,795 -------------- MEXICO -- 0.5% 1,260,000 Mexico Government International Bond (USD).......................... 2.66% 05/24/31 1,216,858 200,000 Mexico Government International Bond (USD).......................... 3.77% 05/24/61 176,327 -------------- 1,393,185 -------------- PANAMA -- 0.2% 400,000 Panama Government International Bond (USD).......................... 3.16% 01/23/30 417,754 200,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 191,500 -------------- 609,254 -------------- PARAGUAY -- 0.2% 400,000 Paraguay Government International Bond (USD) (a).................... 4.95% 04/28/31 454,000 -------------- </TABLE> Page 58 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> PERU -- 0.2% 453,000 Peruvian Government International Bond (USD)........................ 2.84% 06/20/30 $ 470,921 -------------- QATAR -- 0.2% 302,000 Qatar Government International Bond (USD) (l)....................... 4.50% 04/23/28 357,351 200,000 Qatar Government International Bond (USD) (l)....................... 4.63% 06/02/46 240,296 -------------- 597,647 -------------- ROMANIA -- 0.1% 350,000 Romanian Government International Bond (USD) (l).................... 3.00% 02/14/31 355,244 -------------- RUSSIA -- 0.1% 200,000 Russian Foreign Bond - Eurobond (USD) (l)........................... 4.38% 03/21/29 226,753 -------------- SAUDI ARABIA -- 0.2% 200,000 Saudi Government International Bond (USD) (l)....................... 4.50% 10/26/46 224,862 200,000 Saudi Government International Bond (USD) (a)....................... 3.75% 01/21/55 198,033 -------------- 422,895 -------------- SOUTH AFRICA -- 0.2% 258,000 Republic of South Africa Government International Bond (USD)........ 4.30% 10/12/28 256,169 200,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 202,432 -------------- 458,601 -------------- UNITED ARAB EMIRATES -- 0.1% 200,000 Abu Dhabi Government International Bond (USD) (l)................... 2.50% 09/30/29 207,655 -------------- URUGUAY -- 0.1% 200,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 231,315 -------------- TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 15,212,937 (Cost $15,513,174) -------------- </TABLE> <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT BONDS AND NOTES -- 0.9% <S> <C> <C> <C> <C> $ 2,420,000 U.S. Treasury Floating Rate Note , 3 Mo. U.S. T-Bill Money Market Yield + 0.06% (b)................................................ 0.10% 10/31/22 2,421,033 (Cost $2,420,204) -------------- MUNICIPAL BONDS -- 0.9% CALIFORNIA -- 0.6% 500,000 Los Angeles CA Unif School District................................. 5.75% 07/01/34 684,470 500,000 Los Angeles Dept of Water........................................... 6.01% 07/01/39 667,620 75,000 Univ of CA Rev TXBL Gen Ref, Ser AJ................................. 4.60% 05/15/31 89,545 -------------- 1,441,635 -------------- COLORADO -- 0.1% 220,000 City & Cnty of Denver Cnty Arpt Rev................................. 2.24% 11/15/30 225,484 -------------- FLORIDA -- 0.0% 105,000 Cnty of Miami-Dade FL Aviation Rev.................................. 3.45% 10/01/30 113,189 -------------- </TABLE> See Notes to Financial Statements Page 59 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MUNICIPAL BONDS (CONTINUED) <S> <C> <C> <C> <C> NEW YORK -- 0.2% $ 50,000 Metropolitan Transprtn Auth......................................... 5.18% 11/15/49 $ 64,663 285,000 NY St Dorm Auth..................................................... 4.00% 03/15/44 324,026 200,000 NY St Urban Development Corp........................................ 4.00% 03/15/43 227,014 -------------- 615,703 -------------- TOTAL MUNICIPAL BONDS.......................................................................... 2,396,011 (Cost $2,261,411) -------------- U.S. TREASURY BILLS -- 17.0% 11,080,000 U.S. Cash Management Bill........................................... (n) 07/20/21 11,078,481 4,305,000 U.S. Treasury Bill.................................................. (n) 04/06/21 4,304,860 6,555,000 U.S. Treasury Bill.................................................. (n) 04/29/21 6,554,678 3,500,000 U.S. Treasury Bill.................................................. (n) 05/06/21 3,499,807 3,440,000 U.S. Treasury Bill.................................................. (n) 08/05/21 3,439,287 11,840,000 U.S. Treasury Bill.................................................. (n) 08/12/21 11,837,438 3,345,000 U.S. Treasury Bill.................................................. (n) 08/19/21 3,344,206 -------------- TOTAL U.S. TREASURY BILLS...................................................................... 44,058,757 (Cost $44,058,275) -------------- </TABLE> <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ----------------------------------------------------------------------------------------------- -------------- MONEY MARKET FUNDS -- 2.7% <S> <C> <C> 7,133,281 JPMorgan 100% U.S. Treasury Securities Money Market - Fund Institutional Class - 0.01% (o)..... 7,133,281 (Cost $7,133,281) -------------- TOTAL INVESTMENTS -- 112.4%.................................................................... 291,275,720 (Cost $287,386,777) (p) NET OTHER ASSETS AND LIABILITIES -- (12.4)%.................................................... (32,101,891) -------------- NET ASSETS -- 100.0%........................................................................... $ 259,173,829 ============== </TABLE> FORWARD FOREIGN CURRENCY CONTRACTS AT FEBRUARY 28, 2021 (See Note 2D - Forward Foreign Currency Contracts in the Notes to Financial Statements): <TABLE> <CAPTION> PURCHASE VALUE SALE VALUE UNREALIZED SETTLEMENT AMOUNT AMOUNT AS OF AS OF APPRECIATION DATE COUNTERPARTY PURCHASED SOLD 2/28/2021 2/28/2021 (DEPRECIATION) -------------- -------------- -------------- --------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> <C> <C> 3/15/2021 GSIL USD 2,258,106 JPY 235,000,000 $ 2,258,106 $ 2,205,013 $ 53,093 3/22/2021 GSIL USD 2,357,322 JPY 245,000,000 2,357,322 2,299,041 58,281 4/5/2021 GSIL USD 2,409,476 JPY 250,000,000 2,409,476 2,346,369 63,107 -------------- Net Unrealized Appreciation (Depreciation) $ 174,481 ============== </TABLE> Counterparty Abbreviations: GSIL Goldman Sachs International, London Page 60 See Notes to Financial Statements <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) FUTURES CONTRACTS AT FEBRUARY 28, 2021 (See Note 2C - Futures Contracts in the Notes to Financial Statements): <TABLE> <CAPTION> UNREALIZED APPRECIATION NUMBER OF (DEPRECIATION)/ FUTURES CONTRACTS POSITION CONTRACTS EXPIRATION DATE NOTIONAL VALUE VALUE --------------------------------- ------------ --------------- --------------- -------------- -------------- <S> <C> <C> <C> <C> <C> U.S. 5-Year Treasury Notes Short 18 Jun-2021 $ (2,231,437) $ 18,105 U.S. 10-Year Ultra Treasury Notes Short 117 Jun-2021 (17,239,219) 159,615 Ultra U.S. Treasury Bond Futures Short 51 Jun-2021 (9,642,188) 66,355 -------------- -------------- $ (29,112,844) $ 244,075 ============== ============== </TABLE> ----------------------------- (a) This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund's Advisor (the "Advisor"). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At February 28, 2021, securities noted as such amounted to $47,965,329 or 18.5% of net assets. (b) Floating or variable rate security. (c) Fixed-to-floating rate security. The interest rate shown reflects the fixed rate in effect at February 28, 2021. At a predetermined date, the fixed rate will change to a floating rate. (d) Perpetual maturity. (e) Inverse floating rate security. (f) 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. (g) Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment's underlying collateral. The interest rate resets periodically. (h) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by the Advisors. (i) All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2J - Mortgage Dollar Rolls in the Notes to Financial Statements). (j) Step security. The coupon rate is determined based on the underlying investments. The coupon rate resets periodically. (k) 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 February 28, 2021, securities noted as such are valued at $700,000 or 0.3% of net assets. (l) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (m) This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer. (n) Zero coupon security. (o) Rate shown reflects yield as of February 28, 2021. (p) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $7,548,261 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,240,762. The net unrealized appreciation was $4,307,499. The unrealized amounts presented are inclusive of derivative contracts. IO - Interest-Only Security - Principal amount shown represents par value on which interest payments are based. LIBOR - London Interbank Offered Rates TBA - To-Be-Announced Security Currency Abbreviations: JPY - Japanese Yen USD - United States Dollar See Notes to Financial Statements Page 61 <PAGE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> Corporate Bonds and Notes*.......................... $ 65,834,590 $ -- $ 65,834,590 $ -- U.S. Government Agency Mortgage-Backed Securities... 58,711,869 -- 58,711,869 -- Mortgage-Backed Securities.......................... 49,224,010 -- 49,224,010 -- Asset-Backed Securities............................. 29,197,785 -- 29,197,785 -- Foreign Corporate Bonds and Notes*.................. 17,085,447 -- 17,085,447 -- Foreign Sovereign Bonds and Notes**................. 15,212,937 -- 15,212,937 -- U.S. Government Bonds and Notes..................... 2,421,033 -- 2,421,033 -- Municipal Bonds***.................................. 2,396,011 -- 2,396,011 -- U.S. Treasury Bills................................. 44,058,757 -- 44,058,757 -- Money Market Funds.................................. 7,133,281 7,133,281 -- -- -------------- -------------- -------------- -------------- Total Investments................................... 291,275,720 7,133,281 284,142,439 -- Forward Foreign Currency Contracts.................. 174,481 -- 174,481 -- Futures Contracts****............................... 244,075 244,075 -- -- -------------- -------------- -------------- -------------- Total............................................... $ 291,694,276 $ 7,377,356 $ 284,316,920 $ -- ============== ============== ============== ============== </TABLE> * See Portfolio of Investments for industry breakout. ** See Portfolio of Investments for country breakout. *** See Portfolio of Investments for state 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 Statements of Assets and Liabilities. Page 62 See Notes to Financial Statements <PAGE> FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 55.9% <S> <C> <C> <C> <C> COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.9% Federal Home Loan Mortgage Corporation $ 73,487 Series 2005-3071, Class TF, 1 Mo. LIBOR + 0.30% (a).............. 0.41% 04/15/35 $ 73,669 112,299 Series 2010-3778, Class L........................................ 3.50% 12/15/25 118,117 187,926 Series 2017-360, Class 250....................................... 2.50% 11/15/47 191,594 108,647 Series 2020-4993, Class OP, PO................................... (b) 10/25/58 106,683 Federal National Mortgage Association 181,272 Series 2006-56, Class FE, 1 Mo. LIBOR + 0.43% (a)................ 0.55% 07/25/36 182,865 143,536 Series 2011-47, Class GF, 1 Mo. LIBOR + 0.57% (a)................ 0.69% 06/25/41 145,523 269,205 Series 2018-50, Class BA......................................... 3.00% 07/25/48 280,398 19,860 Series 2018-86, Class JA......................................... 4.00% 05/25/47 20,692 133,081 Series 2019-67, Class FE, 1 Mo. LIBOR + 0.45% (a)................ 0.57% 11/25/49 134,182 -------------- 1,253,723 -------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- 1.0% Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates........................................ 3,200,000 Series 2013-K024, Class X3, IO (c)............................... 1.66% 11/25/40 75,738 1,000,000 Series 2018-K732, Class X3, IO (c)............................... 2.17% 05/25/46 86,781 300,000 Series 2019-KS11, Class XFX, IO (c).............................. 1.60% 06/25/29 30,240 FREMF Mortgage Trust 21,686,166 Series 2017-K726, Class X2B, IO (d).............................. 0.10% 07/25/49 57,217 -------------- 249,976 -------------- PASS-THROUGH SECURITIES -- 50.0% Federal Home Loan Mortgage Corporation 104,427 Pool G08681...................................................... 3.50% 12/01/45 112,414 58,264 Pool G08792...................................................... 3.50% 12/01/47 62,018 172,459 Pool G60659...................................................... 3.50% 08/01/46 187,501 193,158 Pool G61748...................................................... 3.50% 11/01/48 210,697 224,457 Pool G67706...................................................... 3.50% 12/01/47 244,260 307,007 Pool G67710...................................................... 3.50% 03/01/48 330,376 161,742 Pool SD0499...................................................... 3.00% 08/01/50 174,425 120,379 Pool SD7502...................................................... 3.50% 07/01/49 130,058 228,142 Pool SD7511...................................................... 3.50% 01/01/50 247,177 124,660 Pool SD7513...................................................... 3.50% 04/01/50 136,592 142,732 Pool ZM1779...................................................... 3.00% 09/01/46 151,182 Federal National Mortgage Association 66,919 Pool BE3619...................................................... 4.00% 05/01/47 72,443 81,253 Pool CA0995...................................................... 3.50% 01/01/48 88,638 105,737 Pool FM2870...................................................... 3.00% 03/01/50 112,930 93,072 Pool MA4093...................................................... 2.00% 08/01/40 94,637 125,868 Pool MA4152...................................................... 2.00% 10/01/40 128,606 500,000 Pool TBA (e)..................................................... 1.50% 04/15/36 503,729 1,000,000 Pool TBA (e)..................................................... 2.00% 04/15/36 1,030,271 400,000 Pool TBA (e)..................................................... 1.50% 04/15/51 390,477 3,550,000 Pool TBA (e)..................................................... 2.00% 04/15/51 3,563,659 2,000,000 Pool TBA (e)..................................................... 2.50% 04/15/51 2,062,070 Government National Mortgage Association 96,370 Pool MA3873...................................................... 3.00% 08/20/46 101,984 127,689 Pool MA4382...................................................... 3.50% 04/20/47 136,296 100,760 Pool MA4778...................................................... 3.50% 10/20/47 107,594 </TABLE> See Notes to Financial Statements Page 63 <PAGE> FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> PASS-THROUGH SECURITIES (CONTINUED) Government National Mortgage Association (Continued) $ 74,383 Pool MA4779...................................................... 4.00% 10/20/47 $ 80,794 1,125,000 Pool TBA (e)..................................................... 2.00% 04/15/51 1,136,646 1,250,000 Pool TBA (e)..................................................... 2.50% 04/15/51 1,291,113 -------------- 12,888,587 -------------- TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES..................................... 14,392,286 (Cost $14,464,118) -------------- ASSET-BACKED SECURITIES -- 20.7% Accredited Mortgage Loan Trust 52,112 Series 2005-1, Class M1, 1 Mo. LIBOR + 0.71% (a)................. 0.82% 04/25/35 52,197 173,207 Series 2005-1, Class M2, 1 Mo. LIBOR + 1.04% (a)................. 1.15% 04/25/35 173,689 ACE Securities Corp. Home Equity Loan Trust 115,735 Series 2006-OP2, Class A1, 1 Mo. LIBOR + 0.16% (a)............... 0.27% 08/25/36 112,901 Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through Ctfs 290,000 Series 2005-R11, Class M3, 1 Mo. LIBOR + 0.75% (a)............... 0.87% 01/25/36 284,663 Ammc CLO 19 Ltd. 250,000 Series 2016-19A, Class AR, 3 Mo. LIBOR + 1.14% (a) (d)........... 1.38% 10/16/28 249,845 BlueMountain CLO XXX Ltd. 60,000 Series 2020-30A, Class B, 3 Mo. LIBOR + 1.80% (a) (d)............ 1.96% 01/15/33 60,136 Credit-Based Asset Servicing and Securitization LLC 141,183 Series 2007-CB6, Class A1, 1 Mo. LIBOR + 0.12% (a) (d)........... 0.24% 07/25/37 112,145 CWABS Asset-Backed Certificates Trust 215,000 Series 2005-1, Class MV6, 1 Mo. LIBOR + 1.10% (a)................ 1.21% 07/25/35 215,460 72,770 Series 2005-16, Class MV1, 1 Mo. LIBOR + 0.46% (a)............... 0.58% 05/25/36 72,721 Fremont Home Loan Trust 104,433 Series 2005-A, Class M3, 1 Mo. LIBOR + 0.74% (a)................. 0.85% 01/25/35 103,837 GoldenTree Loan Opportunities IX Ltd. 400,000 Series 2014-9A, Class AR2, 3 Mo. LIBOR + 1.11% (a) (d)........... 1.32% 10/29/29 400,290 GSAMP Trust 200,000 Series 2005-HE6, Class M2, 1 Mo. LIBOR + 0.68% (a)............... 0.79% 11/25/35 197,799 JP Morgan Mortgage Acquisition Corp. 87,244 Series 2005-WMC1, Class M2, 1 Mo. LIBOR + 0.66% (a).............. 0.78% 09/25/35 87,531 249,561 Series 2006-FRE1, Class M1, 1 Mo. LIBOR + 0.59% (a).............. 0.72% 05/25/35 248,683 JP Morgan Mortgage Acquisition Trust 87,853 Series 2006-CH1, Class M1, 1 Mo. LIBOR + 0.22% (a)............... 0.34% 07/25/36 87,921 150,205 Series 2006-WMC4, Class A1A, 1 Mo. LIBOR + 0.13% (a)............. 0.25% 12/25/36 117,391 Long Beach Mortgage Loan Trust 121,738 Series 2005-WL2, Class M2, 1 Mo. LIBOR + 0.74% (a)............... 0.85% 08/25/35 122,014 326,851 Series 2006-10, Class 2A3, 1 Mo. LIBOR + 0.16% (a)............... 0.28% 11/25/36 143,274 Morgan Stanley Capital I, Inc., Trust 233,915 Series 2006-HE1, Class A4, 1 Mo. LIBOR + 0.58% (a)............... 0.70% 01/25/36 230,472 35,457 Series 2006-NC2, Class A2D, 1 Mo. LIBOR + 0.58% (a).............. 0.70% 02/25/36 35,083 Navient Student Loan Trust 320,000 Series 2015-3, Class B, 1 Mo. LIBOR + 1.50% (a).................. 1.62% 10/25/58 323,917 Nelnet Student Loan Trust 215,000 Series 2014-4A, Class A2, 1 Mo. LIBOR + 0.95% (a) (d)............ 1.07% 11/25/48 219,795 Nomura Home Equity Loan, Inc., Home Equity Loan Trust 89,623 Series 2006-HE1, Class M1, 1 Mo. LIBOR + 0.62% (a)............... 0.73% 02/25/36 89,415 </TABLE> Page 64 See Notes to Financial Statements <PAGE> FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- ASSET-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> Oakwood Mortgage Investors, Inc. $ 582,662 Series 2001-C, Class A2.......................................... 5.92% 06/15/31 $ 110,411 Palmer Square CLO Ltd. 400,000 Series 2018-1A, Class A1, 3 Mo. LIBOR + 1.03% (a) (d)............ 1.25% 04/18/31 399,279 Saxon Asset Securities Trust 83,383 Series 2005-1, Class M2, 1 Mo. LIBOR + 0.72% (a)................. 0.84% 05/25/35 82,307 Securitized Asset Backed Receivables LLC Trust 113,848 Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.48% (a)............... 0.60% 03/25/36 112,108 SLM Student Loan Trust 65,000 Series 2008-4, Class B, 3 Mo. LIBOR + 1.85% (a).................. 2.07% 04/25/73 64,565 65,000 Series 2008-5, Class B, 3 Mo. LIBOR + 1.85% (a).................. 2.07% 07/25/73 63,963 Soundview Home Loan Trust 137,521 Series 2006-2, Class M2, 1 Mo. LIBOR + 0.53% (a)................. 0.64% 03/25/36 137,441 243,843 Series 2007-OPT3, Class 1A1, 1 Mo. LIBOR + 0.17% (a)............. 0.29% 08/25/37 226,530 Structured Asset Securities Corp. Mortgage Loan Trust 114,273 Series 2006-OPT1, Class A1, 1 Mo. LIBOR + 0.18% (a).............. 0.30% 04/25/36 110,029 TAL Advantage VII LLC 95,625 Series 2020-1A, Class A (d)...................................... 2.05% 09/20/45 97,126 Textainer Marine Containers VIII Ltd. 96,095 Series 2020-2A, Class A (d)...................................... 2.10% 09/20/45 97,399 96,208 Series 2020-3A, Class A (d)...................................... 2.11% 09/20/45 97,710 -------------- TOTAL ASSET-BACKED SECURITIES.................................................................. 5,340,047 (Cost $4,999,238) -------------- U.S. GOVERNMENT BONDS AND NOTES -- 19.8% 1,000,000 Federal Home Loan Bank Discount Notes............................... (b) 04/30/21 999,950 70,000 U.S. Treasury Bond.................................................. 1.63% 11/15/50 61,283 165,000 U.S. Treasury Bond.................................................. 1.88% 02/15/51 153,785 460,000 U.S. Treasury Note.................................................. 0.13% 11/30/22 459,910 1,115,000 U.S. Treasury Note.................................................. 0.13% 01/31/23 1,114,521 260,000 U.S. Treasury Note.................................................. 0.13% 02/28/23 259,904 75,000 U.S. Treasury Note.................................................. 0.38% 12/31/25 73,667 550,000 U.S. Treasury Note.................................................. 0.38% 01/31/26 539,602 725,000 U.S. Treasury Note.................................................. 0.50% 02/28/26 715,258 745,000 U.S. Treasury Note.................................................. 1.13% 02/15/31 722,184 -------------- TOTAL U.S. GOVERNMENT BONDS AND NOTES.......................................................... 5,100,064 (Cost $5,114,584) -------------- MORTGAGE-BACKED SECURITIES -- 19.0% COLLATERALIZED MORTGAGE OBLIGATIONS -- 8.1% Alternative Loan Trust 266,236 Series 2005-16, Class A4, 1 Mo. LIBOR + 0.48% (a)................ 0.60% 06/25/35 249,813 361,066 Series 2007-HY8C, Class A1, 1 Mo. LIBOR + 0.16% (a).............. 0.28% 09/25/47 345,936 226,817 Series 2007-OA7, Class A1A, 1 Mo. LIBOR + 0.18% (a).............. 0.30% 05/25/47 216,731 Banc of America Funding Trust 142,749 Series 2015-R2, Class 4A1, 1 Mo. LIBOR + 0.17% (a) (d)........... 0.28% 09/29/36 142,445 </TABLE> See Notes to Financial Statements Page 65 <PAGE> FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) Bear Stearns ALT-A Trust $ 39,600 Series 2004-8, Class 2A, 1 Mo. LIBOR + 0.68% (a)................. 0.80% 09/25/34 $ 39,630 Bear Stearns Mortgage Funding Trust 138,906 Series 2006-AR5, Class 2A1, 1 Mo. LIBOR + 0.19% (a).............. 0.31% 01/25/37 130,534 CHL Mortgage Pass-Through Trust 140,294 Series 2007-20, Class A1......................................... 6.50% 01/25/38 107,814 CIM Trust 108,860 Series 2017-3, Class A1, 1 Mo. LIBOR + 2.00% (a) (d)............. 2.12% 01/25/57 110,590 GSR Mortgage Loan Trust 286,331 Series 2006-OA1, Class 2A2, 1 Mo. LIBOR + 0.52% (a).............. 0.64% 08/25/46 173,980 IndyMac INDX Mortgage Loan Trust 70,666 Series 2006-AR9, Class 3A2, 1 Mo. LIBOR + 0.35% (a).............. 0.47% 06/25/36 69,362 RALI Trust 184,936 Series 2006-QA6, Class A1, 1 Mo. LIBOR + 0.38% (a)............... 0.50% 07/25/36 190,234 Structured Asset Mortgage Investments II Trust 114,017 Series 2007-AR1, Class 2A1, 1 Mo. LIBOR + 0.18% (a).............. 0.30% 01/25/37 109,160 WaMu Mortgage Pass-Through Certificates Trust 78,732 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average + 1.00% (a)..................................................... 1.38% 02/25/46 79,331 115,866 Series 2006-AR17, Class 1A1A, 12 Mo. Treasury Average + 0.81% (a)..................................................... 1.31% 12/25/46 111,060 -------------- 2,076,620 -------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- 10.9% BAMLL Commercial Mortgage Securities Trust 105,000 Series 2018-PARK, Class A (c) (d)................................ 4.09% 08/10/38 120,123 BBCMS Trust 120,000 Series 2015-SRCH, Class A2 (d)................................... 4.20% 08/10/35 136,330 BX Commercial Mortgage Trust 35,000 Series 2018-IND, Class G, 1 Mo. LIBOR + 2.05% (a) (d)............ 2.16% 11/15/35 35,141 CALI Mortgage Trust 100,000 Series 2019-101C, Class A (d).................................... 3.96% 03/10/39 114,475 Citigroup Commercial Mortgage Trust 566,980 Series 2012-GC8, Class XA, IO (c) (d)............................ 1.74% 09/10/45 11,145 769,782 Series 2013-GC15, Class XA, IO (c)............................... 0.84% 09/10/46 13,870 COMM Mortgage Trust 4,650,797 Series 2012-CCRE4, Class XA, IO (c).............................. 1.70% 10/15/45 100,380 1,454,410 Series 2013-LC13, Class XA, IO (c)............................... 1.11% 08/10/46 33,391 1,316,596 Series 2014-CCRE17, Class XA, IO (c)............................. 0.97% 05/10/47 32,368 1,886,167 Series 2014-UBS2, Class XA, IO (c)............................... 1.15% 03/10/47 53,428 584,846 Series 2014-UBS3, Class XA, IO (c)............................... 1.07% 06/10/47 17,149 11,151,000 Series 2014-UBS3, Class XB, IO (c) (d)........................... 0.32% 06/10/47 114,399 35,000 Series 2020-CX, Class E (c) (d).................................. 2.68% 11/10/46 32,752 CSAIL Commercial Mortgage Trust 2,299,914 Series 2015-C2, Class XA, IO (c)................................. 0.75% 06/15/57 59,186 3,187,721 Series 2016-C5, Class XA, IO (c)................................. 0.92% 11/15/48 111,057 DBUBS Mortgage Trust 120,000 Series 2017-BRBK, Class A (d).................................... 3.45% 10/10/34 129,024 DC Office Trust 75,000 Series 2019-MTC, Class A (d)..................................... 2.97% 09/15/45 80,007 </TABLE> Page 66 See Notes to Financial Statements <PAGE> FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE -------------- -------------------------------------------------------------------- ----------- ------------ -------------- MORTGAGE-BACKED SECURITIES (CONTINUED) <S> <C> <C> <C> <C> COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED) Grace Trust $ 1,000,000 Series 2020-GRCE, Class X, IO (c) (d)............................ 0.30% 12/10/40 $ 27,705 GS Mortgage Securities Trust 8,051,870 Series 2011-GC5, Class XA, IO (c) (d)............................ 1.23% 08/10/44 7,598 Hudson Yards Mortgage Trust 75,000 Series 2019-55HY, Class A (c) (d)................................ 2.94% 12/10/41 80,151 JP Morgan Chase Commercial Mortgage Securities Trust 5,443,905 Series 2013-C16, Class XA, IO (c)................................ 0.92% 12/15/46 116,002 1,937,266 Series 2013-LC11, Class XA, IO (c)............................... 1.25% 04/15/46 41,403 JPMBB Commercial Mortgage Securities Trust 1,027,228 Series 2015-C32, Class XA, IO (c)................................ 1.21% 11/15/48 33,323 MKT Mortgage Trust 95,000 Series 2020-525M, Class A (d).................................... 2.69% 02/12/40 99,305 Morgan Stanley Bank of America Merrill Lynch Trust 1,889,810 Series 2013-C13, Class XA, IO (c)................................ 0.95% 11/15/46 40,912 5,426,451 Series 2014-C14, Class XA, IO (c)................................ 1.00% 02/15/47 127,146 Natixis Commercial Mortgage Securities Trust 75,000 Series 2020-2PAC, Class A (d).................................... 2.97% 12/15/38 78,242 One Bryant Park Trust 125,000 Series 2019-OBP, Class A (d)..................................... 2.52% 09/15/54 129,191 SFAVE Commercial Mortgage Securities Trust 270,000 Series 2015-5AVE, Class A2A (c) (d).............................. 3.66% 01/05/43 274,391 UBS Commercial Mortgage Trust 3,486,285 Series 2012-C1, Class XA, IO (c) (d)............................. 2.06% 05/10/45 44,835 UBS-Barclays Commercial Mortgage Trust 5,356,605 Series 2012-C2, Class XA, IO (c) (d)............................. 1.29% 05/10/63 72,619 677,729 Series 2012-C3, Class XA, IO (c) (d)............................. 1.81% 08/10/49 14,258 Wells Fargo Commercial Mortgage Trust 2,079,205 Series 2015-LC22, Class XA, IO (c)............................... 0.77% 09/15/58 60,007 1,251,717 Series 2016-BNK1, Class XA, IO (c)............................... 1.74% 08/15/49 94,791 WFRBS Commercial Mortgage Trust 662,005 Series 2012-C9, Class XA, IO (c) (d)............................. 1.88% 11/15/45 15,026 3,946,149 Series 2014-C20, Class XA, IO (c)................................ 0.94% 05/15/47 92,520 1,101,367 Series 2014-C22, Class XA, IO (c)................................ 0.80% 09/15/57 24,664 5,040,180 Series 2014-C24, Class XA, IO (c)................................ 0.85% 11/15/47 136,882 550,093 Series 2014-LC14, Class XA, IO (c)............................... 1.26% 03/15/47 17,000 -------------- 2,822,196 -------------- TOTAL MORTGAGE-BACKED SECURITIES............................................................... 4,898,816 (Cost $4,636,464) -------------- U.S. TREASURY BILLS -- 18.9% 360,000 U.S. Treasury Bill.................................................. (b) 03/11/21 359,997 255,000 U.S. Treasury Bill.................................................. (b) 04/08/21 254,992 250,000 U.S. Treasury Bill.................................................. (b) 04/15/21 249,991 1,200,000 U.S. Treasury Bill.................................................. (b) 04/29/21 1,199,941 1,000,000 U.S. Treasury Bill.................................................. (b) 07/29/21 999,813 730,000 U.S. Treasury Bill.................................................. (b) 08/12/21 729,842 1,085,000 U.S. Treasury Bill.................................................. (b) 08/19/21 1,084,742 -------------- TOTAL U.S. TREASURY BILLS...................................................................... 4,879,318 (Cost $4,879,153) -------------- </TABLE> See Notes to Financial Statements Page 67 <PAGE> FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ----------------------------------------------------------------------------------------------- -------------- MONEY MARKET FUNDS -- 9.2% <S> <C> <C> $ 2,364,758 JPMorgan 100% U.S. Treasury Securities Money Market - Fund Institutional Class - 0.01% (f)..... $ 2,364,758 (Cost $2,364,758) -------------- TOTAL INVESTMENTS -- 143.5%.................................................................... 36,975,289 (Cost $36,458,315) (g) NET OTHER ASSETS AND LIABILITIES -- (43.5)%.................................................... (11,205,647) -------------- NET ASSETS -- 100.0%........................................................................... $ 25,769,642 ============== </TABLE> FUTURES CONTRACTS AT FEBRUARY 28, 2021 (See Note 2C - Futures Contracts in the Notes to Financial Statements): <TABLE> <CAPTION> UNREALIZED APPRECIATION NUMBER OF (DEPRECIATION)/ FUTURES CONTRACTS POSITION CONTRACTS EXPIRATION DATE NOTIONAL VALUE VALUE --------------------------------- ------------ --------------- --------------- -------------- -------------- <S> <C> <C> <C> <C> <C> U.S. 2-Year Treasury Notes Long 11 Jun-2021 $ 2,428,422 $ (1,986) U.S. 5-Year Treasury Notes Short 14 Jun-2021 (1,735,563) 14,082 U.S. 10-Year Ultra Treasury Notes Short 4 Jun-2021 (589,375) 5,585 U.S. Treasury Ultra Bond Futures Short 2 Jun-2021 (378,125) 2,602 -------------- -------------- $ (274,641) $ 20,283 ============== ============== </TABLE> ----------------------------- (a) Floating or variable rate security. (b) Zero coupon security. (c) Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment's underlying collateral. The interest rate resets periodically. (d) This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund's Advisor. 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 February 28, 2021, securities noted as such amounted to $3,660,694 or 14.2% of net assets. (e) All or a portion of this security is part of a mortgage dollar roll agreement (see Note 2J - Mortgage Dollar Rolls in the Notes to Financial Statements). (f) Rate shown reflects yield as of February 28, 2021. (g) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $697,956 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $160,699. The net unrealized appreciation was $537,257. The unrealized amounts presented are inclusive of derivative contracts. IO - Interest-Only Security - Principal amount shown represents par value on which interest payments are based LIBOR - London Interbank Offered Rate PO - Principal-Only Security TBA - To-Be-Announced Security Page 68 See Notes to Financial Statements <PAGE> FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> U.S. Government Agency Mortgage-Backed Securities... $ 14,392,286 $ -- $ 14,392,286 $ -- Asset-Backed Securities............................. 5,340,047 -- 5,340,047 -- U.S. Government Bonds and Notes..................... 5,100,064 -- 5,100,064 -- Mortgage-Backed Securities.......................... 4,898,816 -- 4,898,816 -- U.S. Treasury Bills................................. 4,879,318 -- 4,879,318 -- Money Market Funds.................................. 2,364,758 2,364,758 -- -- -------------- -------------- -------------- -------------- Total Investments................................... 36,975,289 2,364,758 34,610,531 -- Futures Contracts*.................................. 22,269 22,269 -- -- -------------- -------------- -------------- -------------- Total............................................... $ 36,997,558 $ 2,387,027 $ 34,610,531 $ -- ============== ============== ============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Futures Contracts*.................................. $ (1,986) $ (1,986) $ -- $ -- ============== ============== ============== ============== </TABLE> * 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 Statements of Assets and Liabilities. See Notes to Financial Statements Page 69 <PAGE> FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN SOVEREIGN BONDS AND NOTES -- 62.2% <S> <C> <C> <C> <C> ANGOLA -- 2.2% 200,000 Angolan Government International Bond (USD) (a)..................... 8.25% 05/09/28 $ 199,620 250,000 Angolan Government International Bond (USD) (a)..................... 9.13% 11/26/49 241,697 -------------- 441,317 -------------- BAHRAIN -- 2.2% 250,000 Bahrain Government International Bond (USD) (a)..................... 5.25% 01/25/33 245,625 200,000 Bahrain Government International Bond Series (USD) (b).............. 6.00% 09/19/44 193,480 -------------- 439,105 -------------- BRAZIL -- 1.0% 200,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 199,350 -------------- CHILE -- 1.6% 300,000 Chile Government International Bond (USD)........................... 2.55% 01/27/32 304,407 -------------- COSTA RICA -- 1.0% 200,000 Costa Rica Government International Bond (USD) (b).................. 7.16% 03/12/45 197,500 -------------- DOMINICAN REPUBLIC -- 3.1% 300,000 Dominican Republic International Bond (USD) (a)..................... 4.88% 09/23/32 305,625 150,000 Dominican Republic International Bond (USD) (a)..................... 5.30% 01/21/41 147,938 150,000 Dominican Republic International Bond (USD) (a)..................... 5.88% 01/30/60 146,625 -------------- 600,188 -------------- EGYPT -- 2.8% 325,000 Egypt Government International Bond (USD) (a)....................... 7.05% 01/15/32 336,380 200,000 Egypt Government International Bond Series (USD) (b)................ 8.50% 01/31/47 208,803 -------------- 545,183 -------------- EL SALVADOR -- 0.4% 53,000 El Salvador Government International Bond Series (USD) (b).......... 5.88% 01/30/25 52,073 23,000 El Salvador Government International Bond Series (USD) (b).......... 6.38% 01/18/27 22,626 -------------- 74,699 -------------- GHANA -- 2.2% 200,000 Ghana Government International Bond (USD) (a)....................... 8.95% 03/26/51 196,293 225,000 Ghana Government International Bond Series (USD) (b)................ 8.13% 03/26/32 230,395 -------------- 426,688 -------------- INDONESIA -- 2.7% 200,000 Perusahaan Penerbit SBSN Indonesia III (USD) (a).................... 3.80% 06/23/50 200,392 300,000 Perusahaan Penerbit SBSN Indonesia III Series (USD) (b)............. 4.15% 03/29/27 332,907 -------------- 533,299 -------------- IRAQ -- 1.0% 218,750 Iraq International Bond (USD) (b)................................... 5.80% 01/15/28 203,427 -------------- IVORY COAST (COTE D'IVOIRE) -- 2.0% 100,000 Ivory Coast Government International Bond (EUR) (a)................. 4.88% 01/30/32 121,059 200,000 Ivory Coast Government International Bond (EUR) (a)................. 6.88% 10/17/40 263,091 -------------- 384,150 -------------- KENYA -- 1.1% 200,000 Kenya Government International Bond (USD) (a)....................... 8.00% 05/22/32 224,675 -------------- </TABLE> Page 70 See Notes to Financial Statements <PAGE> FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> MEXICO -- 2.4% 300,000 Mexico Government International Bond (USD).......................... 2.66% 05/24/31 $ 289,728 200,000 Mexico Government International Bond (USD).......................... 3.77% 05/24/61 176,327 -------------- 466,055 -------------- MOROCCO -- 1.0% 200,000 Morocco Government International Bond (USD) (a)..................... 3.00% 12/15/32 194,302 -------------- NIGERIA -- 2.1% 200,000 Nigeria Government International Bond (USD) (a)..................... 7.70% 02/23/38 205,950 200,000 Nigeria Government International Bond Series (USD) (b).............. 7.88% 02/16/32 215,945 -------------- 421,895 -------------- OMAN -- 4.2% 200,000 Oman Government International Bond (USD) (a)........................ 6.25% 01/25/31 210,992 400,000 Oman Government International Bond Series (USD) (b)................. 6.00% 08/01/29 418,866 200,000 Oman Government International Bond Series (USD) (b)................. 6.50% 03/08/47 189,994 -------------- 819,852 -------------- PAKISTAN -- 1.1% 200,000 Pakistan Government International Bond (USD) (b).................... 6.88% 12/05/27 214,500 -------------- PANAMA -- 3.9% 600,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 574,500 200,000 Panama Government International Bond (USD).......................... 3.87% 07/23/60 198,250 -------------- 772,750 -------------- PARAGUAY -- 1.2% 200,000 Paraguay Government International Bond (USD) (b).................... 5.60% 03/13/48 233,302 -------------- PERU -- 2.4% 200,000 Peruvian Government International Bond (USD)........................ 2.78% 01/23/31 203,352 210,000 Peruvian Government International Bond (USD)........................ 1.86% 12/01/32 194,644 100,000 Peruvian Government International Bond (USD)........................ 2.78% 12/01/60 82,400 -------------- 480,396 -------------- QATAR -- 2.3% 200,000 Qatar Government International Bond (USD) (a)....................... 3.75% 04/16/30 226,041 200,000 Qatar Government International Bond (USD) (a)....................... 4.40% 04/16/50 234,897 -------------- 460,938 -------------- ROMANIA -- 2.2% 250,000 Romanian Government International Bond (USD) (a).................... 3.00% 02/14/31 253,746 150,000 Romanian Government International Bond (EUR) (a).................... 2.63% 12/02/40 178,736 -------------- 432,482 -------------- SAUDI ARABIA -- 5.8% 200,000 Saudi Government International Bond (USD) (a)....................... 2.50% 02/03/27 209,304 200,000 Saudi Government International Bond (USD) (a)....................... 2.75% 02/03/32 204,145 475,000 Saudi Government International Bond (USD) (a)....................... 2.25% 02/02/33 455,454 300,000 Saudi Government International Bond (USD) (a)....................... 3.45% 02/02/61 279,577 -------------- 1,148,480 -------------- </TABLE> See Notes to Financial Statements Page 71 <PAGE> FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED) <S> <C> <C> <C> <C> SENEGAL -- 0.6% 100,000 Senegal Government International Bond (EUR) (b)..................... 4.75% 03/13/28 $ 127,117 -------------- SOUTH AFRICA -- 2.0% 200,000 Republic of South Africa Government International Bond (USD)........ 4.30% 10/12/28 198,580 200,000 Republic of South Africa Government International Bond (USD)........ 5.75% 09/30/49 184,365 -------------- 382,945 -------------- TURKEY -- 4.3% 300,000 Turkey Government International Bond (USD).......................... 4.88% 10/09/26 300,237 200,000 Turkey Government International Bond (USD).......................... 5.88% 06/26/31 198,575 170,000 Turkey Government International Bond (USD).......................... 6.88% 03/17/36 175,746 200,000 Turkey Government International Bond (USD).......................... 5.75% 05/11/47 175,150 -------------- 849,708 -------------- UKRAINE -- 1.7% 150,000 Ukraine Government International Bond (USD) (c)..................... 0.00% 05/31/40 164,950 150,000 Ukraine Government International Bond Series (USD) (b).............. 7.75% 09/01/27 162,765 -------------- 327,715 -------------- UNITED ARAB EMIRATES -- 1.0% 200,000 Abu Dhabi Government International Bond (USD) (b)................... 1.70% 03/02/31 191,965 -------------- URUGUAY -- 0.7% 110,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 127,223 -------------- TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 12,225,613 (Cost $12,522,793) -------------- FOREIGN CORPORATE BONDS AND NOTES -- 32.3% BANKS -- 6.3% 200,000 Banco do Brasil S.A. (USD) (b) (d).................................. 6.25% (e) 199,750 200,000 Banco Industrial S.A. (USD) (a) (d)................................. 4.88% 01/29/31 204,450 200,000 Banco Mercantil del Norte S.A. (USD) (a) (d)........................ 6.88% (e) 206,000 200,000 Bancolombia S.A. (USD) (d).......................................... 4.63% 12/18/29 207,500 200,000 Bangkok Bank PCL (USD) (a) (d)...................................... 5.00% (e) 212,000 200,000 Global Bank Corp. (USD) (a) (d)..................................... 5.25% 04/16/29 213,300 -------------- 1,243,000 -------------- COMMERCIAL SERVICES -- 1.1% 200,000 DP World Salaam (USD) (b) (d)....................................... 6.00% (e) 217,884 -------------- ELECTRIC -- 6.9% 200,000 AES Gener S.A. (USD) (a) (d)........................................ 7.13% 03/26/79 217,860 200,000 Eskom Holdings SOC Ltd. (USD) (b)................................... 6.75% 08/06/23 209,055 200,000 Eskom Holdings SOC Ltd. (USD) (b)................................... 6.35% 08/10/28 215,726 250,000 India Green Power Holdings (USD) (a)................................ 4.00% 02/22/27 251,875 200,000 Minejesa Capital B.V. (USD) (a)..................................... 5.63% 08/10/37 212,000 250,000 Mong Duong Finance Holdings B.V. (USD) (a).......................... 5.13% 05/07/29 254,219 -------------- 1,360,735 -------------- </TABLE> Page 72 See Notes to Financial Statements <PAGE> FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR) -------------- -------------------------------------------------------------------- ----------- ------------ -------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) <S> <C> <C> IRON/STEEL -- 1.2% 200,000 Metinvest B.V. (USD) (b)............................................ 8.50% 04/23/26 $ 227,780 -------------- MINING -- 1.9% 275,000 Indonesia Asahan Aluminium Persero PT (USD) (a)..................... 5.45% 05/15/30 315,769 50,000 Volcan Cia Minera SAA (USD) (a)..................................... 4.38% 02/11/26 51,500 -------------- 367,269 -------------- OIL & GAS -- 7.6% 100,000 Ecopetrol S.A. (USD)................................................ 5.88% 05/28/45 108,358 400,000 KazMunayGas National Co. JSC (USD) (a).............................. 3.50% 04/14/33 408,996 100,000 Leviathan Bond Ltd. (USD) (a) (b)................................... 6.13% 06/30/25 110,004 150,000 Leviathan Bond Ltd. (USD) (a) (b)................................... 6.75% 06/30/30 166,575 90,000 Petrobras Global Finance B.V. (USD)................................. 6.85% 06/05/15 98,370 50,000 Petroleos Mexicanos (USD)........................................... 6.49% 01/23/27 52,500 200,000 Petroleos Mexicanos (USD)........................................... 5.35% 02/12/28 194,170 200,000 Petroleos Mexicanos (USD)........................................... 5.95% 01/28/31 193,125 170,000 Petroleos Mexicanos (USD)........................................... 6.63% 06/15/35 161,680 -------------- 1,493,778 -------------- OIL & GAS SERVICES -- 1.1% 200,000 Guara Norte Sarl (USD) (a).......................................... 5.20% 06/15/34 205,190 -------------- PIPELINES -- 1.0% 200,000 Galaxy Pipeline Assets Bidco Ltd. (USD) (a)......................... 1.75% 09/30/27 201,195 -------------- REAL ESTATE -- 4.1% 200,000 China Evergrande Group (USD) (b).................................... 8.25% 03/23/22 192,500 200,000 Kaisa Group Holdings Ltd. (USD) (b)................................. 8.50% 06/30/22 202,501 200,000 New Metro Global Ltd. (USD) (b)..................................... 6.80% 08/05/23 211,099 200,000 Ronshine China Holdings Ltd. (USD) (b).............................. 8.75% 10/25/22 205,004 -------------- 811,104 -------------- TELECOMMUNICATIONS -- 1.1% 200,000 Network i2i Ltd. (USD) (b) (d)...................................... 5.65% (e) 212,350 -------------- TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 6,340,285 (Cost $6,428,061) -------------- </TABLE> <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ----------------------------------------------------------------------------------------------- -------------- MONEY MARKET FUNDS -- 2.1% <S> <C> <C> 416,257 JPMorgan 100% U.S. Treasury Securities Money Market - Fund Institutional Class - 0.01% (f)..... 416,257 (Cost $416,257) -------------- TOTAL INVESTMENTS -- 96.6%..................................................................... 18,982,155 (Cost $19,367,111) (g) NET OTHER ASSETS AND LIABILITIES -- 3.4%....................................................... 669,119 -------------- NET ASSETS -- 100.0%........................................................................... $ 19,651,274 ============== </TABLE> See Notes to Financial Statements Page 73 <PAGE> FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- (a) This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund's Advisor. 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 February 28, 2021, securities noted as such amounted to $8,513,097 or 43.3% of net assets. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (c) Floating or variable rate security. The interest rate shown does not reflect the anticipated first coupon payment scheduled for May 31, 2021 which is directly linked to the real GDP growth of Ukraine as reported. (d) Fixed-to-floating security. The interest rate shown reflects the fixed rate in effect at February 28, 2021. At a predetermined date, the fixed rate will change to a floating rate. (e) Perpetual maturity. (f) Rate shown reflects yield as of February 28, 2021. (g) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $10,727 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $395,683. The net unrealized depreciation was $384,956. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> Foreign Sovereign Bonds and Notes*.................. $ 12,225,613 $ -- $ 12,225,613 $ -- Foreign Corporate Bonds and Notes**................. 6,340,285 -- 6,340,285 -- Money Market Funds.................................. 416,257 416,257 -- -- -------------- -------------- -------------- -------------- Total Investments................................... $ 18,982,155 $ 416,257 $ 18,565,898 $ -- ============== ============== ============== ============== </TABLE> * See Portfolio of Investments for country breakout. ** See Portfolio of Investments for industry breakout. Page 74 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF ASSETS AND LIABILITIES FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW OPPORTUNISTIC UNCONSTRAINED SECURITIZED EMERGING FIXED INCOME PLUS BOND PLUS MARKETS DEBT ETF ETF ETF ETF (FIXD) (UCON) (DEED) (EFIX) --------------- --------------- --------------- --------------- ASSETS: <S> <C> <C> <C> <C> Investments, at value.............................. $ 6,779,811,080 $ 291,275,720 $ 36,975,289 $ 18,982,155 Swaptions contracts purchased, at value............ 1,009,411 -- -- -- Cash............................................... 8,530,842 -- 317,866 1,284,203 Cash segregated as collateral for TBA securities... 17,972,000 -- -- -- Cash segregated as collateral for open futures contracts....................................... 3,231,000 1,878,928 47,990 -- Due from broker.................................... 111,198 -- -- -- Foreign currency, at value......................... -- -- -- 276,777 Unrealized appreciation on forward foreign currency contracts.............................. 3,469,744 174,481 -- -- Receivables: Investment securities sold...................... 1,222,214,301 32,439,270 9,159,558 447,154 Capital shares sold............................. 21,369,639 -- -- -- Interest........................................ 15,189,345 1,484,503 94,801 226,642 Variation margin................................ 102,438 165 -- -- Dividends....................................... 1,263 34 3 -- --------------- --------------- --------------- --------------- Total Assets................................. 8,073,012,261 327,253,101 46,595,507 21,216,931 --------------- --------------- --------------- --------------- LIABILITIES: Payables: Investment securities purchased................. 3,030,015,910 67,680,839 20,805,152 1,561,021 Investment advisory fees........................ 2,113,535 147,873 11,619 4,636 Variation margin................................ -- 250,560 9,094 -- --------------- --------------- --------------- --------------- Total Liabilities............................ 3,032,129,445 68,079,272 20,825,865 1,565,657 --------------- --------------- --------------- --------------- NET ASSETS......................................... $ 5,040,882,816 $ 259,173,829 $ 25,769,642 $ 19,651,274 =============== =============== =============== =============== NET ASSETS CONSIST OF: Paid-in capital.................................... $ 5,077,709,478 $ 252,329,016 $ 25,011,595 $ 20,024,040 Par value.......................................... 944,500 97,500 10,000 10,000 Accumulated distributable earnings (loss).......... (37,771,162) 6,747,313 748,047 (382,766) --------------- --------------- --------------- --------------- NET ASSETS......................................... $ 5,040,882,816 $ 259,173,829 $ 25,769,642 $ 19,651,274 =============== =============== =============== =============== NET ASSET VALUE, per share......................... $ 53.37 $ 26.58 $ 25.77 $ 19.65 =============== =============== =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)... 94,450,002 9,750,002 1,000,002 1,000,002 =============== =============== =============== =============== Investments, at cost............................... $ 6,787,734,139 $ 287,386,777 $ 36,458,315 $ 19,367,111 =============== =============== =============== =============== Foreign currency, at cost.......................... $ -- $ -- $ -- $ 277,947 =============== =============== =============== =============== Premiums paid on swaptions contracts purchased..... $ 571,710 $ -- $ -- $ -- =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 75 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW OPPORTUNISTIC UNCONSTRAINED SECURITIZED EMERGING FIXED INCOME PLUS BOND PLUS MARKETS DEBT ETF ETF ETF ETF (FIXD) (UCON) (DEED) (EFIX) (a) --------------- --------------- --------------- --------------- INVESTMENT INCOME: <S> <C> <C> <C> <C> Interest........................................... $ 36,934,811 $ 3,356,308 $ 219,465 $ 24,883 Dividends.......................................... 5,826 112 -- -- --------------- --------------- --------------- --------------- Total investment income......................... 36,940,637 3,356,420 219,465 24,883 --------------- --------------- --------------- --------------- EXPENSES: Investment advisory fees........................... 14,270,549 974,441 89,928 5,181 --------------- --------------- --------------- --------------- Total expenses.................................. 14,270,549 974,441 89,928 5,181 Less fees waived by the investment advisor...... (2,195,469) (114,640) (11,990) (545) --------------- --------------- --------------- --------------- Net expenses.................................... 12,075,080 859,801 77,938 4,636 --------------- --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS)....................... 24,865,557 2,496,619 141,527 20,247 --------------- --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................... (14,016,171) 3,466,603 165,272 (16,706) Futures contracts............................... (426,881) 2,694,989 105,738 -- Foreign currency transactions................... 14,948 754 -- 337 --------------- --------------- --------------- --------------- Net realized gain (loss)........................... (14,428,104) 6,162,346 271,010 (16,369) --------------- --------------- --------------- --------------- Net change in unrealized appreciation (depreciation) on: Investments..................................... (74,818,810) (2,279,261) (166,875) (384,956) Forward foreign currency contracts.............. 3,469,744 174,481 -- -- Purchased swaptions contracts................... 437,701 -- -- -- Futures contracts............................... (19,763) (40,703) 14,110 -- Foreign currency translation.................... -- -- -- (1,688) --------------- --------------- --------------- --------------- Net change in unrealized appreciation (depreciation).................................. (70,931,128) (2,145,483) (152,765) (386,644) --------------- --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)..................................... (85,359,232) 4,016,863 118,245 (403,013) --------------- --------------- --------------- --------------- ET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....................... $ (60,493,675) $ 6,513,482 $ 259,772 $ (382,766) =============== =============== =============== =============== </TABLE> (a) Inception date is February 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 76 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST TCW FIRST TRUST TCW OPPORTUNISTIC FIXED UNCONSTRAINED INCOME ETF PLUS BOND ETF (FIXD) (UCON) ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR 2/28/2021 ENDED 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (UNAUDITED) 8/31/2020 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss).............................. $ 24,865,557 $ 29,119,269 $ 2,496,619 $ 5,880,143 Net realized gain (loss).................................. (14,428,104) 70,279,466 6,162,346 2,072,669 Net change in unrealized appreciation (depreciation)...... (70,931,128) 40,497,582 (2,145,483) (2,882,860) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations............................................. (60,493,675) 139,896,317 6,513,482 5,069,952 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (100,982,198) (50,508,968) (3,391,276) (6,674,002) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 1,561,853,810 2,802,717,770 51,756,614 80,410,130 Cost of shares redeemed................................... -- (152,059,261) -- (82,116,874) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................... 1,561,853,810 2,650,658,509 51,756,614 (1,706,744) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................... 1,400,377,937 2,740,045,858 54,878,820 (3,310,794) NET ASSETS: Beginning of period....................................... 3,640,504,879 900,459,021 204,295,009 207,605,803 -------------- -------------- -------------- -------------- End of period............................................. $5,040,882,816 $3,640,504,879 $ 259,173,829 $ 204,295,009 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 66,000,002 17,000,002 7,800,002 8,050,002 Shares sold............................................... 28,450,000 51,950,000 1,950,000 3,100,000 Shares redeemed........................................... -- (2,950,000) -- (3,350,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period......................... 94,450,002 66,000,002 9,750,002 7,800,002 ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 77 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FIRST TRUST TCW FIRST TRUST TCW SECURITIZED EMERGING MARKETS PLUS ETF DEBT ETF (DEED) (EFIX) ------------------------------- ---------------- SIX MONTHS PERIOD ENDED PERIOD ENDED 2/28/2021 ENDED 2/28/2021 (b) (UNAUDITED) 8/31/2020 (a) (UNAUDITED) -------------- -------------- ---------------- <S> <C> <C> <C> OPERATIONS: Net investment income (loss).............................. $ 141,527 $ 81,001 $ 20,247 Net realized gain (loss).................................. 271,010 142,593 (16,369) Net change in unrealized appreciation (depreciation)...... (152,765) 690,022 (386,644) -------------- -------------- ---------------- Net increase (decrease) in net assets resulting from operations............................................. 259,772 913,616 (382,766) -------------- -------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (356,941) (68,400) -- -------------- -------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 2,580,543 25,031,300 20,034,040 Cost of shares redeemed................................... (2,590,248) -- -- -------------- -------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions............................... (9,705) 25,031,300 20,034,040 -------------- -------------- ---------------- Total increase (decrease) in net assets................... (106,874) 25,876,516 19,651,274 NET ASSETS: Beginning of period....................................... 25,876,516 -- -- -------------- -------------- ---------------- End of period............................................. $ 25,769,642 $ 25,876,516 $ 19,651,274 ============== ============== ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 1,000,002 -- -- Shares sold............................................... 100,000 1,000,002 1,000,002 Shares redeemed........................................... (100,000) -- -- -------------- -------------- ---------------- Shares outstanding, end of period......................... 1,000,002 1,000,002 1,000,002 ============== ============== ================ </TABLE> (a) Inception date is April 29, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Inception date is February 17, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 78 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED AUGUST 31, PERIOD 2/28/2021 ------------------------------------------ ENDED (UNAUDITED) 2020 2019 2018 8/31/2017 (a) ------------- ------------ ------------ ------------ ------------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period................. $ 55.16 $ 52.97 $ 49.40 $ 51.01 $ 50.00 ----------- ---------- ---------- ---------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)......................... 0.36 1.06 1.39 1.15 0.49 Net realized and unrealized gain (loss).............. (0.94) 2.85 3.63 (1.46) 1.12 ----------- ---------- ---------- ---------- --------- Total from investment operations..................... (0.58) 3.91 5.02 (0.31) 1.61 ----------- ---------- ---------- ---------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income................................ (0.64) (1.12) (1.45) (1.30) (0.60) Net realized gain.................................... (0.57) (0.60) -- (0.00) (b) -- ----------- ---------- ---------- ---------- --------- Total distributions.................................. (1.21) (1.72) (1.45) (1.30) (0.60) ----------- ---------- ---------- ---------- --------- Net asset value, end of period....................... $ 53.37 $ 55.16 $ 52.97 $ 49.40 $ 51.01 =========== ========== ========== ========== ========= TOTAL RETURN (c)..................................... (1.10)% 7.57% 10.33% (0.57)% 3.23% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)................. $ 5,040,883 $3,640,505 $ 900,459 $ 318,605 $ 51,011 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets........ 0.65% (d) 0.65% 0.65% 0.65% 0.65% (d) Ratio of net expenses to average net assets.......... 0.55% (d) 0.55% 0.55% 0.55% 0.55% (d) Ratio of net investment income (loss) to average net assets............................................ 1.13% (d) 1.61% 2.69% 2.29% 1.81% (d) Portfolio turnover rate (e).......................... 260% (f) 431% (f) 246% (f) 358% (f) 231% (f) </TABLE> FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED AUGUST 31, PERIOD 2/28/2021 --------------------------- ENDED (UNAUDITED) 2020 2019 8/31/2018 (a) ------------- ------------ ------------ ------------- <S> <C> <C> <C> <C> Net asset value, beginning of period................. $ 26.19 $ 25.79 $ 25.12 $ 25.00 ----------- ---------- ---------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)......................... 0.30 0.75 0.77 0.17 Net realized and unrealized gain (loss).............. 0.48 0.50 0.75 0.10 ----------- ---------- ---------- --------- Total from investment operations..................... 0.78 1.25 1.52 0.27 ----------- ---------- ---------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income................................ (0.36) (0.85) (0.81) (0.15) Net realized gain.................................... (0.03) -- (0.04) -- ----------- ---------- ---------- --------- Total distributions.................................. (0.39) (0.85) (0.85) (0.15) ----------- ---------- ---------- --------- Net asset value, end of period....................... $ 26.58 $ 26.19 $ 25.79 $ 25.12 =========== ========== ========== ========= TOTAL RETURN (c)..................................... 2.97% 4.97% 6.15% 1.06% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)................. $ 259,174 $ 204,295 $ 207,606 $ 25,125 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets........ 0.85% (d) 0.85% 0.85% 0.85% (d) Ratio of net expenses to average net assets.......... 0.75% (d) 0.75% 0.75% 0.75% (d) Ratio of net investment income (loss) to average net assets............................................ 2.18% (d) 2.88% 3.16% 2.68% (d) Portfolio turnover rate (e).......................... 97% (g) 111% (g) 40% (g) 70% </TABLE> (a) Inception dates for FIXD and UCON are February 14, 2017 and June 4, 2018, respectively, which are consistent with the respective Fund's commencement of investment operations and are the dates the initial creation units were established. (b) Amount is less than $0.01. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) The portfolio turnover rate not including mortgage dollar rolls was 146%, 270%, 223%, 241% and 158% for the periods ending February 28, 2021, August 31, 2020, August 31, 2019, August 31, 2018 and August 31, 2017, respectively. (g) The portfolio turnover rate not including mortgage dollar rolls was 24%, 67% and 39% for the periods ending February 28, 2021, August 31, 2020 and August 31, 2019, respectively. See Notes to Financial Statements Page 79 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) ------------- ------------- <S> <C> <C> Net asset value, beginning of period................. $ 25.88 $ 25.00 ----------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)......................... 0.16 0.08 Net realized and unrealized gain (loss).............. 0.12 0.87 ----------- --------- Total from investment operations..................... 0.28 0.95 ----------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income................................ (0.17) (0.07) Net realized and unrealized gain (loss).............. (0.22) -- ----------- --------- Total distributions.................................. (0.39) (0.07) ----------- --------- Net asset value, end of period....................... $ 25.77 $ 25.88 =========== ========= TOTAL RETURN (b)..................................... 1.08% 3.80% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)................. $ 25,770 $ 25,877 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets........ 0.75% (c) 0.75% (c) Ratio of net expenses to average net assets.......... 0.65% (c) 0.65% (c) Ratio of net investment income (loss) to average net assets............................................ 1.18% (c) 0.94% (c) Portfolio turnover rate (d).......................... 264% (e) 186% (e) </TABLE> FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) ------------- <S> <C> Net asset value, beginning of period................. $ 20.00 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)......................... 0.02 Net realized and unrealized gain (loss).............. (0.37) ----------- Total from investment operations..................... (0.35) ----------- Net asset value, end of period....................... $ 19.65 =========== TOTAL RETURN (b)..................................... (1.75)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)................. $ 19,651 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets........ 0.95% (c) Ratio of net expenses to average net assets.......... 0.85% (c) Ratio of net investment income (loss) to average net assets............................................ 3.71% (c) Portfolio turnover rate (d).......................... 3% </TABLE> (a) Inception dates for DEED and EFIX are April 29, 2020 and February 17, 2021, respectively, which are consistent with the respective Fund's commencement of investment operations and are the dates the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (e) The portfolio turnover rate not including mortgage dollar rolls was 78% and 21% for the periods ending February 28, 2021 and August 31, 2020, respectively. Page 80 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on February 22, 2016, 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 thirty-seven funds that are offering shares. This report covers the four funds (each a "Fund" and collectively, the "Funds") listed below: First Trust TCW Opportunistic Fixed Income ETF - (The Nasdaq Stock Market LLC ("Nasdaq") ticker "FIXD") First Trust TCW Unconstrained Plus Bond ETF - (NYSE Arca, Inc. ("NYSE Arca") ticker "UCON") First Trust TCW Securitized Plus ETF - (NYSE Arca ticker "DEED") First Trust TCW Emerging Markets Debt ETF - (NYSE Arca ticker "EFIX")(1) (1) Commenced investment operations on February 17, 2021. Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." Each Fund is an actively managed exchange-traded fund. FIXD's, UCON's and DEED's investment objective is to seek to maximize long-term total return. EFIX's investment objective is to seek to provide high total return from current income and capital appreciation. Each of FIXD and UCON seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings) in fixed income securities. DEED seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings) in securitized debt securities. EFIX seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings) in securitized debt securities issued or guaranteed in emerging market countries. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow 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 Funds 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 Each 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. Each 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. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Corporate bonds, corporate notes, U.S. government securities, mortgage-backed securities, asset-backed securities, municipal securities, capital preferred 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; Page 81 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 5) benchmark securities; 6) bids and offers; and 7) reference data including market research publications. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Options on swaps ("swaptions") are valued by a third-party pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. Shares of open-end funds are valued at fair value which is based on NAV per share. Senior Floating-Rate Loan Interests ("Senior Loans")(1) are not listed on any securities exchange or board of trade. Senior Loans are typically bought and sold by institutional investors in individually negotiated private transactions that function in many respects like an over-the-counter secondary market, although typically no formal market-makers exist. This market, while having grown substantially since its inception, generally has fewer trades and less liquidity than the secondary market for other types of securities. Some Senior Loans have few or no trades, or trade infrequently, and information regarding a specific Senior Loan may not be widely available or may be incomplete. Accordingly, determinations of the market value of Senior Loans may be based on infrequent and dated information. Because there is less reliable, objective data available, elements of judgment may play a greater role in valuation of Senior Loans than for other types of securities. Typically, Senior Loans are valued using information provided by a third-party pricing service. The third-party pricing service primarily uses over-the-counter pricing from dealer runs and broker quotes from indicative sheets to value the Senior Loans. Forward foreign currency contracts are fair valued at the current day's interpolated foreign exchange rate, as calculated using the current day's spot rate, and the thirty, sixty, ninety, and one-hundred eighty day forward rates provided by a third-party pricing service. Exchange-traded futures contracts are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded futures contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. 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. Swaps are fair valued utilizing quotations provided by a third-party pricing service or, if the third-party pricing service does not provide a value, by quotes provided by the selling dealer or financial institution. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a 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 terms "security" and "securities" used throughout the Notes to Financial Statements include Senior Loans. Page 82 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 TCW Investment Management Company LLC's ("TCW" or the "Sub-Advisor") 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, or comparable companies; 8) the coupon payments; 9) the quality, value and salability of collateral, if any, securing the security; 10) the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer's management (for corporate debt only); 11) the economic, political and social prospects/developments of the country of issue and the assessment of the country's government leaders/officials (for sovereign debt only); 12) the prospects for the issuer's industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and 13) other relevant factors. Because foreign markets may be open on different days than the days during which investors may transact in the shares of a Fund, the value of the Fund's securities may change on the days when investors are not able to transact in the shares of the Fund. The value of the securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE. The Funds are 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 each Fund's investments as of February 28, 2021, is included with each 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, which regulates the London Interbank Offered Rates ("LIBOR"), announced on March 5, 2021 that all non-USD LIBOR reference rates and the 1-week and 2-month USD LIBOR reference rates will cease to be provided or no longer be representative immediately after December 31, 2021 and the remaining USD LIBOR settings will cease to be provided or no longer be representative immediately after June 30, 2023. The International Swaps and Derivatives Association, Inc. ("ISDA") confirmed that the March 5, 2021 announcement constituted an index cessation event under the Interbank Offered Rates ("IBOR") Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks Protocol for all 35 LIBOR settings and confirmed that the spread adjustment to be used in ISDA fallbacks was fixed as of the date of the announcement. In the United States, the Alternative Reference Rates Committee (the "ARRC"), a group of market participants convened by the Board of Governors of the Federal Reserve System and the Federal Reserve Bank of New York in cooperation with other federal and state government agencies, has since 2014 undertaken efforts to identify U.S. dollar reference interest rates as alternatives to LIBOR and to Page 83 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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. 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 Funds or their investments. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. 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. Each 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 February 28, 2021, the Funds had no when-issued or delayed-delivery securities. At February 28, 2021, FIXD, UCON, and DEED held $1,184,145,034, $33,455,680 and $9,977,965, respectively, of forward purchase commitments. C. FUTURES CONTRACTS Each Fund may purchase or sell (i.e., is long or short) exchange-listed futures contracts to hedge against changes in interest rates (interest rate risk). Futures contracts are agreements between a 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 a 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, a 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 Statements of Operations. Upon entering into a futures contract, a Fund must deposit funds, called margin, with its custodian in the name of the clearing broker equal to a specified percentage of the current value of the contract. Open futures contacts are marked-to-market daily with the change in value recognized as a component of "Net change in unrealized appreciation (depreciation) on futures contracts" on the Statements of Operations. Pursuant to the contract, a Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are included in "Variation margin" receivable or payable on the Statements of Assets and Liabilities. If market conditions change unexpectedly, a 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. D. FORWARD FOREIGN CURRENCY CONTRACTS Each Fund is subject to foreign currency risk in the normal course of pursuing its investment objective. Forward foreign currency contracts are agreements between two parties ("Counterparties") to exchange one currency for another at a future date and at a specified price. Each Fund uses forward foreign currency contracts to facilitate transactions in foreign securities and to manage the Fund's foreign currency exposure. These contracts are valued daily, and a Fund's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in "Unrealized appreciation (depreciation) on forward foreign currency contracts" on the Statements of Assets and Liabilities. The change in unrealized appreciation/(depreciation) is included in "Net change in unrealized appreciation (depreciation) on forward foreign currency contracts" on the Statements of Operations. When the forward contract is closed, a Fund records a realized gain or loss equal to the difference between the proceeds from (or the cost of) the closing transaction and the Fund's basis in the contract. This realized gain or loss is included in "Net realized gain (loss) on forward foreign currency contracts" on the Statements of Operations. Risks arise from the possible inability of Counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Due to the risks, a Fund could incur losses in excess of the net unrealized value shown on the forward foreign currency contracts table in the Fund's Portfolio of Investments. In the event of default by the Counterparty, a Fund will provide notice to the Counterparty of the Fund's intent to convert the currency held by the Fund into the currency that the Counterparty agreed to exchange with the Fund. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. E. SWAP AGREEMENTS Each Fund may enter into swap agreements. A swap is a financial instrument that typically involves the exchange of cash flows between two parties on specified dates (settlement dates), where the cash flows are based on agreed upon prices, rates, etc. Payment received or made by the Fund for interest rate swaps, if any, are recorded on the Statements of Operations as "Net realized gain (loss) Page 84 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) on swap contracts." When an interest rate swap is terminated, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract, if any. Generally, the basis of the contracts, if any, is the premium received or paid. Swap agreements are individually negotiated and involve the risk of the potential inability of the Counterparties to meet the terms of the agreement. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. In the event of a default by a Counterparty, the Fund will seek withdrawal of the collateral and may incur certain costs exercising its rights with respect to the collateral. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. Swap agreements may increase or decrease the overall volatility of the investments of the Fund. The performance of swap agreements may be affected by changes in the specific interest rate, security, currency, or other factors that determine the amounts of payments due to and from the Fund. The Fund's maximum interest rate risk to meet its future payments under swap agreements is equal to the total notional amount as shown on the Portfolio of Investments. The notional amount represents the U.S. dollar value of the contract as of the day of the opening transaction or contract reset. When the Fund enters into a swap agreement, any premium paid is included in "Swap contracts, at value" on the Statements of Assets and Liabilities. As of February 28, 2021, the Funds had no open interest rate swap agreements. An interest rate swap agreement involves the Fund's agreement to exchange a stream of interest payments for another party's stream of cash flows. Interest rate swaps do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that the Fund is contractually obligated to make. F. OPTIONS AND SWAPTIONS The Funds may invest in option contracts to adjust their exposure to interest rate risk. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the Fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the Fund loses an amount equal to the market value of the option written less the premium received. FIXD invests in options on swaps (swaptions), which are transacted over-the-counter ("OTC") and not on an exchange. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options have the risk of the potential inability of counterparties to meet the terms of their contracts. The Fund's maximum equity price risk for purchased options is limited to the premium initially paid. When the Fund purchases a call or put swaption, the premium paid represents the cost of the call or put swaption, which is included in "Swaptions contracts purchased, at value" on the Statements of Assets and Liabilities and is subsequently adjusted daily to the current market value of the option purchased. Fluctuations in the value of the swaptions are recorded in the Statements of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized. If the Fund elects to allow a put swaption to expire, then the interest rate risk for purchased swaptions is limited to the premium initially paid. Any gain or loss on swaptions would be included in "Purchased swaptions contracts" on the Statements of Operations. G. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency) for the non-defaulting Counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. Page 85 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) The Funds do not have the right to offset financial assets and financial liabilities related to swaptions contracts, forward foreign currency contracts, futures contracts or swap contracts on the Statements of Assets and Liabilities. H. FOREIGN CURRENCY The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in "Net change in unrealized appreciation (depreciation) on foreign currency translation" on the Statements of Operations. Unrealized gains and losses on investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in market price and are shown in "Net change in unrealized appreciation (depreciation) on investments" on the Statements of Operations. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received and are included in "Net realized gain (loss) on foreign currency transactions" on the Statements of Operations. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase settlement date and subsequent sale trade date for fixed-income securities is included in "Net realized gain (loss) on investments" on the Statements of Operations. I. 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 each Fund's Portfolio of Investments. J. MORTGAGE DOLLAR ROLLS Each Fund may invest, without limitation, in mortgage dollar rolls. The Funds intend to enter into mortgage dollar rolls only with high quality securities dealers and banks, as determined by the Funds' Sub-Advisor. In a mortgage dollar roll, a 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 a Fund. K. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid monthly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each 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 Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal period ended August 31, 2020 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid from paid from paid from Ordinary Capital Return of Income Gains Capital ------------- ------------- ------------- <S> <C> <C> <C> First Trust TCW Opportunistic Fixed Income ETF $ 49,116,293 $ 1,392,675 $ -- First Trust TCW Unconstrained Plus Bond ETF 6,674,002 -- -- First Trust TCW Securitized Plus ETF 68,400 -- -- </TABLE> Page 86 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) As of August 31, 2020, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Net Undistributed Capital and Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ------------- ------------- ------------- <S> <C> <C> <C> First Trust TCW Opportunistic Fixed Income ETF $ 57,919,147 $ 4,965,890 $ 60,819,674 First Trust TCW Unconstrained Plus Bond ETF 303,491 (2,051,525) 5,373,141 First Trust TCW Securitized Plus ETF 166,476 13,875 664,865 </TABLE> L. INCOME TAXES Each Fund intends to qualify or 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, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are 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. For FIXD, the taxable years ended 2017, 2018, 2019, and 2020 remain open to federal and state audit. For UCON, the taxable years ended 2018, 2019, and 2020 remain open to federal and state audit. For DEED, the taxable year ended 2020 remains open to federal and state audit. As of February 28, 2021, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each 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. Each 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 August 31, 2020, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders. <TABLE> <CAPTION> Non-Expiring Capital Loss Carryforward ---------------- <S> <C> First Trust TCW Opportunistic Fixed Income ETF $ -- First Trust TCW Unconstrained Plus Bond ETF 2,051,525 First Trust TCW Securitized Plus ETF -- </TABLE> 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 period ended August 31, 2020, the Funds had no net late year ordinary or capital losses. 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 Funds, 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 each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. TCW serves as the Funds' sub-advisor and manages each Fund's portfolio subject to First Trust's supervision. Pursuant to the Investment Management Agreement, between the Trust, on behalf of the Funds, and the Advisor, and the Investment Sub-Advisory Agreement among the Trust, on behalf of the Funds, the Advisor and TCW, First Trust will supervise TCW and its management of the investment of each Fund's assets and will pay TCW for its services as the Funds' sub-advisor. First Trust will also be responsible for each Fund's expenses, including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and Page 87 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. FIXD, UCON, DEED, and EFIX have each agreed to pay First Trust an annual unitary management fee equal to 0.65%, 0.85%, 0.75% and 0.95%, respectively, of its average daily net assets. Pursuant to a contractual agreement, First Trust has agreed to waive management fees of 0.10% of average daily net assets until December 31, 2021 for FIXD and UCON, April 6, 2022 for DEED, and February 12, 2023 for EFIX. The waiver agreement may be terminated by action of the Trust's Board of Trustees at any time upon 60 days' written notice by the Trust on behalf of each Fund or by the Funds' investment advisor only after December 31, 2021 for FIXD and UCON, April 6, 2022 for DEED, and February 12, 2023 for EFIX. During the fiscal period ended February 28, 2021, the Advisor waived fees of $2,195,469, $114,640, $11,990 and $545 for FIXD, UCON, DEED, and EFIX, respectively. 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 each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each 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 is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the fiscal period ended February 28, 2021, the cost of purchases and proceeds from sales and paydowns of U.S. Government securities and non-U.S. Government securities for each Fund, excluding short-term investments, were as follows: <TABLE> <CAPTION> Purchases Sales ------------------ ------------------ <S> <C> <C> FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF U.S. Government securities $ 12,887,935,350 $ 11,545,221,865 Non-U.S. Government securities 940,268,038 320,252,939 FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF U.S. Government securities 195,391,467 163,822,505 Non-U.S. Government securities 54,459,901 32,834,205 FIRST TRUST TCW SECURITIZED PLUS ETF U.S. Government securities 68,302,551 63,331,133 Non-U.S. Government securities 2,466,968 2,751,202 FIRST TRUST TCW EMERGING MARKETS DEBT ETF U.S. Government securities -- -- Non-U.S. Government securities 19,476,587 506,458 </TABLE> For the fiscal period ended February 28, 2021, the Funds had no in-kind transactions. Page 88 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 5. DERIVATIVE TRANSACTIONS The following table presents the types of derivatives held by each Fund at February 28, 2021, the primary underlying risk exposure and the location of these instruments as presented on the Statements of Assets and Liabilities. <TABLE> <CAPTION> ASSET DERIVATIVES LIABILITY DERIVATIVES --------------------------------------- --------------------------------------- DERIVATIVES STATEMENTS OF ASSETS AND STATEMENTS OF ASSETS AND INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ------------------ ------------------ -------------------------- ----------- -------------------------- ----------- <S> <C> <C> <C> <C> <C> FIXD Swaptions contracts Swaptions Interest Rate Risk purchased, at value $ 1,009,411 -- $ -- Unrealized appreciation Unrealized depreciation Forward foreign on forward foreign on forward foreign currency contracts Currency Risk currency contracts 3,469,744 currency contracts -- Unrealized appreciation Unrealized depreciation Futures contracts Interest Rate Risk on futures contracts* 15,359 on futures contracts* 43,062 UCON Unrealized appreciation Unrealized depreciation Forward foreign on forward foreign on forward foreign currency contracts Currency Risk currency contracts 174,481 currency contracts -- Unrealized appreciation Unrealized depreciation Futures contracts Interest Rate Risk on futures contracts* 244,075 on futures contracts* -- DEED Unrealized appreciation Unrealized depreciation Futures contracts Interest Rate Risk on futures contracts* 22,269 on futures contracts* 1,986 </TABLE> * Includes cumulative appreciation/depreciation on futures contracts as reported in each Fund's Portfolio of Investments. Only the current day's variation margin is reported within the Statements of Assets and Liabilities. The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal period ended February 28, 2021, on each Fund's derivative instruments, as well as the primary underlying risk exposure associated with the instruments. <TABLE> <CAPTION> STATEMENTS OF OPERATIONS LOCATION FIXD UCON DEED ----------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> CURRENCY RISK EXPOSURE Net change in unrealized appreciation (depreciation) on forward foreign currency contracts $ 3,469,744 $ 174,481 $ -- INTEREST RATE RISK EXPOSURE Net realized gain (loss) on futures contracts (426,881) 2,694,989 105,738 Net change in unrealized appreciation (depreciation) on: Purchased swaptions contracts 437,701 -- -- Futures contracts (19,763) (40,703) 14,110 </TABLE> FIXD During the six months ended February 28, 2021, the premiums for purchased swaptions contracts opened were $571,710 and the premiums for purchased swaptions contracts closed, exercised and expired were $0. During the six months ended February 28, 2021, the notional value of forward foreign currency contracts opened and closed were $139,727,415 and $0, respectively. During the six months ended February 28, 2021, the notional value of futures contracts opened and closed were $42,664,179 and $43,840,964, respectively. Page 89 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) UCON During the six months ended February 28, 2021, the notional value of forward foreign currency contracts opened and closed were $7,024,904 and $0, respectively. During the six months ended February 28, 2021, the notional value of futures contracts opened and closed were $67,226,511 and $73,489,246, respectively. DEED During the six months ended February 28, 2021, the notional value of futures contracts opened and closed were $76,681 and $1,552,252, respectively. 6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each 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 a 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, a 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 a 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 a 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 a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each 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 a 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, 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. Each 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 a 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 a 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. 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 Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, 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 Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before December 31, 2021 for FIXD and UCON, April 6, 2022 for DEED, and February 12, 2023 for EFIX. Page 90 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 8. INDEMNIFICATION The Trust, on behalf of the Funds, 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 Funds through the date the financial statements were issued, and has determined that there were the following subsequent events: On March 22, 2021, FT Cboe Vest U.S. Equity Buffer ETF - March, FT Cboe Vest U.S. Equity Deep Buffer ETF - March, FT Cboe Vest Growth-100 Buffer ETF - March and FT Cboe Vest International Equity Buffer ETF - March, additional series of the Trust, began trading under the symbols "FMAR," "DMAR," "QMAR," and "YMAR," respectively, on Cboe BZX Exchange, Inc. On April 19, 2021, FT Cboe Vest U.S. Equity Buffer ETF - April and FT Cboe Vest U.S. Equity Deep Buffer ETF - April, additional series of the Trust, began trading under the symbols "FAPR" and "DAPR," respectively, on Cboe BZX Exchange, Inc. Page 91 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (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 each 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 each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each 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. Each 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 each Fund is available to investors within 60 days after the period to which it relates. Each 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 large 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 not concentrated. 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. 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 Page 92 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in 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. 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. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. 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; lack Page 93 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. 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. Although the funds and the Advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 94 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 INVESTMENT SUB-ADVISOR TCW Investment Management Company LLC 865 South Figueroa Street Los Angeles, CA 90017 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 111 W. Monroe Street Chicago, IL 60603 <PAGE> [BLANK BACK COVER] <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- EquityCompass Risk Manager ETF (ERM) EquityCompass Tactical Risk Manager ETF (TERM) ---------------------------- Semi-Annual Report For the Six Months Ended February 28, 2021 ---------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview EquityCompass Risk Manager ETF (ERM)...................................... 2 EquityCompass Tactical Risk Manager ETF (TERM)............................ 4 Notes to Fund Performance Overview........................................... 6 Portfolio Management......................................................... 7 Understanding Your Fund Expenses............................................. 8 Portfolio of Investments EquityCompass Risk Manager ETF (ERM)...................................... 9 EquityCompass Tactical Risk Manager ETF (TERM)............................ 12 Statements of Assets and Liabilities......................................... 15 Statements of Operations..................................................... 16 Statements of Changes in Net Assets.......................................... 17 Financial Highlights......................................................... 18 Notes to Financial Statements................................................ 19 Additional Information....................................................... 24 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and/or EquityCompass Investment Management, LLC (the "Sub-Advisor") and their 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 any series of First Trust Exchange-Traded Fund VIII (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objectives. Each 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 a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds. 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 each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO FEBRUARY 28, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the EquityCompass Risk Manager ETF ("ERM") and the EquityCompass Tactical Risk Manager ETF ("TERM" and together with ERM, the "Funds"), each a series of the First Trust Exchange-Traded Fund VIII, which contains detailed information about the Funds for the six months ended February 28, 2021. For the better part of the past year, we Americans have been operating under the premise that the U.S. government's decision to inject trillions of dollars of capital into the economy was likely the best approach to keeping it propped up until one or more coronavirus ("COVID-19") vaccines could garner approval from the Food and Drug Administration ("FDA"). In other words, we have literally been buying time until a remedy for this virus could be discovered, approved, manufactured, and brought to market. While the jury may still be out with respect to whether or not such a massive amount of money was truly necessary, I am pleased to report that we now have three FDA-approved vaccines, and we got them in record time. Nobody thought it was possible to accomplish this task within the scope of 12 months. Even the most experienced scientists, including Dr. Anthony Fauci, were hoping for one by the 18-month mark at best. When you combine the number of people who have already contracted COVID-19 and developed the antibodies to it along with the people who are projected to receive the vaccine in the weeks ahead it is conceivable that the U.S. population could achieve a type of herd immunity - where at least 70% of the population develops antibodies - by the end of April 2021, according to Brian Wesbury, Chief Economist at First Trust. Keep in mind that Wesbury's April target is probably more optimistic than most, but I am willing to wager that he has done considerably more in-depth research on the pandemic than most. Achieving herd immunity sooner than expected is a potential boon for investors, in my opinion. Think about how much more optimistic consumers are likely to be once the entire U.S. economy is deemed open for business. Consider how much pent up demand there could be for activities such as leisure travel, attending theme parks, ballparks and movie theaters, as well as dining out and in-store shopping. Best of all, think about how achieving herd immunity could expedite putting at least some of the 10 million or so Americans who lost their jobs due to the pandemic back to work. Corporate executives seem ready to go. The Conference Board reported that its first quarter 2021 survey, which tracks CEO confidence levels, hit its highest reading since the first quarter of 2004, when the measure stood at 74, according to its own release. The measure currently stands at 73, up from 64 in the third quarter of 2020. A reading above 50 points reflects more positive than negative responses. Eighty-two percent of those CEOs polled expect economic conditions to improve over the next six months. Looking out 12 months, 47% of CEOs expect to grow their workforce. Investors, like top executives, should keep at least one eye on the future. What might the future hold for investors? The stimulus designed to mitigate the fallout from the pandemic comes at a cost. No free lunch! The added Treasury debt used to fund the stimulus will have to be paid back at some point - just not anytime soon. Expect economic growth to accelerate. The outlook for U.S. economic growth is robust, according to the Federal Reserve (the "Fed"). On March 17, 2021, the Fed raised its forecast for real gross domestic product this year from 4.2% to 6.5%, largely due to the passage of the $1.9 trillion American Rescue Plan Act of 2021, according to Wesbury. The outlook for corporate earnings is optimistic. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 24.35% and 15.20%, respectively, as of March 19, 2021. While the Fed continues to stick to its mandate of keeping short-term lending rates at a quarter-point through at least 2022, there is less certainty when it comes to the direction of inflation and intermediate to long-term bond yields. The yield on the 10-Year Treasury Note has already risen 70 basis points this year to 1.62% (thru March 23), according to Bloomberg. The prospects for robust economic activity moving forward suggests to us that investors should prepare for higher inflation and higher bond yields and adjust their investment portfolios accordingly, if necessary. We encourage investors to remain engaged and to stay invested. 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 Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 1 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- EQUITYCOMPASS RISK MANAGER ETF (ERM) The EquityCompass Risk Manager ETF (the "Fund") seeks to provide long term capital appreciation with capital preservation as a secondary objective. Under normal market conditions, the Fund seeks to achieve its investment objectives by investing in equity securities of companies domiciled in the U.S. or listed on a U.S. exchange. During periods when the U.S. equity market is determined to be unfavorable by the Fund's Sub-Advisor, the Fund may invest all or a portion of its assets in cash, cash-equivalents, money market funds and/or short-term fixed income exchange-traded funds ("ETFs"), or the Fund may invest all or a portion of its assets in a single short-term fixed income ETF, the First Trust Enhanced Short Maturity ETF ("FTSM"). Certain of the ETFs in which the Fund invests may be advised by First Trust. The Fund is classified as "diversified" under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the NYSE Arca, Inc., under the ticker symbol "ERM." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (4/10/17) Inception (4/10/17) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 23.22% 16.84% 4.54% 18.83% Market Price 23.25% 16.38% 4.51% 18.73% INDEX PERFORMANCE S&P 500(R) Index 9.74% 31.29% 15.35% 74.21% Hedge Fund Research HFRI Equity Hedge Index(1) 20.79% 30.92% 10.06% 44.51% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (1) Cumulative total return for the period April 30, 2017 through February 28, 2021. Performance data is not available for the entire period shown in the table for the index because performance data for the index is only available on a month-end basis. Performance data for the index may be updated on an ongoing basis and is subject to change. (See Notes to Fund Performance Overview on page 6.) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Information Technology 19.14% Financials 12.36 Health Care 11.85 Consumer Discretionary 10.91 Industrials 10.70 Communication Services 10.56 Consumer Staples 6.72 Energy 5.20 Materials 4.49 Real Estate 4.21 Utilities 3.86 -------- Total 100.00% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Discovery, Inc., Class A 1.29% Occidental Petroleum Corp. 1.25 General Electric Co. 1.06 Zebra Technologies Corp., Class A 1.05 Invesco Ltd. 1.03 Western Digital Corp. 0.97 Mohawk Industries, Inc. 0.95 Albemarle Corp. 0.94 Schlumberger N.V. 0.93 Ford Motor Co. 0.93 -------- Total 10.40% ======== Page 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- EQUITYCOMPASS RISK MANAGER ETF (ERM) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 10, 2017 - FEBRUARY 28, 2021 EquityCompass S&P 500(R) Risk Manager ETF Index <S> <C> <C> 4/10/17 $10,000 $10,000 8/31/17 10,244 10,571 2/28/18 11,107 11,716 8/31/18 11,804 12,649 2/28/19 10,382 12,264 8/31/19 10,190 13,019 2/29/19 10,171 13,269 8/31/20 9,644 15,875 2/28/21 11,883 17,421 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- EQUITYCOMPASS TACTICAL RISK MANAGER ETF (TERM) The EquityCompass Tactical Risk Manager ETF (the "Fund") seeks to provide long term capital appreciation with capital preservation as a secondary objective. Under normal market conditions, the Fund seeks to achieve its investment objectives by investing in equity securities of companies domiciled in the U.S. or listed on a U.S. exchange. During periods when the U.S. equity market is determined to be unfavorable by the Fund's Sub-Advisor, the Fund may invest all or a portion of its assets in cash, cash equivalents, money market funds and/or short-term fixed income exchange-traded funds ("ETFs"), or the Fund may invest all or a portion of its assets in a single short-term fixed income ETF, the First Trust Enhanced Short Maturity ETF ("FTSM"). During such periods, the Fund may also invest a significant portion of its assets in securities designed to provide short exposure to broad U.S. market indices including by investing in inverse ETFs. Certain of the ETFs in which the Fund invests may be advised by First Trust. The Fund is classified as "diversified" under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the NYSE Arca, Inc., under the ticker symbol "TERM." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (4/10/17) Inception (4/10/17) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 23.22% 16.90% 0.83% 3.28% Market Price 23.13% 16.75% 0.85% 3.34% INDEX PERFORMANCE S&P 500(R) Index 9.74% 31.29% 15.35% 74.21% Hedge Fund Research HFRI Equity Hedge Index(1) 20.79% 30.92% 10.06% 44.51% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (1) Cumulative total return for the period April 30, 2017 through February 28, 2021. Performance data is not available for the entire period shown in the table for the index because performance data for the index is only available on a month-end basis. Performance data for the index may be updated on an ongoing basis and is subject to change. (See Notes to Fund Performance Overview on page 6.) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Information Technology 19.14% Financials 12.36 Health Care 11.85 Consumer Discretionary 10.87 Industrials 10.71 Communication Services 10.58 Consumer Staples 6.73 Energy 5.21 Materials 4.49 Real Estate 4.21 Utilities 3.85 -------- Total 100.00% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Discovery, Inc., Class A 1.29% Occidental Petroleum Corp. 1.25 General Electric Co. 1.06 Zebra Technologies Corp., Class A 1.05 Invesco Ltd. 1.03 Western Digital Corp. 0.98 Mohawk Industries, Inc. 0.95 Schlumberger N.V. 0.94 Albemarle Corp. 0.93 Ford Motor Co. 0.93 -------- Total 10.41% ======== Page 4 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- EQUITYCOMPASS TACTICAL RISK MANAGER ETF (TERM) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 10, 2017 - FEBRUARY 28, 2021 EquityCompass Tactical S&P 500(R) Risk Manager ETF Index <S> <C> <C> 4/10/17 $10,000 $10,000 8/31/17 10,244 10,571 2/28/18 11,107 11,716 8/31/18 11,805 12,649 2/28/19 9,102 12,264 8/31/19 8,856 13,019 2/29/20 8,835 13,269 8/31/20 8,382 15,875 2/28/21 10,328 17,421 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 5 <PAGE> -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived by the advisor. Each 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 each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each 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 each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 6 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 (UNAUDITED) INVESTMENT ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to EquityCompass Risk Manager ETF ("ERM") and EquityCompass Tactical Risk Manager ETF ("TERM") (each a "Fund" and, collectively, the "Funds"). First Trust is responsible for the selection and ongoing monitoring of the securities in the Funds' portfolio and certain other services necessary for the management of the portfolios. SUB-ADVISOR EquityCompass Investment Management, LLC ("EquityCompass Investment Management" or the "Sub-Advisor") serves as the investment sub-advisor to the Funds. PORTFOLIO MANAGEMENT ADVISOR'S INVESTMENT COMMITTEE The Advisor's Investment Committee (the "Investment Committee"), which manages the Funds' investments, consists of: DANIEL J. LINDQUIST, MANAGING DIRECTOR OF FIRST TRUST JON C. ERICKSON, SENIOR VICE PRESIDENT OF FIRST TRUST DAVID G. MCGAREL, CHIEF INVESTMENT OFFICER, CHIEF OPERATING OFFICER AND MANAGING DIRECTOR OF FIRST TRUST ROGER F. TESTIN, SENIOR VICE PRESIDENT OF FIRST TRUST TODD LARSON, CFA, VICE PRESIDENT OF FIRST TRUST CHRIS A. PETERSON, CFA, SENIOR VICE PRESIDENT OF FIRST TRUST JOHN GAMBLA, SENIOR PORTFOLIO MANAGER, ALTERNATIVES INVESTMENT TEAM OF FIRST TRUST ROB A. GUTTSCHOW, CFA, SENIOR PORTFOLIO MANAGER, ALTERNATIVES INVESTMENT TEAM OF FIRST TRUST SUB-ADVISOR PORTFOLIO MANAGERS The Sub-Advisor portfolio managers, as set forth below, provide non-discretionary investment advice to the Investment Committee: TIMOTHY M. MCCANN, SENIOR PORTFOLIO MANAGER, EQUITYCOMPASS INVESTMENT MANAGEMENT, LLC BERNARD J. KAVANAGH, III, SENIOR PORTFOLIO MANAGER, EQUITYCOMPASS INVESTMENT MANAGEMENT, LLC The Investment Committee members are primarily and jointly responsible for the day-to-day management of the Funds, while the Sub-Advisor portfolio managers provide non-discretionary investment advice to the Investment Committee. Each portfolio manager has served as part of the portfolio management team of the Funds since inception. Page 7 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII UNDERSTANDING YOUR FUND EXPENSES FEBRUARY 28, 2021 (UNAUDITED) As a shareholder of EquityCompass Risk Manager ETF or EquityCompass Tactical Risk Manager ETF (each a "Fund" and collectively, the "Funds"), 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 Funds 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 February 28, 2021. 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 each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX MONTH SIX MONTH SEPTEMBER 1, 2020 FEBRUARY 28, 2021 PERIOD (a) PERIOD (a) (b) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> EQUITYCOMPASS RISK MANAGER ETF (ERM) Actual $1,000.00 $1,232.20 0.65% $3.60 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 EQUITYCOMPASS TACTICAL RISK MANAGER ETF (TERM) Actual $1,000.00 $1,232.20 0.65% $3.60 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 </TABLE> (a) Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which each Fund may invest. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2020 through February 28, 2021), multiplied by 181/365 (to reflect the six-month period). Page 8 <PAGE> EQUITYCOMPASS RISK MANAGER ETF (ERM) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 2.4% 349 Boeing (The) Co. (a) $ 73,991 423 General Dynamics Corp. 69,148 154 Lockheed Martin Corp. 50,859 1,010 Raytheon Technologies Corp. 72,710 ------------- 266,708 ------------- AIR FREIGHT & LOGISTICS -- 1.0% 233 FedEx Corp. 59,299 352 United Parcel Service, Inc., Class B 55,556 ------------- 114,855 ------------- AIRLINES -- 0.9% 1,585 Alaska Air Group, Inc. 103,057 ------------- AUTOMOBILES -- 1.8% 8,825 Ford Motor Co. (a) 103,252 1,996 General Motors Co. 102,455 ------------- 205,707 ------------- BANKS -- 3.9% 2,433 Bank of America Corp. 84,450 1,356 Citigroup, Inc. 89,333 608 JPMorgan Chase & Co. 89,479 1,635 U.S. Bancorp 81,750 2,480 Wells Fargo & Co. 89,702 ------------- 434,714 ------------- BEVERAGES -- 1.7% 1,195 Coca-Cola (The) Co. 58,543 1,758 Molson Coors Beverage Co., Class B 78,143 426 PepsiCo, Inc. 55,035 ------------- 191,721 ------------- BIOTECHNOLOGY -- 2.2% 673 AbbVie, Inc. 72,509 234 Amgen, Inc. 52,631 209 Biogen, Inc. (a) 57,032 939 Gilead Sciences, Inc. 57,655 ------------- 239,827 ------------- CAPITAL MARKETS -- 4.0% 1,716 Bank of New York Mellon (The) Corp. 72,347 105 BlackRock, Inc. 72,922 293 Goldman Sachs Group (The), Inc. 93,608 5,102 Invesco Ltd. 114,387 1,215 Morgan Stanley 93,397 ------------- 446,661 ------------- CHEMICALS -- 3.1% 662 Albemarle Corp. 104,073 1,243 Dow, Inc. 73,722 1,056 DuPont de Nemours, Inc. 74,258 3,190 Mosaic (The) Co. 93,786 ------------- 345,839 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 2.0% 1,500 Cisco Systems, Inc. $ 67,305 478 F5 Networks, Inc. (a) 90,810 2,741 Juniper Networks, Inc. 63,811 ------------- 221,926 ------------- CONSUMER FINANCE -- 1.6% 585 American Express Co. 79,127 812 Capital One Financial Corp. 97,594 ------------- 176,721 ------------- CONTAINERS & PACKAGING -- 1.4% 458 Avery Dennison Corp. 80,246 1,685 WestRock Co. 73,449 ------------- 153,695 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 277 Berkshire Hathaway, Inc., Class B (a) 66,621 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6% 2,067 AT&T, Inc. 57,648 5,782 Lumen Technologies, Inc. 71,061 993 Verizon Communications, Inc. 54,913 ------------- 183,622 ------------- ELECTRIC UTILITIES -- 3.3% 675 Duke Energy Corp. 57,773 1,645 Exelon Corp. 63,497 854 NextEra Energy, Inc. 62,752 1,922 NRG Energy, Inc. 70,172 792 Pinnacle West Capital Corp. 55,385 1,092 Southern (The) Co. 61,938 ------------- 371,517 ------------- ELECTRICAL EQUIPMENT -- 0.7% 891 Emerson Electric Co. 76,537 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 345 IPG Photonics Corp. (a) 78,436 234 Zebra Technologies Corp., Class A (a) 116,866 ------------- 195,302 ------------- ENERGY EQUIPMENT & SERVICES -- 0.9% 3,723 Schlumberger N.V. 103,909 ------------- ENTERTAINMENT -- 2.2% 1,085 Live Nation Entertainment, Inc. (a) 96,413 118 Netflix, Inc. (a) 63,584 474 Walt Disney (The) Co. (a) 89,605 ------------- 249,602 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.2% 245 American Tower Corp. 52,952 731 Boston Properties, Inc. 72,464 See Notes to Financial Statements Page 9 <PAGE> EQUITYCOMPASS RISK MANAGER ETF (ERM) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 5,426 Host Hotels & Resorts, Inc. $ 90,017 2,185 Iron Mountain, Inc. 76,016 907 Simon Property Group, Inc. 102,419 1,805 UDR, Inc. 74,312 ------------- 468,180 ------------- FOOD & STAPLES RETAILING -- 1.7% 166 Costco Wholesale Corp. 54,946 1,634 Walgreens Boots Alliance, Inc. 78,318 419 Walmart, Inc. 54,436 ------------- 187,700 ------------- FOOD PRODUCTS -- 1.1% 1,971 Kraft Heinz (The) Co. 71,705 1,030 Mondelez International, Inc., Class A 54,755 ------------- 126,460 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.4% 545 Abbott Laboratories 65,280 275 Danaher Corp. 60,409 1,343 DENTSPLY SIRONA, Inc. 71,273 565 Medtronic PLC 66,088 ------------- 263,050 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 1,004 CVS Health Corp. 68,403 687 DaVita, Inc. (a) 70,163 994 Henry Schein, Inc. (a) 61,479 189 UnitedHealth Group, Inc. 62,790 547 Universal Health Services, Inc., Class B 68,555 ------------- 331,390 ------------- HOTELS, RESTAURANTS & LEISURE -- 1.2% 267 McDonald's Corp. 55,039 685 Starbucks Corp. 74,001 ------------- 129,040 ------------- HOUSEHOLD DURABLES -- 2.2% 1,423 Leggett & Platt, Inc. 61,573 605 Mohawk Industries, Inc. (a) 105,869 3,395 Newell Brands, Inc. 78,662 ------------- 246,104 ------------- HOUSEHOLD PRODUCTS -- 1.0% 765 Colgate-Palmolive Co. 57,528 424 Procter & Gamble (The) Co. 52,377 ------------- 109,905 ------------- INDUSTRIAL CONGLOMERATES -- 2.3% 367 3M Co. 64,247 9,437 General Electric Co. 118,340 355 Honeywell International, Inc. 71,834 ------------- 254,421 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- INSURANCE -- 2.2% 625 Allstate (The) Corp. $ 66,625 2,119 American International Group, Inc. 93,130 1,575 MetLife, Inc. 90,720 ------------- 250,475 ------------- INTERACTIVE MEDIA & SERVICES -- 1.2% 40 Alphabet, Inc., Class A (a) 80,876 225 Facebook, Inc., Class A (a) 57,965 ------------- 138,841 ------------- INTERNET & DIRECT MARKETING RETAIL -- 1.2% 18 Amazon.com, Inc. (a) 55,673 35 Booking Holdings, Inc. (a) 81,498 ------------- 137,171 ------------- IT SERVICES -- 4.7% 260 Accenture PLC, Class A 65,234 467 Gartner, Inc. (a) 83,612 483 International Business Machines Corp. 57,443 362 Jack Henry & Associates, Inc. 53,735 174 Mastercard, Inc., Class A 61,570 300 PayPal Holdings, Inc. (a) 77,955 295 Visa, Inc., Class A 62,655 2,726 Western Union (The) Co. 63,298 ------------- 525,502 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.5% 134 Thermo Fisher Scientific, Inc. 60,311 ------------- MACHINERY -- 1.5% 394 Caterpillar, Inc. 85,057 2,143 Flowserve Corp. 79,291 ------------- 164,348 ------------- MEDIA -- 5.4% 95 Charter Communications, Inc., Class A (a) 58,275 1,270 Comcast Corp., Class A 66,954 2,705 Discovery, Inc., Class A (a) 143,446 2,010 DISH Network Corp., Class A (a) 63,335 3,525 Interpublic Group of Cos. (The), Inc. 92,073 4,263 News Corp., Class B 97,708 1,186 Omnicom Group, Inc. 81,514 ------------- 603,305 ------------- MULTILINE RETAIL -- 0.6% 374 Target Corp. 68,607 ------------- MULTI-UTILITIES -- 0.5% 2,659 NiSource, Inc. 57,434 ------------- Page 10 See Notes to Financial Statements <PAGE> EQUITYCOMPASS RISK MANAGER ETF (ERM) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS -- 4.3% 815 Chevron Corp. $ 81,500 1,780 ConocoPhillips 92,578 1,703 Exxon Mobil Corp. 92,592 4,695 Kinder Morgan, Inc. 69,016 5,219 Occidental Petroleum Corp. 138,878 ------------- 474,564 ------------- PHARMACEUTICALS -- 3.8% 979 Bristol-Myers Squibb Co. 60,042 400 Eli Lilly and Co. 81,956 396 Johnson & Johnson 62,750 712 Merck & Co., Inc. 51,705 1,275 Perrigo Co. PLC 51,459 1,607 Pfizer, Inc. 53,818 4,157 Viatris, Inc. (a) 61,732 ------------- 423,462 ------------- PROFESSIONAL SERVICES -- 1.3% 652 Leidos Holdings, Inc. 57,670 4,120 Nielsen Holdings PLC 92,329 ------------- 149,999 ------------- ROAD & RAIL -- 0.5% 295 Union Pacific Corp. 60,758 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.0% 1,135 Intel Corp. 68,985 109 NVIDIA Corp. 59,795 457 Qorvo, Inc. (a) 79,852 500 QUALCOMM, Inc. 68,095 743 Teradyne, Inc. 95,557 413 Texas Instruments, Inc. 71,148 ------------- 443,432 ------------- SOFTWARE -- 2.8% 120 Adobe, Inc. (a) 55,160 281 Microsoft Corp. 65,299 984 Oracle Corp. 63,478 235 salesforce.com, Inc. (a) 50,877 169 Tyler Technologies, Inc. (a) 78,318 ------------- 313,132 ------------- SPECIALTY RETAIL -- 1.8% 3,419 Gap (The), Inc. (a) 85,304 213 Home Depot (The), Inc. 55,027 355 Lowe's Cos., Inc. 56,711 ------------- 197,042 ------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 3.9% 508 Apple, Inc. 61,600 6,215 Hewlett Packard Enterprise Co. 90,491 1,334 NetApp, Inc. 83,508 1,191 Seagate Technology PLC 87,217 1,576 Western Digital Corp. 108,003 ------------- 430,819 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.1% 3,726 Hanesbrands, Inc. $ 65,913 467 NIKE, Inc., Class B 62,942 868 Ralph Lauren Corp. 101,626 ------------- 230,481 ------------- TOBACCO -- 1.2% 1,525 Altria Group, Inc. 66,490 785 Philip Morris International, Inc. 65,956 ------------- 132,446 ------------- TOTAL COMMON STOCKS -- 99.7% 11,126,920 (Cost $9,388,256) ------------- MONEY MARKET FUNDS -- 0.2% 21,502 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (b) 21,502 (Cost $21,502) ------------- TOTAL INVESTMENTS -- 99.9% 11,148,422 (Cost $9,409,758) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 14,668 ------------- NET ASSETS -- 100.0% $ 11,163,090 ============= (a) Non-income producing security. (b) Rate shown reflects yield as of February 28, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,122,685 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $384,021. The net unrealized appreciation was $1,738,664. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------ Common Stocks* $11,126,920 $ -- $ -- Money Market Funds 21,502 -- -- ------------------------------------------ Total Investments $11,148,422 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 11 <PAGE> EQUITYCOMPASS TACTICAL RISK MANAGER ETF (TERM) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 2.4% 397 Boeing (The) Co. (a) $ 84,168 482 General Dynamics Corp. 78,793 175 Lockheed Martin Corp. 57,794 1,151 Raytheon Technologies Corp. 82,860 ------------- 303,615 ------------- AIR FREIGHT & LOGISTICS -- 1.0% 265 FedEx Corp. 67,442 400 United Parcel Service, Inc., Class B 63,132 ------------- 130,574 ------------- AIRLINES -- 0.9% 1,801 Alaska Air Group, Inc. 117,101 ------------- AUTOMOBILES -- 1.8% 10,016 Ford Motor Co. (a) 117,187 2,267 General Motors Co. 116,365 ------------- 233,552 ------------- BANKS -- 3.9% 2,764 Bank of America Corp. 95,938 1,543 Citigroup, Inc. 101,653 693 JPMorgan Chase & Co. 101,989 1,859 U.S. Bancorp 92,950 2,821 Wells Fargo & Co. 102,036 ------------- 494,566 ------------- BEVERAGES -- 1.7% 1,360 Coca-Cola (The) Co. 66,626 2,001 Molson Coors Beverage Co., Class B 88,945 486 PepsiCo, Inc. 62,786 ------------- 218,357 ------------- BIOTECHNOLOGY -- 2.2% 765 AbbVie, Inc. 82,421 266 Amgen, Inc. 59,829 239 Biogen, Inc. (a) 65,218 1,069 Gilead Sciences, Inc. 65,637 ------------- 273,105 ------------- CAPITAL MARKETS -- 4.0% 1,955 Bank of New York Mellon (The) Corp. 82,423 118 BlackRock, Inc. 81,951 332 Goldman Sachs Group (The), Inc. 106,067 5,801 Invesco Ltd. 130,058 1,381 Morgan Stanley 106,158 ------------- 506,657 ------------- CHEMICALS -- 3.1% 751 Albemarle Corp. 118,065 1,411 Dow, Inc. 83,686 1,203 DuPont de Nemours, Inc. 84,595 3,623 Mosaic (The) Co. 106,516 ------------- 392,862 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 2.0% 1,705 Cisco Systems, Inc. $ 76,503 543 F5 Networks, Inc. (a) 103,159 3,118 Juniper Networks, Inc. 72,587 ------------- 252,249 ------------- CONSUMER FINANCE -- 1.6% 666 American Express Co. 90,083 925 Capital One Financial Corp. 111,176 ------------- 201,259 ------------- CONTAINERS & PACKAGING -- 1.4% 523 Avery Dennison Corp. 91,635 1,916 WestRock Co. 83,518 ------------- 175,153 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 316 Berkshire Hathaway, Inc., Class B (a) 76,001 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6% 2,350 AT&T, Inc. 65,542 6,570 Lumen Technologies, Inc. 80,745 1,127 Verizon Communications, Inc. 62,323 ------------- 208,610 ------------- ELECTRIC UTILITIES -- 3.3% 767 Duke Energy Corp. 65,647 1,871 Exelon Corp. 72,221 970 NextEra Energy, Inc. 71,276 2,185 NRG Energy, Inc. 79,774 900 Pinnacle West Capital Corp. 62,937 1,242 Southern (The) Co. 70,446 ------------- 422,301 ------------- ELECTRICAL EQUIPMENT -- 0.7% 1,013 Emerson Electric Co. 87,017 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 393 IPG Photonics Corp. (a) 89,349 266 Zebra Technologies Corp., Class A (a) 132,848 ------------- 222,197 ------------- ENERGY EQUIPMENT & SERVICES -- 0.9% 4,253 Schlumberger N.V. 118,701 ------------- ENTERTAINMENT -- 2.2% 1,233 Live Nation Entertainment, Inc. (a) 109,564 136 Netflix, Inc. (a) 73,284 540 Walt Disney (The) Co. (a) 102,082 ------------- 284,930 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.2% 280 American Tower Corp. 60,516 831 Boston Properties, Inc. 82,377 6,152 Host Hotels & Resorts, Inc. 102,062 Page 12 See Notes to Financial Statements <PAGE> EQUITYCOMPASS TACTICAL RISK MANAGER ETF (TERM) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 2,482 Iron Mountain, Inc. $ 86,349 1,033 Simon Property Group, Inc. 116,646 2,051 UDR, Inc. 84,440 ------------- 532,390 ------------- FOOD & STAPLES RETAILING -- 1.7% 189 Costco Wholesale Corp. 62,559 1,856 Walgreens Boots Alliance, Inc. 88,958 475 Walmart, Inc. 61,712 ------------- 213,229 ------------- FOOD PRODUCTS -- 1.1% 2,243 Kraft Heinz (The) Co. 81,600 1,172 Mondelez International, Inc., Class A 62,304 ------------- 143,904 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.4% 618 Abbott Laboratories 74,024 312 Danaher Corp. 68,537 1,528 DENTSPLY SIRONA, Inc. 81,091 644 Medtronic PLC 75,329 ------------- 298,981 ------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 1,139 CVS Health Corp. 77,600 782 DaVita, Inc. (a) 79,866 1,130 Henry Schein, Inc. (a) 69,890 215 UnitedHealth Group, Inc. 71,427 623 Universal Health Services, Inc., Class B 78,081 ------------- 376,864 ------------- HOTELS, RESTAURANTS & LEISURE -- 1.2% 305 McDonald's Corp. 62,873 779 Starbucks Corp. 84,155 ------------- 147,028 ------------- HOUSEHOLD DURABLES -- 2.2% 1,617 Leggett & Platt, Inc. 69,968 686 Mohawk Industries, Inc. (a) 120,043 3,859 Newell Brands, Inc. 89,413 ------------- 279,424 ------------- HOUSEHOLD PRODUCTS -- 1.0% 871 Colgate-Palmolive Co. 65,499 482 Procter & Gamble (The) Co. 59,542 ------------- 125,041 ------------- INDUSTRIAL CONGLOMERATES -- 2.3% 418 3M Co. 73,175 10,727 General Electric Co. 134,516 405 Honeywell International, Inc. 81,952 ------------- 289,643 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- INSURANCE -- 2.2% 710 Allstate (The) Corp. $ 75,686 2,412 American International Group, Inc. 106,008 1,792 MetLife, Inc. 103,219 ------------- 284,913 ------------- INTERACTIVE MEDIA & SERVICES -- 1.2% 46 Alphabet, Inc., Class A (a) 93,008 254 Facebook, Inc., Class A (a) 65,435 ------------- 158,443 ------------- INTERNET & DIRECT MARKETING RETAIL -- 1.2% 20 Amazon.com, Inc. (a) 61,858 39 Booking Holdings, Inc. (a) 90,812 ------------- 152,670 ------------- IT SERVICES -- 4.7% 295 Accenture PLC, Class A 74,016 530 Gartner, Inc. (a) 94,891 549 International Business Machines Corp. 65,293 411 Jack Henry & Associates, Inc. 61,009 197 Mastercard, Inc., Class A 69,708 342 PayPal Holdings, Inc. (a) 88,869 333 Visa, Inc., Class A 70,726 3,102 Western Union (The) Co. 72,028 ------------- 596,540 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.5% 151 Thermo Fisher Scientific, Inc. 67,962 ------------- MACHINERY -- 1.5% 449 Caterpillar, Inc. 96,930 2,435 Flowserve Corp. 90,095 ------------- 187,025 ------------- MEDIA -- 5.4% 108 Charter Communications, Inc., Class A (a) 66,249 1,446 Comcast Corp., Class A 76,233 3,075 Discovery, Inc., Class A (a) 163,067 2,284 DISH Network Corp., Class A (a) 71,969 4,014 Interpublic Group of Cos., (The), Inc. 104,846 4,830 News Corp., Class B 110,704 1,350 Omnicom Group, Inc. 92,785 ------------- 685,853 ------------- MULTILINE RETAIL -- 0.6% 423 Target Corp. 77,595 ------------- MULTI-UTILITIES -- 0.5% 3,023 NiSource, Inc. 65,297 ------------- See Notes to Financial Statements Page 13 <PAGE> EQUITYCOMPASS TACTICAL RISK MANAGER ETF (TERM) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS -- 4.3% 929 Chevron Corp. $ 92,900 2,023 ConocoPhillips 105,216 1,938 Exxon Mobil Corp. 105,369 5,342 Kinder Morgan, Inc. 78,527 5,955 Occidental Petroleum Corp. 158,463 ------------- 540,475 ------------- PHARMACEUTICALS -- 3.8% 1,112 Bristol-Myers Squibb Co. 68,199 455 Eli Lilly and Co. 93,225 451 Johnson & Johnson 71,465 810 Merck & Co., Inc. 58,822 1,450 Perrigo Co. PLC 58,522 1,828 Pfizer, Inc. 61,220 4,727 Viatris, Inc. (a) 70,196 ------------- 481,649 ------------- PROFESSIONAL SERVICES -- 1.3% 742 Leidos Holdings, Inc. 65,630 4,689 Nielsen Holdings PLC 105,080 ------------- 170,710 ------------- ROAD & RAIL -- 0.5% 335 Union Pacific Corp. 68,997 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.0% 1,291 Intel Corp. 78,467 124 NVIDIA Corp. 68,024 522 Qorvo, Inc. (a) 91,209 568 QUALCOMM, Inc. 77,356 844 Teradyne, Inc. 108,547 470 Texas Instruments, Inc. 80,967 ------------- 504,570 ------------- SOFTWARE -- 2.8% 137 Adobe, Inc. (a) 62,975 319 Microsoft Corp. 74,129 1,120 Oracle Corp. 72,251 267 salesforce.com, Inc. (a) 57,806 191 Tyler Technologies, Inc. (a) 88,513 ------------- 355,674 ------------- SPECIALTY RETAIL -- 1.8% 3,873 Gap (The), Inc. (a) 96,632 241 Home Depot (The), Inc. 62,260 403 Lowe's Cos., Inc. 64,379 ------------- 223,271 ------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 3.9% 578 Apple, Inc. 70,088 7,066 Hewlett Packard Enterprise Co. 102,881 1,516 NetApp, Inc. 94,902 1,353 Seagate Technology PLC 99,080 1,801 Western Digital Corp. 123,423 ------------- 490,374 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.1% 4,243 Hanesbrands, Inc. $ 75,059 530 NIKE, Inc., Class B 71,433 984 Ralph Lauren Corp. 115,207 ------------- 261,699 ------------- TOBACCO -- 1.2% 1,736 Altria Group, Inc. 75,689 893 Philip Morris International, Inc. 75,030 ------------- 150,719 ------------- TOTAL COMMON STOCKS -- 99.7% 12,649,747 (Cost $10,666,324) ------------- MONEY MARKET FUNDS -- 0.2% 24,351 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (b) 24,351 (Cost $24,351) ------------- TOTAL INVESTMENTS -- 99.9% 12,674,098 (Cost $10,690,675) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 16,722 ------------- NET ASSETS -- 100.0% $ 12,690,820 ============= (a) Non-income producing security. (b) Rate shown reflects yield as of February 28, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,419,336 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $435,913. The net unrealized appreciation was $1,983,423. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------ Common Stocks* $12,649,747 $ -- $ -- Money Market Funds 24,351 -- -- ------------------------------------------ Total Investments $12,674,098 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 14 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF ASSETS AND LIABILITIES FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> EQUITYCOMPASS EQUITYCOMPASS TACTICAL RISK MANAGER ETF RISK MANAGER ETF (ERM) (TERM) ---------------- ---------------- <S> <C> <C> ASSETS: Investments, at value.................................................. $ 11,148,422 $ 12,674,098 Dividends receivable................................................... 20,278 23,153 ---------------- ---------------- Total Assets........................................................ 11,168,700 12,697,251 ---------------- ---------------- LIABILITIES: Investment advisory fees payable....................................... 5,610 6,431 ---------------- ---------------- Total Liabilities................................................... 5,610 6,431 ---------------- ---------------- NET ASSETS............................................................. $ 11,163,090 $ 12,690,820 ================ ================ NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 14,664,511 $ 25,911,551 Par value.............................................................. 5,000 6,500 Accumulated distributable earnings (loss).............................. (3,506,421) (13,227,231) ---------------- ---------------- NET ASSETS............................................................. $ 11,163,090 $ 12,690,820 ================ ================ NET ASSET VALUE, per share............................................. $ 22.33 $ 19.52 ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 500,002 650,002 ---------------- ---------------- Investments, at cost................................................... $ 9,409,758 $ 10,690,675 ================ ================ </TABLE> See Notes to Financial Statements Page 15 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> EQUITYCOMPASS EQUITYCOMPASS TACTICAL RISK MANAGER ETF RISK MANAGER ETF (ERM) (TERM) ---------------- ---------------- <S> <C> <C> INVESTMENT INCOME: Dividends.............................................................. $ 119,313 $ 134,848 ---------------- ---------------- Total investment income............................................. 119,313 134,848 ---------------- ---------------- EXPENSES: Investment advisory fees............................................... 36,489 41,302 ---------------- ---------------- Total expenses...................................................... 36,489 41,302 ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................... 82,824 93,546 ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... 186,133 240,353 In-kind redemptions................................................. 608,706 550,180 ---------------- ---------------- Net realized gain (loss)............................................... 794,839 790,533 ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments.... 1,478,058 1,812,060 ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 2,272,897 2,602,593 ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 2,355,721 $ 2,696,139 ================ ================ </TABLE> Page 16 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> EQUITYCOMPASS EQUITYCOMPASS RISK MANAGER ETF TACTICAL RISK MANAGER ETF (ERM) (TERM) -------------------------------- -------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR 2/28/2021 ENDED 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (UNAUDITED) 8/31/2020 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss).............................. $ 82,824 $ 272,270 $ 93,546 $ 374,510 Net realized gain (loss).................................. 794,839 (1,969,777) 790,533 (3,816,922) Net change in unrealized appreciation (depreciation)...... 1,478,058 1,007,138 1,812,060 1,457,681 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations......................................... 2,355,721 (690,369) 2,696,139 (1,984,731) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (91,180) (352,901) (102,310) (499,661) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. -- 1,596,480 -- -- Cost of shares redeemed................................... (2,976,614) (9,347,428) (2,682,642) (14,846,973) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... (2,976,614) (7,750,948) (2,682,642) (14,846,973) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................... (712,073) (8,794,218) (88,813) (17,331,365) NET ASSETS: Beginning of period....................................... 11,875,163 20,669,381 12,779,633 30,110,998 --------------- --------------- --------------- --------------- End of period............................................. $ 11,163,090 $ 11,875,163 $ 12,690,820 $ 12,779,633 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 650,002 1,050,002 800,002 1,750,002 Shares sold............................................... -- 100,000 -- -- Shares redeemed........................................... (150,000) (500,000) (150,000) (950,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period......................... 500,002 650,002 650,002 800,002 =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 17 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD EQUITYCOMPASS RISK MANAGER ETF (ERM) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED AUGUST 31 PERIOD 2/28/2021 ------------------------------------------- ENDED (UNAUDITED) 2020 2019 2018 8/31/2017 (a) ------------- ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period.................. $ 18.27 $ 19.69 $ 23.32 $ 20.50 $ 20.05 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss).......................... 0.16 0.33 0.39 0.30 0.10 Net realized and unrealized gain (loss)............... 4.06 (1.36) (3.56) 2.80 0.39 --------- --------- --------- --------- --------- Total from investment operations...................... 4.22 (1.03) (3.17) 3.10 0.49 --------- --------- --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income................................. (0.16) (0.39) (0.46) (0.28) (0.04) Net realized gain..................................... -- -- (0.00) (b) -- -- --------- --------- --------- --------- --------- Total distributions................................... (0.16) (0.39) (0.46) (0.28) (0.04) --------- --------- --------- --------- --------- Net asset value, end of period........................ $ 22.33 $ 18.27 $ 19.69 $ 23.32 $ 20.50 ========= ========= ========= ========= ========= TOTAL RETURN (c)...................................... 23.22% (5.36)% (13.68)% 15.23% 2.44% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's).................. $ 11,163 $ 11,875 $ 20,669 $ 27,988 $ 10,250 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (d)..... 0.65% (e) 0.65% 0.65% 0.65% 0.65% (e) Ratio of net expenses to average net assets (d)....... 0.65% (e) 0.65% 0.59% 0.64% 0.65% (e) Ratio of net investment income (loss) to average net assets......................................... 1.48% (e) 1.61% 1.89% 1.52% 1.81% (e) Portfolio turnover rate (f)........................... 18% 81% 207% 121% 8% </TABLE> EQUITYCOMPASS TACTICAL RISK MANAGER ETF (TERM) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED AUGUST 31 PERIOD 2/28/2021 ------------------------------------------- ENDED (UNAUDITED) 2020 2019 2018 8/31/2017 (a) ------------- ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period.................. $ 15.97 $ 17.21 $ 23.33 $ 20.50 $ 20.05 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss).......................... 0.13 0.29 0.34 0.29 0.09 Net realized and unrealized gain (loss)............... 3.56 (1.19) (6.13) 2.81 0.40 --------- --------- --------- --------- --------- Total from investment operations...................... 3.69 (0.90) (5.79) 3.10 0.49 --------- --------- --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income................................. (0.14) (0.34) (0.33) (0.27) (0.04) --------- --------- --------- --------- --------- Net asset value, end of period........................ $ 19.52 $ 15.97 $ 17.21 $ 23.33 $ 20.50 ========= ========= ========= ========= ========= TOTAL RETURN (c)...................................... 23.22% (5.36)% (24.98)% 15.24% 2.44% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's).................. $ 12,691 $ 12,780 $ 30,111 $ 61,836 $ 22,551 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (d)..... 0.65% (e) 0.65% 0.65% 0.65% 0.65% (e) Ratio of net expenses to average net assets (d)....... 0.65% (e) 0.65% 0.59% 0.64% 0.65% (e) Ratio of net investment income (loss) to average net assets......................................... 1.47% (e) 1.68% 1.65% 1.52% 1.85% (e) Portfolio turnover rate (f)........................... 18% 74% 317% 120% 10% </TABLE> (a) Inception date is April 10, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Amount is less than $0.01. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the Advisor. (d) The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. (e) Annualized. (f) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 18 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on February 22, 2016, 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 thirty-seven funds that are offering shares. This report covers the two funds (each a "Fund" and collectively, the "Funds") listed below. The shares of each Fund are listed and traded on the NYSE Arca, Inc. ("NYSE Arca"). EquityCompass Risk Manager ETF - (NYSE Arca ticker "ERM") EquityCompass Tactical Risk Manager ETF - (NYSE Arca ticker "TERM") Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." Each Fund is an actively managed exchange-traded fund. ERM's and TERM's primary investment objective is to seek to provide long term capital appreciation with capital preservation as a secondary objective. Each Fund seeks to achieve its investment objectives by investing, under normal market conditions, in equity securities of companies domiciled in the U.S. or listed on a U.S. exchange. During periods when the U.S. equity market is determined to be unfavorable by the Fund's sub-advisor, EquityCompass Investment Management, LLC (the "Sub-Advisor"), each Fund may invest all or a portion of its assets in cash, cash equivalents, money market funds and/or short-term fixed income exchange-traded funds ("ETFs"), or each Fund may invest all or a portion of its assets in a single short-term fixed income ETF, the First Trust Enhanced Short Maturity ETF ("FTSM"). Certain of the ETFs in which each Fund invests may be advised by First Trust Advisors L.P. ("First Trust" or the "Advisor"). During an unfavorable market period, TERM may also invest in inverse ETFs which seek to provide investment results that match a negative return of the performance of an underlying index like the S&P 500(R). 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow 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 Funds 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 Each 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. Each 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. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust, in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Shares of open-end funds are valued at fair value which is based on NAV per share. Page 19 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. The Funds are 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 each Fund's investments as of February 28, 2021, is included with each 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. C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds 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 20 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) The tax character of distributions paid by each Fund during the fiscal year ended August 31, 2020 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid from paid from paid from Ordinary Capital Return of Income Gains Capital ------------- ------------- ------------- <S> <C> <C> <C> EquityCompass Risk Manager ETF $ 352,901 $ -- $ -- EquityCompass Tactical Risk Manager ETF 499,661 -- -- </TABLE> As of August 31, 2020, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Net Undistributed Capital and Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ------------- ------------- ------------- <S> <C> <C> <C> EquityCompass Risk Manager ETF $ 25,760 $ (6,043,156) $ 246,434 EquityCompass Tactical Risk Manager ETF 27,654 (16,020,077) 171,363 </TABLE> D. INCOME TAXES Each 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, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2017, 2018, 2019 and 2020 remain open to federal and state audit. As of February 28, 2021, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each 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. Each 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 August 31, 2020, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders. <TABLE> <CAPTION> Non-Expiring Capital Loss Carryforwards ------------------------- <S> <C> EquityCompass Risk Manager ETF $ 6,043,156 EquityCompass Tactical Risk Manager ETF 16,020,077 </TABLE> 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 August 31, 2020, the Funds had no net late year ordinary or capital losses. E. 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 Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for supervising the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. Page 21 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) The Funds and First Trust have retained the Sub-Advisor to provide recommendations to the Advisor regarding the selection and allocation of the securities in each Fund's investment portfolio. Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of each Fund's assets and is responsible for the expenses of each Fund including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit, other services and license fees, 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 Funds have each agreed to pay First Trust an annual unitary management fee equal to 0.65% of its average daily net assets. In addition, each Fund incurs acquired fund fees and expenses. The total of unitary management fee and acquired fund fees and expenses represents each Fund's total annual operating expenses. Pursuant to a contractual agreement between the Trust, on behalf of the Funds, and First Trust, the management fees paid to First Trust will be reduced by the proportional amount of the acquired fund fees and expenses of the shares of investment companies held by the Funds so that the Funds would not bear the indirect costs of holding them, provided that the investment companies are advised by First Trust. This contractual agreement shall continue until the earlier of (i) its termination at the direction of the Trust's Board of Trustees or (ii) the termination of the Funds' management agreement with First Trust. First Trust does not have the right to recover the waived fees on the shares of investment companies advised by First Trust. 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 each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each 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 is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the six months ended February 28, 2021, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales ------------ ------------ <S> <C> <C> EquityCompass Risk Manager ETF $ 2,068,227 $ 1,997,505 EquityCompass Tactical Risk Manager ETF 2,426,879 2,317,571 </TABLE> For the six months ended February 28, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales ------------ ------------ <S> <C> <C> EquityCompass Risk Manager ETF $ -- $ 2,956,645 EquityCompass Tactical Risk Manager ETF -- 2,673,752 </TABLE> 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each 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 a 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, a 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 a Fund's shares deposits with the Page 22 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 a 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 a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each 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 a 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. Each 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 a 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 a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, 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 Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before December 31, 2021. 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were the following subsequent events: On March 22, 2021, FT Cboe Vest U.S. Equity Buffer ETF - March, FT Cboe Vest U.S. Equity Deep Buffer ETF - March, FT Cboe Vest Growth-100 Buffer ETF - March and FT Cboe Vest International Equity Buffer ETF - March, additional series of the Trust, began trading under the symbols "FMAR," "DMAR," "QMAR," and "YMAR," respectively, on Cboe BZX Exchange, Inc. On April 19, 2021, FT Cboe Vest U.S. Equity Buffer ETF - April and FT Cboe Vest U.S. Equity Deep Buffer ETF - April, additional series of the Trust, began trading under the symbols "FAPR" and "DAPR," respectively, on Cboe BZX Exchange, Inc. Page 23 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (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 each 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 each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each 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. Each 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 each Fund is available to investors within 60 days after the period to which it relates. Each 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 large 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 not concentrated. 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. 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. Page 24 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in 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 Page 25 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) others. 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. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. 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. Although the funds and the Advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 26 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. FIRST TRUST First Trust Exchange-Traded Fund VIII INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 INVESTMENT SUB-ADVISOR EquityCompass Investment Management, LLC 1 South Street, 16th Floor Baltimore, Maryland 21202 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 111 W. Monroe Street Chicago, IL 60603 <PAGE> [BLANK BACK COVER] <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- First Trust Low Duration Strategic Focus ETF (LDSF) ---------------------------- Semi-Annual Report For the Six Months Ended February 28, 2021 ---------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) SEMI-ANNUAL REPORT FEBRUARY 28, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview.................................................... 2 Portfolio Management......................................................... 4 Understanding Your Fund Expenses............................................. 5 Portfolio of Investments..................................................... 6 Statement of Assets and Liabilities.......................................... 7 Statement of Operations...................................................... 8 Statements of Changes in Net Assets.......................................... 9 Financial Highlights......................................................... 10 Notes to Financial Statements................................................ 11 Additional Information....................................................... 16 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 VIII (the "Trust") described in this report (First Trust Low Duration Strategic Focus 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 relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO FEBRUARY 28, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the First Trust Low Duration Strategic Focus ETF (the "Fund"), which contains detailed information about the Fund for the six months ended February 28, 2021. For the better part of the past year, we Americans have been operating under the premise that the U.S. government's decision to inject trillions of dollars of capital into the economy was likely the best approach to keeping it propped up until one or more coronavirus ("COVID-19") vaccines could garner approval from the Food and Drug Administration ("FDA"). In other words, we have literally been buying time until a remedy for this virus could be discovered, approved, manufactured, and brought to market. While the jury may still be out with respect to whether or not such a massive amount of money was truly necessary, I am pleased to report that we now have three FDA-approved vaccines, and we got them in record time. Nobody thought it was possible to accomplish this task within the scope of 12 months. Even the most experienced scientists, including Dr. Anthony Fauci, were hoping for one by the 18-month mark at best. When you combine the number of people who have already contracted COVID-19 and developed the antibodies to it along with the people who are projected to receive the vaccine in the weeks ahead it is conceivable that the U.S. population could achieve a type of herd immunity - where at least 70% of the population develops antibodies - by the end of April 2021, according to Brian Wesbury, Chief Economist at First Trust. Keep in mind that Wesbury's April target is probably more optimistic than most, but I am willing to wager that he has done considerably more in-depth research on the pandemic than most. Achieving herd immunity sooner than expected is a potential boon for investors, in my opinion. Think about how much more optimistic consumers are likely to be once the entire U.S. economy is deemed open for business. Consider how much pent up demand there could be for activities such as leisure travel, attending theme parks, ballparks and movie theaters, as well as dining out and in-store shopping. Best of all, think about how achieving herd immunity could expedite putting at least some of the 10 million or so Americans who lost their jobs due to the pandemic back to work. Corporate executives seem ready to go. The Conference Board reported that its first quarter 2021 survey, which tracks CEO confidence levels, hit its highest reading since the first quarter of 2004, when the measure stood at 74, according to its own release. The measure currently stands at 73, up from 64 in the third quarter of 2020. A reading above 50 points reflects more positive than negative responses. Eighty-two percent of those CEOs polled expect economic conditions to improve over the next six months. Looking out 12 months, 47% of CEOs expect to grow their workforce. Investors, like top executives, should keep at least one eye on the future. What might the future hold for investors? The stimulus designed to mitigate the fallout from the pandemic comes at a cost. No free lunch! The added Treasury debt used to fund the stimulus will have to be paid back at some point - just not anytime soon. Expect economic growth to accelerate. The outlook for U.S. economic growth is robust, according to the Federal Reserve (the "Fed"). On March 17, 2021, the Fed raised its forecast for real gross domestic product this year from 4.2% to 6.5%, largely due to the passage of the $1.9 trillion American Rescue Plan Act of 2021, according to Wesbury. The outlook for corporate earnings is optimistic. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 24.35% and 15.20%, respectively, as of March 19, 2021. While the Fed continues to stick to its mandate of keeping short-term lending rates at a quarter-point through at least 2022, there is less certainty when it comes to the direction of inflation and intermediate to long-term bond yields. The yield on the 10-Year Treasury Note has already risen 70 basis points this year to 1.62% (thru March 23), according to Bloomberg. The prospects for robust economic activity moving forward suggests to us that investors should prepare for higher inflation and higher bond yields and adjust their investment portfolios accordingly, if necessary. We encourage investors to remain engaged and to stay invested. 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) The First Trust Low Duration Strategic Focus ETF (the "Fund") seeks to generate current income, with a secondary objective of preservation of capital. Under normal market conditions, the Fund seeks to achieve its investment objectives by investing at least 80% of its net assets (including investment borrowings) in a portfolio of U.S.-listed exchange-traded funds ("ETFs") that principally invest in income-generating securities that provide the Fund with an effective portfolio duration of three years or less. The Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on The Nasdaq Stock Market LLC under the ticker symbol "LDSF." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (1/3/19) (1/3/19) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 1.02% 1.24% 3.55% 7.80% Market Price 0.92% 1.24% 3.50% 7.69% INDEX PERFORMANCE Blended Benchmark(1) 1.19% 3.72% 5.36% 11.90% Bloomberg Barclays 1-5 Year Government/Credit Index -0.02% 2.33% 4.19% 9.24% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> Total returns for the period since inception are calculated from the inception date of the Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the period indicated. "Cumulative Total Returns" represent the total change in value of an investment over the period indicated. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was calculated. Since shares of the Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in the Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future performance. ----------------------------- (1) The Blended Benchmark consists of the following two indexes: 80% of the Bloomberg Barclays 1-5 Year Government/Credit Index which measures the performance of U.S. dollar-denominated U.S. Treasury bonds, government related bonds and investment grade U.S. corporate bonds that have a maturity between one and five years; and 20% of the ICE BofA US High Yield Constrained Index which tracks the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market but caps issuer exposure at 2%. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Index returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 80-20 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Index for each period shown above. Page 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JANUARY 3, 2019 - FEBRUARY 28, 2021 First Trust Bloomberg Barclays Low Duration Blended Government/ 1-5 Year Strategic Focus ETF Benchmark Credit Index <S> <C> <C> <C> 1/3/19 $10,000 $10,000 $10,000 2/28/19 10,210 10,151 10,037 8/31/19 10,453 10,564 10,433 2/29/20 10,647 10,789 10,675 8/31/20 10,671 11,059 10,926 2/28/21 10,780 11,191 10,924 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 3 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) SEMI-ANNUAL REPORT FEBRUARY 28, 2021 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") serves as the investment advisor to the First Trust Low Duration Strategic Focus ETF (the "Fund"). First Trust is responsible for the ongoing monitoring of the Fund's investment portfolio, managing the Fund's business affairs and providing certain administration services necessary for the management of the Fund. PORTFOLIO MANAGEMENT TEAM DANIEL J. LINDQUIST, MANAGING DIRECTOR OF FIRST TRUST DAVID G. MCGAREL, CHIEF INVESTMENT OFFICER, CHIEF OPERATING OFFICER AND MANAGING DIRECTOR OF FIRST TRUST CHRIS A. PETERSON, SENIOR VICE PRESIDENT OF FIRST TRUST WILLIAM HOUSEY, SENIOR VICE PRESIDENT OF FIRST TRUST STEVE COLLINS, VICE PRESIDENT OF FIRST TRUST Page 4 <PAGE> FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) UNDERSTANDING YOUR FUND EXPENSES FEBRUARY 28, 2021 (UNAUDITED) As a shareholder of First Trust Low Duration Strategic Focus 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 February 28, 2021. 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH SEPTEMBER 1, 2020 FEBRUARY 28, 2021 PERIOD (a) PERIOD (a) (b) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) Actual $1,000.00 $1,010.20 0.20% $1.00 Hypothetical (5% return before expenses) $1,000.00 $1,023.80 0.20% $1.00 </TABLE> (a) Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2020 through February 28, 2021), multiplied by 181/365 (to reflect the six-month period). Page 5 <PAGE> FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- EXCHANGE-TRADED FUNDS -- 99.9% CAPITAL MARKETS -- 99.9% 95,701 First Trust Emerging Markets Local Currency Bond ETF (a) $ 3,402,170 121,741 First Trust Enhanced Short Maturity ETF (a) 7,303,243 1,135,232 First Trust Low Duration Opportunities ETF (a) 58,260,106 322,540 First Trust Senior Loan Fund (a) 15,446,441 300,194 First Trust Tactical High Yield ETF (a) 14,565,413 320,530 First Trust TCW Opportunistic Fixed Income ETF (a) 17,173,997 560,058 iShares 0-5 Year Investment Grade Corporate Bond ETF 29,083,812 ------------- TOTAL EXCHANGE-TRADED FUNDS -- 99.9% 145,235,182 (Cost $144,897,583) ------------- MONEY MARKET FUNDS -- 0.1% 112,574 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (b) 112,574 (Cost $112,574) ------------- TOTAL INVESTMENTS -- 100.0% 145,347,756 (Cost $145,010,157) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (19,589) ------------- NET ASSETS -- 100.0% $ 145,328,167 ============= (a) Investment in an affiliated fund. (b) Rate shown reflects yield as of February 28, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $980,904 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $643,305. The net unrealized appreciation was $337,599. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------ Exchange-Traded Funds* $145,235,182 $ -- $ -- Money Market Funds 112,574 -- -- ------------------------------------------ Total Investments $145,347,756 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 6 See Notes to Financial Statements <PAGE> FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> <S> <C> ASSETS: Investments, at value - Affiliated..................................... $ 116,151,370 Investments, at value - Unaffiliated................................... 29,196,386 ---------------- Total investments, at value............................................ 145,347,756 Dividends receivable................................................... 3,045 ---------------- Total Assets........................................................ 145,350,801 ---------------- LIABILITIES: Investment advisory fees payable....................................... 22,634 ---------------- Total Liabilities................................................... 22,634 ---------------- NET ASSETS............................................................. $ 145,328,167 ================ NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 146,664,153 Par value.............................................................. 71,500 Accumulated distributable earnings (loss).............................. (1,407,486) ---------------- NET ASSETS............................................................. $ 145,328,167 ================ NET ASSET VALUE, per share............................................. $ 20.33 ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 7,150,002 ================ Investments, at cost - Affiliated...................................... $ 115,997,004 ================ Investments, at cost - Unaffiliated.................................... $ 29,013,153 ================ Total investments, at cost............................................. $ 145,010,157 ================ </TABLE> See Notes to Financial Statements Page 7 <PAGE> FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> <S> <C> INVESTMENT INCOME: Dividends - Affiliated................................................. $ 1,557,986 Dividends - Unaffiliated............................................... 284,780 ---------------- Total investment income............................................. 1,842,766 ---------------- EXPENSES: Investment advisory fees............................................... 141,441 ---------------- Total expenses...................................................... 141,441 ---------------- NET INVESTMENT INCOME (LOSS)........................................... 1,701,325 ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments - Affiliated............................................ 83,478 Investments - Unaffiliated.......................................... (856) In-kind redemptions - Affiliated.................................... 896,849 In-kind redemptions - Unaffiliated.................................. 26,310 Distribution of capital gains from investment companies - Affiliated....................................................... 261,464 Distribution of capital gains from investment companies - Unaffiliated..................................................... 4,257 ---------------- Net realized gain (loss)............................................... 1,271,502 ---------------- Net change in unrealized appreciation (depreciation) on: Investments - Affiliated............................................ (1,370,445) Investments - Unaffiliated.......................................... (195,896) ---------------- Net change in unrealized appreciation (depreciation)................... (1,566,341) ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (294,839) ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 1,406,486 ================ </TABLE> Page 8 See Notes to Financial Statements <PAGE> FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> SIX MONTHS ENDED YEAR 2/28/2021 ENDED (UNAUDITED) 8/31/2020 ---------------- ---------------- <S> <C> <C> OPERATIONS: Net investment income (loss)......................................................... $ 1,701,325 $ 2,539,741 Net realized gain (loss)............................................................. 1,271,502 (2,893,988) Net change in unrealized appreciation (depreciation)................................. (1,566,341) 1,656,771 ---------------- ---------------- Net increase (decrease) in net assets resulting from operations...................... 1,406,486 1,302,524 ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................................................ (2,092,925) (2,633,376) ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 44,870,061 118,598,581 Cost of shares redeemed.............................................................. (29,556,291) (36,794,658) ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions........ 15,313,770 81,803,923 ---------------- ---------------- Total increase (decrease) in net assets.............................................. 14,627,331 80,473,071 NET ASSETS: Beginning of period.................................................................. 130,700,836 50,227,765 ---------------- ---------------- End of period........................................................................ $ 145,328,167 $ 130,700,836 ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. 6,400,002 2,450,002 Shares sold.......................................................................... 2,200,000 5,800,000 Shares redeemed...................................................................... (1,450,000) (1,850,000) ---------------- ---------------- Shares outstanding, end of period.................................................... 7,150,002 6,400,002 ================ ================ </TABLE> See Notes to Financial Statements Page 9 <PAGE> FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> SIX MONTHS ENDED YEAR PERIOD 2/28/2021 ENDED ENDED (UNAUDITED) 8/31/2020 8/31/2019 (a) --------------- ----------- --------------- <S> <C> <C> <C> Net asset value, beginning of period........................... $ 20.42 $ 20.50 $ 20.03 ----------- --------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... 0.25 0.49 0.43 Net realized and unrealized gain (loss)........................ (0.04) (0.07) 0.47 ----------- --------- ----------- Total from investment operations............................... 0.21 0.42 0.90 ----------- --------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.......................................... (0.30) (0.50) (0.43) ----------- --------- ----------- Net asset value, end of period................................. $ 20.33 $ 20.42 $ 20.50 =========== ========= =========== TOTAL RETURN (b)............................................... 1.02% 2.09% 4.52% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 145,328 $ 130,701 $ 50,228 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (c).............. 0.20% (d) 0.20% 0.20% (d) Ratio of net investment income (loss) to average net assets.... 2.41% (d) 2.36% 3.16% (d) Portfolio turnover rate (e).................................... 25% 71% 14% </TABLE> (a) Inception date is January 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 10 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) FEBRUARY 28, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on February 22, 2016, 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 thirty-seven funds that are currently offering shares. This report covers the First Trust Low Duration Strategic Focus ETF (the "Fund"), which trades under the ticker "LDSF" 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. The Fund's primary investment objective seeks to generate current income, with a secondary objective of preservation of capital. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings) in a portfolio of U.S.-listed exchange-traded funds ("ETFs") that principally invest in income-generating securities that provide the Fund with an effective portfolio duration of three years or less. A significant portion of the ETFs in which the Fund invests may be advised by First Trust. The Fund may invest in ETFs that invest principally in corporate bonds, floating rate loans and fixed-to-floating rate loans, senior loans, mortgage-backed securities, hybrid income securities (including convertible, contingent convertible and preferred securities), government debt and other fixed income securities. The securities to which the Fund may have exposure may be issued by both U.S. and non-U.S. issuers, including both corporate and governmental issuers located in countries considered to be emerging markets. The Fund may also invest up to 40% of its net assets in ETFs that have exposure to U.S. corporate high yield securities (also known as "junk bonds") and senior loans. The Fund may invest up to 20% of its net assets in bonds issued by non-U.S. government and corporate issuers, including up to 10% of its net assets in ETFs holding debt of issuers located in countries considered to be emerging markets. The Fund may also invest up to 10% of its net assets in ETFs holding preferred securities and up to 10% of its net assets in ETFs holding convertible securities. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION The Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. 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 accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. All securities and other assets of the Fund initially expressed in foreign currencies will be converted to U.S. dollars using exchange rates in effect at the time of valuation. The Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Page 11 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) FEBRUARY 28, 2021 (UNAUDITED) Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. 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 February 28, 2021, 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. C. AFFILIATED TRANSACTIONS The Fund invests in securities of affiliated funds. The Fund's investment performance and risks are directly related to the investment performance and risks of the affiliated funds. Dividend income, realized gains and losses, and change in appreciation (depreciation) from affiliated funds are presented on the Statement of Operations. Page 12 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) FEBRUARY 28, 2021 (UNAUDITED) Amounts related to these investments at February 28, 2021 and for the six months then ended are as follows: <TABLE> <CAPTION> CHANGE IN UNREALIZED REALIZED SHARES AT VALUE AT APPRECIATION GAIN VALUE AT DIVIDEND SECURITY NAME 2/28/2021 8/31/2020 PURCHASES SALES (DEPRECIATION) (LOSS) 2/28/2021 INCOME ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> <C> <C> <C> <C> First Trust Emerging Markets Local Currency Bond ETF 95,701 $ 3,325,789 $ 1,121,610 $ (1,112,805) $ 104,118 $ (36,542) $ 3,402,170 $ 97,471 First Trust Enhanced Short Maturity ETF 121,741 12,981,008 3,396,208 (9,058,075) (7,482) (8,416) 7,303,243 27,869 First Trust Low Duration Opportunities ETF 1,135,232 38,996,208 23,486,075 (3,790,474) (429,296) (2,407) 58,260,106 583,084 First Trust Senior Loan Fund 322,540 6,685,589 17,285,905 (8,583,877) (79,418) 138,242 15,446,441 97,617 First Trust Tactical High Yield ETF 300,194 6,753,583 16,222,832 (8,974,968) 267,611 296,355 14,565,413 468,841 First Trust TCW Opportunistic Fixed Income ETF 320,530 35,966,995 9,638,807 (28,060,386) (1,225,978) 854,559 (a) 17,173,997 283,104 ------------------------------------------------------------------------------------------------- $104,709,172 $71,151,437 $(59,580,585) $ (1,370,445) $ 1,241,791 $116,151,370 $ 1,557,986 ================================================================================================= </TABLE> (a) Includes $261,464 of capital gain distributions. D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income, if any, are declared and paid monthly by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by the Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by the Fund during the fiscal year ended August 31, 2020 was as follows: Distributions paid from: Ordinary income................................. $ 2,633,376 Capital gains................................... -- Return of capital............................... -- As of August 31, 2020, the components of distributable earnings on a tax basis for the Fund were as follows: Undistributed ordinary income................... $ -- Accumulated capital and other gain (loss)....... (2,527,097) Net unrealized appreciation (depreciation)...... 1,806,050 E. INCOME TAXES The Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2019 and 2020 remain open to federal and state audit. As of February 28, 2021, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's financial statements for uncertain tax positions. Page 13 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) FEBRUARY 28, 2021 (UNAUDITED) The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At August 31, 2020, the Fund had capital loss carryforwards available for federal income tax purposes of $2,527,097. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to the Fund's shareholders. 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 August 31, 2020, the Fund had no net late year ordinary or capital losses. F. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in the Fund's portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of the Fund's assets and is responsible for the expenses of the Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees (if any), 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, expenses associated with short sale transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, which are paid by the Fund. The Fund has agreed to pay First Trust an annual unitary management fee equal to 0.20% 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 is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen will rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the six months ended February 28, 2021, the cost of purchases and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were $35,336,528 and $35,624,298, respectively. For the six months ended February 28, 2021, the cost of in-kind purchases and proceeds from in-kind sales were $44,860,919 and $29,493,076, respectively. 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES The Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares Page 14 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) FEBRUARY 28, 2021 (UNAUDITED) known as "Creation Units." Prior to the start of trading on every business day, the Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of the Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of the Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in the Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund's shares at or close to the NAV per share of the Fund. The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. The Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by the Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in 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 December 31, 2021. 7. INDEMNIFICATION The Trust, on behalf of the Fund, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were the following subsequent events: On March 22, 2021, FT Cboe Vest U.S. Equity Buffer ETF - March, FT Cboe Vest U.S. Equity Deep Buffer ETF - March, FT Cboe Vest Growth-100 Buffer ETF - March and FT Cboe Vest International Equity Buffer ETF - March, additional series of the Trust, began trading under the symbols "FMAR," "DMAR," "QMAR," and "YMAR," respectively, on Cboe BZX Exchange, Inc. On April 19, 2021, FT Cboe Vest U.S. Equity Buffer ETF - April and FT Cboe Vest U.S. Equity Deep Buffer ETF - April, additional series of the Trust, began trading under the symbols "FAPR" and "DAPR," respectively, on Cboe BZX Exchange, Inc. Page 15 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) FEBRUARY 28, 2021 (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 large 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 not concentrated. 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. 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. Page 16 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) FEBRUARY 28, 2021 (UNAUDITED) 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in 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. 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. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. Page 17 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) FEBRUARY 28, 2021 (UNAUDITED) 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. 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. Although the funds and the Advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 18 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII 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 111 W. Monroe Street Chicago, IL 60603 <PAGE> [BLANK BACK COVER] <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN) FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN) FT Cboe Vest U.S. Equity Buffer ETF - February (FFEB) FT Cboe Vest U.S. Equity Deep Buffer ETF - February (DFEB) FT Cboe Vest U.S. Equity Buffer ETF - May (FMAY) FT Cboe Vest U.S. Equity Deep Buffer ETF - May (DMAY) FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN) FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN) FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL) FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL) FT Cboe Vest U.S. Equity Buffer ETF - August (FAUG) FT Cboe Vest U.S. Equity Deep Buffer ETF - August (DAUG) FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP) FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP) FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT) FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT) FT Cboe Vest U.S. Equity Buffer ETF - November (FNOV) FT Cboe Vest U.S. Equity Deep Buffer ETF - November (DNOV) FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC) FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC) FT Cboe Vest Fund of Buffer ETFs (BUFR) FT Cboe Vest Fund of Deep Buffer ETFs (BUFD) ---------------------------- Semi-Annual Report For the Period Ended February 28, 2021 ---------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 Shareholder Letter.......................................................... 2 Fund Performance Overview: FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN).................... 3 FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN)............... 4 FT Cboe Vest U.S. Equity Buffer ETF - February (FFEB)................... 5 FT Cboe Vest U.S. Equity Deep Buffer ETF - February (DFEB).............. 6 FT Cboe Vest U.S. Equity Buffer ETF - May (FMAY)........................ 7 FT Cboe Vest U.S. Equity Deep Buffer ETF - May (DMAY)................... 8 FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN)....................... 9 FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN).................. 10 FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL)....................... 11 FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL).................. 12 FT Cboe Vest U.S. Equity Buffer ETF - August (FAUG)..................... 13 FT Cboe Vest U.S. Equity Deep Buffer ETF - August (DAUG)................ 14 FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP).................. 15 FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP)............. 16 FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT).................... 17 FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT)............... 18 FT Cboe Vest U.S. Equity Buffer ETF - November (FNOV)................... 19 FT Cboe Vest U.S. Equity Deep Buffer ETF - November (DNOV).............. 20 FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC)................... 21 FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC).............. 22 FT Cboe Vest Fund of Buffer ETFs (BUFR)................................. 23 FT Cboe Vest Fund of Deep Buffer ETFs (BUFD)............................ 24 Notes to Fund Performance Overview.......................................... 25 Portfolio Management........................................................ 26 Understanding Your Fund Expenses............................................ 27 Portfolio of Investments: FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN).................... 30 FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN)............... 32 FT Cboe Vest U.S. Equity Buffer ETF - February (FFEB)................... 34 FT Cboe Vest U.S. Equity Deep Buffer ETF - February (DFEB).............. 36 FT Cboe Vest U.S. Equity Buffer ETF - May (FMAY)........................ 38 FT Cboe Vest U.S. Equity Deep Buffer ETF - May (DMAY)................... 40 FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN)....................... 42 FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN).................. 44 FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL)....................... 46 FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL).................. 48 FT Cboe Vest U.S. Equity Buffer ETF - August (FAUG)..................... 50 FT Cboe Vest U.S. Equity Deep Buffer ETF - August (DAUG)................ 52 FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP).................. 54 FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP)............. 56 FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT).................... 58 FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT)............... 60 FT Cboe Vest U.S. Equity Buffer ETF - November (FNOV)................... 62 FT Cboe Vest U.S. Equity Deep Buffer ETF - November (DNOV).............. 64 FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC)................... 66 FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC).............. 68 FT Cboe Vest Fund of Buffer ETFs (BUFR)................................. 70 FT Cboe Vest Fund of Deep Buffer ETFs (BUFD)............................ 71 Statements of Assets and Liabilities........................................ 72 Statements of Operations.................................................... 78 Statements of Changes in Net Assets......................................... 84 Financial Highlights........................................................ 93 Notes to Financial Statements............................................... 105 Additional Information...................................................... 118 <PAGE> -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and/or Cboe VestSM Financial LLC ("Cboe Vest" or the "Sub-Advisor") and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund VIII (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each 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 a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds. 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 each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. The statistical information that follows may help you understand each Fund's performance compared to that of a relevant market benchmark. It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in the prospectus, statement of additional information, and other Fund regulatory filings. Page 1 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO FEBRUARY 28, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for certain series of the First Trust Exchange-Traded Fund VIII (the "Funds"), which contains detailed information about the Funds for the six months ended February 28, 2021. Please note that some of the Funds incepted after September 1, 2020, the start of the reporting period, so information in this letter and the report prior to those inception dates will not apply to all the Funds. For the better part of the past year, we Americans have been operating under the premise that the U.S. government's decision to inject trillions of dollars of capital into the economy was likely the best approach to keeping it propped up until one or more coronavirus ("COVID-19") vaccines could garner approval from the Food and Drug Administration ("FDA"). In other words, we have literally been buying time until a remedy for this virus could be discovered, approved, manufactured, and brought to market. While the jury may still be out with respect to whether or not such a massive amount of money was truly necessary, I am pleased to report that we now have three FDA-approved vaccines, and we got them in record time. Nobody thought it was possible to accomplish this task within the scope of 12 months. Even the most experienced scientists, including Dr. Anthony Fauci, were hoping for one by the 18-month mark at best. When you combine the number of people who have already contracted COVID-19 and developed the antibodies to it along with the people who are projected to receive the vaccine in the weeks ahead it is conceivable that the U.S. population could achieve a type of herd immunity - where at least 70% of the population develops antibodies - by the end of April 2021, according to Brian Wesbury, Chief Economist at First Trust. Keep in mind that Wesbury's April target is probably more optimistic than most, but I am willing to wager that he has done considerably more in-depth research on the pandemic than most. Achieving herd immunity sooner than expected is a potential boon for investors, in my opinion. Think about how much more optimistic consumers are likely to be once the entire U.S. economy is deemed open for business. Consider how much pent up demand there could be for activities such as leisure travel, attending theme parks, ballparks and movie theaters, as well as dining out and in-store shopping. Best of all, think about how achieving herd immunity could expedite putting at least some of the 10 million or so Americans who lost their jobs due to the pandemic back to work. Corporate executives seem ready to go. The Conference Board reported that its first quarter 2021 survey, which tracks CEO confidence levels, hit its highest reading since the first quarter of 2004, when the measure stood at 74, according to its own release. The measure currently stands at 73, up from 64 in the third quarter of 2020. A reading above 50 points reflects more positive than negative responses. Eighty-two percent of those CEOs polled expect economic conditions to improve over the next six months. Looking out 12 months, 47% of CEOs expect to grow their workforce. Investors, like top executives, should keep at least one eye on the future. What might the future hold for investors? The stimulus designed to mitigate the fallout from the pandemic comes at a cost. No free lunch! The added Treasury debt used to fund the stimulus will have to be paid back at some point - just not anytime soon. Expect economic growth to accelerate. The outlook for U.S. economic growth is robust, according to the Federal Reserve (the "Fed"). On March 17, 2021, the Fed raised its forecast for real gross domestic product this year from 4.2% to 6.5%, largely due to the passage of the $1.9 trillion American Rescue Plan Act of 2021, according to Wesbury. The outlook for corporate earnings is optimistic. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 24.35% and 15.20%, respectively, as of March 19, 2021. While the Fed continues to stick to its mandate of keeping short-term lending rates at a quarter-point through at least 2022, there is less certainty when it comes to the direction of inflation and intermediate to long-term bond yields. The yield on the 10-Year Treasury Note has already risen 70 basis points this year to 1.62% (thru March 23), according to Bloomberg. The prospects for robust economic activity moving forward suggests to us that investors should prepare for higher inflation and higher bond yields and adjust their investment portfolios accordingly, if necessary. We encourage investors to remain engaged and to stay invested. 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 Funds 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 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - JANUARY (FJAN) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - January (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 14.50% (before fees, expenses and taxes) and 13.64% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from January 19, 2021 to January 21, 2022 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FJAN." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (1/15/21) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 0.53% Market Price 0.67% INDEX PERFORMANCE S&P 500(R) Index 1.14% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JANUARY 15, 2021 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - January Index <S> <C> <C> 1/15/21 $10,000 $10,000 2/28/21 10,053 10,114 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JANUARY (DJAN) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - January (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 8.20% (before fees, expenses and taxes) and 7.34% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from January 19, 2021 to January 21, 2022 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DJAN." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (1/15/21) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 0.33% Market Price 0.17% INDEX PERFORMANCE S&P 500(R) Index 1.14% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JANUARY 15, 2021 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - January Index <S> <C> <C> 1/15/21 $10,000 $10,000 2/28/21 10,033 10,114 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - FEBRUARY (FFEB) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - February (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 15.85% (before fees, expenses and taxes) and 15.00% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from February 22, 2021 to February 18, 2022 (the "Outcome Period")*. Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FFEB." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (2/21/20) (2/21/20) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 5.50% 17.47% 8.09% 8.25% Market Price 5.52% 17.90% 8.28% 8.44% INDEX PERFORMANCE S&P 500(R) Index 8.88% 29.01% 13.90% 14.18% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT FEBRUARY 21, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - February Index <S> <C> <C> 2/21/20 $10,000 $10,000 2/29/20 9,214 8,851 8/31/20 10,260 10,488 2/28/21 10,825 11,418 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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. ----------------------------- * Prior to February 22, 2021, the Fund's investment objective included an upside cap of 10.75% (before fees, expenses and taxes) and 9.90% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and an Outcome Period of February 24, 2020 to February 19, 2021. Page 5 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - FEBRUARY (DFEB) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - February (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 8.85% (before fees, expenses and taxes) and 8.00% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from February 22, 2021 to February 18, 2022 (the "Outcome Period")*. Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DFEB." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (2/21/20) (2/21/20) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 4.10% 12.02% 5.88% 6.00% Market Price 3.77% 11.42% 5.82% 5.93% INDEX PERFORMANCE S&P 500(R) Index 8.88% 29.01% 13.90% 14.18% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT FEBRUARY 21, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - February Index <S> <C> <C> 2/21/20 $10,000 $10,000 2/29/20 9,462 8,851 8/31/20 10,182 10,488 2/28/21 10,600 11,418 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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. ----------------------------- * Prior to February 22, 2021, the Fund's investment objective included an upside cap of 7.50% (before fees, expenses and taxes) and 6.65% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and an Outcome Period of February 24, 2020 to February 19, 2021. Page 6 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - MAY (FMAY) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - May (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 17.07% (before fees, expenses and taxes) and 16.21% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from May 18, 2020 to May 21, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FMAY." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception 6 Months Ended (5/15/20) 2/28/21 to 2/28/21 <S> <C> <C> FUND PERFORMANCE NAV 3.82% 14.54% Market Price 4.32% 14.63% INDEX PERFORMANCE S&P 500(R) Index 8.88% 33.08% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 15, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - May Index <S> <C> <C> 5/15/20 $10,000 $10,000 8/31/20 11,032 12,223 2/28/21 11,454 13,308 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 7 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - MAY (DMAY) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - May (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 9.95% (before fees, expenses and taxes) and 9.09% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from May 18, 2020 to May 21, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DMAY." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception 6 Months Ended (5/15/20) 2/28/21 to 2/28/21 <S> <C> <C> FUND PERFORMANCE NAV 2.33% 8.43% Market Price 2.72% 8.37% INDEX PERFORMANCE S&P 500(R) Index 8.88% 33.08% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 15, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - May Index <S> <C> <C> 5/15/20 $10,000 $10,000 8/31/20 10,596 12,223 2/28/21 10,843 13,308 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 8 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - JUNE (FJUN) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - June (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 17.72% (before fees, expenses and taxes) and 16.87% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from June 22, 2020 to June 18, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FJUN." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception 6 Months Ended (6/19/20) 2/28/21 to 2/28/21 <S> <C> <C> FUND PERFORMANCE NAV 5.37% 13.42% Market Price 5.42% 13.26% INDEX PERFORMANCE S&P 500(R) Index 8.88% 23.03% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JUNE 19, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - June Index <S> <C> <C> 5/19/20 $10,000 $10,000 8/31/20 10,764 11,300 2/28/21 11,342 12,303 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 9 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JUNE (DJUN) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - June (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 10.28% (before fees, expenses and taxes) and 9.43% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from June 22, 2020 to June 18, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DJUN." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception 6 Months Ended (6/19/20) 2/28/21 to 2/28/21 <S> <C> <C> FUND PERFORMANCE NAV 2.85% 7.50% Market Price 3.14% 7.60% INDEX PERFORMANCE S&P 500(R) Index 8.88% 23.03% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JUNE 19, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - June Index <S> <C> <C> 6/19/20 $10,000 $10,000 8/31/20 10,453 11,300 2/28/21 10,750 12,303 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 10 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - JULY (FJUL) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - July (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 14.95% (before fees, expenses and taxes) and 14.10% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from July 20, 2020 to July 16, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FJUL." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception 6 Months Ended (7/17/20) 2/28/21 to 2/28/21 <S> <C> <C> FUND PERFORMANCE NAV 5.16% 9.92% Market Price 5.33% 9.79% INDEX PERFORMANCE S&P 500(R) Index 8.88% 18.19% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 17, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - July Index <S> <C> <C> 7/17/20 $10,000 $10,000 8/31/20 10,453 10,855 2/28/21 10,992 11,819 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 11 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JULY (DJUL) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - July (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 8.40% (before fees, expenses and taxes) and 7.55% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from July 20, 2020 to July 16, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DJUL." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception 6 Months Ended (7/17/20) 2/28/21 to 2/28/21 <S> <C> <C> FUND PERFORMANCE NAV 3.00% 5.46% Market Price 2.91% 5.22% INDEX PERFORMANCE S&P 500(R) Index 8.88% 18.19% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 17, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - July Index <S> <C> <C> 7/17/20 $10,000 $10,000 8/31/20 10,238 10,855 2/28/21 10,546 11,819 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 12 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - AUGUST (FAUG) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - August (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 14.71% (before fees, expenses and taxes) and 13.86% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from August 24, 2020 to August 20, 2021 (the "Outcome Period")*. Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FAUG." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (11/6/19) (11/6/19) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 6.10% 18.95% 12.08% 16.15% Market Price 5.94% 19.00% 12.06% 16.11% INDEX PERFORMANCE S&P 500(R) Index 8.88% 29.01% 17.72% 23.87% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT NOVEMBER 6, 2019 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - August Index <S> <C> <C> 11/6/19 $10,000 $10,000 2/29/20 9,764 9,602 8/31/20 10,947 11,377 2/28/21 11,615 12,387 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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. ----------------------------- * Prior to August 24, 2020, the Fund's investment objective included an upside cap of 8.60% (before fees, expenses and taxes) and 7.93% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not including the Fund's management fee) and an Outcome Period of November 7, 2019 to August 21, 2020. Page 13 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - AUGUST (DAUG) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - August (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 8.63% (before fees, expenses and taxes) and 7.78% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from August 24, 2020 to August 20, 2021 (the "Outcome Period")*. Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DAUG." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (11/6/19) (11/6/19) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 3.51% 12.78% 7.95% 10.56% Market Price 3.33% 11.66% 7.81% 10.37% INDEX PERFORMANCE S&P 500(R) Index 8.88% 29.01% 17.72% 23.87% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT NOVEMBER 6, 2019 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - August Index <S> <C> <C> 11/6/19 $10,000 $10,000 2/29/20 9,804 9,602 8/31/20 10,681 11,377 2/28/21 11,056 12,387 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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. ----------------------------- * Prior to August 24, 2020, the Fund's investment objective included an upside cap of 6.58% (before fees, expenses and taxes) and 5.91% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not including the Fund's management fee) and an Outcome Period of November 7, 2019 to August 21, 2020. Page 14 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - SEPTEMBER (FSEP) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - September (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 16.50% (before fees, expenses and taxes) and 15.65% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from September 21, 2020 to September 17, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FSEP." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (9/18/20) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 8.87% Market Price 8.74% INDEX PERFORMANCE S&P 500(R) Index 14.81% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 18, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - September Index <S> <C> <C> 9/18/20 $10,000 $10,000 2/28/21 10,887 11,481 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 15 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - SEPTEMBER (DSEP) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - September (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 9.25% (before fees, expenses and taxes) and 8.40% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from September 21, 2020 to September 17, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DSEP." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (9/18/20) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 4.94% Market Price 4.87% INDEX PERFORMANCE S&P 500(R) Index 14.81% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 18, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - September Index <S> <C> <C> 9/18/20 $10,000 $10,000 2/28/21 10,494 11,481 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 16 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - OCTOBER (FOCT) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - October (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 16.22% (before fees, expenses and taxes) and 15.37% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from October 19, 2020 to October 15, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FOCT." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (10/16/20) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 6.39% Market Price 6.33% INDEX PERFORMANCE S&P 500(R) Index 9.40% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT OCTOBER 16, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - October Index <S> <C> <C> 10/16/20 $10,000 $10,000 2/28/21 10,639 10,940 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 17 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - OCTOBER (DOCT) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - October (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 9.34% (before fees, expenses and taxes) and 8.49% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from October 19, 2020 to October 15, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DOCT." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (10/16/20) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 3.72% Market Price 3.62% INDEX PERFORMANCE S&P 500(R) Index 9.40% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 18, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - October Index <S> <C> <C> 10/16/20 $10,000 $10,000 2/28/21 10,372 10,940 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 18 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - NOVEMBER (FNOV) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - November (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 13.72% (before fees, expenses and taxes) and 12.87% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from November 23, 2020 to November 19, 2021 (the "Outcome Period")*. Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FNOV." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (11/15/19) (11/15/19) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 7.81% 19.55% 12.24% 16.03% Market Price 7.65% 19.88% 12.24% 16.03% INDEX PERFORMANCE S&P 500(R) Index 8.88% 29.01% 16.80% 22.13% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT NOVEMBER 15, 2019 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - November Index <S> <C> <C> 11/15/19 $10,000 $10,000 2/29/20 9,705 9,467 8/31/20 10,762 11,217 2/28/21 11,603 12,213 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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. ----------------------------- * Prior to November 23, 2020, the Fund's investment objective included an upside cap of 12.36% (before fees, expenses and taxes) and 11.50% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and an Outcome Period of November 18, 2019 to November 20, 2020. Page 19 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - NOVEMBER (DNOV) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - November (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 7.75% (before fees, expenses and taxes) and 6.90% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from November 23, 2020 to November 19, 2021 (the "Outcome Period")*. Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DNOV." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (11/15/19) (11/15/19) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 4.24% 12.82% 7.30% 9.49% Market Price 4.24% 11.36% 7.25% 9.43% INDEX PERFORMANCE S&P 500(R) Index 8.88% 29.01% 16.80% 22.13% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT NOVEMBER 15, 2019 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - November Index <S> <C> <C> 11/15/19 $10,000 $10,000 2/29/20 9,705 9,467 8/31/20 10,504 11,217 2/28/21 10,949 12,213 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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. ----------------------------- * Prior to November 23, 2020, the Fund's investment objective included an upside cap of 8.12% (before fees, expenses and taxes) and 7.26% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and an Outcome Period of November 18, 2019 to November 20, 2020. Page 20 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY BUFFER ETF - DECEMBER (FDEC) The investment objective of the FT Cboe Vest U.S. Equity Buffer ETF - December (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 14.00% (before fees, expenses and taxes) and 13.15% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from December 21, 2020 to December 17, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "FDEC." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (12/18/20) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 1.95% Market Price 1.72% INDEX PERFORMANCE S&P 500(R) Index 2.74% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 18, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Buffer ETF - December Index <S> <C> <C> 12/18/20 $10,000 $10,000 2/28/21 10,195 10,274 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 21 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - DECEMBER (DDEC) The investment objective of the FT Cboe Vest U.S. Equity Deep Buffer ETF - December (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 8.00% (before fees, expenses and taxes) and 7.15% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes), over the period from December 21, 2020 to December 17, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate one-year anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "DDEC." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (12/18/20) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 0.89% Market Price 0.89% INDEX PERFORMANCE S&P 500(R) Index 2.74% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 18, 2020 - FEBRUARY 28, 2021 FT Cboe Vest U.S. Equity S&P 500(R) Deep Buffer ETF - December Index <S> <C> <C> 12/18/20 $10,000 $10,000 2/28/21 10,089 10,274 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 22 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST FUND OF BUFFER ETFS (BUFR) The investment objective of the FT Cboe Vest Fund of Buffer ETFs (the "Fund") is to seek to provide investors with capital appreciation. The Fund seeks to achieve its investment objective by providing investors with US large-cap equity market exposure while limiting downside risk through a laddered portfolio of four FT Cboe Vest U.S. Equity Buffer ETFs ("Underlying ETFs"). Under normal market conditions, the Fund will invest substantially all of its assets in the Underlying ETFs, which seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust ("SPY"), up to a predetermined upside cap, while providing a buffer against the first 10% (before fees, expenses and taxes) of SPY losses, over a defined one-year period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "BUFR." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception 6 Months Ended (8/10/20) 2/28/21 to 2/28/21 <S> <C> <C> FUND PERFORMANCE NAV 5.83% 7.73% Market Price 5.99% 7.68% INDEX PERFORMANCE S&P 500(R) Index 8.88% 13.41% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT AUGUST 10, 2020 - FEBRUARY 28, 2021 FT Cboe Vest Fund S&P 500(R) of Buffer ETFs Index <S> <C> <C> 8/10/20 $10,000 $10,000 8/31/20 10,180 10,416 2/28/21 10,773 11,341 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 23 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST FUND OF DEEP BUFFER ETFS (BUFD) The investment objective of the FT Cboe Vest Fund of Deep Buffer ETFs (the "Fund") is to seek to provide investors with capital appreciation. The Fund seeks to achieve its investment objective by providing investors with US large-cap equity market exposure while limiting downside risk through a laddered portfolio of four FT Cboe Vest U.S. Equity Deep Buffer ETFs ("Underlying ETFs"). Under normal market conditions, the Fund will invest substantially all of its assets in the Underlying ETFs, which seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust ("SPY"), up to a predetermined upside cap, while providing a deep buffer against losses between -5% and -30% (before fees, expenses and taxes) of SPY, over a defined one-year period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "BUFD." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS Inception (1/20/21) to 2/28/21 <S> <C> FUND PERFORMANCE NAV -0.20% Market Price -0.10% INDEX PERFORMANCE S&P 500(R) Index -1.06% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 25.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JANUARY 20, 2021 - FEBRUARY 28, 2021 FT Cboe Vest Fund of S&P 500(R) Deep Buffer ETFs Index <S> <C> <C> 1/20/21 $10,000 $10,000 2/28/21 9,980 9,894 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 24 <PAGE> -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. Each 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. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each 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 each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 25 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to FT Cboe Vest U.S. Equity Buffer ETF - January ("FJAN"), FT Cboe Vest U.S. Equity Deep Buffer ETF - January ("DJAN"), FT Cboe Vest U.S. Equity Buffer ETF - February ("FFEB"), FT Cboe Vest U.S. Equity Deep Buffer ETF - February ("DFEB"), FT Cboe Vest U.S. Equity Buffer ETF - May ("FMAY"), FT Cboe Vest U.S. Equity Deep Buffer ETF - May ("DMAY"), FT Cboe Vest U.S. Equity Buffer ETF - June ("FJUN"), FT Cboe Vest U.S. Equity Deep Buffer ETF - June ("DJUN"), FT Cboe Vest U.S. Equity Buffer ETF - July ("FJUL"), FT Cboe Vest U.S. Equity Deep Buffer ETF - July ("DJUL"), FT Cboe Vest U.S. Equity Buffer ETF - August ("FAUG"), FT Cboe Vest U.S. Equity Deep Buffer ETF - August ("DAUG"), FT Cboe Vest U.S. Equity Buffer ETF - September ("FSEP"), FT Cboe Vest U.S. Equity Deep Buffer ETF - September ("DSEP"), FT Cboe Vest U.S. Equity Buffer ETF - October ("FOCT"), FT Cboe Vest U.S. Equity Deep Buffer ETF - October ("DOCT"), FT Cboe Vest U.S. Equity Buffer ETF - November ("FNOV"), FT Cboe Vest U.S. Equity Deep Buffer ETF - November ("DNOV"), FT Cboe Vest U.S. Equity Buffer ETF - December ("FDEC"), FT Cboe Vest U.S. Equity Deep Buffer ETF - December ("DDEC"), FT Cboe Vest Fund of Buffer ETFs ("BUFR"), and FT Cboe Vest Fund of Deep Buffer ETFs ("BUFD") (each a "Fund" and collectively, the "Funds"). First Trust is responsible for the ongoing monitoring of each Fund's investment portfolio, managing each Fund's business affairs and providing certain administrative services necessary for the management of each Fund. SUB-ADVISOR Cboe Vest(SM) Financial LLC ("Cboe Vest" or the "Sub-Advisor") serves as the investment sub-advisor to the Funds. In this capacity, Cboe Vest is responsible for the selection and ongoing monitoring of the securities in each Fund's investment portfolio. Cboe Vest, with principal offices at 1765 Greensboro Station Pl., 9th Floor, McLean, Virginia 22102, was founded in 2012. Cboe Vest had approximately $2.4 billion under management or committed to management as of February 28, 2021. PORTFOLIO MANAGEMENT TEAM KARAN SOOD, MANAGING DIRECTOR OF CBOE VEST HOWARD RUBIN, MANAGING DIRECTOR OF CBOE VEST Page 26 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII UNDERSTANDING YOUR FUND EXPENSES FEBRUARY 28, 2021 (UNAUDITED) As a shareholder of FT Cboe Vest U.S. Equity Buffer ETF - January, FT Cboe Vest U.S. Equity Deep Buffer ETF - January, FT Cboe Vest U.S. Equity Buffer ETF - February, FT Cboe Vest U.S. Equity Deep Buffer ETF - February, FT Cboe Vest U.S. Equity Buffer ETF - May, FT Cboe Vest U.S. Equity Deep Buffer ETF - May, FT Cboe Vest U.S. Equity Buffer ETF - June, FT Cboe Vest U.S. Equity Deep Buffer ETF - June, FT Cboe Vest U.S. Equity Buffer ETF - July, FT Cboe Vest U.S. Equity Deep Buffer ETF - July, FT Cboe Vest U.S. Equity Buffer ETF - August, FT Cboe Vest U.S. Equity Deep Buffer ETF - August, FT Cboe Vest U.S. Equity Buffer ETF - September, FT Cboe Vest U.S. Equity Deep Buffer ETF - September, FT Cboe Vest U.S. Equity Buffer ETF - October, FT Cboe Vest U.S. Equity Deep Buffer ETF - October, FT Cboe Vest U.S. Equity Buffer ETF - November, FT Cboe Vest U.S. Equity Deep Buffer ETF - November, FT Cboe Vest U.S. Equity Buffer ETF - December, FT Cboe Vest U.S. Equity Deep Buffer ETF - December, FT Cboe Vest Fund of Buffer ETFs or FT Cboe Vest Fund of Deep Buffer ETFs (each a "Fund" and collectively, the "Funds"), 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 Funds 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 (or since inception) and held through the six-month (or shorter) period ended February 28, 2021. 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 Period" to estimate the expenses you paid on your account during this six-month (or shorter) period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each 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 Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------ ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS SIX-MONTH SEPTEMBER 1, 2020 FEBRUARY 28, 2021 IN THE PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> FT CBOE VEST U.S. EQUITY BUFFER ETF - FEBRUARY (FFEB) Actual $1,000.00 $1,055.00 0.85% $4.33 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - FEBRUARY (DFEB) Actual $1,000.00 $1,041.00 0.85% $4.30 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY BUFFER ETF - MAY (FMAY) Actual $1,000.00 $1,038.20 0.85% $4.30 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - MAY (DMAY) Actual $1,000.00 $1,023.30 0.85% $4.26 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 </TABLE> Page 27 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------ ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS SIX-MONTH SEPTEMBER 1, 2020 FEBRUARY 28, 2021 IN THE PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> FT CBOE VEST U.S. EQUITY BUFFER ETF - JUNE (FJUN) Actual $1,000.00 $1,053.70 0.85% $4.33 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JUNE (DJUN) Actual $1,000.00 $1,028.50 0.85% $4.28 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY BUFFER ETF - JULY (FJUL) Actual $1,000.00 $1,051.60 0.85% $4.32 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JULY (DJUL) Actual $1,000.00 $1,030.00 0.85% $4.28 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY BUFFER ETF - AUGUST (FAUG) Actual $1,000.00 $1,061.00 0.85% $4.34 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - AUGUST (DAUG) Actual $1,000.00 $1,035.10 0.85% $4.29 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY BUFFER ETF - NOVEMBER (FNOV) Actual $1,000.00 $1,078.10 0.85% $4.38 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - NOVEMBER (DNOV) Actual $1,000.00 $1,042.40 0.85% $4.30 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY BUFFER STRATEGY ETF (BUFR) Actual $1,000.00 $1,058.30 0.20% (b) $1.02 (b) Hypothetical (5% return before expenses) $1,000.00 $1,023.80 0.20% (b) $1.00 (b) </TABLE> <TABLE> <CAPTION> --------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE JANUARY 15, 2021 (c) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO JANUARY 15, 2021 (c) FEBRUARY 28, 2021 IN THE PERIOD FEBRUARY 28, 2021 (d) --------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FT CBOE VEST U.S. EQUITY BUFFER ETF - JANUARY (FJAN) Actual $1,000.00 $1,005.30 0.85% $1.05 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JANUARY (DJAN) Actual $1,000.00 $1,003.30 0.85% $1.05 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 </TABLE> Page 28 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> --------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE SEPTEMBER 18, 2020 (c) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO SEPTEMBER 18, 2020 (c) FEBRUARY 28, 2021 IN THE PERIOD FEBRUARY 28, 2021 (e) --------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FT CBOE VEST U.S. EQUITY BUFFER ETF - SEPTEMBER (FSEP) Actual $1,000.00 $1,088.70 0.85% $3.99 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - SEPTEMBER (DSEP) Actual $1,000.00 $1,049.40 0.85% $3.91 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 </TABLE> <TABLE> <CAPTION> --------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE OCTOBER 16, 2020 (c) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO OCTOBER 16, 2020 (c) FEBRUARY 28, 2021 IN THE PERIOD FEBRUARY 28, 2021 (f) --------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FT CBOE VEST U.S. EQUITY BUFFER ETF - OCTOBER (FOCT) Actual $1,000.00 $1,063.90 0.85% $3.27 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - OCTOBER (DOCT) Actual $1,000.00 $1,037.20 0.85% $3.23 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 </TABLE> <TABLE> <CAPTION> --------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE DECEMBER 18, 2020 (c) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO DECEMBER 18, 2020 (c) FEBRUARY 28, 2021 IN THE PERIOD FEBRUARY 28, 2021 (g) --------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FT CBOE VEST U.S. EQUITY BUFFER ETF - DECEMBER (FDEC) Actual $1,000.00 $1,019.50 0.85% $1.72 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - DECEMBER (DDEC) Actual $1,000.00 $1,008.90 0.85% $1.71 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 </TABLE> <TABLE> <CAPTION> --------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE JANUARY 20, 2021 (c) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO JANUARY 20, 2021 (c) FEBRUARY 28, 2021 IN THE PERIOD FEBRUARY 28, 2021 (h) --------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FT CBOE VEST FUND OF DEEP BUFFER ETFS (BUFD) Actual $1,000.00 $ 998.00 0.20% (b) $0.22 (b) Hypothetical (5% return before expenses) $1,000.00 $1,023.80 0.20% (b) $1.00 (b) </TABLE> (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2020 through February 28, 2021), multiplied by 181/365 (to reflect the six-month period). (b) Annualized expense ratio and expenses paid during the period do not include fees and expenses of the underlying funds in which the Fund invests. (c) Inception date. (d) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (January 15, 2021 through February 28, 2021), multiplied by 45/365. Hypothetical expenses are assumed for the most recent six-month period. (e) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 18, 2020 through February 28, 2021), multiplied by 164/365. Hypothetical expenses are assumed for the most recent six-month period. (f) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (October 16, 2020 through February 28, 2021), multiplied by 136/365. Hypothetical expenses are assumed for the most recent six-month period. (g) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (December 18, 2020 through February 28, 2021), multiplied by 73/365. Hypothetical expenses are assumed for the most recent six-month period. (h) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (January 20, 2021 through February 28, 2021), multiplied by 40/365. Hypothetical expenses are assumed for the most recent six-month period. Page 29 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - JANUARY (FJAN) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 1.1% <S> <C> <C> 984,229 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 984,229 (Cost $984,229) ------------- TOTAL INVESTMENTS -- 1.1%........................................................................ 984,229 (Cost $984,229) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 106.9% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 98.2% 2,320 SPDR(R) S&P 500(R) ETF Trust........................... $ 88,243,520 $ 3.76 01/21/22 86,037,200 (Cost $86,822,720) ------------- PUT OPTIONS PURCHASED -- 8.7% 2,320 SPDR(R) S&P 500(R) ETF Trust........................... 88,243,520 375.70 01/21/22 7,628,160 (Cost $7,386,181) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 93,665,360 (Cost $94,208,901) ------------- WRITTEN OPTIONS -- (7.9)% CALL OPTIONS WRITTEN -- (2.3)% (2,320) SPDR(R) S&P 500(R) ETF Trust........................... (88,243,520) 430.18 01/21/22 (1,981,280) (Premiums received $2,255,131) ------------- PUT OPTIONS WRITTEN -- (5.6)% (2,320) SPDR(R) S&P 500(R) ETF Trust........................... (88,243,520) 338.13 01/21/22 (4,936,960) (Premiums received $4,707,184) ------------- TOTAL WRITTEN OPTIONS............................................................................ (6,918,240) (Premiums received $6,962,315) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (83,748) ------------- NET ASSETS -- 100.0%............................................................................. $ 87,647,601 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $515,830 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,015,296. The net unrealized depreciation was $499,466. The unrealized amounts presented are inclusive of derivative contracts. Page 30 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - JANUARY (FJAN) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 984,229 $ 984,229 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 984,229 984,229 -- -- Call Options Purchased........................... 86,037,200 -- 86,037,200 -- Put Options Purchased............................ 7,628,160 -- 7,628,160 -- ------------- ------------- ------------- ------------- Total............................................ $ 94,649,589 $ 984,229 $ 93,665,360 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (1,981,280) $ -- $ (1,981,280) $ -- Put Options Written.............................. (4,936,960) -- (4,936,960) -- ------------- ------------- ------------- ------------- Total............................................ $ (6,918,240) $ -- $ (6,918,240) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 31 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JANUARY (DJAN) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 1.0% <S> <C> <C> 932,307 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 932,307 (Cost $932,307) ------------- TOTAL INVESTMENTS -- 1.0%....................................................................... 932,307 (Cost $932,307) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 105.7% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 98.8% 2,360 SPDR(R) S&P 500(R) ETF Trust........................... $ 89,764,960 $ 3.75 01/21/22 87,923,326 (Cost $89,050,455) ------------- PUT OPTIONS PURCHASED -- 6.9% 2,360 SPDR(R) S&P 500(R) ETF Trust........................... 89,764,960 356.92 01/21/22 6,111,813 (Cost $5,847,356) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 94,035,139 (Cost $94,897,811) ------------- WRITTEN OPTIONS -- (6.7)% CALL OPTIONS WRITTEN -- (4.7)% (2,360) SPDR(R) S&P 500(R) ETF Trust........................... (89,764,960) 406.51 01/21/22 (4,179,228) (Premiums received $4,750,276) ------------- PUT OPTIONS WRITTEN -- (2.0)% (2,360) SPDR(R) S&P 500(R) ETF Trust........................... (89,764,960) 262.99 01/21/22 (1,773,073) (Premiums received $1,693,003) ------------- TOTAL WRITTEN OPTIONS............................................................................ (5,952,301) (Premiums received $6,443,279) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.0)%....................................................... (42,202) ------------- NET ASSETS -- 100.0%............................................................................. $ 88,972,943 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $835,505 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,207,199. The net unrealized depreciation was $371,694. The unrealized amounts presented are inclusive of derivative contracts. Page 32 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JANUARY (DJAN) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 932,307 $ 932,307 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 932,307 932,307 -- -- Call Options Purchased........................... 87,923,326 -- 87,923,326 -- Put Options Purchased............................ 6,111,813 -- 6,111,813 -- ------------- ------------- ------------- ------------- Total............................................ $ 94,967,446 $ 932,307 $ 94,035,139 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (4,179,228) $ -- $ (4,179,228) $ -- Put Options Written.............................. (1,773,073) -- (1,773,073) -- ------------- ------------- ------------- ------------- Total............................................ $ (5,952,301) $ -- $ (5,952,301) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 33 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - FEBRUARY (FFEB) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 1.3% <S> <C> <C> 2,269,391 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 2,269,391 (Cost $2,269,391) ------------- TOTAL INVESTMENTS -- 1.3%........................................................................ 2,269,391 (Cost $2,269,391) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 107.1% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 96.6% 4,544 SPDR(R) S&P 500(R) ETF Trust........................... $ 172,835,584 $ 3.90 02/18/22 168,423,360 (Cost $172,502,659) ------------- PUT OPTIONS PURCHASED -- 10.5% 4,544 SPDR(R) S&P 500(R) ETF Trust........................... 172,835,584 390.03 02/18/22 18,221,440 (Cost $16,999,961) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 186,644,800 (Cost $189,502,620) ------------- WRITTEN OPTIONS -- (8.2)% CALL OPTIONS WRITTEN -- (1.4)% (4,544) SPDR(R) S&P 500(R) ETF Trust........................... (172,835,584) 451.85 02/18/22 (2,403,776) (Premiums received $2,572,119) ------------- PUT OPTIONS WRITTEN -- (6.8)% (4,544) SPDR(R) S&P 500(R) ETF Trust........................... (172,835,584) 351.03 02/18/22 (11,873,472) (Premiums received $11,737,447) ------------- TOTAL WRITTEN OPTIONS............................................................................ (14,277,248) (Premiums received $14,309,566) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.2)%....................................................... (276,049) ------------- NET ASSETS -- 100.0%............................................................................. $ 174,360,894 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,389,822 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,215,324. The net unrealized depreciation was $2,825,502. The unrealized amounts presented are inclusive of derivative contracts. Page 34 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - FEBRUARY (FFEB) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 2,269,391 $ 2,269,391 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 2,269,391 2,269,391 -- -- Call Options Purchased........................... 168,423,360 -- 168,423,360 -- Put Options Purchased............................ 18,221,440 -- 18,221,440 -- ------------- ------------- ------------- ------------- Total............................................ $ 188,914,191 $ 2,269,391 $ 186,644,800 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (2,403,776) $ -- $ (2,403,776) $ -- Put Options Written.............................. (11,873,472) -- (11,873,472) -- ------------- ------------- ------------- ------------- Total............................................ $ (14,277,248) $ -- $ (14,277,248) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 35 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - FEBRUARY (DFEB) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 1.7% <S> <C> <C> 5,441,676 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 5,441,676 (Cost $5,441,676) ------------- TOTAL INVESTMENTS -- 1.7%........................................................................ 5,441,676 (Cost $5,441,676) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 104.4% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 96.1% 8,482 SPDR(R) S&P 500(R) ETF Trust........................... $ 322,621,352 $ 3.89 02/18/22 315,801,979 (Cost $322,067,893) ------------- PUT OPTIONS PURCHASED -- 8.3% 8,482 SPDR(R) S&P 500(R) ETF Trust........................... 322,621,352 370.53 02/18/22 27,187,818 (Cost $25,913,507) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 342,989,797 (Cost $347,981,400) ------------- WRITTEN OPTIONS -- (5.5)% CALL OPTIONS WRITTEN -- (3.1)% (8,482) SPDR(R) S&P 500(R) ETF Trust........................... (322,621,352) 424.55 02/18/22 (10,154,401) (Premiums received $11,227,182) ------------- PUT OPTIONS WRITTEN -- (2.4)% (8,482) SPDR(R) S&P 500(R) ETF Trust........................... (322,621,352) 273.02 02/18/22 (7,941,009) (Premiums received $9,548,074) ------------- TOTAL WRITTEN OPTIONS............................................................................ (18,095,410) (Premiums received $20,775,256) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.6)%....................................................... (1,851,362) ------------- NET ASSETS -- 100.0%............................................................................. $ 328,484,701 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,954,157 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,265,914. The net unrealized depreciation was $2,311,757. The unrealized amounts presented are inclusive of derivative contracts. Page 36 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - FEBRUARY (DFEB) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 5,441,676 $ 5,441,676 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 5,441,676 5,441,676 -- -- Call Options Purchased........................... 315,801,979 -- 315,801,979 -- Put Options Purchased............................ 27,187,818 -- 27,187,818 -- ------------- ------------- ------------- ------------- Total............................................ $ 348,431,473 $ 5,441,676 $ 342,989,797 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (10,154,401) $ -- $ (10,154,401) $ -- Put Options Written.............................. (7,941,009) -- (7,941,009) -- ------------- ------------- ------------- ------------- Total............................................ $ (18,095,410) $ -- $ (18,095,410) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 37 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER - MAY (FMAY) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.5% <S> <C> <C> 308,660 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 308,660 (Cost $308,660) ------------- TOTAL INVESTMENTS -- 0.5%........................................................................ 308,660 (Cost $308,660) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 115.5% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 114.8% 1,802 SPDR(R) S&P 500(R) ETF Trust........................... $ 68,540,872 $ 2.86 05/21/21 67,776,824 (Cost $56,043,795) ------------- PUT OPTIONS PURCHASED -- 0.7% 1,802 SPDR(R) S&P 500(R) ETF Trust........................... 68,540,872 286.28 05/21/21 428,876 (Cost $3,558,577) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 68,205,700 (Cost $59,602,372) ------------- WRITTEN OPTIONS -- (15.9)% CALL OPTIONS WRITTEN -- (15.5)% (1,802) SPDR(R) S&P 500(R) ETF Trust........................... (68,540,872) 335.15 05/21/21 (9,132,536) (Premiums received $3,599,188) ------------- PUT OPTIONS WRITTEN -- (0.4)% (1,802) SPDR(R) S&P 500(R) ETF Trust........................... (68,540,872) 257.65 05/21/21 (254,082) (Premiums received $2,436,687) ------------- TOTAL WRITTEN OPTIONS............................................................................ (9,386,618) (Premiums received $6,035,875) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (52,638) ------------- NET ASSETS -- 100.0%............................................................................. $ 59,075,104 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $13,915,634 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $8,663,049. The net unrealized appreciation was $5,252,585. The unrealized amounts presented are inclusive of derivative contracts. Page 38 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER - MAY (FMAY) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 308,660 $ 308,660 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 308,660 308,660 -- -- Call Options Purchased........................... 67,776,824 -- 67,776,824 -- Put Options Purchased............................ 428,876 -- 428,876 -- ------------- ------------- ------------- ------------- Total............................................ $ 68,514,360 $ 308,660 $ 68,205,700 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (9,132,536) $ -- $ (9,132,536) $ -- Put Options Written.............................. (254,082) -- (254,082) -- ------------- ------------- ------------- ------------- Total............................................ $ (9,386,618) $ -- $ (9,386,618) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 39 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - MAY (DMAY) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.5% <S> <C> <C> 80,628 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 80,628 (Cost $80,628) ------------- TOTAL INVESTMENTS -- 0.5%........................................................................ 80,628 (Cost $80,628) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 121.9% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 121.3% 530 SPDR(R) S&P 500(R) ETF Trust........................... $ 20,159,080 $ 2.85 05/21/21 19,960,117 (Cost $20,066,505) ------------- PUT OPTIONS PURCHASED -- 0.6% 530 SPDR(R) S&P 500(R) ETF Trust........................... 20,159,080 271.97 05/21/21 94,674 (Cost $943,261) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 20,054,791 (Cost $21,009,766) ------------- WRITTEN OPTIONS -- (22.3)% CALL OPTIONS WRITTEN -- (22.2)% (530) SPDR(R) S&P 500(R) ETF Trust........................... (20,159,080) 314.76 05/21/21 (3,647,639) (Premiums received $1,632,072) ------------- PUT OPTIONS WRITTEN -- (0.1)% (530) SPDR(R) S&P 500(R) ETF Trust........................... (20,159,080) 200.40 05/21/21 (24,374) (Premiums received $26,801) ------------- TOTAL WRITTEN OPTIONS............................................................................ (3,672,013) (Premiums received $1,658,873) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (10,155) ------------- NET ASSETS -- 100.0%............................................................................ $ 16,453,251 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,427 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,970,542. The net unrealized depreciation was $2,968,115. The unrealized amounts presented are inclusive of derivative contracts. Page 40 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - MAY (DMAY) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 80,628 $ 80,628 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 80,628 80,628 -- -- Call Options Purchased........................... 19,960,117 -- 19,960,117 -- Put Options Purchased............................ 94,674 -- 94,674 -- ------------- ------------- ------------- ------------- Total............................................ $ 20,135,419 $ 80,628 $ 20,054,791 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (3,647,639) $ -- $ (3,647,639) $ -- Put Options Written.............................. (24,374) -- (24,374) -- ------------- ------------- ------------- ------------- Total............................................ $ (3,672,013) $ -- $ (3,672,013) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 41 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - JUNE (FJUN) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.6% <S> <C> <C> 287,743 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 287,743 (Cost $287,743) ------------- TOTAL INVESTMENTS -- 0.6%........................................................................ 287,743 (Cost $287,743) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 108.6% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 107.1% 1,372 SPDR(R) S&P 500(R) ETF Trust........................... $ 52,185,392 $ 3.09 06/18/21 51,440,859 (Cost $41,470,781) ------------- PUT OPTIONS PURCHASED -- 1.5% 1,372 SPDR(R) S&P 500(R) ETF Trust........................... 52,185,392 308.64 06/18/21 706,688 (Cost $4,496,490) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 52,147,547 (Cost $45,967,271) ------------- WRITTEN OPTIONS -- (9.1)% CALL OPTIONS WRITTEN -- (8.2)% (1,372) SPDR(R) S&P 500(R) ETF Trust........................... (52,185,392) 363.33 06/18/21 (3,951,691) (Premiums received $678,926) ------------- PUT OPTIONS WRITTEN -- (0.9)% (1,372) SPDR(R) S&P 500(R) ETF Trust........................... (52,185,392) 277.78 06/18/21 (416,053) (Premiums received $2,885,309) ------------- TOTAL WRITTEN OPTIONS............................................................................ (4,367,744) (Premiums received $3,564,235) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (31,411) ------------- NET ASSETS -- 100.0%............................................................................. $ 48,036,135 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $12,439,334 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,062,567. The net unrealized appreciation was $5,376,767. The unrealized amounts presented are inclusive of derivative contracts. Page 42 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - JUNE (FJUN) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 287,743 $ 287,743 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 287,743 287,743 -- -- Call Options Purchased........................... 51,440,859 -- 51,440,859 -- Put Options Purchased............................ 706,688 -- 706,688 -- ------------- ------------- ------------- ------------- Total............................................ $ 52,435,290 $ 287,743 $ 52,147,547 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (3,951,691) $ -- $ (3,951,691) $ -- Put Options Written.............................. (416,053) -- (416,053) -- ------------- ------------- ------------- ------------- Total............................................ $ (4,367,744) $ -- $ (4,367,744) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 43 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JUNE (DJUN) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.7% <S> <C> <C> 86,356 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 86,356 (Cost $86,356) ------------- TOTAL INVESTMENTS -- 0.7%........................................................................ 86,356 (Cost $86,356) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 114.0% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 112.8% 392 SPDR(R) S&P 500(R) ETF Trust........................... $ 14,910,112 $ 3.08 06/18/21 14,676,872 (Cost $15,121,726) ------------- PUT OPTIONS PURCHASED -- 1.2% 392 SPDR(R) S&P 500(R) ETF Trust........................... 14,910,112 293.21 06/18/21 155,624 (Cost $1,114,998) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 14,832,496 (Cost $16,236,724) ------------- WRITTEN OPTIONS -- (14.6)% CALL OPTIONS WRITTEN -- (14.3)% (392) SPDR(R) S&P 500(R) ETF Trust........................... (14,910,112) 340.37 06/18/21 (1,852,984) (Premiums received $395,322) ------------- PUT OPTIONS WRITTEN -- (0.3)% (392) SPDR(R) S&P 500(R) ETF Trust........................... (14,910,112) 216.05 06/18/21 (39,592) (Premiums received $27,114) ------------- TOTAL WRITTEN OPTIONS............................................................................ (1,892,576) (Premiums received $422,436) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (19,151) ------------- NET ASSETS -- 100.0%............................................................................. $ 13,007,125 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $0 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,874,368. The net unrealized depreciation was $2,874,368. The unrealized amounts presented are inclusive of derivative contracts. Page 44 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JUNE (DJUN) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 86,356 $ 86,356 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 86,356 86,356 -- -- Call Options Purchased........................... 14,676,872 -- 14,676,872 -- Put Options Purchased............................ 155,624 -- 155,624 -- ------------- ------------- ------------- ------------- Total............................................ $ 14,918,852 $ 86,356 $ 14,832,496 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (1,852,984) $ -- $ (1,852,984) $ -- Put Options Written.............................. (39,592) -- (39,592) -- ------------- ------------- ------------- ------------- Total............................................ $ (1,892,576) $ -- $ (1,892,576) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 45 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - JULY (FJUL) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.7% <S> <C> <C> 183,250 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 183,250 (Cost $183,250) ------------- TOTAL INVESTMENTS -- 0.7%........................................................................ 183,250 (Cost $183,250) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 108.3% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 106.0% 752 SPDR(R) S&P 500(R) ETF Trust........................... $ 28,603,072 $ 3.22 07/16/21 28,188,485 (Cost $23,902,243) ------------- PUT OPTIONS PURCHASED -- 2.3% 752 SPDR(R) S&P 500(R) ETF Trust........................... 28,603,072 321.72 07/16/21 612,737 (Cost $2,113,320) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 28,801,222 (Cost $26,015,563) ------------- WRITTEN OPTIONS -- (8.9)% CALL OPTIONS WRITTEN -- (7.5)% (752) SPDR(R) S&P 500(R) ETF Trust........................... (28,603,072) 369.82 07/16/21 (2,004,382) (Premiums received $634,537) ------------- PUT OPTIONS WRITTEN -- (1.4)% (752) SPDR(R) S&P 500(R) ETF Trust........................... (28,603,072) 289.55 07/16/21 (367,214) (Premiums received $1,402,071) ------------- TOTAL WRITTEN OPTIONS............................................................................ (2,371,596) (Premiums received $2,036,608) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (19,139) ------------- NET ASSETS -- 100.0%............................................................................. $ 26,593,737 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $5,321,099 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,870,428. The net unrealized appreciation was $2,450,671. The unrealized amounts presented are inclusive of derivative contracts. Page 46 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - JULY (FJUL) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 183,250 $ 183,250 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 183,250 183,250 -- -- Call Options Purchased........................... 28,188,485 -- 28,188,485 -- Put Options Purchased............................ 612,737 -- 612,737 -- ------------- ------------- ------------- ------------- Total............................................ $ 28,984,472 $ 183,250 $ 28,801,222 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (2,004,382) $ -- $ (2,004,382) $ -- Put Options Written.............................. (367,214) -- (367,214) -- ------------- ------------- ------------- ------------- Total............................................ $ (2,371,596) $ -- $ (2,371,596) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 47 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JULY (DJUL) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.7% <S> <C> <C> 95,914 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 95,914 (Cost $95,914) ------------- TOTAL INVESTMENTS -- 0.7%........................................................................ 95,914 (Cost $95,914) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 112.3% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 110.5% 423 SPDR(R) S&P 500(R) ETF Trust........................... $ 16,089,228 $ 3.21 07/16/21 15,856,446 (Cost $16,308,270) ------------- PUT OPTIONS PURCHASED -- 1.8% 423 SPDR(R) S&P 500(R) ETF Trust........................... 16,089,228 305.63 07/16/21 266,332 (Cost $1,020,880) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 16,122,778 (Cost $17,329,150) ------------- WRITTEN OPTIONS -- (12.9)% CALL OPTIONS WRITTEN -- (12.4)% (423) SPDR(R) S&P 500(R) ETF Trust........................... (16,089,228) 348.74 07/16/21 (1,783,371) (Premiums received $632,144) ------------- PUT OPTIONS WRITTEN -- (0.5)% (423) SPDR(R) S&P 500(R) ETF Trust........................... (16,089,228) 225.20 07/16/21 (74,975) (Premiums received $50,830) ------------- TOTAL WRITTEN OPTIONS............................................................................ (1,858,346) (Premiums received $682,974) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (9,821) ------------- NET ASSETS -- 100.0%............................................................................. $ 14,350,525 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $0 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,381,744. The net unrealized depreciation was $2,381,744. The unrealized amounts presented are inclusive of derivative contracts. Page 48 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JULY (DJUL) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 95,914 $ 95,914 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 95,914 95,914 -- -- Call Options Purchased........................... 15,856,446 -- 15,856,446 -- Put Options Purchased............................ 266,332 -- 266,332 -- ------------- ------------- ------------- ------------- Total............................................ $ 16,218,692 $ 95,914 $ 16,122,778 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (1,783,371) $ -- $ (1,783,371) $ -- Put Options Written.............................. (74,975) -- (74,975) -- ------------- ------------- ------------- ------------- Total............................................ $ (1,858,346) $ -- $ (1,858,346) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 49 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - AUGUST (FAUG) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.7% <S> <C> <C> 683,924 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 683,924 (Cost $683,924) ------------- TOTAL INVESTMENTS -- 0.7%........................................................................ 683,924 (Cost $683,924) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 106.3% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 102.7% 2,539 SPDR(R) S&P 500(R) ETF Trust........................... $ 96,573,404 $ 3.39 08/20/21 95,172,530 (Cost $84,284,363) ------------- PUT OPTIONS PURCHASED -- 3.6% 2,539 SPDR(R) S&P 500(R) ETF Trust........................... 96,573,404 339.48 08/20/21 3,311,745 (Cost $8,159,022) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 98,484,275 (Cost $92,443,385) ------------- WRITTEN OPTIONS -- (6.9)% CALL OPTIONS WRITTEN -- (4.8)% (2,539) SPDR(R) S&P 500(R) ETF Trust........................... (96,573,404) 389.42 08/20/21 (4,489,072) (Premiums received $2,003,245) ------------- PUT OPTIONS WRITTEN -- (2.1)% (2,539) SPDR(R) S&P 500(R) ETF Trust........................... (96,573,404) 305.53 08/20/21 (1,979,008) (Premiums received $5,243,943) ------------- TOTAL WRITTEN OPTIONS............................................................................ (6,468,080) (Premiums received $7,247,188) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (57,546) ------------- NET ASSETS -- 100.0%............................................................................. $ 92,642,573 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $14,153,102 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,333,104. The net unrealized appreciation was $6,819,998. The unrealized amounts presented are inclusive of derivative contracts. Page 50 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - AUGUST (FAUG) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 683,924 $ 683,924 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 683,924 683,924 -- -- Call Options Purchased........................... 95,172,530 -- 95,172,530 -- Put Options Purchased............................ 3,311,745 -- 3,311,745 -- ------------- ------------- ------------- ------------- Total............................................ $ 99,168,199 $ 683,924 $ 98,484,275 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (4,489,072) $ -- $ (4,489,072) $ -- Put Options Written.............................. (1,979,008) -- (1,979,008) -- ------------- ------------- ------------- ------------- Total............................................ $ (6,468,080) $ -- $ (6,468,080) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 51 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - AUGUST (DAUG) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.7% <S> <C> <C> 770,213 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 770,213 (Cost $770,213) ------------- TOTAL INVESTMENTS -- 0.7%........................................................................ 770,213 (Cost $770,213) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 108.7% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 105.8% 3,054 SPDR(R) S&P 500(R) ETF Trust........................... $ 116,161,944 $ 3.38 08/20/21 114,479,974 (Cost $101,004,734) ------------- PUT OPTIONS PURCHASED -- 2.9% 3,054 SPDR(R) S&P 500(R) ETF Trust........................... 116,161,944 322.51 08/20/21 3,075,148 (Cost $8,261,921) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 117,555,122 (Cost $109,266,655) ------------- WRITTEN OPTIONS -- (9.3)% CALL OPTIONS WRITTEN -- (8.5)% (3,054) SPDR(R) S&P 500(R) ETF Trust........................... (116,161,944) 368.78 08/20/21 (9,225,347) (Premiums received $4,528,273) ------------- PUT OPTIONS WRITTEN -- (0.8)% (3,054) SPDR(R) S&P 500(R) ETF Trust........................... (116,161,944) 237.64 08/20/21 (855,503) (Premiums received $2,272,147) ------------- TOTAL WRITTEN OPTIONS............................................................................ (10,080,850) (Premiums received $6,800,420) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (70,780) ------------- NET ASSETS -- 100.0%............................................................................. $ 108,173,705 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $14,891,884 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $9,883,847. The net unrealized appreciation was $5,008,037. The unrealized amounts presented are inclusive of derivative contracts. Page 52 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - AUGUST (DAUG) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 770,213 $ 770,213 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 770,213 770,213 -- -- Call Options Purchased........................... 114,479,974 -- 114,479,974 -- Put Options Purchased............................ 3,075,148 -- 3,075,148 -- ------------- ------------- ------------- ------------- Total............................................ $ 118,325,335 $ 770,213 $ 117,555,122 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (9,225,347) $ -- $ (9,225,347) $ -- Put Options Written.............................. (855,503) -- (855,503) -- ------------- ------------- ------------- ------------- Total............................................ $ (10,080,850) $ -- $ (10,080,850) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 53 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - SEPTEMBER (FSEP) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.8% <S> <C> <C> 174,900 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 174,900 (Cost $174,900) ------------- TOTAL INVESTMENTS -- 0.8%........................................................................ 174,900 (Cost $174,900) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 107.5% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 103.9% 585 SPDR(R) S&P 500(R) ETF Trust........................... $ 22,251,060 $ 3.31 09/17/21 21,869,835 (Cost $19,037,582) ------------- PUT OPTIONS PURCHASED -- 3.6% 585 SPDR(R) S&P 500(R) ETF Trust........................... 22,251,060 330.65 09/17/21 763,878 (Cost $1,874,501) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 22,633,713 (Cost $20,912,083) ------------- WRITTEN OPTIONS -- (8.2)% CALL OPTIONS WRITTEN -- (6.0)% (585) SPDR(R) S&P 500(R) ETF Trust........................... (22,251,060) 385.21 09/17/21 (1,266,469) (Premiums received $454,843) ------------- PUT OPTIONS WRITTEN -- (2.2)% (585) SPDR(R) S&P 500(R) ETF Trust........................... (22,251,060) 297.59 09/17/21 (468,026) (Premiums received $1,192,076) ------------- TOTAL WRITTEN OPTIONS............................................................................ (1,734,495) (Premiums received $1,646,919) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (13,812) ------------- NET ASSETS -- 100.0%............................................................................. $ 21,060,306 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,556,303 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,922,249. The net unrealized appreciation was $1,634,054. The unrealized amounts presented are inclusive of derivative contracts. Page 54 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - SEPTEMBER (FSEP) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 174,900 $ 174,900 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 174,900 174,900 -- -- Call Options Purchased........................... 21,869,835 -- 21,869,835 -- Put Options Purchased............................ 763,878 -- 763,878 -- ------------- ------------- ------------- ------------- Total............................................ $ 22,808,613 $ 174,900 $ 22,633,713 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (1,266,469) $ -- $ (1,266,469) $ -- Put Options Written.............................. (468,026) -- (468,026) -- ------------- ------------- ------------- ------------- Total............................................ $ (1,734,495) $ -- $ (1,734,495) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 55 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - SEPTEMBER (DSEP) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.8% <S> <C> <C> 228,018 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 228,018 (Cost $228,018) ------------- TOTAL INVESTMENTS -- 0.8%........................................................................ 228,018 (Cost $228,018) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 110.7% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 107.7% 810 SPDR(R) S&P 500(R) ETF Trust........................... $ 30,809,160 $ 3.30 09/17/21 30,282,119 (Cost $26,220,872) ------------- PUT OPTIONS PURCHASED -- 3.0% 810 SPDR(R) S&P 500(R) ETF Trust........................... 30,809,160 314.12 09/17/21 827,915 (Cost $2,180,785) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 31,110,034 (Cost $28,401,657) ------------- WRITTEN OPTIONS -- (11.4)% CALL OPTIONS WRITTEN -- (10.6)% (810) SPDR(R) S&P 500(R) ETF Trust........................... (30,809,160) 361.24 09/17/21 (2,971,010) (Premiums received $1,250,812) ------------- PUT OPTIONS WRITTEN -- (0.8)% (810) SPDR(R) S&P 500(R) ETF Trust........................... (30,809,160) 231.46 09/17/21 (238,065) (Premiums received $637,034) ------------- TOTAL WRITTEN OPTIONS............................................................................ (3,209,075) (Premiums received $1,887,846) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (18,388) ------------- NET ASSETS -- 100.0%............................................................................. $ 28,110,589 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,460,216 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,073,068. The net unrealized appreciation was $1,387,148. The unrealized amounts presented are inclusive of derivative contracts. Page 56 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - SEPTEMBER (DSEP) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 228,018 $ 228,018 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 228,018 228,018 -- -- Call Options Purchased........................... 30,282,119 -- 30,282,119 -- Put Options Purchased............................ 827,915 -- 827,915 -- ------------- ------------- ------------- ------------- Total............................................ $ 31,338,052 $ 228,018 $ 31,110,034 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (2,971,010) $ -- $ (2,971,010) $ -- Put Options Written.............................. (238,065) -- (238,065) -- ------------- ------------- ------------- ------------- Total............................................ $ (3,209,075) $ -- $ (3,209,075) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 57 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - OCTOBER (FOCT) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.9% <S> <C> <C> 514,480 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 514,480 (Cost $514,480) ------------- TOTAL INVESTMENTS -- 0.9%........................................................................ 514,480 (Cost $514,480) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 106.0% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 101.1% 1,548 SPDR(R) S&P 500(R) ETF Trust........................... $ 58,879,728 $ 3.47 10/15/21 57,820,550 (Cost $52,370,732) ------------- PUT OPTIONS PURCHASED -- 4.9% 1,548 SPDR(R) S&P 500(R) ETF Trust........................... 58,879,728 347.29 10/15/21 2,827,887 (Cost $5,027,857) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 60,648,437 (Cost $57,398,589) ------------- WRITTEN OPTIONS -- (6.8)% CALL OPTIONS WRITTEN -- (3.8)% (1,548) SPDR(R) S&P 500(R) ETF Trust........................... (58,879,728) 403.62 10/15/21 (2,195,268) (Premiums received $910,347) ------------- PUT OPTIONS WRITTEN -- (3.0)% (1,548) SPDR(R) S&P 500(R) ETF Trust........................... (58,879,728) 312.56 10/15/21 (1,728,008) (Premiums received $3,183,801) ------------- TOTAL WRITTEN OPTIONS............................................................................ (3,923,276) (Premiums received $4,094,148) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (37,588) ------------- NET ASSETS -- 100.0%............................................................................. $ 57,202,053 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,905,611 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,484,891. The net unrealized appreciation was $3,420,720. The unrealized amounts presented are inclusive of derivative contracts. Page 58 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - OCTOBER (FOCT) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 514,480 $ 514,480 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 514,480 514,480 -- -- Call Options Purchased........................... 57,820,550 -- 57,820,550 -- Put Options Purchased............................ 2,827,887 -- 2,827,887 -- ------------- ------------- ------------- ------------- Total............................................ $ 61,162,917 $ 514,480 $ 60,648,437 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (2,195,268) $ -- $ (2,195,268) $ -- Put Options Written.............................. (1,728,008) -- (1,728,008) -- ------------- ------------- ------------- ------------- Total............................................ $ (3,923,276) $ -- $ (3,923,276) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 59 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - OCTOBER (DOCT) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.9% <S> <C> <C> 296,982 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 296,982 (Cost $296,982) ------------- TOTAL INVESTMENTS -- 0.9%........................................................................ 296,982 (Cost $296,982) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 107.7% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 103.7% 946 SPDR(R) S&P 500(R) ETF Trust........................... $ 35,982,056 $ 3.46 10/15/21 35,335,726 (Cost $31,479,436) ------------- PUT OPTIONS PURCHASED -- 4.0% 946 SPDR(R) S&P 500(R) ETF Trust........................... 35,982,056 329.93 10/15/21 1,351,190 (Cost $2,675,000) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 36,686,916 (Cost $34,154,436) ------------- WRITTEN OPTIONS -- (8.5)% CALL OPTIONS WRITTEN -- (7.4)% (946) SPDR(R) S&P 500(R) ETF Trust........................... (35,982,056) 379.73 10/15/21 (2,498,948) (Premiums received $1,034,139) ------------- PUT OPTIONS WRITTEN -- (1.1)% (946) SPDR(R) S&P 500(R) ETF Trust........................... 35,982,056) 243.10 10/15/21 (385,653) (Premiums received $737,120) ------------- TOTAL WRITTEN OPTIONS............................................................................ (2,884,601) (Premiums received $1,771,259) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (23,473) ------------- NET ASSETS -- 100.0%............................................................................. $ 34,075,824 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,207,757 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,788,619. The net unrealized appreciation was $1,419,138. The unrealized amounts presented are inclusive of derivative contracts. Page 60 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - OCTOBER (DOCT) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 296,982 $ 296,982 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 296,982 296,982 -- -- Call Options Purchased........................... 35,335,726 -- 35,335,726 -- Put Options Purchased............................ 1,351,190 -- 1,351,190 -- ------------- ------------- ------------- ------------- Total............................................ $ 36,983,898 $ 296,982 $ 36,686,916 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (2,498,948) $ -- $ (2,498,948) $ -- Put Options Written.............................. (385,653) -- (385,653) -- ------------- ------------- ------------- ------------- Total............................................ $ (2,884,601) $ -- $ (2,884,601) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 61 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - NOVEMBER (FNOV) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 1.0% <S> <C> <C> 1,891,235 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 1,891,235 (Cost $1,891,235) ------------- TOTAL INVESTMENTS -- 1.0%........................................................................ 1,891,235 (Cost $1,891,235) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 107.1% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 101.1% 5,280 SPDR(R) S&P 500(R) ETF Trust........................... $ 200,830,080 $ 3.55 11/19/21 197,178,389 (Cost $186,025,374) ------------- PUT OPTIONS PURCHASED -- 6.0% 5,280 SPDR(R) S&P 500(R) ETF Trust........................... 200,830,080 355.33 11/19/21 11,743,554 (Cost $15,392,164) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 208,921,943 (Cost $201,417,538) ------------- WRITTEN OPTIONS -- (8.0)% CALL OPTIONS WRITTEN -- (4.3)% (5,280) SPDR(R) S&P 500(R) ETF Trust........................... (200,830,080) 404.08 11/19/21 (8,386,754) (Premiums received $4,554,453) ------------- PUT OPTIONS WRITTEN -- (3.7)% (5,280) SPDR(R) S&P 500(R) ETF Trust........................... (200,830,080) 319.80 11/19/21 (7,245,445) (Premiums received $9,601,082) ------------- TOTAL WRITTEN OPTIONS............................................................................ (15,632,199) (Premiums received $14,155,535) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (125,614) ------------- NET ASSETS -- 100.0%............................................................................. $ 195,055,365 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $13,508,652 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,480,911. The net unrealized appreciation was $6,027,741. The unrealized amounts presented are inclusive of derivative contracts. Page 62 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - NOVEMBER (FNOV) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 1,891,235 $ 1,891,235 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 1,891,235 1,891,235 -- -- Call Options Purchased........................... 197,178,389 -- 197,178,389 -- Put Options Purchased............................ 11,743,554 -- 11,743,554 -- ------------- ------------- ------------- ------------- Total............................................ $ 210,813,178 $ 1,891,235 $ 208,921,943 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (8,386,754) $ -- $ (8,386,754) $ -- Put Options Written.............................. (7,245,445) -- (7,245,445) -- ------------- ------------- ------------- ------------- Total............................................ $ (15,632,199) $ -- $ (15,632,199) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 63 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - NOVEMBER (DNOV) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 0.9% <S> <C> <C> 898,024 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 898,024 (Cost $898,024) ------------- TOTAL INVESTMENTS -- 0.9%........................................................................ 898,024 (Cost $898,024) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 107.9% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 103.1% 2,630 SPDR(R) S&P 500(R) ETF Trust........................... $ 100,034,680 $ 3.54 11/19/21 98,218,378 (Cost $91,340,808) ------------- PUT OPTIONS PURCHASED -- 4.8% 2,630 SPDR(R) S&P 500(R) ETF Trust........................... 100,034,680 337.56 11/19/21 4,597,756 (Cost $6,483,089) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 102,816,134 (Cost $97,823,897) ------------- WRITTEN OPTIONS -- (8.7)% CALL OPTIONS WRITTEN -- (7.3)% (2,630) SPDR(R) S&P 500(R) ETF Trust........................... (100,034,680) 382.87 11/19/21 (6,992,257) (Premiums received $3,651,379) ------------- PUT OPTIONS WRITTEN -- (1.4)% (2,630) SPDR(R) S&P 500(R) ETF Trust........................... (100,034,680) 248.73 11/19/21 (1,329,052) (Premiums received $1,728,052) ------------- TOTAL WRITTEN OPTIONS............................................................................ (8,321,309) (Premiums received $5,379,431) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (62,303) ------------- NET ASSETS -- 100.0%............................................................................. $ 95,330,546 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $7,276,570 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,226,211. The net unrealized appreciation was $2,050,359. The unrealized amounts presented are inclusive of derivative contracts. Page 64 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - NOVEMBER (DNOV) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 898,024 $ 898,024 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 898,024 898,024 -- -- Call Options Purchased........................... 98,218,378 -- 98,218,378 -- Put Options Purchased............................ 4,597,756 -- 4,597,756 -- ------------- ------------- ------------- ------------- Total............................................ $ 103,714,158 $ 898,024 $ 102,816,134 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (6,992,257) $ -- $ (6,992,257) $ -- Put Options Written.............................. (1,329,052) -- (1,329,052) -- ------------- ------------- ------------- ------------- Total............................................ $ (8,321,309) $ -- $ (8,321,309) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 65 <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - DECEMBER (FDEC) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 1.0% <S> <C> <C> 660,884 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 660,884 (Cost $660,884) ------------- TOTAL INVESTMENTS -- 1.0%........................................................................ 660,884 (Cost $660,884) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 106.6% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 98.9% 1,722 SPDR(R) S&P 500(R) ETF Trust........................... $ 65,497,992 $ 3.69 12/17/21 64,084,480 (Cost $63,095,623) ------------- PUT OPTIONS PURCHASED -- 7.7% 1,722 SPDR(R) S&P 500(R) ETF Trust........................... 65,497,992 369.18 12/17/21 4,941,111 (Cost $5,249,762) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 69,025,591 (Cost $68,345,385) ------------- WRITTEN OPTIONS -- (7.5)% CALL OPTIONS WRITTEN -- (2.8)% (1,722) SPDR(R) S&P 500(R) ETF Trust........................... (65,497,992) 420.87 12/17/21 (1,806,000) (Premiums received $1,494,085) ------------- PUT OPTIONS WRITTEN -- (4.7)% (1,722) SPDR(R) S&P 500(R) ETF Trust........................... (65,497,992) 332.26 12/17/21 (3,038,622) (Premiums received $3,446,145) ------------- TOTAL WRITTEN OPTIONS............................................................................ (4,844,622) (Premiums received $4,940,230) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (41,555) ------------- NET ASSETS -- 100.0%............................................................................. $ 64,800,298 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,396,380 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $620,566. The net unrealized appreciation was $775,814. The unrealized amounts presented are inclusive of derivative contracts. Page 66 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY BUFFER ETF - DECEMBER (FDEC) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 660,884 $ 660,884 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 660,884 660,884 -- -- Call Options Purchased........................... 64,084,480 -- 64,084,480 -- Put Options Purchased............................ 4,941,111 -- 4,941,111 -- ------------- ------------- ------------- ------------- Total............................................ $ 69,686,475 $ 660,884 $ 69,025,591 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (1,806,000) $ -- $ (1,806,000) $ -- Put Options Written.............................. (3,038,622) -- (3,038,622) -- ------------- ------------- ------------- ------------- Total............................................ $ (4,844,622) $ -- $ (4,844,622) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 67 <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - DECEMBER (DDEC) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 1.0% <S> <C> <C> 602,290 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 602,290 (Cost $602,290) ------------- TOTAL INVESTMENTS -- 1.0%........................................................................ 602,290 (Cost $602,290) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 106.0% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 99.9% 1,599 SPDR(R) S&P 500(R) ETF Trust........................... $ 60,819,564 $ 3.68 12/17/21 59,508,615 (Cost $58,432,889) ------------- PUT OPTIONS PURCHASED -- 6.1% 1,599 SPDR(R) S&P 500(R) ETF Trust........................... 60,819,564 350.72 12/17/21 3,603,334 (Cost $3,854,109) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 63,111,949 (Cost $62,286,998) ------------- WRITTEN OPTIONS -- (6.9)% CALL OPTIONS WRITTEN -- (5.2)% (1,599) SPDR(R) S&P 500(R) ETF Trust........................... (60,819,564) 398.71 12/17/21 (3,092,485) (Premiums received $2,513,601) ------------- PUT OPTIONS WRITTEN -- (1.7)% (1,599) SPDR(R) S&P 500(R) ETF Trust........................... (60,819,564) 258.43 12/17/21 (1,020,247) (Premiums received $1,088,440) ------------- TOTAL WRITTEN OPTIONS............................................................................ (4,112,732) (Premiums received $3,602,041) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (44,078) ------------- NET ASSETS -- 100.0%............................................................................. $ 59,557,429 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,143,919 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $829,659. The net unrealized appreciation was $314,260. The unrealized amounts presented are inclusive of derivative contracts. Page 68 See Notes to Financial Statements <PAGE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - DECEMBER (DDEC) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 602,290 $ 602,290 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 602,290 602,290 -- -- Call Options Purchased........................... 59,508,615 -- 59,508,615 -- Put Options Purchased............................ 3,603,334 -- 3,603,334 -- ------------- ------------- ------------- ------------- Total............................................ $ 63,714,239 $ 602,290 $ 63,111,949 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (3,092,485) $ -- $ (3,092,485) $ -- Put Options Written.............................. (1,020,247) -- (1,020,247) -- ------------- ------------- ------------- ------------- Total............................................ $ (4,112,732) $ -- $ (4,112,732) $ -- ============= ============= ============= ============= </TABLE> See Notes to Financial Statements Page 69 <PAGE> FT CBOE VEST FUND OF BUFFER ETFS (BUFR) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------- ------------------------------- ------------- EXCHANGE-TRADED FUNDS -- 99.9% CAPITAL MARKETS -- 99.9% 813,945 FT Cboe Vest U.S. Equity Buffer ETF - February (a) (b) $ 27,120,648 787,099 FT Cboe Vest U.S. Equity Buffer ETF - May (a) (b) 27,388,841 778,395 FT Cboe Vest U.S. Equity Buffer ETF - August (a) (b) 27,251,609 767,931 FT Cboe Vest U.S. Equity Buffer ETF - November (a) (b) 27,299,947 ------------- TOTAL EXCHANGE-TRADED FUNDS -- 99.9% 109,061,045 (Cost $106,507,803) ------------- MONEY MARKET FUNDS -- 0.1% 55,899 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (c) 55,899 (Cost $55,899) ------------- TOTAL INVESTMENTS -- 100.0% 109,116,944 (Cost $106,563,702) (d) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (14,401) ------------- NET ASSETS -- 100.0% $ 109,102,543 ============= ----------------------------- (a) Investment in an affiliated fund. (b) Non-income producing security. (c) Rate shown reflects yield as of February 28, 2021. (d) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,553,242 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $0. The net unrealized appreciation was $2,553,242. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ---------------------------------------- <S> <C> <C> <C> Exchange-Traded Funds* $109,061,045 $ -- $ -- Money Market Funds 55,899 -- -- ---------------------------------------- Total Investments $109,116,944 $ -- $ -- ======================================== </TABLE> * See Portfolio of Investments for industry breakout. Page 70 See Notes to Financial Statements <PAGE> FT CBOE VEST FUND OF DEEP BUFFER ETFS (BUFD) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------- ------------------------------- ------------- EXCHANGE-TRADED FUNDS -- 100.0% CAPITAL MARKETS -- 100.0% 115,349 FT Cboe Vest U.S. Equity Deep Buffer ETF - February (a) (b) $ 3,749,996 114,361 FT Cboe Vest U.S. Equity Deep Buffer ETF - May (a) (b) 3,762,397 112,981 FT Cboe Vest U.S. Equity Deep Buffer ETF - August (a) (b) 3,753,229 112,396 FT Cboe Vest U.S. Equity Deep Buffer ETF - November (a) (b) 3,758,769 ------------- TOTAL EXCHANGE-TRADED FUNDS -- 100.0% 15,024,391 (Cost $15,080,700) ------------- MONEY MARKET FUNDS -- 0.0% 2,357 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (c) 2,357 (Cost $2,357) ------------- TOTAL INVESTMENTS -- 100.0% 15,026,748 (Cost $15,083,057) (d) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (936) ------------- NET ASSETS -- 100.0% $ 15,025,812 ============= ----------------------------- (a) Investment in an affiliated fund. (b) Non-income producing security. (c) Rate shown reflects yield as of February 28, 2021. (d) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $0 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $56,309. The net unrealized depreciation was $56,309. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ---------------------------------------- <S> <C> <C> <C> Exchange-Traded Funds* $15,024,391 $ -- $ -- Money Market Funds 2,357 -- -- ---------------------------------------- Total Investments $15,026,748 $ -- $ -- ======================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 71 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF ASSETS AND LIABILITIES FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - JANUARY JANUARY (FJAN) (DJAN) --------------- --------------- <S> <C> <C> ASSETS: Investments, at value - Unaffiliated................................................. $ 984,229 $ 932,307 Investments, at value - Affiliated................................................... -- -- --------------- --------------- Total investments, at value....................................................... 984,229 932,307 Options contracts purchased, at value................................................ 93,665,360 94,035,139 Cash................................................................................. -- -- Receivables: Investment securities sold........................................................ 3,229,530 -- Capital shares sold............................................................... 602 -- Dividends......................................................................... 20 9 --------------- --------------- Total Assets...................................................................... 97,879,741 94,967,455 --------------- --------------- LIABILITIES: Options contracts written, at value.................................................. 6,918,240 5,952,301 Due to custodian..................................................................... -- -- Payables: Capital shares purchased.......................................................... 3,022,329 -- Investment securities purchased................................................... 238,853 -- Investment advisory fees.......................................................... 52,718 42,211 --------------- --------------- Total Liabilities................................................................. 10,232,140 5,994,512 --------------- --------------- NET ASSETS........................................................................... $ 87,647,601 $ 88,972,943 =============== =============== NET ASSETS CONSIST OF: Paid-in capital...................................................................... $ 88,236,848 $ 89,362,353 Par value............................................................................ 29,000 29,500 Accumulated distributable earnings (loss)............................................ (618,247) (418,910) --------------- --------------- NET ASSETS........................................................................... $ 87,647,601 $ 88,972,943 =============== =============== NET ASSET VALUE, per share........................................................... $ 30.22 $ 30.16 =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................................ 2,900,002 2,950,002 =============== =============== Investments, at cost - Unaffiliated.................................................. $ 984,229 $ 932,307 =============== =============== Investments, at cost - Affiliated.................................................... $ -- $ -- =============== =============== Total Investments, at cost........................................................... $ 984,229 $ 932,307 =============== =============== Premiums paid on options contracts purchased......................................... $ 94,208,901 $ 94,897,811 =============== =============== Premiums received on options contracts written....................................... $ 6,962,315 $ 6,443,279 =============== =============== </TABLE> Page 72 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - FEBRUARY FEBRUARY MAY MAY JUNE JUNE (FFEB) (DFEB) (FMAY) (DMAY) (FJUN) (DJUN) --------------- --------------- --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ 2,269,391 $ 5,441,676 $ 308,660 $ 80,628 $ 287,743 $ 86,356 -- -- -- -- -- -- --------------- --------------- --------------- --------------- --------------- --------------- 2,269,391 5,441,676 308,660 80,628 287,743 86,356 186,644,800 342,989,797 68,205,700 20,054,791 52,147,547 14,832,496 -- -- -- -- -- -- 16,017,740 -- 4,011,691 -- -- 1,853,873 2,938 316 797 -- -- 369 40 88 6 2 8 2 --------------- --------------- --------------- --------------- --------------- --------------- 204,934,909 348,431,877 72,526,854 20,135,421 52,435,298 16,773,096 --------------- --------------- --------------- --------------- --------------- --------------- 14,277,248 18,095,410 9,386,618 3,672,013 4,367,744 1,892,576 -- -- -- -- -- -- 14,945,214 1,624,806 3,475,002 -- -- 1,625,883 1,226,808 -- 552,542 -- -- 236,751 124,745 226,960 37,588 10,157 31,419 10,761 --------------- --------------- --------------- --------------- --------------- --------------- 30,574,015 19,947,176 13,451,750 3,682,170 4,399,163 3,765,971 --------------- --------------- --------------- --------------- --------------- --------------- $ 174,360,894 $ 328,484,701 $ 59,075,104 $ 16,453,251 $ 48,036,135 $ 13,007,125 =============== =============== =============== =============== =============== =============== $ 148,516,746 $ 269,715,278 $ 54,028,380 $ 15,516,534 $ 41,900,365 $ 11,513,054 52,500 101,000 17,000 5,000 14,000 4,000 25,791,648 58,668,423 5,029,724 931,717 6,121,770 1,490,071 --------------- --------------- --------------- --------------- --------------- --------------- $ 174,360,894 $ 328,484,701 $ 59,075,104 $ 16,453,251 $ 48,036,135 $ 13,007,125 =============== =============== =============== =============== =============== =============== $ 33.21 $ 32.52 $ 34.75 $ 32.91 $ 34.31 $ 32.52 =============== =============== =============== =============== =============== =============== 5,250,002 10,100,002 1,700,002 500,002 1,400,002 400,002 =============== =============== =============== =============== =============== =============== $ 2,269,391 $ 5,441,676 $ 308,660 $ 80,628 $ 287,743 $ 86,356 =============== =============== =============== =============== =============== =============== $ -- $ -- $ -- $ -- $ -- $ -- =============== =============== =============== =============== =============== =============== $ 2,269,391 $ 5,441,676 $ 308,660 $ 80,628 $ 287,743 $ 86,356 =============== =============== =============== =============== =============== =============== $ 189,502,620 $ 347,981,400 $ 59,602,372 $ 21,009,766 $ 45,967,271 $ 16,236,724 =============== =============== =============== =============== =============== =============== $ 14,309,566 $ 20,775,256 $ 6,035,875 $ 1,658,873 $ 3,564,235 $ 422,436 =============== =============== =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 73 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - JULY JULY (FJUL) (DJUL) --------------- --------------- <S> <C> <C> ASSETS: Investments, at value - Unaffiliated................................................. $ 183,250 $ 95,914 Investments, at value - Affiliated................................................... -- -- --------------- --------------- Total investments, at value....................................................... 183,250 95,914 Options contracts purchased, at value................................................ 28,801,222 16,122,778 Cash................................................................................. -- -- Receivables: Investment securities sold........................................................ -- -- Capital shares sold............................................................... -- -- Dividends......................................................................... 12 3 --------------- --------------- Total Assets...................................................................... 28,984,484 16,218,695 --------------- --------------- LIABILITIES: Options contracts written, at value.................................................. 2,371,596 1,858,346 Due to custodian..................................................................... -- -- Payables: Capital shares purchased.......................................................... -- -- Investment securities purchased................................................... -- -- Investment advisory fees.......................................................... 19,151 9,824 --------------- --------------- Total Liabilities................................................................. 2,390,747 1,868,170 --------------- --------------- NET ASSETS........................................................................... $ 26,593,737 $ 14,350,525 =============== =============== NET ASSETS CONSIST OF: Paid-in capital...................................................................... $ 23,552,466 $ 13,565,202 Par value............................................................................ 8,000 4,500 Accumulated distributable earnings (loss)............................................ 3,033,271 780,823 --------------- --------------- NET ASSETS........................................................................... $ 26,593,737 $ 14,350,525 =============== =============== NET ASSET VALUE, per share........................................................... $ 33.24 $ 31.89 =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................................ 800,002 450,002 =============== =============== Investments, at cost - Unaffiliated.................................................. $ 183,250 $ 95,914 =============== =============== Investments, at cost - Affiliated.................................................... $ -- $ -- =============== =============== Total Investments, at cost........................................................... $ 183,250 $ 95,914 =============== =============== Premiums paid on options contracts purchased......................................... $ 26,015,563 $ 17,329,150 =============== =============== Premiums received on options contracts written....................................... $ 2,036,608 $ 682,974 =============== =============== </TABLE> Page 74 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - AUGUST AUGUST SEPTEMBER SEPTEMBER OCTOBER OCTOBER (FAUG) (DAUG) (FSEP) (DSEP) (FOCT) (DOCT) --------------- --------------- --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ 683,924 $ 770,213 $ 174,900 $ 228,018 $ 514,480 $ 296,982 -- -- -- -- -- -- --------------- --------------- --------------- --------------- --------------- --------------- 683,924 770,213 174,900 228,018 514,480 296,982 98,484,275 117,555,122 22,633,713 31,110,034 60,648,437 36,686,916 1,653 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 17 25 4 5 12 10 --------------- --------------- --------------- --------------- --------------- --------------- 99,169,869 118,325,360 22,808,617 31,338,057 61,162,929 36,983,908 --------------- --------------- --------------- --------------- --------------- --------------- 6,468,080 10,080,850 1,734,495 3,209,075 3,923,276 2,884,601 -- 87 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 59,216 70,718 13,816 18,393 37,600 23,483 --------------- --------------- --------------- --------------- --------------- --------------- 6,527,296 10,151,655 1,748,311 3,227,468 3,960,876 2,908,084 --------------- --------------- --------------- --------------- --------------- --------------- $ 92,642,573 $ 108,173,705 $ 21,060,306 $ 28,110,589 $ 57,202,053 $ 34,075,824 =============== =============== =============== =============== =============== =============== $ 86,068,366 $ 114,560,949 $ 19,410,871 $ 26,706,197 $ 53,878,678 $ 32,651,943 26,500 32,500 6,500 9,000 18,000 11,000 6,547,707 (6,419,744) 1,642,935 1,395,392 3,305,375 1,412,881 --------------- --------------- --------------- --------------- --------------- --------------- $ 92,642,573 $ 108,173,705 $ 21,060,306 $ 28,110,589 $ 57,202,053 $ 34,075,824 =============== =============== =============== =============== =============== =============== $ 34.96 $ 33.28 $ 32.40 $ 31.23 $ 31.78 $ 30.98 =============== =============== =============== =============== =============== =============== 2,650,002 3,250,002 650,002 900,002 1,800,002 1,100,002 =============== =============== =============== =============== =============== =============== $ 683,924 $ 770,213 $ 174,900 $ 228,018 $ 514,480 $ 296,982 =============== =============== =============== =============== =============== =============== $ -- $ -- $ -- $ -- $ -- $ -- =============== =============== =============== =============== =============== =============== $ 683,924 $ 770,213 $ 174,900 $ 228,018 $ 514,480 $ 296,982 =============== =============== =============== =============== =============== =============== $ 92,443,385 $ 109,266,655 $ 20,912,083 $ 28,401,657 $ 57,398,589 $ 34,154,436 =============== =============== =============== =============== =============== =============== $ 7,247,188 $ 6,800,420 $ 1,646,919 $ 1,887,846 $ 4,094,148 $ 1,771,259 =============== =============== =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 75 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - NOVEMBER NOVEMBER (FNOV) (DNOV) --------------- --------------- <S> <C> <C> ASSETS: Investments, at value - Unaffiliated................................................. $ 1,891,235 $ 898,024 Investments, at value - Affiliated................................................... -- -- --------------- --------------- Total investments, at value....................................................... 1,891,235 898,024 Options contracts purchased, at value................................................ 208,921,943 102,816,134 Cash................................................................................. -- -- Receivables: Investment securities sold........................................................ -- -- Capital shares sold............................................................... -- -- Dividends......................................................................... 43 22 --------------- --------------- Total Assets...................................................................... 210,813,221 103,714,180 --------------- --------------- LIABILITIES: Options contracts written, at value.................................................. 15,632,199 8,321,309 Due to custodian..................................................................... -- -- Payables: Capital shares purchased.......................................................... -- -- Investment securities purchased................................................... -- -- Investment advisory fees.......................................................... 125,657 62,325 --------------- --------------- Total Liabilities................................................................. 15,757,856 8,383,634 --------------- --------------- NET ASSETS........................................................................... $ 195,055,365 $ 95,330,546 =============== =============== NET ASSETS CONSIST OF: Paid-in capital...................................................................... $ 175,195,439 $ 77,148,138 Par value............................................................................ 55,000 28,500 Accumulated distributable earnings (loss)............................................ 19,804,926 18,153,908 --------------- --------------- NET ASSETS........................................................................... $ 195,055,365 $ 95,330,546 =============== =============== NET ASSET VALUE, per share........................................................... $ 35.46 $ 33.45 =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................................ 5,500,002 2,850,002 =============== =============== Investments, at cost - Unaffiliated.................................................. $ 1,891,235 $ 898,024 =============== =============== Investments, at cost - Affiliated.................................................... $ -- $ -- =============== =============== Total Investments, at cost........................................................... $ 1,891,235 $ 898,024 =============== =============== Premiums paid on options contracts purchased......................................... $ 201,417,538 $ 97,823,897 =============== =============== Premiums received on options contracts written....................................... $ 14,155,535 $ 5,379,431 =============== =============== </TABLE> Page 76 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY FT CBOE VEST FT CBOE VEST BUFFER ETF - DEEP BUFFER ETF - FUND OF FUND OF DECEMBER DECEMBER BUFFER ETFS DEEP BUFFER ETFS (FDEC) (DDEC) (BUFR) (BUFD) --------------- --------------- --------------- --------------- <S> <C> <C> <C> $ 660,884 $ 602,290 $ 55,899 $ 2,357 -- -- 109,061,045 15,024,391 --------------- --------------- --------------- --------------- 660,884 602,290 109,116,944 15,026,748 69,025,591 63,111,949 -- -- -- -- -- -- -- -- -- -- -- -- 1,078,116 -- 15 17 -- -- --------------- --------------- --------------- --------------- 69,686,490 63,714,256 110,195,060 15,026,748 --------------- --------------- --------------- --------------- 4,844,622 4,112,732 -- -- -- -- -- -- -- -- -- -- -- -- 1,077,685 -- 41,570 44,095 14,832 936 --------------- --------------- --------------- --------------- 4,886,192 4,156,827 1,092,517 936 --------------- --------------- --------------- --------------- $ 64,800,298 $ 59,557,429 $ 109,102,543 $ 15,025,812 =============== =============== =============== =============== $ 64,079,419 $ 59,179,133 $ 106,389,231 $ 15,075,690 21,000 19,500 50,500 7,500 699,879 358,796 2,662,812 (57,378) --------------- --------------- --------------- --------------- $ 64,800,298 $ 59,557,429 $ 109,102,543 $ 15,025,812 =============== =============== =============== =============== $ 30.86 $ 30.54 $ 21.60 $ 20.03 =============== =============== =============== =============== 2,100,002 1,950,002 5,050,002 750,002 =============== =============== =============== =============== $ 660,884 $ 602,290 $ 55,899 $ 2,357 =============== =============== =============== =============== $ -- $ -- $ 106,507,803 $ 15,080,700 =============== =============== =============== =============== $ 660,884 $ 602,290 $ 106,563,702 $ 15,083,057 =============== =============== =============== =============== $ 68,345,385 $ 62,286,998 $ -- $ -- =============== =============== =============== =============== $ 4,940,230 $ 3,602,041 $ -- $ -- =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 77 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - JANUARY JANUARY (FJAN) (a) (DJAN) (a) --------------- --------------- <S> <C> <C> INVESTMENT INCOME: Dividends............................................................................ $ 26 $ 13 --------------- --------------- Total investment income........................................................... 26 13 --------------- --------------- EXPENSES: Investment advisory fees............................................................. 59,889 47,229 --------------- --------------- Total expenses.................................................................... 59,889 47,229 --------------- --------------- NET INVESTMENT INCOME (LOSS)......................................................... (59,863) (47,216) --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments - Affiliated.......................................................... -- -- In-kind redemptions - Affiliated.................................................. -- -- Purchased options contracts....................................................... (69,848) -- Written options contracts......................................................... 10,930 -- In-kind redemptions - Purchased options contracts................................. -- -- In-kind redemptions - Written options contracts................................... -- -- --------------- --------------- Net realized gain (loss)............................................................. (58,918) -- --------------- --------------- Net change in unrealized appreciation (depreciation) on: Investments - Affiliated.......................................................... -- -- Purchased options contracts....................................................... (543,541) (862,672) Written options contracts......................................................... 44,075 490,978 --------------- --------------- Net change in unrealized appreciation (depreciation)................................. (499,466) (371,694) --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................................. (558,384) (371,694) --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................................... $ (618,247) $ (418,910) =============== =============== </TABLE> (a) Inception date is January 15, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 78 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - FEBRUARY FEBRUARY MAY MAY JUNE JUNE (FFEB) (DFEB) (FMAY) (DMAY) (FJUN) (DJUN) --------------- --------------- --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ 6 $ 770 $ 60 $ 13 $ 59 $ 26 --------------- --------------- --------------- --------------- --------------- --------------- 6 770 60 13 59 26 --------------- --------------- --------------- --------------- --------------- --------------- 931,416 1,940,505 236,454 58,799 218,040 96,266 --------------- --------------- --------------- --------------- --------------- --------------- 931,416 1,940,505 236,454 58,799 218,040 96,266 --------------- --------------- --------------- --------------- --------------- --------------- (931,410) (1,939,735) (236,394) (58,786) (217,981) (96,240) --------------- --------------- --------------- --------------- --------------- --------------- -- -- -- -- -- -- -- -- -- -- -- -- (8,230,551) (5,853,538) 665,926 52,273 277,977 151,687 (8,498,443) (33,373,941) (555,303) (48,296) 91,954 (389,143) 40,703,883 94,571,753 -- 3,759,858 578,331 4,863,256 10,250,943 22,715,735 -- 100,785 79,825 (138,995) --------------- --------------- --------------- --------------- --------------- --------------- 34,225,832 78,060,009 110,623 3,864,620 1,028,087 4,486,805 --------------- --------------- --------------- --------------- --------------- --------------- -- -- -- -- -- -- (17,292,441) (68,413,238) 3,968,902 (2,498,460) 2,201,716 (3,259,315) (1,372,575) 11,910,374 (1,440,396) (969,957) (151,826) (411,413) --------------- --------------- --------------- --------------- --------------- --------------- (18,665,016) (56,502,864) 2,528,506 (3,468,417) 2,049,890 (3,670,728) --------------- --------------- --------------- --------------- --------------- --------------- 15,560,816 21,557,145 2,639,129 396,203 3,077,977 816,077 --------------- --------------- --------------- --------------- --------------- --------------- $ 14,629,406 $ 19,617,410 $ 2,402,735 $ 337,417 $ 2,859,996 $ 719,837 =============== =============== =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 79 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF OPERATIONS (CONTINUED) FOR THE PERIOD ENDED FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - JULY JULY (FJUL) (DJUL) --------------- --------------- <S> <C> <C> INVESTMENT INCOME: Dividends............................................................................ $ 55 $ 21 --------------- --------------- Total investment income........................................................... 55 21 --------------- --------------- EXPENSES: Investment advisory fees............................................................. 148,540 70,195 --------------- --------------- Total expenses.................................................................... 148,540 70,195 --------------- --------------- NET INVESTMENT INCOME (LOSS)......................................................... (148,485) (70,174) --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments - Affiliated.......................................................... -- -- In-kind redemptions - Affiliated.................................................. -- -- Purchased options contracts....................................................... 1,030,640 130,089 Written options contracts......................................................... (282,713) (67,677) In-kind redemptions - Purchased options contracts................................. -- 2,845,660 In-kind redemptions - Written options contracts................................... -- 332,159 --------------- --------------- Net realized gain (loss)............................................................. 747,927 3,240,231 --------------- --------------- Net change in unrealized appreciation (depreciation) on: Investments - Affiliated.......................................................... -- -- Purchased options contracts....................................................... 1,250,044 (1,873,616) Written options contracts......................................................... 273,618 (722,880) --------------- --------------- Net change in unrealized appreciation (depreciation)................................. 1,523,662 (2,596,496) --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................................. 2,271,589 643,735 --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................................... $ 2,123,104 $ 573,561 =============== =============== </TABLE> (b) Inception date is September 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (c) Inception date is October 16, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 80 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - AUGUST AUGUST SEPTEMBER SEPTEMBER OCTOBER OCTOBER (FAUG) (DAUG) (FSEP) (b) (DSEP) (b) (FOCT) (c) (DOCT) (c) --------------- --------------- --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ 135 $ 183 $ 22 $ 36 $ 56 $ 32 --------------- --------------- --------------- --------------- --------------- --------------- 135 183 22 36 56 32 --------------- --------------- --------------- --------------- --------------- --------------- 374,497 562,641 73,820 108,727 157,992 103,485 --------------- --------------- --------------- --------------- --------------- --------------- 374,497 562,641 73,820 108,727 157,992 103,485 --------------- --------------- --------------- --------------- --------------- --------------- (374,362) (562,458) (73,798) (108,691) (157,936) (103,453) --------------- --------------- --------------- --------------- --------------- --------------- -- -- -- -- -- -- -- -- -- -- -- -- 1,018,139 2,525,090 123,443 251,456 72,176 272,375 (11,856) (919,418) (40,764) (134,521) (29,585) (175,179) -- 96,314 -- -- -- -- -- 51,078 -- -- -- -- --------------- --------------- --------------- --------------- --------------- --------------- 1,006,283 1,753,064 82,679 116,935 42,591 97,196 --------------- --------------- --------------- --------------- --------------- --------------- -- -- -- -- -- -- 5,462,794 5,767,053 1,721,630 2,708,377 3,249,848 2,532,480 976,393 (1,806,094) (87,576) (1,321,229) 170,872 (1,113,342) --------------- --------------- --------------- --------------- --------------- --------------- 6,439,187 3,960,959 1,634,054 1,387,148 3,420,720 1,419,138 --------------- --------------- --------------- --------------- --------------- --------------- 7,445,470 5,714,023 1,716,733 1,504,083 3,463,311 1,516,334 --------------- --------------- --------------- --------------- --------------- --------------- $ 7,071,108 $ 5,151,565 $ 1,642,935 $ 1,395,392 $ 3,305,375 $ 1,412,881 =============== =============== =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 81 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF OPERATIONS (CONTINUED) FOR THE PERIOD ENDED FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - NOVEMBER NOVEMBER (FNOV) (DNOV) --------------- --------------- <S> <C> <C> INVESTMENT INCOME: Dividends............................................................................ $ 275 $ 147 --------------- --------------- Total investment income........................................................... 275 147 --------------- --------------- EXPENSES: Investment advisory fees............................................................. 656,624 494,434 --------------- --------------- Total expenses.................................................................... 656,624 494,434 --------------- --------------- NET INVESTMENT INCOME (LOSS)......................................................... (656,349) (494,287) --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments - Affiliated.......................................................... -- -- In-kind redemptions - Affiliated.................................................. -- -- Purchased options contracts....................................................... (5,520,758) (1,162,680) Written options contracts......................................................... (657,830) (5,330,482) In-kind redemptions - Purchased options contracts................................. 19,297,893 23,498,580 In-kind redemptions - Written options contracts................................... 5,207,495 4,473,116 --------------- --------------- Net realized gain (loss)............................................................. 18,326,800 21,478,534 --------------- --------------- Net change in unrealized appreciation (depreciation) on: Investments - Affiliated.......................................................... -- -- Purchased options contracts....................................................... (5,002,790) (16,168,871) Written options contracts......................................................... (1,889,060) (3,852) --------------- --------------- Net change in unrealized appreciation (depreciation)................................. (6,891,850) (16,172,723) --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................................. 11,434,950 5,305,811 --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................................... $ 10,778,601 $ 4,811,524 =============== =============== </TABLE> (d) Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (e) Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 82 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY FT CBOE VEST FT CBOE VEST BUFFER ETF - DEEP BUFFER ETF - FUND OF FUND OF DECEMBER DECEMBER BUFFER ETFS DEEP BUFFER ETFS (FDEC) (d) (DDEC) (d) (BUFR) (BUFD) (e) --------------- --------------- --------------- --------------- <S> <C> <C> <C> $ 38 $ 34 $ 1 $ -- --------------- --------------- --------------- --------------- 38 34 1 -- --------------- --------------- --------------- --------------- 82,541 85,565 48,735 1,056 --------------- --------------- --------------- --------------- 82,541 85,565 48,735 1,056 --------------- --------------- --------------- --------------- (82,503) (85,531) (48,734) (1,056) --------------- --------------- --------------- --------------- -- -- (2,086) (13) -- -- 160,390 -- 63,212 426,568 -- -- (56,644) (296,501) -- -- -- -- -- -- -- -- -- -- --------------- --------------- --------------- --------------- 6,568 130,067 158,304 (13) --------------- --------------- --------------- --------------- -- -- 2,498,467 (56,309) 680,206 824,951 -- -- 95,608 (510,691) -- -- --------------- --------------- --------------- --------------- 775,814 314,260 2,498,467 (56,309) --------------- --------------- --------------- --------------- 782,382 444,327 2,656,771 (56,322) --------------- --------------- --------------- --------------- $ 699,879 $ 358,796 $ 2,608,037 $ (57,378) =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 83 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - JANUARY JANUARY (FJAN) (DJAN) --------------- --------------- PERIOD ENDED PERIOD ENDED 2/28/2021 2/28/2021 (UNAUDITED) (a) (UNAUDITED) (a) --------------- --------------- <S> <C> <C> OPERATIONS: Net investment income (loss)......................................................... $ (59,863) $ (47,216) Net realized gain (loss)............................................................. (58,918) -- Net change in unrealized appreciation (depreciation)................................. (499,466) (371,694) --------------- --------------- Net increase (decrease) in net assets resulting from operations...................... (618,247) (418,910) --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 92,811,510 89,391,853 Cost of shares redeemed.............................................................. (4,545,662) -- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........ 88,265,848 89,391,853 --------------- --------------- Total increase (decrease) in net assets.............................................. 87,647,601 88,972,943 NET ASSETS: Beginning of period.................................................................. -- -- --------------- --------------- End of period........................................................................ $ 87,647,601 $ 88,972,943 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. -- -- Shares sold.......................................................................... 3,050,002 2,950,002 Shares redeemed...................................................................... (150,000) -- --------------- --------------- Shares outstanding, end of period.................................................... 2,900,002 2,950,002 =============== =============== </TABLE> (a) Inception date is January 15, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Inception date is February 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (c) Inception date is May 15, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 84 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF- FEBRUARY FEBRUARY MAY (FFEB) (DFEB) (FMAY) ------------------------------------ ------------------------------------ ------------------------------------ SIX MONTHS ENDED PERIOD SIX MONTHS ENDED PERIOD SIX MONTHS ENDED PERIOD 2/28/2021 ENDED 2/28/2021 ENDED 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (b) (UNAUDITED) 8/31/2020 (b) (UNAUDITED) 8/31/2020 (c) --------------- --------------- --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ (931,410) $ (526,567) $ (1,939,735) $ (1,896,397) $ (236,394) $ (77,759) 34,225,832 (4,157,790) 78,060,009 (13,250,436) 110,623 (25,003) (18,665,016) 15,839,514 (56,502,864) 54,191,107 2,528,506 2,724,079 --------------- --------------- --------------- --------------- --------------- --------------- 14,629,406 11,155,157 19,617,410 39,044,274 2,402,735 2,621,317 --------------- --------------- --------------- --------------- --------------- --------------- 258,336,521 216,560,571 451,790,713 596,427,291 37,106,801 39,122,756 (309,530,450) (16,790,311) (677,199,061) (101,195,926) (18,921,362) (3,257,143) --------------- --------------- --------------- --------------- --------------- --------------- (51,193,929) 199,770,260 (225,408,348) 495,231,365 18,185,439 35,865,613 --------------- --------------- --------------- --------------- --------------- --------------- (36,564,523) 210,925,417 (205,790,938) 534,275,639 20,588,174 38,486,930 210,925,417 -- 534,275,639 -- 38,486,930 -- --------------- --------------- --------------- --------------- --------------- --------------- $ 174,360,894 $ 210,925,417 $ 328,484,701 $ 534,275,639 $ 59,075,104 $ 38,486,930 =============== =============== =============== =============== =============== =============== 6,700,002 -- 17,100,002 -- 1,150,002 -- 7,850,000 7,350,002 14,100,000 20,550,002 1,100,000 1,250,002 (9,300,000) (650,000) (21,100,000) (3,450,000) (550,000) (100,000) --------------- --------------- --------------- --------------- --------------- --------------- 5,250,002 6,700,002 10,100,002 17,100,002 1,700,002 1,150,002 =============== =============== =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 85 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - MAY (DMAY) ------------------------------------ SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (c) --------------- --------------- <S> <C> <C> OPERATIONS: Net investment income (loss)......................................................... $ (58,786) $ (25,922) Net realized gain (loss)............................................................. 3,864,620 116,130 Net change in unrealized appreciation (depreciation)................................. (3,468,417) 500,302 --------------- --------------- Net increase (decrease) in net assets resulting from operations...................... 337,417 590,510 --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 21,296,913 15,326,498 Cost of shares redeemed.............................................................. (16,435,670) (4,662,417) --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........ 4,861,243 10,664,081 --------------- --------------- Total increase (decrease) in net assets.............................................. 5,198,660 11,254,591 NET ASSETS: Beginning of period.................................................................. 11,254,591 -- --------------- --------------- End of period........................................................................ $ 16,453,251 $ 11,254,591 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. 350,002 -- Shares sold.......................................................................... 650,000 500,002 Shares redeemed...................................................................... (500,000) (150,000) --------------- --------------- Shares outstanding, end of period.................................................... 500,002 350,002 =============== =============== </TABLE> (c) Inception date is May 15, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (d) Inception date is June 19, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (e) Inception date is July 17, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 86 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF- JUNE JUNE JULY (FJUN) (DJUN) (FJUL) ------------------------------------ ------------------------------------ ------------------------------------ SIX MONTHS ENDED PERIOD SIX MONTHS ENDED PERIOD SIX MONTHS ENDED PERIOD 2/28/2021 ENDED 2/28/2021 ENDED 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (d) (UNAUDITED) 8/31/2020 (d) (UNAUDITED) 8/31/2020 (e) --------------- --------------- --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ (217,981) $ (68,187) $ (96,240) $ (27,075) $ (148,485) $ (19,771) 1,028,087 -- 4,486,805 -- 747,927 -- 2,049,890 3,326,877 (3,670,728) 796,360 1,523,662 927,009 --------------- --------------- --------------- --------------- --------------- --------------- 2,859,996 3,258,690 719,837 769,285 2,123,104 907,238 --------------- --------------- --------------- --------------- --------------- --------------- 8,109,698 45,586,017 21,078,750 19,781,395 17,334,270 32,287,201 (11,778,266) -- (29,342,142) -- (26,058,076) -- --------------- --------------- --------------- --------------- --------------- --------------- (3,668,568) 45,586,017 (8,263,392) 19,781,395 (8,723,806) 32,287,201 --------------- --------------- --------------- --------------- --------------- --------------- (808,572) 48,844,707 (7,543,555) 20,550,680 (6,600,702) 33,194,439 48,844,707 -- 20,550,680 -- 33,194,439 -- --------------- --------------- --------------- --------------- --------------- --------------- $ 48,036,135 $ 48,844,707 $ 13,007,125 $ 20,550,680 $ 26,593,737 $ 33,194,439 =============== =============== =============== =============== =============== =============== 1,500,002 -- 650,002 -- 1,050,002 -- 250,000 1,500,002 650,000 650,002 550,000 1,050,002 (350,000) -- (900,000) -- (800,000) -- --------------- --------------- --------------- --------------- --------------- --------------- 1,400,002 1,500,002 400,002 650,002 800,002 1,050,002 =============== =============== =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 87 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JULY (DJUL) ------------------------------------ SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (e) --------------- --------------- <S> <C> <C> OPERATIONS: Net investment income (loss)......................................................... $ (70,174) $ (8,896) Net realized gain (loss)............................................................. 3,240,231 -- Net change in unrealized appreciation (depreciation)................................. (2,596,496) 214,752 --------------- --------------- Net increase (decrease) in net assets resulting from operations...................... 573,561 205,856 --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 22,046,706 12,178,388 Cost of shares redeemed.............................................................. (20,653,986) -- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........ 1,392,720 12,178,388 --------------- --------------- Total increase (decrease) in net assets.............................................. 1,966,281 12,384,244 NET ASSETS: Beginning of period.................................................................. 12,384,244 -- --------------- --------------- End of period........................................................................ $ 14,350,525 $ 12,384,244 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. 400,002 -- Shares sold.......................................................................... 700,000 400,002 Shares redeemed...................................................................... (650,000) -- --------------- --------------- Shares outstanding, end of period.................................................... 450,002 400,002 =============== =============== </TABLE> (e) Inception date is July 17, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (f) Inception date is November 6, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (g) Inception date is September 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 88 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - AUGUST AUGUST SEPTEMBER SEPTEMBER (FAUG) (DAUG) (FSEP) (DSEP) ------------------------------------ ------------------------------------ --------------- --------------- SIX MONTHS ENDED PERIOD SIX MONTHS ENDED PERIOD PERIOD ENDED PERIOD ENDED 2/28/2021 ENDED 2/28/2021 ENDED 2/28/2021 2/28/2021 (UNAUDITED) 8/31/2020 (f) (UNAUDITED) 8/31/2020 (f) (UNAUDITED) (g) (UNAUDITED) (g) --------------- --------------- --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ (374,362) $ (93,207) $ (562,458) $ (806,973) $ (73,798) $ (108,691) 1,006,283 2,863,477 1,753,064 31,520,418 82,679 116,935 6,439,187 380,811 3,960,959 1,047,078 1,634,054 1,387,148 --------------- --------------- --------------- --------------- --------------- --------------- 7,071,108 3,151,081 5,151,565 31,760,523 1,642,935 1,395,392 --------------- --------------- --------------- --------------- --------------- --------------- 83,738,578 72,344,580 38,214,430 390,554,446 22,657,747 34,349,327 (34,413,591) (39,249,183) (68,623,781) (288,883,478) (3,240,376) (7,634,130) --------------- --------------- --------------- --------------- --------------- --------------- 49,324,987 33,095,397 (30,409,351) 101,670,968 19,417,371 26,715,197 --------------- --------------- --------------- --------------- --------------- --------------- 56,396,095 36,246,478 (25,257,786) 133,431,491 21,060,306 28,110,589 36,246,478 -- 133,431,491 -- -- -- --------------- --------------- --------------- --------------- --------------- --------------- $ 92,642,573 $ 36,246,478 $ 108,173,705 $ 133,431,491 $ 21,060,306 $ 28,110,589 =============== =============== =============== =============== =============== =============== 1,100,002 -- 4,150,002 -- -- -- 2,550,000 2,350,002 1,200,000 13,350,002 750,002 1,150,002 (1,000,000) (1,250,000) (2,100,000) (9,200,000) (100,000) (250,000) --------------- --------------- --------------- --------------- --------------- --------------- 2,650,002 1,100,002 3,250,002 4,150,002 650,002 900,002 =============== =============== =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 89 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - OCTOBER OCTOBER (FOCT) (DOCT) --------------- --------------- PERIOD ENDED PERIOD ENDED 2/28/2021 2/28/2021 (UNAUDITED) (h) (UNAUDITED) (h) --------------- --------------- <S> <C> <C> OPERATIONS: Net investment income (loss)......................................................... $ (157,936) $ (103,453) Net realized gain (loss)............................................................. 42,591 97,196 Net change in unrealized appreciation (depreciation)................................. 3,420,720 1,419,138 --------------- --------------- Net increase (decrease) in net assets resulting from operations...................... 3,305,375 1,412,881 --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 58,635,462 37,332,134 Cost of shares redeemed.............................................................. (4,738,784) (4,669,191) --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........ 53,896,678 32,662,943 --------------- --------------- Total increase (decrease) in net assets.............................................. 57,202,053 34,075,824 NET ASSETS: Beginning of period.................................................................. -- -- --------------- --------------- End of period........................................................................ $ 57,202,053 $ 34,075,824 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. -- -- Shares sold.......................................................................... 1,950,002 1,250,002 Shares redeemed...................................................................... (150,000) (150,000) --------------- --------------- Shares outstanding, end of period.................................................... 1,800,002 1,100,002 =============== =============== </TABLE> (h) Inception date is October 16, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (i) Inception date is November 15, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (j) Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 90 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST FT CBOE VEST FT CBOE VEST U.S. EQUITY U.S. EQUITY U.S. EQUITY U.S. EQUITY BUFFER ETF - DEEP BUFFER ETF - BUFFER ETF - DEEP BUFFER ETF - NOVEMBER NOVEMBER DECEMBER DECEMBER (FNOV) (DNOV) (FDEC) (DDEC) ------------------------------------ ------------------------------------ --------------- --------------- SIX MONTHS ENDED PERIOD SIX MONTHS ENDED PERIOD PERIOD ENDED PERIOD ENDED 2/28/2021 ENDED 2/28/2021 ENDED 2/28/2021 2/28/2021 (UNAUDITED) 8/31/2020 (i) (UNAUDITED) 8/31/2020 (i) (UNAUDITED) (j) (UNAUDITED) (j) --------------- --------------- --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ (656,349) $ (438,557) $ (494,287) $ (475,040) $ (82,503) $ (85,531) 18,326,800 (3,456,276) 21,478,534 (4,406,583) 6,568 130,067 (6,891,850) 12,919,591 (16,172,723) 18,223,082 775,814 314,260 --------------- --------------- --------------- --------------- --------------- --------------- 10,778,601 9,024,758 4,811,524 13,341,459 699,879 358,796 --------------- --------------- --------------- --------------- --------------- --------------- 247,693,916 138,591,713 93,517,868 154,588,117 79,592,659 85,360,980 (201,550,106) (9,483,517) (149,011,291) (21,917,131) (15,492,240) (26,162,347) --------------- --------------- --------------- --------------- --------------- --------------- 46,143,810 129,108,196 (55,493,423) 132,670,986 64,100,419 59,198,633 --------------- --------------- --------------- --------------- --------------- --------------- 56,922,411 138,132,954 (50,681,899) 146,012,445 64,800,298 59,557,429 138,132,954 -- 146,012,445 -- -- -- --------------- --------------- --------------- --------------- --------------- --------------- $ 195,055,365 $ 138,132,954 $ 95,330,546 $ 146,012,445 $ 64,800,298 $ 59,557,429 =============== =============== =============== =============== =============== =============== 4,200,002 -- 4,550,002 -- -- -- 7,250,000 4,550,002 2,900,000 5,300,002 2,600,002 2,800,002 (5,950,000) (350,000) (4,600,000) (750,000) (500,000) (850,000) --------------- --------------- --------------- --------------- --------------- --------------- 5,500,002 4,200,002 2,850,002 4,550,002 2,100,002 1,950,002 =============== =============== =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 91 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST FUND OF FUND OF BUFFER ETFS DEEP BUFFER ETFS (BUFR) (BUFD) ------------------------------------ --------------- SIX MONTHS ENDED PERIOD PERIOD ENDED 2/28/2021 ENDED 2/28/2021 (UNAUDITED) 8/31/2020 (k) (UNAUDITED) (l) --------------- --------------- --------------- <S> <C> <C> <C> OPERATIONS: Net investment income (loss)...................................... $ (48,734) $ (398) $ (1,056) Net realized gain (loss).......................................... 158,304 -- (13) Net change in unrealized appreciation (depreciation).............. 2,498,467 54,775 (56,309) --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations... 2,608,037 54,377 (57,378) --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold......................................... 102,516,332 6,069,512 15,083,190 Cost of shares redeemed........................................... (2,145,715) -- -- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions................................................... 100,370,617 6,069,512 15,083,190 --------------- --------------- --------------- Total increase (decrease) in net assets........................... 102,978,654 6,123,889 15,025,812 NET ASSETS: Beginning of period............................................... 6,123,889 -- -- --------------- --------------- --------------- End of period..................................................... $ 109,102,543 $ 6,123,889 $ 15,025,812 =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period........................... 300,002 -- -- Shares sold....................................................... 4,850,000 300,002 750,002 Shares redeemed................................................... (100,000) -- -- --------------- --------------- --------------- Shares outstanding, end of period................................. 5,050,002 300,002 750,002 =============== =============== =============== </TABLE> (k) Inception date is August 10, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (l) Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 92 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - JANUARY (FJAN) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 30.06 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.02) Net realized and unrealized gain (loss)........................ 0.18 ----------- Total from investment operations............................... 0.16 ----------- Net asset value, end of period................................. $ 30.22 =========== TOTAL RETURN (b)............................................... 0.53% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 87,648 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) Ratio of net investment income (loss) to average net assets.... (0.85)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JANUARY (DJAN) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 30.06 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.02) Net realized and unrealized gain (loss)........................ 0.12 ----------- Total from investment operations............................... 0.10 ----------- Net asset value, end of period................................. $ 30.16 =========== TOTAL RETURN (b)............................................... 0.33% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 88,973 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) Ratio of net investment income (loss) to average net assets.... (0.85)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> (a) Inception date is January 15, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. See Notes to Financial Statements Page 93 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - FEBRUARY (FFEB) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 31.48 $ 30.68 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.20) (0.08) Net realized and unrealized gain (loss)........................ 1.93 0.88 ----------- ----------- Total from investment operations............................... 1.73 0.80 ----------- ----------- Net asset value, end of period................................. $ 33.21 $ 31.48 =========== =========== TOTAL RETURN (b)............................................... 5.50% 2.61% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 174,361 $ 210,925 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - FEBRUARY (DFEB) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 31.24 $ 30.68 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.27) (0.11) Net realized and unrealized gain (loss)........................ 1.55 0.67 ----------- ----------- Total from investment operations............................... 1.28 0.56 ----------- ----------- Net asset value, end of period................................. $ 32.52 $ 31.24 =========== =========== TOTAL RETURN (b)............................................... 4.10% 1.83% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 328,485 $ 534,276 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> (a) Inception date is February 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. Page 94 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - MAY (FMAY) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 33.47 $ 30.34 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.12) (0.07) Net realized and unrealized gain (loss)........................ 1.40 3.20 ----------- ----------- Total from investment operations............................... 1.28 3.13 ----------- ----------- Net asset value, end of period................................. $ 34.75 $ 33.47 =========== =========== TOTAL RETURN (b)............................................... 3.82% 10.32% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 59,075 $ 38,487 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - MAY (DMAY) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 32.16 $ 30.35 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.10) (0.07) Net realized and unrealized gain (loss)........................ 0.85 1.88 ----------- ----------- Total from investment operations............................... 0.75 1.81 ----------- ----------- Net asset value, end of period................................. $ 32.91 $ 32.16 =========== =========== TOTAL RETURN (b)............................................... 2.33% 5.96% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 16,453 $ 11,255 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> (a) Inception date is May 15, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. See Notes to Financial Statements Page 95 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - JUNE (FJUN) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 32.56 $ 30.25 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.16) (0.05) Net realized and unrealized gain (loss)........................ 1.91 2.36 ----------- ----------- Total from investment operations............................... 1.75 2.31 ----------- ----------- Net asset value, end of period................................. $ 34.31 $ 32.56 =========== =========== TOTAL RETURN (b)............................................... 5.37% 7.64% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 48,036 $ 48,845 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JUNE (DJUN) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 31.62 $ 30.25 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.27) (0.04) Net realized and unrealized gain (loss)........................ 1.17 1.41 ----------- ----------- Total from investment operations............................... 0.90 1.37 ----------- ----------- Net asset value, end of period................................. $ 32.52 $ 31.62 =========== =========== TOTAL RETURN (b)............................................... 2.85% 4.53% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 13,007 $ 20,551 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> (a) Inception date is June 19, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. Page 96 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - JULY (FJUL) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 31.61 $ 30.24 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.19) (0.02) Net realized and unrealized gain (loss)........................ 1.82 1.39 ----------- ----------- Total from investment operations............................... 1.63 1.37 ----------- ----------- Net asset value, end of period................................. $ 33.24 $ 31.61 =========== =========== TOTAL RETURN (b)............................................... 5.16% 4.53% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 26,594 $ 33,194 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JULY (DJUL) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 30.96 $ 30.24 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.15) (0.02) Net realized and unrealized gain (loss)........................ 1.08 0.74 ----------- ----------- Total from investment operations............................... 0.93 0.72 ----------- ----------- Net asset value, end of period................................. $ 31.89 $ 30.96 =========== =========== TOTAL RETURN (b)............................................... 3.00% 2.38% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 14,351 $ 12,384 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> (a) Inception date is July 17, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. See Notes to Financial Statements Page 97 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - AUGUST (FAUG) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 32.95 $ 30.10 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.10) (0.08) Net realized and unrealized gain (loss)........................ 2.11 2.93 ----------- ----------- Total from investment operations............................... 2.01 2.85 ----------- ----------- Net asset value, end of period................................. $ 34.96 $ 32.95 =========== =========== TOTAL RETURN (b)............................................... 6.10% 9.47% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 92,643 $ 36,246 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.83)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - AUGUST (DAUG) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 32.15 $ 30.10 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.23) (0.19) Net realized and unrealized gain (loss)........................ 1.36 2.24 ----------- ----------- Total from investment operations............................... 1.13 2.05 ----------- ----------- Net asset value, end of period................................. $ 33.28 $ 32.15 =========== =========== TOTAL RETURN (b)............................................... 3.51% 6.81% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 108,174 $ 133,431 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets .... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> (a) Inception date is November 6, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. Page 98 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - SEPTEMBER (FSEP) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 29.76 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.11) Net realized and unrealized gain (loss)........................ 2.75 ----------- Total from investment operations............................... 2.64 ----------- Net asset value, end of period................................. $ 32.40 =========== TOTAL RETURN (b)............................................... 8.87% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 21,060 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) Ratio of net investment income (loss) to average net assets.... (0.85)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - SEPTEMBER (DSEP) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 29.76 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.12) Net realized and unrealized gain (loss)........................ 1.59 ----------- Total from investment operations............................... 1.47 ----------- Net asset value, end of period................................. $ 31.23 =========== TOTAL RETURN (b)............................................... 4.94% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 28,111 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) Ratio of net investment income (loss) to average net assets.... (0.85)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> (a) Inception date is September 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. See Notes to Financial Statements Page 99 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - OCTOBER (FOCT) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 29.87 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.09) Net realized and unrealized gain (loss)........................ 2.00 ----------- Total from investment operations............................... 1.91 ----------- Net asset value, end of period................................. $ 31.78 =========== TOTAL RETURN (b)............................................... 6.39% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 57,202 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) Ratio of net investment income (loss) to average net assets.... (0.85)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - OCTOBER (DOCT) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 29.87 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.09) Net realized and unrealized gain (loss)........................ 1.20 ----------- Total from investment operations............................... 1.11 ----------- Net asset value, end of period................................. $ 30.98 =========== TOTAL RETURN (b)............................................... 3.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 34,076 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) Ratio of net investment income (loss) to average net assets.... (0.85)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> (a) Inception date is October 16, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. Page 100 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - NOVEMBER (FNOV) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 32.89 $ 30.56 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.09) (0.10) Net realized and unrealized gain (loss)........................ 2.66 2.43 ----------- ----------- Total from investment operations............................... 2.57 2.33 ----------- ----------- Net asset value, end of period................................. $ 35.46 $ 32.89 =========== =========== TOTAL RETURN (b)............................................... 7.81% 7.62% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 195,055 $ 138,133 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - NOVEMBER (DNOV) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 32.09 $ 30.55 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.24) (0.10) Net realized and unrealized gain (loss)........................ 1.60 1.64 ----------- ----------- Total from investment operations............................... 1.36 1.54 ----------- ----------- Net asset value, end of period................................. $ 33.45 $ 32.09 =========== =========== TOTAL RETURN (b)............................................... 4.24% 5.04% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 95,331 $ 146,012 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) 0.85% (c) Ratio of net investment income (loss) to average net assets ... (0.85)% (c) (0.85)% (c) Portfolio turnover rate (d).................................... 0% 0% </TABLE> (a) Inception date is November 15, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. See Notes to Financial Statements Page 101 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD FT CBOE VEST U.S. EQUITY BUFFER ETF - DECEMBER (FDEC) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 30.27 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.04) Net realized and unrealized gain (loss)........................ 0.63 ----------- Total from investment operations............................... 0.59 ----------- Net asset value, end of period................................. $ 30.86 =========== TOTAL RETURN (b)............................................... 1.95% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 64,800 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) Ratio of net investment income (loss) to average net assets.... (0.85)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - DECEMBER (DDEC) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 30.27 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.04) Net realized and unrealized gain (loss)........................ 0.31 ----------- Total from investment operations............................... 0.27 ----------- Net asset value, end of period................................. $ 30.54 =========== TOTAL RETURN (b)............................................... 0.89% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 59,557 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (c) Ratio of net investment income (loss) to average net assets.... (0.85)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> (a) Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. Page 102 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FT CBOE VEST FUND OF BUFFER ETFS (BUFR) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 20.41 $ 20.05 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.01) -- Net realized and unrealized gain (loss)........................ 1.20 0.36 ----------- ----------- Total from investment operations............................... 1.19 0.36 ----------- ----------- Net asset value, end of period................................. $ 21.60 $ 20.41 =========== =========== TOTAL RETURN (b)............................................... 5.83% 1.80% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 109,103 $ 6,124 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (c).............. 0.20% (d) 0.20% (d) Ratio of net investment income (loss) to average net assets ... (0.20)% (d) (0.20)% (d) Portfolio turnover rate (e).................................... 1% 0% </TABLE> (a) Inception date is August 10, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. The ratio does not include these indirect fees and expenses. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 103 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD FT CBOE VEST FUND OF DEEP BUFFER ETFS (BUFD) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 20.07 ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.00) (f) Net realized and unrealized gain (loss)........................ (0.04) ----------- Total from investment operations............................... (0.04) ----------- Net asset value, end of period................................. $ 20.03 =========== TOTAL RETURN (b)............................................... (0.20)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 15,026 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (c).............. 0.20% (d) Ratio of net investment income (loss) to average net assets.... (0.20)% (d) Portfolio turnover rate (e).................................... 0% </TABLE> (a) Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount is less than $0.01. Page 104 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on February 22, 2016, 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 thirty-seven funds that are offering shares. This report covers the twenty-two funds (each a "Fund" and collectively, "the Funds") listed below. The shares of each Fund are listed and traded on the Cboe BZX Exchange, Inc. ("Cboe BZX"). FT Cboe Vest U.S. Equity Buffer ETF - January - (Cboe BZX ticker "FJAN")(1) FT Cboe Vest U.S. Equity Deep Buffer ETF - January - (Cboe BZX ticker "DJAN")(1) FT Cboe Vest U.S. Equity Buffer ETF - February - (Cboe BZX ticker "FFEB") FT Cboe Vest U.S. Equity Deep Buffer ETF - February - (Cboe BZX ticker "DFEB") FT Cboe Vest U.S. Equity Buffer ETF - May - (Cboe BZX ticker "FMAY") FT Cboe Vest U.S. Equity Deep Buffer ETF - May - (Cboe BZX ticker "DMAY") FT Cboe Vest U.S. Equity Buffer ETF - June - (Cboe BZX ticker "FJUN") FT Cboe Vest U.S. Equity Deep Buffer ETF - June - (Cboe BZX ticker "DJUN") FT Cboe Vest U.S. Equity Buffer ETF - July - (Cboe BZX ticker "FJUL") FT Cboe Vest U.S. Equity Deep Buffer ETF - July - (Cboe BZX ticker "DJUL") FT Cboe Vest U.S. Equity Buffer ETF - August - (Cboe BZX ticker "FAUG") FT Cboe Vest U.S. Equity Deep Buffer ETF - August - (Cboe BZX ticker "DAUG") FT Cboe Vest U.S. Equity Buffer ETF - September - (Cboe BZX ticker "FSEP")(2) FT Cboe Vest U.S. Equity Deep Buffer ETF - September - (Cboe BZX ticker "DSEP")(2) FT Cboe Vest U.S. Equity Buffer ETF - October - (Cboe BZX ticker "FOCT")(3) FT Cboe Vest U.S. Equity Deep Buffer ETF - October - (Cboe BZX ticker "DOCT")(3) FT Cboe Vest U.S. Equity Buffer ETF - November - (Cboe BZX ticker "FNOV") FT Cboe Vest U.S. Equity Deep Buffer ETF - November - (Cboe BZX ticker "DNOV") FT Cboe Vest U.S. Equity Buffer ETF - December - (Cboe BZX ticker "FDEC")(4) FT Cboe Vest U.S. Equity Deep Buffer ETF - December - (Cboe BZX ticker "DDEC")(4) FT Cboe Vest Fund of Buffer ETFs - (Cboe BZX ticker "BUFR") FT Cboe Vest Fund of Deep Buffer ETFs - (Cboe BZX ticker "BUFD")(5) (1) Commenced investment operations on January 15, 2021. (2) Commenced investment operations on September 18, 2020. (3) Commenced investment operations on October 16, 2020. (4) Commenced investment operations on December 18, 2020. (5) Commenced investment operations on January 20, 2021. Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." Each Fund is an actively managed exchange-traded fund. The investment objective of FJAN is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust (the "Underlying ETF"), up to a predetermined upside cap of 14.50% (before fees, expenses and taxes) and 13.64% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from January 19, 2021 to January 21, 2022. The investment objective of DJAN is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 8.20% (before fees, expenses and taxes) and 7.34% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from January 19, 2021 to January 21, 2022. The investment objective of FFEB is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 15.85% (before fees, expenses and taxes) and 15.00% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from February 22, 2021 to February 18, 2022. Prior to February 22, 2021, the Fund's investment objective included an upside cap of 10.75% (before fees, expenses and taxes) and Page 105 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 9.90% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and an Outcome Period of February 24, 2020 to February 19, 2021. The investment objective of DFEB is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 8.85% (before fees, expenses and taxes) and 8.00% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from February 22, 2021 to February 18, 2022. Prior to February 22, 2021, the Fund's investment objective included an upside cap of 7.50% (before fees, expenses and taxes) and 6.65% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and an Outcome Period of February 24, 2020 to February 19, 2021. The investment objective of FMAY is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 17.07% (before fees, expenses and taxes) and 16.21% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from May 18, 2020 to May 21, 2021. The investment objective of DMAY is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 9.95% (before fees, expenses and taxes) and 9.09% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from May 18, 2020 to May 21, 2021. The investment objective of FJUN is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 17.72% (before fees, expenses and taxes) and 16.87% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from June 22, 2020 to June 18, 2021. The investment objective of DJUN is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 10.28% (before fees, expenses and taxes) and 9.43% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from June 22, 2020 to June 18, 2021. The investment objective of FJUL is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 14.95% (before fees, expenses and taxes) and 14.10% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from July 20, 2020 to July 16, 2021. The investment objective of DJUL is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 8.40% (before fees, expenses and taxes) and 7.55% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from July 20, 2020 to July 16, 2021. The investment objective of FAUG is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 14.71% (before fees, expenses and taxes) and 13.86% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from August 24, 2020 to August 20, 2021. Prior to August 24, 2020, the Fund's investment objective included an upside cap of 8.60% (before fees, expenses and taxes) and 7.93% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not including the Fund's management fee) and an Outcome Period of November 7, 2019 to August 21, 2020. The investment objective of DAUG is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 8.63% (before fees, expenses and taxes) and 7.78% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management Page 106 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from August 24, 2020 to August 20, 2021. Prior to August 24, 2020, the Fund's investment objective included an upside cap of 6.58% (before fees, expenses and taxes) and 5.91% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not including the Fund's management fee) and an Outcome Period of November 7, 2019 to August 21, 2020. The investment objective of FSEP is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 16.50% (before fees, expenses and taxes) and 15.65% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from September 21, 2020 to September 17, 2021. The investment objective of DSEP is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 9.25% (before fees, expenses and taxes) and 8.40% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from September 21, 2020 to September 17, 2021. The investment objective of FOCT is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 16.22% (before fees, expenses and taxes) and 15.37% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from October 19, 2020 to October 15, 2021. The investment objective of DOCT is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 9.34% (before fees, expenses and taxes) and 8.49% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from October 19, 2020 to October 15, 2021. The investment objective of FNOV is to seek to provide investors with returns (before fees, expenses and taxes) that match the price of the Underlying ETF, up to a predetermined upside cap of 13.72% (before fees, expenses and taxes) and 12.87% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from November 23, 2020 to November 19, 2021. Prior to November 23, 2020, the Fund's investment objective included an upside cap of 12.36% (before fees, expenses and taxes) and 11.50% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and an Outcome Period of November 18, 2019 to November 20, 2020. The investment objective of DNOV is to seek to provide investors with returns (before fees, expenses and taxes) that match the price of the Underlying ETF, up to a predetermined upside cap of 7.75% (before fees, expenses and taxes) and 6.90% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from November 23, 2020 to November 19, 2021. Prior to November 23, 2020, the Fund's investment objective included an upside cap of 8.12% (before fees, expenses and taxes) and 7.26% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and an Outcome Period of November 18, 2019 to November 20, 2020. The investment objective of FDEC is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 14.00% (before fees, expenses and taxes) and 13.15% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from December 21, 2020 to December 17, 2021. The investment objective of DDEC is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Underlying ETF, up to a predetermined upside cap of 8.00% (before fees, expenses and taxes) and 7.15% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -30% (before fees, expenses and taxes) over the period from December 21, 2020 to December 17, 2021. Page 107 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Under normal market conditions, each Fund, except BUFR and BUFD, will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. The investment objective of BUFR is to seek to provide investors with capital appreciation. BUFR seeks to achieve its investment objective by providing investors with US large cap equity market exposure while limiting downside risk through a laddered portfolio of four FT Cboe Vest U.S. Equity Buffer ETFs ("FT ETFs"). Under normal market conditions, BUFR will invest substantially all of its assets in the FT ETFs, which seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) S&P 500(R) ETF Trust ("SPY"), up to a predetermined upside cap, while providing a buffer against the first 10% (before fees, expenses and taxes) of SPY losses, over a defined one-year period. The buffer is only provided by the FT ETFs. BUFR itself does not provide any buffer against losses. BUFR simply seeks to provide diversified exposure to all the FT ETFs in a single investment. In order to understand BUFR's strategy and risks, it is important to understand the strategies and risks of the FT ETFs. The investment objective of BUFD is to seek to provide investors with capital appreciation. BUFD seeks to achieve its investment objective by providing investors with US large cap equity market exposure while limiting downside risk through a laddered portfolio of four FT Cboe Vest U.S. Equity Deep Buffer ETFs ("FT DB ETFs"). Under normal market conditions, BUFD will invest substantially all of its assets in the FT DB ETFs, which seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPY, up to a predetermined upside cap, while providing a deep buffer against losses between -5% and -30% (before fees, expenses and taxes) of SPY, over a defined one-year period. The buffer is only provided by the FT DB ETFs. BUFD itself does not provide any buffer against losses. BUFD simply seeks to provide diversified exposure to all the FT DB ETFs in a single investment. In order to understand BUFD's strategy and risks, it is important to understand the strategies and risks of the FT DB ETFs. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow 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 Funds 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 Each 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. Each 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. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Exchange-traded options contracts (other than FLEX Option 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. Over-the-counter 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. FLEX Option contracts are normally valued using a model-based price provided by a third-party pricing vendor. On days when a trade in a FLEX Option contract occurs, the trade price will be used to value such FLEX Option contracts in lieu of the model price. Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Page 108 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. The Funds are 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 each Fund's investments as of February 28, 2021, is included with each 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. C. FLEX OPTIONS FLEX Options are customized equity or index option contracts that trade on an exchange, but provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. FLEX Options are guaranteed for settlement by the Options Clearing Corporation. Each Fund, with the exception of BUFR and BUFD, purchases and sells call and put FLEX Options based on the performance of the Underlying ETF. The FLEX Options that each Fund holds that reference the Underlying ETF will give each Fund the right to receive or deliver shares of the Underlying ETF on the option expiration date at a strike price, depending on whether the option is a put or call option and whether each Fund purchases or sells the option. The FLEX Options held by each Fund are European style options, which are exercisable at the strike price only on the FLEX Option expiration date. Page 109 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) D. AFFILIATED TRANSACTIONS BUFR and BUFD invest in securities of affiliated funds. Each Fund's investment performance and risks are directly related to the investment performance and risks of the affiliated funds. Dividend income, if any, realized gains and losses, and change in appreciation (depreciation) from affiliated funds are presented on the Statement of Operations. Amounts related to these investments in BUFR at February 28, 2021 and for the six months period then ended are as follows: <TABLE> <CAPTION> CHANGE IN UNREALIZED REALIZED SHARES AT VALUE AT APPRECIATION GAIN VALUE AT DIVIDEND SECURITY NAME 2/28/2021 8/31/2020 PURCHASES SALES (DEPRECIATION) (LOSS) 2/28/2021 INCOME ------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> <C> <C> <C> <C> FT Cboe Vest U.S. Equity Buffer ETF - February 813,945 $1,537,359 $ 25,662,678 $ (667,560) $ 547,551 $ 40,620 $ 27,120,648 $ -- FT Cboe Vest U.S. Equity Buffer ETF - May 787,099 1,516,012 25,925,656 (548,957) 469,112 27,018 27,388,841 -- FT Cboe Vest U.S. Equity Buffer ETF - August 778,395 1,542,042 25,615,767 (626,470) 676,629 43,641 27,251,609 -- FT Cboe Vest U.S. Equity Buffer ETF - November 767,931 1,528,468 25,785,061 (865,782) 805,175 47,025 27,299,947 -- ---------------------------------------------------------------------------------------- $6,123,881 $102,989,162 $(2,708,769) $2,498,467 $158,304 $109,061,045 $ -- ======================================================================================== </TABLE> Amounts related to these investments in BUFD at February 28, 2021 and for the period then ended are as follows: <TABLE> <CAPTION> CHANGE IN UNREALIZED REALIZED SHARES AT VALUE AT APPRECIATION GAIN VALUE AT DIVIDEND SECURITY NAME 2/28/2021 1/20/2021 PURCHASES SALES (DEPRECIATION) (LOSS) 2/28/2021 INCOME ------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> <C> <C> <C> <C> FT Cboe Vest U.S. Equity Deep Buffer ETF - February 115,349 $ -- $ 3,770,880 $ (3,007) $ (17,873) $ (4) $ 3,749,996 $ -- FT Cboe Vest U.S. Equity Deep Buffer ETF - May 114,361 -- 3,770,393 (4,110) (3,877) (9) 3,762,397 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - August 112,981 -- 3,770,393 -- (16,110) -- 3,753,229 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - November 112,396 -- 3,777,218 -- (18,449) -- 3,758,769 -- ---------------------------------------------------------------------------------------- $ -- $ 15,087,830 $ (7,117) $ (56,309) $ (13) $ 15,024,391 $ -- ======================================================================================== </TABLE> E. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid annually, with the exception of BUFR and BUFD which declare and pay quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds 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. During their applicable taxable period, none of the Funds paid a distribution. Page 110 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) As of August 31, 2020, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Net Undistributed Capital and Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ---------------- ---------------- ---------------- <S> <C> <C> <C> FT Cboe Vest U.S. Equity Buffer ETF - February $ 311,695 $ -- $ 10,850,547 FT Cboe Vest U.S. Equity Deep Buffer ETF - February (1,889,658) 936,084 40,004,587 FT Cboe Vest U.S. Equity Buffer ETF - May (72,087) (25,003) 2,724,079 FT Cboe Vest U.S. Equity Deep Buffer ETF - May (22,132) 116,130 500,302 FT Cboe Vest U.S. Equity Buffer ETF - June (65,103) -- 3,326,877 FT Cboe Vest U.S. Equity Deep Buffer ETF - June (26,126) -- 796,360 FT Cboe Vest U.S. Equity Buffer ETF - July (16,842) -- 927,009 FT Cboe Vest U.S. Equity Deep Buffer ETF - July (7,490) -- 214,752 FT Cboe Vest U.S. Equity Buffer ETF - August (85,833) (818,379) 380,811 FT Cboe Vest U.S. Equity Deep Buffer ETF - August (803,124) (11,815,263) 1,047,078 FT Cboe Vest U.S. Equity Buffer ETF - November (436,990) 366,223 9,097,092 FT Cboe Vest U.S. Equity Deep Buffer ETF - November (474,115) (900,706) 14,717,205 FT Cboe Vest Fund of Buffer ETFs -- -- 54,775 </TABLE> F. INCOME TAXES Each Fund intends 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, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are 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 year ended 2020 remains open to federal and state audit. As of February 28, 2021, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each 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. Each 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 each Fund's applicable taxable year end, for federal income tax purposes, the Funds had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to the Funds' shareholders. <TABLE> <CAPTION> Non-Expiring Taxable Capital Loss Year End Carryforwards ---------------- ---------------- <S> <C> <C> FT Cboe Vest U.S. Equity Buffer ETF - February 29-Feb-20 $ -- FT Cboe Vest U.S. Equity Deep Buffer ETF - February 29-Feb-20 -- FT Cboe Vest U.S. Equity Buffer ETF - May 31-May-20 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - May 31-May-20 -- FT Cboe Vest U.S. Equity Buffer ETF - June 30-Jun-20 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - June 30-Jun-20 -- FT Cboe Vest U.S. Equity Buffer ETF - July 31-Jul-20 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - July 31-Jul-20 -- FT Cboe Vest U.S. Equity Buffer ETF - August 31-Aug-20 818,379 FT Cboe Vest U.S. Equity Deep Buffer ETF - August 31-Aug-20 11,815,263 FT Cboe Vest U.S. Equity Buffer ETF - November 30-Nov-19 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - November 30-Nov-19 -- FT Cboe Vest Fund of Buffer ETFs 31-Aug-20 -- </TABLE> Page 111 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 taxable period ended August 31, 2020, the following Funds incurred and elected to defer net late year ordinary or capital losses as follows: <TABLE> <CAPTION> Qualified Late Year Losses ------------------------------------ Ordinary Losses Capital Losses ---------------- ---------------- <S> <C> <C> <C> FT Cboe Vest U.S. Equity Buffer ETF - August $ 85,833 $ -- FT Cboe Vest U.S. Equity Deep Buffer ETF - August 803,124 -- </TABLE> G. 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 Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. First Trust is paid an annual unitary management fee of 0.85% of each Fund's average daily net assets with the exception of BUFR and BUFD which each pay an annual unitary management fee of 0.20%. First Trust is responsible for each Fund's expenses, including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. Cboe Vest Financial LLC ("Cboe Vest"), an affiliate of First Trust, serves as the Funds' sub-advisor and manages each Fund's portfolio subject to First Trust's supervision. Pursuant to the Investment Management Agreement, between the Trust, on behalf of the Funds, and the Advisor, and the Investment Sub-Advisory Agreement among the Trust, on behalf of the Funds (other than BUFR and BUFD), the Advisor and Cboe Vest, First Trust will supervise Cboe Vest and its management of the investment of each Fund's assets and will pay Cboe Vest for its services as the Funds' sub-advisor a sub-advisory fee equal to 50% of any remaining monthly unitary management fee paid to the Advisor after the average Fund's expenses accrued during the most recent twelve months (or shorter period during the first eleven months of the Investment Sub-Advisory Agreement) are subtracted from the unitary management fee for that month. Pursuant to the Investment Management Agreement, between the Trust, on behalf of the Funds, and the Advisor, and the Investment Sub-Advisory Agreement among the Trust, on behalf of BUFR and BUFD, the Advisor and Cboe Vest, First Trust will supervise Cboe Vest and its management of the investment of each Fund's assets and will pay Cboe Vest for its services as the Funds' sub-advisor a sub-advisory fee equal to 50% of the monthly unitary management fee paid to the Advisor, less Cboe Vest's 50% share of each of BUFR and BUFD's expenses for that month. 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 each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each 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 is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the period ended February 28, 2021, the Funds, except BUFR and BUFD, had no purchases or sales of investments, excluding short-term investments and in-kind transactions. Each Fund, except BUFR and BUFD, holds options for a target outcome period of approximately one year based on the expiration date of the options, which occurs on the third Friday of the month corresponding to the month in each Fund name. For securities transactions purposes, the options are considered short-term investments. Page 112 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) For the period ended February 28, 2021, the cost of purchases and proceeds from sales of investments for BUFR and BUFD, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales ---------------- ---------------- <S> <C> <C> FT Cboe Vest Fund of Buffer ETFs $ 2,517,022 $ 563,897 FT Cboe Vest Fund of Deep Buffer ETFs 3,826 7,117 </TABLE> For the period ended February 28, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales ---------------- ---------------- <S> <C> <C> FT Cboe Vest U.S. Equity Buffer ETF - January $ 59,567,613 $ -- FT Cboe Vest U.S. Equity Deep Buffer ETF - January 29,127,830 -- FT Cboe Vest U.S. Equity Buffer ETF - February 28,535,985 181,946,764 FT Cboe Vest U.S. Equity Deep Buffer ETF - February 15,585,981 991,466,888 FT Cboe Vest U.S. Equity Buffer ETF - May 19,234,051 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - May 4,519,227 18,223,778 FT Cboe Vest U.S. Equity Buffer ETF - June 7,504,778 3,444,687 FT Cboe Vest U.S. Equity Deep Buffer ETF - June 5,525,591 27,040,861 FT Cboe Vest U.S. Equity Buffer ETF - July 7,215,834 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - July 7,133,166 17,805,051 FT Cboe Vest U.S. Equity Buffer ETF - August 60,980,446 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - August 27,636,469 13,823,545 FT Cboe Vest U.S. Equity Buffer ETF - September 17,461,337 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - September 28,740,603 -- FT Cboe Vest U.S. Equity Buffer ETF - October 24,012,881 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - October 9,863,739 -- FT Cboe Vest U.S. Equity Buffer ETF - November 49,053,898 150,929,907 FT Cboe Vest U.S. Equity Deep Buffer ETF - November 5,634,823 86,356,680 FT Cboe Vest U.S. Equity Buffer ETF - December 33,397,690 -- FT Cboe Vest U.S. Equity Deep Buffer ETF - December 15,424,333 -- FT Cboe Vest Fund of Buffer ETFs 100,472,140 2,144,872 FT Cboe Vest Fund of Deep Buffer ETFs 15,084,004 -- </TABLE> 5. DERIVATIVE TRANSACTIONS The following table presents the types of derivatives held by each Fund at February 28, 2021, the primary underlying risk exposure and the location of these instruments as presented on the Statements of Assets and Liabilities. <TABLE> <CAPTION> ASSET DERIVATIVES LIABILITY DERIVATIVES ---------------------------------------- ---------------------------------------- DERIVATIVES STATEMENTS OF ASSETS AND STATEMENTS OF ASSETS AND INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ----------- -------------- ------------------------ ------------- ------------------------ ------------- <S> <C> <C> <C> <C> <C> FJAN Options contracts Options contracts Options Equity Risk purchased, at value $ 93,665,360 written, at value $ 6,918,240 DJAN Options contracts Options contracts Options Equity Risk purchased, at value 94,035,139 written, at value 5,952,301 FFEB Options contracts Options contracts Options Equity Risk purchased, at value 186,644,800 written, at value 14,277,248 DFEB Options contracts Options contracts Options Equity Risk purchased, at value 342,989,797 written, at value 18,095,410 </TABLE> Page 113 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> ASSET DERIVATIVES LIABILITY DERIVATIVES ---------------------------------------- ---------------------------------------- DERIVATIVES STATEMENTS OF ASSETS AND STATEMENTS OF ASSETS AND INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ----------- -------------- ------------------------ ------------- ------------------------ ------------- <S> <C> <C> <C> <C> <C> FMAY Options contracts Options contracts Options Equity Risk purchased, at value $ 68,205,700 written, at value $ 9,386,618 DMAY Options contracts Options contracts Options Equity Risk purchased, at value 20,054,791 written, at value 3,672,013 FJUN Options contracts Options contracts Options Equity Risk purchased, at value 52,147,547 written, at value 4,367,744 DJUN Options contracts Options contracts Options Equity Risk purchased, at value 14,832,496 written, at value 1,892,576 FJUL Options contracts Options contracts Options Equity Risk purchased, at value 28,801,222 written, at value 2,371,596 DJUL Options contracts Options contracts Options Equity Risk purchased, at value 16,122,778 written, at value 1,858,346 FAUG Options contracts Options contracts Options Equity Risk purchased, at value 98,484,275 written, at value 6,468,080 DAUG Options contracts Options contracts Options Equity Risk purchased, at value 117,555,122 written, at value 10,080,850 FSEP Options contracts Options contracts Options Equity Risk purchased, at value 22,633,713 written, at value 1,734,495 DSEP Options contracts Options contracts Options Equity Risk purchased, at value 31,110,034 written, at value 3,209,075 FOCT Options contracts Options contracts Options Equity Risk purchased, at value 60,648,437 written, at value 3,923,276 DOCT Options contracts Options contracts Options Equity Risk purchased, at value 36,686,916 written, at value 2,884,601 FNOV Options contracts Options contracts Options Equity Risk purchased, at value 208,921,943 written, at value 15,632,199 DNOV Options contracts Options contracts Options Equity Risk purchased, at value 102,816,134 written, at value 8,321,309 </TABLE> Page 114 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> ASSET DERIVATIVES LIABILITY DERIVATIVES ---------------------------------------- ---------------------------------------- DERIVATIVES STATEMENTS OF ASSETS AND STATEMENTS OF ASSETS AND INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ----------- -------------- ------------------------ ------------- ------------------------ ------------- <S> <C> <C> <C> <C> <C> FDEC Options contracts Options contracts Options Equity Risk purchased, at value $ 69,025,591 written, at value $ 4,844,622 DDEC Options contracts Options contracts Options Equity Risk purchased, at value 63,111,949 written, at value 4,112,732 </TABLE> The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the period ended February 28, 2021, on each Fund's derivative instruments, as well as the primary underlying risk exposure associated with the instruments. <TABLE> <CAPTION> EQUITY RISK --------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS LOCATION FJAN DJAN FFEB DFEB FMAY DMAY ------------------------------------- --------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> Net realized gain (loss) on: Purchased options contracts $ (69,848) $ -- $ 32,473,332 $ 88,718,215 $ 665,926 $ 3,812,131 Written options contracts 10,930 -- 1,752,500 (10,658,206) (555,303) 52,489 Net change in unrealized appreciation (depreciation) on: Purchased options contracts (543,541) (862,672) (17,292,441) (68,413,238) 3,968,902 (2,498,460) Written options contracts 44,075 490,978 (1,372,575) 11,910,374 (1,440,396) (969,957) EQUITY RISK --------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS LOCATION FJUN DJUN FJUL DJUL FAUG DAUG ------------------------------------- --------------------------------------------------------------------------------- Net realized gain (loss) on: Purchased options contracts $ 856,308 $ 5,014,943 $ 1,030,640 $ 2,975,749 $ 1,018,139 $ 2,621,404 Written options contracts 171,779 (528,138) (282,713) 264,482 (11,856) (868,340) Net change in unrealized appreciation (depreciation) on: Purchased options contracts 2,201,716 (3,259,315) 1,250,044 (1,873,616) 5,462,794 5,767,053 Written options contracts (151,826) (411,413) 273,618 (722,880) 976,393 (1,806,094) EQUITY RISK --------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS LOCATION FSEP DSEP FOCT DOCT FNOV DNOV ------------------------------------- --------------------------------------------------------------------------------- Net realized gain (loss) on: Purchased options contracts $ 123,443 $ 251,456 $ 72,176 $ 272,375 $13,777,135 $ 22,335,900 Written options contracts (40,764) (134,521) (29,585) (175,179) 4,549,665 (857,366) Net change in unrealized appreciation (depreciation) on: Purchased options contracts 1,721,630 2,708,377 3,249,848 2,532,480 (5,002,790) (16,168,871) Written options contracts (87,576) (1,321,229) 170,872 (1,113,342) (1,889,060) (3,852) EQUITY RISK -------------------------- STATEMENTS OF OPERATIONS LOCATION FDEC DDEC ------------------------------------- -------------------------- Net realized gain (loss) on: Purchased options contracts $ 63,212 $ 426,568 Written options contracts (56,644) (296,501) Net change in unrealized appreciation (depreciation) on: Purchased options contracts 680,206 824,951 Written options contracts 95,608 (510,691) </TABLE> Page 115 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) The Funds do not have the right to offset financial assets and financial liabilities related to options contracts on the Statements of Assets and Liabilities. The following table presents the premiums for purchased options contracts opened, premiums for purchased options contracts closed, exercised and expired, premiums for written options contracts opened, and premiums for written options contracts closed, exercised and expired, for the period ended February 28, 2021, on each Fund's options contracts. <TABLE> <CAPTION> PREMIUMS FOR PREMIUMS FOR PREMIUMS FOR PURCHASED WRITTEN OPTIONS PURCHASED OPTIONS CONTRACTS PREMIUMS FOR CONTRACTS CLOSED, OPTIONS CONTRACTS CLOSED, EXERCISED WRITTEN OPTIONS EXERCISED AND OPENED AND EXPIRED CONTRACTS OPENED EXPIRED ---------------------------------------------------------------------------- <S> <C> <C> <C> <C> FJAN $ 99,134,257 $ 4,925,356 $ 7,331,805 $ 369,490 DJAN 94,897,811 -- 6,443,279 -- FFEB 447,201,872 465,939,131 24,683,611 25,068,522 DFEB 812,996,396 965,267,589 45,213,621 48,327,680 FMAY 41,678,674 20,957,703 4,835,740 2,256,626 DMAY 25,882,194 16,492,673 4,698,156 4,002,508 FJUN 8,728,598 11,722,837 694,379 1,058,828 DJUN 24,137,480 28,766,491 3,186,680 4,072,577 FJUL 18,585,211 27,073,490 1,425,459 1,983,466 DJUL 24,709,445 20,279,529 2,826,606 3,002,752 FAUG 89,556,536 35,471,923 6,740,656 2,401,267 DAUG 40,047,543 70,346,832 2,359,408 4,229,850 FSEP 24,260,659 3,348,576 1,866,675 219,756 DSEP 36,384,871 7,983,214 2,428,789 540,943 FOCT 62,339,071 4,940,482 4,384,612 290,464 DOCT 38,972,462 4,818,026 2,057,771 286,512 FNOV 342,549,417 273,355,592 17,271,348 10,805,296 DNOV 207,050,237 244,242,809 10,143,230 12,600,544 FDEC 84,793,220 16,447,835 6,063,264 1,123,034 DDEC 89,825,082 27,538,084 5,368,424 1,766,383 </TABLE> 6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each 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 a 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, a 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 a 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 a 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 a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each 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 a 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. Each 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 a 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 Page 116 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 a 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. 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 Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, 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 Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before December 31, 2021 for FAUG, DAUG, FNOV and DNOV, February 1, 2022 for FFEB and DFEB, May 1, 2022 for FMAY and DMAY, June 1, 2022 for FJUN and DJUN, July 1, 2022 for FJUL and DJUL, August 7, 2022 for BUFR, September 1, 2022 for FSEP and DSEP, October 1, 2022 for FOCT and DOCT, December 8, 2022 for FDEC and DDEC, January 10, 2023 for FJAN and DJAN, and January 15, 2023 for BUFD. 8. INDEMNIFICATION The Trust, on behalf of the Funds, 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 Funds through the date the financial statements were issued, and has determined that there were the following subsequent events: On March 22, 2021, FT Cboe Vest U.S. Equity Buffer ETF - March, FT Cboe Vest U.S. Equity Deep Buffer ETF - March, FT Cboe Vest Growth-100 Buffer ETF - March and FT Cboe Vest International Equity Buffer ETF - March, additional series of the Trust, began trading under the symbols "FMAR," "DMAR," "QMAR," and "YMAR," respectively, on Cboe BZX Exchange, Inc. On April 19, 2021, FT Cboe Vest U.S. Equity Buffer ETF - April and FT Cboe Vest U.S. Equity Deep Buffer ETF - April, additional series of the Trust, began trading under the symbols "FAPR" and "DAPR," respectively, on Cboe BZX Exchange, Inc. Page 117 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (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 each 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 each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each 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. Each 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 each Fund is available to investors within 60 days after the period to which it relates. Each 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 large 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 not concentrated. 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. 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 Page 118 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in 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. 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. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, Page 119 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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. Although the funds and the 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. ADDITIONAL RISK CONSIDERATIONS FOR THE FT CBOE VEST U.S. EQUITY BUFFER ETFS AND FT CBOE VEST U.S. EQUITY DEEP BUFFER ETFS ABSENCE OF AN ACTIVE MARKET RISK. The Funds face numerous market trading risks, including the potential lack of an active market for Fund shares due to a limited number of market markers or authorized participants. A Fund may rely on a small number of third-party market makers to provide a market for the purchase and sale of shares and market makers are under no obligation to make a market in the Fund's shares. Additionally, only a limited number of institutions act as authorized participants for a Fund and only an authorized participant may engage in creation or redemption transactions directly with the Funds and are not obligated to submit purchase or redemption orders for Creation Units. Decisions by market makers or authorized participants to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund's portfolio securities and the Fund's market price. Any trading halt or other problem relating to the trading activity of these market makers or any issues disrupting the authorized participants' ability to proceed with creation and/or redemption orders could result in a dramatic change in the spread between a Fund's net asset value and the price at which the Fund's shares are trading on the Exchange, which could result in a decrease in value of the Fund's shares. This reduced effectiveness could result in Fund shares trading at a premium or discount to net asset value and also in greater than normal intraday bid-ask spreads for Fund shares. BUFFERED LOSS RISK. There can be no guarantee that a Fund will be successful in its strategy to buffer against Underlying ETF losses if the Underlying ETF decreases over the Target Outcome Period by 10% or less. A shareholder may lose their entire investment. The Fund's strategy seeks to deliver returns that match the price return of the Underlying ETF (up to the cap), while limiting downside losses, if shares are bought on the day on which the Fund enters into the FLEX Options and held until those FLEX Options expire at the end of each Target Outcome Period. In the event an investor purchases shares after the date on which the FLEX Options were entered into or sells shares prior to the expiration of the FLEX Options, the buffer that the Fund seeks to provide may not be available. CAP CHANGE RISK. A new cap is established at the beginning of each Target Outcome Period and is dependent on prevailing market conditions. As a result, the cap may rise or fall from one Target Outcome Period to the next and is unlikely to remain the same for consecutive Target Outcome Periods. CAPPED UPSIDE RISK. The Funds' strategies seek to provide returns that match those of the Underlying ETF for Fund shares purchased on the first day of a Target Outcome Period and held for the entire Target Outcome Period, subject to a pre-determined upside cap. If an investor does not hold its Fund shares for an entire Target Outcome Period, the returns realized by that investor may not match those that the Fund seeks to achieve. If the Underlying ETF experiences gains during a Target Outcome Period, a Fund will not participate in those gains beyond the cap. In the event an investor purchases Fund shares after the first day of a Target Outcome Period and the Fund has risen in value to a level near to the cap, there may be little or no ability for that investor to experience an investment gain on their Fund shares. FLEX OPTIONS RISK. Trading FLEX Options involves risks different from, or possibly greater than, the risks associated with investing directly in securities. A Fund may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The FLEX Options are listed on an exchange; however, no one can guarantee that a liquid secondary trading market will exist for the FLEX Options. In the event that trading in the FLEX Options is limited or absent, the value of the Fund's FLEX Options may decrease. In a less liquid market for the FLEX Options, liquidating the FLEX Options may require the payment of a premium (for written FLEX Options) or acceptance of a discounted price (for purchased FLEX Options) and may take longer to complete. A less liquid trading market may adversely impact the value of the FLEX Options and Fund shares and result in the Fund being unable to achieve its investment objective. In a less liquid market for the FLEX Options, the liquidation of a large number of options may more significantly impact the price. A less liquid trading market may adversely impact the value of the FLEX Options and the value of your investment. The trading in FLEX Options may be less deep and liquid than the market for certain other exchange-traded options, non-customized options or other securities. Page 120 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Transactions in FLEX Options are required to be centrally cleared. In a transaction involving FLEX Options, the Fund's counterparty is the OCC, rather than a bank or broker. Since the Fund is not a member of the OCC and only members ("clearing members") can participate directly in the OCC, the Fund will hold its FLEX Options through accounts at clearing members. Although clearing members guarantee performance of their clients' obligations to the OCC, there is a risk that the assets of a Fund might not be fully protected in the event of a clearing member's bankruptcy, as the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member's customers for the relevant account class. Additionally, the OCC may be unable or unwilling to perform its obligations under the FLEX Options contracts. FLEX OPTIONS VALUATION RISK. The FLEX Options held by the Funds will be exercisable at the strike price only on their expiration date. Prior to the expiration date, the value of the FLEX Options will be determined based upon market quotations or using other recognized pricing methods. The value of the FLEX Options does not increase or decrease at the same rate as the Underlying ETF (although they generally move in the same direction) or its underlying securities and FLEX Option prices may be highly volatile and may fluctuate substantially during a short period of time. The value of the FLEX Options prior to the expiration date may vary because of factors other than the value of the Underlying ETF, such as interest rate changes, changing supply and demand, decreased liquidity of the FLEX Options, a change in the actual and perceived volatility of the stock market and the Underlying ETF and the remaining time to expiration. During periods of reduced market liquidity or in the absence of readily available market quotations for the holdings of the Funds, the ability of the Funds to value the FLEX Options becomes more difficult and the judgment of the Fund's investment adviser (employing the fair value procedures adopted by the Board of Trustees of the Trust) may play a greater role in the valuation of the Fund's holdings due to reduced availability of reliable objective pricing data. Consequently, while such determinations may be made in good faith, it may nevertheless be more difficult for the Fund to accurately assign a daily value. Under those circumstances, the value of the FLEX Options will require more reliance on the investment adviser's judgment than that required for securities for which there is an active trading market. This creates a risk of mispricing or improper valuation of the FLEX Options which could impact the value paid for shares of the Funds. TARGET OUTCOME PERIOD RISK. The Funds' investment strategies are designed to deliver returns that match the Underlying ETF if Fund shares are bought on the day on which the Fund enters into the FLEX Options (i.e., the first day of a Target Outcome Period) and held until those FLEX Options expire at the end of the Target Outcome Period. In the event an investor purchases Fund shares after the first day of a Target Outcome Period or sells shares prior to the expiration of the Target Outcome Period, the value of that investor's investment in Fund shares may not be buffered against a decline in the value of the Underlying ETF and may not participate in a gain in the value of the Underlying ETF up to the cap for the investor's investment period. UNDERLYING ETF RISK. The Funds invest in FLEX Options that reference an ETF, which subjects the Funds to certain of the risks of owning shares of an ETFs as well as the types of instruments in which the Underlying ETF invests. The value of an ETF will fluctuate over time based on fluctuations in the values of the securities held by the ETF, which may be affected by changes in general economic conditions, expectations for future growth and profits, interest rates and the supply and demand for those securities. In addition, ETFs are subject to authorized participant concentration risk, market maker risk, premium/discount risk, tracking error risk and trading issues risk. Brokerage, tax and other expenses may negatively impact the performance of the Underlying ETF and, in turn, the value of the Funds' shares. An ETF that tracks an index may not exactly match the performance of the index due to cash drag, differences between the portfolio of the ETF and the components of the index, expenses and other factors. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE ADVISORY AND SUB-ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT AND INVESTMENT SUB-ADVISORY AGREEMENT FOR FT CBOE VEST FUND OF DEEP BUFFER ETFS The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"), including the Independent Trustees, approved the Investment Management Agreement (the "Advisory Agreement") with First Trust Advisors L.P. (the "Advisor"), on behalf of FT Cboe Vest Fund of Deep Buffer ETFs (the "Fund"), and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreement, the "Agreements") among the Trust, on behalf of the Fund, the Advisor and Cboe Vest Financial LLC (the "Sub-Advisor"), for an initial two-year term at a meeting held on January 14, 2021. The Board determined that the Agreements are in the best interests of the Fund in light of the nature, extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the Page 121 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreements for the Fund, the Independent Trustees received a separate report from each of the Advisor and the Sub-Advisor in advance of the Board meeting responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services to be provided by the Advisor and the Sub-Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by the Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other exchange-traded funds ("ETFs") managed by the Advisor; the proposed sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; the estimated expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; the nature of expenses to be incurred in providing services to the Fund and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any fall-out benefits to the Advisor and its affiliates, First Trust Portfolios L.P. ("FTP") and First Trust Capital Partners, LLC ("FTCP"), and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Independent Trustees and their counsel also met separately to discuss the information provided by the Advisor and the Sub-Advisor. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor are reasonable business arrangements from the Fund's perspective. In evaluating whether to approve the Agreements for the Fund, the Board considered the nature, extent and quality of the services to be provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor will be responsible for the overall management and administration of the Fund and reviewed all of the services to be provided by the Advisor to the Fund, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board considered that the Fund will be an actively-managed ETF and will employ an advisor/sub-advisor management structure and considered that the Advisor manages other ETFs with a similar structure in the First Trust Fund Complex. The Board noted that the Advisor will oversee the Sub-Advisor's day-to-day management of the Fund's investments, including portfolio risk monitoring and performance review. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objective, policies and restrictions. The Board noted that employees of the Advisor provide management services to other ETFs and to other funds in the First Trust Fund Complex with diligence and care. With respect to the Sub-Advisory Agreement, the Board reviewed the materials provided by the Sub-Advisor and noted the background and experience of the Sub-Advisor's portfolio management team and the Sub-Advisor's investment style. The Board also noted that the Fund would invest substantially all of its assets in multiple defined-outcome ETFs in the First Trust Fund Complex sub-advised by the Sub-Advisor. Because the Fund had yet to commence investment operations, the Board could not consider the historical investment performance of the Fund. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to the Fund by the Advisor and the Sub-Advisor under the Agreements are expected to be satisfactory. The Board considered the proposed unitary fee rate payable by the Fund under the Advisory Agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, the Fund would pay the Advisor a unitary fee equal to an annual rate of 0.20% of its average daily net assets. The Board considered that, from the unitary fee for the Fund, the Advisor would pay the Sub-Advisor a sub-advisory fee equal to 50% of the Fund's unitary fee less one-half of the Fund's expenses. The Board noted that the Advisor and the Sub-Advisor would be responsible for the Fund's expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Advisory Agreement and interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board noted that, because the Fund will invest in underlying ETFs in the First Trust Fund Complex, it will incur acquired fund fees and expenses, which are not payable out of the unitary fee. The Board received and reviewed information showing the advisory fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETF) and non-fund clients, as applicable. Because the Fund will pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for the Fund was below the median total (net) expense ratio (excluding acquired fund fees and expenses, as applicable) of the peer funds in the Expense Group. The Board also noted that the Fund's total (net) expense ratio (including the estimated acquired fund fees and expenses) was below the median total (net) expense ratio (including acquired fund fees and expenses, as applicable) of the peer funds in the Expense Group. With respect to the Expense Group, the Board discussed with representatives of the Advisor how the Expense Group was assembled and how the Fund compared and differed from the peer funds. The Board took this information into account in considering the peer data. With respect to fees charged to other clients, the Board considered the Advisor's statement that the Fund will be most comparable to other ETFs in the First Trust Fund Complex that invest in underlying ETFs, including ETFs in the First Trust Fund Complex, and pay unitary fees equal to annual rates of 0.20% or 0.30% of Page 122 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) their respective average daily net assets. The Board noted that the Advisor and the Sub-Advisor manage an ETF that also invests substantially all of its assets in multiple defined-outcome ETFs in the First Trust Fund Complex sub-advised by the Sub-Advisor and pays a unitary fee equal to an annual rate of 0.20% of its average daily net assets. In light of the information considered and the nature, extent and quality of the services expected to be provided to the Fund under the Agreements, the Board determined that the proposed unitary fee, including the sub-advisory fee to be paid by the Advisor to the Sub-Advisor from the unitary fee, was fair and reasonable. The Board noted that the proposed unitary fee for the Fund was not structured to pass on to shareholders the benefits of any economies of scale as the Fund's assets grow. The Board noted that any reduction in fixed costs associated with the management of the Fund would benefit the Advisor and the Sub-Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Fund. The Board noted that the Advisor has continued to hire personnel and build infrastructure, including technology, to improve the services to the funds in the First Trust Fund Complex. The Board took into consideration the types of costs to be borne by the Advisor in connection with its services to be performed for the Fund under the Advisory Agreement. The Board considered the Advisor's estimate of the profitability of the Advisory Agreement if the Fund's assets reach $100 million. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's estimated profitability level for the Fund was not unreasonable. The Board reviewed financial information provided by the Sub-Advisor, but did not review any potential profitability of the Sub-Advisory Agreement to the Sub-Advisor. The Board considered that the Sub-Advisor would be paid by the Advisor from the Fund's unitary fee and its understanding that the sub-advisory fee rate was the product of an arm's length negotiation. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Fund. The Board noted that FTCP has a controlling ownership interest in the Sub-Advisor's parent company and considered potential fall-out benefits to the Advisor from such ownership interest. The Board also considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP. The Board also noted that the Advisor will be responsible for trade execution for the Fund and will not utilize soft dollars in connection with the Fund. The Board also considered the potential fall-out benefits to the Sub-Advisor from FTCP's controlling ownership interest in the Sub-Advisor's parent company. The Board noted the Sub-Advisor's statement that it does not foresee any fall-out benefits from its relationship with the Fund. In addition, the Board considered that the Advisor and the Sub-Advisor, as the investment advisor and the investment sub-advisor, respectively, to the underlying ETFs in which the Fund would invest, will recognize additional revenue from such underlying ETFs if the Fund's investment causes their assets to grow. The Board concluded that the character and amount of potential fall-out benefits to the Advisor and the Sub-Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined that the terms of the Agreements are fair and reasonable and that the approval of the Agreements is in the best interests of the Fund. No single factor was determinative in the Board's analysis. BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS AND INVESTMENT SUB-ADVISORY AGREEMENTS FOR FT CBOE VEST U.S. EQUITY BUFFER ETF - JUNE FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JUNE FT CBOE VEST U.S. EQUITY BUFFER ETF - JULY FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JULY FT CBOE VEST U.S. EQUITY BUFFER ETF - SEPTEMBER FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - SEPTEMBER FT CBOE VEST U.S. EQUITY BUFFER ETF - OCTOBER FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - OCTOBER The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"), including the Independent Trustees, unanimously approved the Investment Management Agreement (the "Advisory Agreement") with First Trust Advisors L.P. (the "Advisor") and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreement, the "Agreements") among the Trust, the Advisor and Cboe Vest Financial LLC (the "Sub-Advisor") on behalf of the following eight series of the Trust (each a "Fund" and collectively, the "Funds"): FT Cboe Vest U.S. Equity Buffer ETF - June (FJUN) FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN) FT Cboe Vest U.S. Equity Buffer ETF - July (FJUL) FT Cboe Vest U.S. Equity Deep Buffer ETF - July (DJUL) FT Cboe Vest U.S. Equity Buffer ETF - September (FSEP) FT Cboe Vest U.S. Equity Deep Buffer ETF - September (DSEP) FT Cboe Vest U.S. Equity Buffer ETF - October (FOCT) FT Cboe Vest U.S. Equity Deep Buffer ETF - October (DOCT) Page 123 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) The Board approved the Agreements for each Fund for an initial two-year term at a meeting held on March 9, 2020. The Board determined for each Fund that the Agreements are in the best interests of the Fund in light of the nature, extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreements for each Fund, the Independent Trustees received a separate report from each of the Advisor and the Sub-Advisor in advance of the Board meeting responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services to be provided by the Advisor and the Sub-Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the proposed sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; the estimated expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; the nature of expenses to be incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor and the Sub-Advisor; any fall-out benefits to the Advisor and its affiliates, First Trust Portfolios L.P. ("FTP") and First Trust Capital Partners, LLC ("FTCP"), and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Independent Trustees and their counsel also met separately to discuss the information provided by the Advisor and the Sub-Advisor. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor are reasonable business arrangements from each Fund's perspective. In evaluating whether to approve the Agreements for each Fund, the Board considered the nature, extent and quality of the services to be provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor will be responsible for the overall management and administration of each Fund and reviewed all of the services to be provided by the Advisor to the Funds, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board considered that each Fund will be an actively-managed ETF and will employ an advisor/sub-advisor management structure and considered that the Advisor manages other ETFs with a similar structure in the First Trust Fund Complex. The Board noted that the Advisor will oversee the Sub-Advisor's day-to-day management of the Fund's investments, including portfolio risk monitoring and performance review. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board noted that employees of the Advisor provide management services to other ETFs and to other funds in the First Trust Fund Complex with diligence and care. With respect to the Sub-Advisory Agreement, the Board reviewed the materials provided by the Sub-Advisor and noted the background and experience of the Sub-Advisor's portfolio management team and the Sub-Advisor's investment style, as well as the Board's prior meeting with representatives of the Sub-Advisor in October 2019. The Board noted that the Sub-Advisor manages six other defined-outcome ETFs with strategies similar to those of the Funds in the First Trust Fund Complex. Because the Funds had yet to commence investment operations, the Board could not consider the historical investment performance of the Funds. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to each Fund by the Advisor and the Sub-Advisor under the Agreements are expected to be satisfactory. The Board considered the proposed unitary fee rate payable by each Fund under the Advisory Agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, each Fund would pay the Advisor a unitary fee equal to an annual rate of 0.85% of its average daily net assets. The Board considered that, from the unitary fee for each Fund, the Advisor would pay the Sub-Advisor a sub-advisory fee equal to 50% of the Fund's unitary fee remaining after the Fund's expenses are paid. The Board noted that the Advisor would be responsible for each Fund's expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Advisory Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETF) and non-fund clients, as applicable. Because each Fund will pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee for each Fund was above the median total (net) expense ratio of the peer funds in its Expense Group. With respect to the Expense Groups, the Board discussed with representatives of the Advisor how the Expense Groups were assembled and how each Fund compared and differed from the peer funds. The Board took this information into account in considering the peer data. With respect to fees charged to other clients, the Board considered that the Funds are part of the Page 124 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) FT Cboe Vest U.S. Equity Target Outcome ETF product line in the First Trust Fund Complex and noted that six ETFs in the product line, identical to the Funds except with respect to the target outcome periods, had been launched since November 2019, each of which also pays a unitary fee equal to an annual rate of 0.85% of its average daily net assets and is sub-advised by the Sub-Advisor. In light of the information considered and the nature, extent and quality of the services expected to be provided to each Fund under the Agreements, the Board determined that, for each Fund, the proposed unitary fee, including the sub-advisory fee to be paid by the Advisor to the Sub-Advisor from the unitary fee, was fair and reasonable. The Board noted that the proposed unitary fee for each Fund was not structured to pass on to shareholders the benefits of any economies of scale as the Fund's assets grow. The Board noted that any reduction in fixed costs associated with the management of the Funds would benefit the Advisor and the Sub-Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Funds. The Board noted that the Advisor has continued to hire personnel and build infrastructure, including technology, to improve the services to the funds in the First Trust Fund Complex. The Board took into consideration the types of costs to be borne by the Advisor in connection with its services to be performed for each Fund under the Advisory Agreement. The Board considered the Advisor's estimate of the asset level for each Fund at which the Advisor expects the Advisory Agreement for the Fund to be profitable to the Advisor and the Advisor's estimate of the profitability of the Advisory Agreement for each Fund if its assets reach $100 million. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's estimated profitability level for each Fund was not unreasonable. The Board reviewed financial information provided by the Sub-Advisor, but did not review any potential profitability of the Sub-Advisory Agreement for each Fund to the Sub-Advisor. The Board considered that the Sub-Advisor would be paid by the Advisor from each Fund's unitary fee and its understanding that the sub-advisory fee rate for each Fund was the product of an arm's length negotiation. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board noted that FTCP has a controlling ownership interest in the Sub-Advisor's parent company and considered potential fall-out benefits to the Advisor from such ownership interest. The Board also considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP. The Board also considered the potential fall-out benefits to the Sub-Advisor from FTCP's controlling ownership interest in the Sub-Advisor's parent company. The Board noted the Sub-Advisor's statements that it does not foresee any fall-out benefits from its relationship with the Funds and that, as a policy, it does not enter into soft-dollar arrangements for the procurement of research services in connection with client securities transactions. The Board concluded that the character and amount of potential fall-out benefits to the Advisor and the Sub-Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements are fair and reasonable and that the approval of the Agreements is in the best interests of each Fund. No single factor was determinative in the Board's analysis. BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS AND INVESTMENT SUB-ADVISORY AGREEMENTS FOR FT CBOE VEST U.S. EQUITY BUFFER ETF - JANUARY FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - JANUARY FT CBOE VEST U.S. EQUITY BUFFER ETF - DECEMBER FT CBOE VEST U.S. EQUITY DEEP BUFFER ETF - DECEMBER The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"), including the Independent Trustees, unanimously approved the Investment Management Agreement (the "Advisory Agreement") with First Trust Advisors L.P. (the "Advisor") and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreement, the "Agreements") among the Trust, the Advisor and Cboe Vest Financial LLC (the "Sub-Advisor") on behalf of the following four series of the Trust (each a "Fund" and collectively, the "Funds"): FT Cboe Vest U.S. Equity Buffer ETF - January (FJAN) FT Cboe Vest U.S. Equity Deep Buffer ETF - January (DJAN) FT Cboe Vest U.S. Equity Buffer ETF - December (FDEC) FT Cboe Vest U.S. Equity Deep Buffer ETF - December (DDEC) The Board approved the Agreements for each Fund for an initial two-year term at a meeting held on June 8, 2020. The Board determined for each Fund that the Agreements are in the best interests of the Fund in light of the nature, extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting Page 125 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) on such agreements. To assist the Board in its evaluation of the Agreements for each Fund, the Independent Trustees received a separate report from each of the Advisor and the Sub-Advisor in advance of the Board meeting responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services to be provided by the Advisor and the Sub-Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the proposed sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; the estimated expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; the nature of expenses to be incurred in providing services to each Fund and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any fall-out benefits to the Advisor and its affiliates, First Trust Portfolios L.P. ("FTP") and First Trust Capital Partners, LLC ("FTCP"), and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Independent Trustees and their counsel also met separately to discuss the information provided by the Advisor and the Sub-Advisor. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor are reasonable business arrangements from each Fund's perspective. In evaluating whether to approve the Agreements for each Fund, the Board considered the nature, extent and quality of the services to be provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor will be responsible for the overall management and administration of each Fund and reviewed all of the services to be provided by the Advisor to the Funds, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board considered that each Fund will be an actively-managed ETF and will employ an advisor/sub-advisor management structure and considered that the Advisor manages other ETFs with a similar structure in the First Trust Fund Complex. The Board noted that the Advisor will oversee the Sub-Advisor's day-to-day management of the Fund's investments, including portfolio risk monitoring and performance review. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board noted that employees of the Advisor provide management services to other ETFs and to other funds in the First Trust Fund Complex with diligence and care. With respect to the Sub-Advisory Agreement, in addition to the written materials provided by the Sub-Advisor, at the June 8, 2020 meeting, the Board also received a presentation from representatives of the Sub-Advisor discussing the services that the Sub-Advisor will provide to the Funds, and the Trustees were able to ask questions about the proposed investment strategy for the Funds. The Board noted the background and experience of the Sub-Advisor's portfolio management team and the Sub-Advisor's investment style. The Board also noted that the Sub-Advisor manages eight other defined-outcome ETFs with strategies similar to those of the Funds in the First Trust Fund Complex. Because the Funds had yet to commence investment operations, the Board could not consider the historical investment performance of the Funds. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to each Fund by the Advisor and the Sub-Advisor under the Agreements are expected to be satisfactory. The Board considered the proposed unitary fee rate payable by each Fund under the Advisory Agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, each Fund would pay the Advisor a unitary fee equal to an annual rate of 0.85% of its average daily net assets. The Board considered that, from the unitary fee for each Fund, the Advisor would pay the Sub-Advisor a sub-advisory fee equal to 50% of the Fund's unitary fee remaining after the Fund's expenses are paid. The Board noted that the Advisor would be responsible for each Fund's expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Advisory Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETF) and non-fund clients, as applicable. Because each Fund will pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for each Fund was above the median total (net) expense ratio of the peer funds in its Expense Group. With respect to the Expense Groups, the Board discussed with representatives of the Advisor how the Expense Groups were assembled and how each Fund compared and differed from the peer funds. The Board took this information into account in considering the peer data. With respect to fees charged to other clients, the Board considered that the Funds are part of the FT Cboe Vest U.S. Equity Target Outcome ETF product line in the First Trust Fund Complex and noted that eight ETFs in the product line, identical to the Funds except with respect to the target outcome periods, had been launched since November 2019, each of which also pays a unitary fee equal to an annual rate of 0.85% of its average daily net assets and is sub-advised by the Sub-Advisor. In light of the information considered and the nature, extent and quality of the services expected to be provided to each Fund under the Agreements, the Board determined that, for each Fund, the proposed unitary fee, including the sub-advisory fee to be paid by the Advisor to the Sub-Advisor from the unitary fee, was fair and reasonable. Page 126 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) The Board noted that the proposed unitary fee for each Fund was not structured to pass on to shareholders the benefits of any economies of scale as the Fund's assets grow. The Board noted that any reduction in fixed costs associated with the management of the Funds would benefit the Advisor and the Sub-Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Funds. The Board noted that the Advisor has continued to hire personnel and build infrastructure, including technology, to improve the services to the funds in the First Trust Fund Complex. The Board took into consideration the types of costs to be borne by the Advisor in connection with its services to be performed for each Fund under the Advisory Agreement. The Board considered the Advisor's estimate of the asset level for each Fund at which the Advisor expects the Advisory Agreement for the Fund to be profitable to the Advisor and the Advisor's estimate of the profitability of the Advisory Agreement for each Fund if its assets reach $100 million. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's estimated profitability level for each Fund was not unreasonable. The Board reviewed financial information provided by the Sub-Advisor, but did not review any potential profitability of the Sub-Advisory Agreement for each Fund to the Sub-Advisor. The Board considered that the Sub-Advisor would be paid by the Advisor from each Fund's unitary fee and its understanding that the sub-advisory fee rate for each Fund was the product of an arm's length negotiation. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board noted that FTCP has a controlling ownership interest in the Sub-Advisor's parent company and considered potential fall-out benefits to the Advisor from such ownership interest. The Board also considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP. The Board also considered the potential fall-out benefits to the Sub-Advisor from FTCP's controlling ownership interest in the Sub-Advisor's parent company. The Board noted the Sub-Advisor's statements that it does not foresee any fall-out benefits from its relationship with the Funds and that, as a policy, it does not enter into soft-dollar arrangements for the procurement of research services in connection with client securities transactions. The Board concluded that the character and amount of potential fall-out benefits to the Advisor and the Sub-Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements are fair and reasonable and that the approval of the Agreements is in the best interests of each Fund. No single factor was determinative in the Board's analysis. Page 127 <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 INVESTMENT SUB-ADVISOR Cboe Vest Financial LLC 1765 Greensboro Station Pl, 9th Floor McLean, VA 22102 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 111 W. Monroe Street Chicago, IL 60603 <PAGE> [BLANK BACK COVER] <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- FT Cboe Vest Growth-100 Buffer ETF - December (QDEC) FT Cboe Vest International Equity Buffer ETF - December (YDEC) ---------------------------- Semi-Annual Report For the Period December 18, 2020 (Commencement of Operations) through February 28, 2021 ---------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview FT Cboe Vest Growth-100 Buffer ETF - December (QDEC)...................... 2 FT Cboe Vest International Equity Buffer ETF - December (YDEC)............ 3 Notes to Fund Performance Overview........................................... 4 Portfolio Management......................................................... 5 Understanding Your Fund Expenses............................................. 6 Portfolio of Investments FT Cboe Vest Growth-100 Buffer ETF - December (QDEC)...................... 7 FT Cboe Vest International Equity Buffer ETF - December (YDEC)............ 9 Statements of Assets and Liabilities......................................... 11 Statements of Operations..................................................... 12 Statements of Changes in Net Assets.......................................... 13 Financial Highlights......................................................... 14 Notes to Financial Statements................................................ 15 Additional Information....................................................... 21 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and/or Cboe Vest Financial LLC ("Cboe Vest" or the "Sub-Advisor") and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund VIII (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each 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 a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds. 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 each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. The statistical information that follows may help you understand each Fund's performance compared to that of a relevant market benchmark. It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in the prospectus, statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO FEBRUARY 28, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for certain series of the First Trust Exchange-Traded Fund VIII (the "Funds"), which contains detailed information about the Funds for the six months ended February 28, 2021. Please note that the FT Cboe Vest Growth-100 Buffer ETF - December ("QDEC") and the FT Cboe Vest International Equity Buffer ETF - December ("YDEC") were incepted on December 18, 2020, and so information in this letter and the report prior to that date will not apply to these Funds. For the better part of the past year, we Americans have been operating under the premise that the U.S. government's decision to inject trillions of dollars of capital into the economy was likely the best approach to keeping it propped up until one or more coronavirus ("COVID-19") vaccines could garner approval from the Food and Drug Administration ("FDA"). In other words, we have literally been buying time until a remedy for this virus could be discovered, approved, manufactured, and brought to market. While the jury may still be out with respect to whether or not such a massive amount of money was truly necessary, I am pleased to report that we now have three FDA-approved vaccines, and we got them in record time. Nobody thought it was possible to accomplish this task within the scope of 12 months. Even the most experienced scientists, including Dr. Anthony Fauci, were hoping for one by the 18-month mark at best. When you combine the number of people who have already contracted COVID-19 and developed the antibodies to it along with the people who are projected to receive the vaccine in the weeks ahead it is conceivable that the U.S. population could achieve a type of herd immunity - where at least 70% of the population develops antibodies - by the end of April 2021, according to Brian Wesbury, Chief Economist at First Trust. Keep in mind that Wesbury's April target is probably more optimistic than most, but I am willing to wager that he has done considerably more in-depth research on the pandemic than most. Achieving herd immunity sooner than expected is a potential boon for investors, in my opinion. Think about how much more optimistic consumers are likely to be once the entire U.S. economy is deemed open for business. Consider how much pent up demand there could be for activities such as leisure travel, attending theme parks, ballparks and movie theaters, as well as dining out and in-store shopping. Best of all, think about how achieving herd immunity could expedite putting at least some of the 10 million or so Americans who lost their jobs due to the pandemic back to work. Corporate executives seem ready to go. The Conference Board reported that its first quarter 2021 survey, which tracks CEO confidence levels, hit its highest reading since the first quarter of 2004, when the measure stood at 74, according to its own release. The measure currently stands at 73, up from 64 in the third quarter of 2020. A reading above 50 points reflects more positive than negative responses. Eighty-two percent of those CEOs polled expect economic conditions to improve over the next six months. Looking out 12 months, 47% of CEOs expect to grow their workforce. Investors, like top executives, should keep at least one eye on the future. What might the future hold for investors? The stimulus designed to mitigate the fallout from the pandemic comes at a cost. No free lunch! The added Treasury debt used to fund the stimulus will have to be paid back at some point - just not anytime soon. Expect economic growth to accelerate. The outlook for U.S. economic growth is robust, according to the Federal Reserve (the "Fed"). On March 17, 2021, the Fed raised its forecast for real gross domestic product this year from 4.2% to 6.5%, largely due to the passage of the $1.9 trillion American Rescue Plan Act of 2021, according to Wesbury. The outlook for corporate earnings is optimistic. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 24.35% and 15.20%, respectively, as of March 19, 2021. While the Fed continues to stick to its mandate of keeping short-term lending rates at a quarter-point through at least 2022, there is less certainty when it comes to the direction of inflation and intermediate to long-term bond yields. The yield on the 10-Year Treasury Note has already risen 70 basis points this year to 1.62% (thru March 23), according to Bloomberg. The prospects for robust economic activity moving forward suggests to us that investors should prepare for higher inflation and higher bond yields and adjust their investment portfolios accordingly, if necessary. We encourage investors to remain engaged and to stay invested. 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 Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 1 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FT CBOE VEST GROWTH-100 BUFFER ETF - DECEMBER (QDEC) The investment objective of the FT Cboe Vest Growth-100 Buffer ETF - December (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Invesco QQQ Trust(SM), Series 1 (the "Underlying ETF"), up to a predetermined upside cap of 17.04% (before fees, expenses and taxes) and 16.14% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from December 21, 2020 to December 17, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. The Fund will not terminate at the end of the Outcome Period; instead, a subsequent Outcome Period will begin. At the start of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "QDEC." <TABLE> <CAPTION> -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (12/18/20) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 1.11% Market Price 0.81% INDEX PERFORMANCE Nasdaq 100 Stock Index 1.34% -------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 4.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 18, 2020 - FEBRUARY 28, 2021 FT Cboe Vest Growth-100 Nasdaq 100 Buffer ETF - December Stock Index <S> <C> <C> 12/18/20 $10,000 $10,000 2/28/21 10,111 10,134 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST INTERNATIONAL EQUITY BUFFER ETF - DECEMBER (YDEC) The investment objective of the FT Cboe Vest International Equity Buffer ETF - December (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the iShares MSCI EAFE ETF (the "Underlying ETF"), up to a predetermined upside cap of 13.79% (before fees, expenses and taxes) and 12.89% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from December 21, 2020 to December 17, 2021 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. The Fund will not terminate at the end of the Outcome Period; instead, a subsequent Outcome Period will begin. At the start of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "YDEC." <TABLE> <CAPTION> -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (12/18/20) to 2/28/21 <S> <C> FUND PERFORMANCE NAV 1.84% Market Price 1.55% INDEX PERFORMANCE MSCI EAFE Index 1.75% -------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 4.) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 18, 2020 - FEBRUARY 28, 2021 FT Cboe Vest International Nasdaq 100 Equity Buffer ETF - December Stock Index <S> <C> <C> 12/18/20 $10,000 $10,000 2/28/21 10,184 10,175 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 3 <PAGE> -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. Each 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. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each 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 each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 4 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to FT Cboe Vest Growth-100 Buffer ETF - December ("QDEC") and FT Cboe Vest International Equity Buffer ETF - December ("YDEC") (each a "Fund" and collectively, the "Funds"). First Trust is responsible for the ongoing monitoring of each Fund's investment portfolio, managing each Fund's business affairs and providing certain administrative services necessary for the management of each Fund. SUB-ADVISOR Cboe VestSM Financial LLC ("Cboe Vest" or the "Sub-Advisor") serves as the investment sub-advisor to the Funds. In this capacity, Cboe Vest is responsible for the selection and ongoing monitoring of the securities in each Fund's investment portfolio. Cboe Vest, with principal offices at 1765 Greensboro Station Pl., 9th Floor, McLean, Virginia 22102, was founded in 2012. Cboe Vest had approximately $2.4 billion under management or committed to management as of February 28, 2021. PORTFOLIO MANAGEMENT TEAM KARAN SOOD, MANAGING DIRECTOR OF CBOE VEST HOWARD RUBIN, MANAGING DIRECTOR OF CBOE VEST Page 5 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII UNDERSTANDING YOUR FUND EXPENSES FEBRUARY 28, 2021 (UNAUDITED) As a shareholder of FT Cboe Vest Growth-100 Buffer ETF - December and FT Cboe Vest International Equity Buffer ETF - December (each a "Fund" and collectively, the "Funds"), 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 Funds 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 (or since inception) and held through the six-month (or shorter) period ended February 28, 2021. 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 Period" to estimate the expenses you paid on your account during this six-month (or shorter) period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each 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 Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> -------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE DECEMBER 18, 2020 (a) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO DECEMBER 18, 2020 (a) FEBRUARY 28, 2021 IN THE PERIOD FEBRUARY 28, 2021 (b) -------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FT CBOE VEST GROWTH-100 BUFFER ETF - DECEMBER (QDEC) Actual $1,000.00 $1,011.10 0.90% $1.81 Hypothetical (5% return before expenses) $1,000.00 $1,020.33 0.90% $4.51 FT CBOE VEST INTERNATIONAL EQUITY BUFFER ETF - DECEMBER (YDEC) Actual $1,000.00 $1,018.40 0.90% $1.82 Hypothetical (5% return before expenses) $1,000.00 $1,020.33 0.90% $4.51 </TABLE> (a) Inception date. (b) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (December 18, 2020 through February 28, 2021), multiplied by 73/365. Hypothetical expenses are assumed for the most recent six-month period. Page 6 <PAGE> FT CBOE VEST GROWTH-100 BUFFER ETF - DECEMBER (QDEC) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 1.1% <S> <C> <C> 721,046 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 721,046 (Cost $721,046) ------------- TOTAL INVESTMENTS -- 1.1%........................................................................ 721,046 (Cost $721,046) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 108.9% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 99.2% 2,240 Invesco QQQ Trust(SM), Series 1........................ $ 70,367,360 $ 3.10 12/17/21 69,673,039 (Cost $70,026,863) ------------- PUT OPTIONS PURCHASED -- 9.7% 2,240 Invesco QQQ Trust(SM), Series 1........................ 70,367,360 310.06 12/17/21 6,789,682 (Cost $6,616,789) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 76,462,721 (Cost $76,643,652) ------------- WRITTEN OPTIONS -- (9.9)% CALL OPTIONS WRITTEN -- (3.6)% (2,240) Invesco QQQ Trust(SM), Series 1 ....................... (70,367,360) 362.89 12/17/21 (2,550,798) (Premiums received $2,778,866) ------------- PUT OPTIONS WRITTEN -- (6.3)% (2,240) Invesco QQQ Trust(SM), Series 1........................ (70,367,360) 279.05 12/17/21 (4,379,496) (Premiums received $4,214,553) ------------- TOTAL WRITTEN OPTIONS............................................................................ (6,930,294) (Premiums received $6,993,419) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (44,533) ------------- NET ASSETS -- 100.0%............................................................................. $ 70,208,940 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $400,961 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $518,767. The net unrealized depreciation was $117,806. The unrealized amounts presented are inclusive of derivative contracts. See Notes to Financial Statements Page 7 <PAGE> FT CBOE VEST GROWTH-100 BUFFER ETF - DECEMBER (QDEC) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 721,046 $ 721,046 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 721,046 721,046 -- -- Call Options Purchased........................... 69,673,039 -- 69,673,039 -- Put Options Purchased............................ 6,789,682 -- 6,789,682 -- ------------- ------------- ------------- ------------- Total............................................ $ 77,183,767 $ 721,046 $ 76,462,721 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (2,550,798) $ -- $ (2,550,798) $ -- Put Options Written.............................. (4,379,496) -- (4,379,496) -- ------------- ------------- ------------- ------------- Total............................................ $ (6,930,294) $ -- $ (6,930,294) $ -- ============= ============= ============= ============= </TABLE> Page 8 See Notes to Financial Statements <PAGE> FT CBOE VEST INTERNATIONAL EQUITY BUFFER ETF - DECEMBER (YDEC) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> SHARES DESCRIPTION VALUE -------------- ------------------------------------------------------------------------------------------------- ------------- MONEY MARKET FUNDS -- 1.2% <S> <C> <C> 92,746 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (a)........................ $ 92,746 (Cost $92,746) ------------- TOTAL INVESTMENTS -- 1.2%........................................................................ 92,746 (Cost $92,746) (b) ------------- </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE -------------- ------------------------------------------------------- ------------- ----------- ------------ ------------- PURCHASED OPTIONS -- 103.7% <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 97.3% 1,104 iShares MSCI EAFE ETF.................................. $ 8,170,704 $ 0.73 12/17/21 7,956,221 (Cost $7,900,809) ------------- PUT OPTIONS PURCHASED -- 6.4% 1,104 iShares MSCI EAFE ETF.................................. 8,170,704 72.67 12/17/21 519,414 (Cost $598,520) ------------- TOTAL PURCHASED OPTIONS.......................................................................... 8,475,635 (Cost $8,499,329) ------------- WRITTEN OPTIONS -- (4.8)% CALL OPTIONS WRITTEN -- (1.3)% (1,104) iShares MSCI EAFE ETF.................................. (8,170,704) 82.69 12/17/21 (105,914) (Premiums received $135,710) ------------- PUT OPTIONS WRITTEN -- (3.5)% (1,104) iShares MSCI EAFE ETF.................................. (8,170,704) 65.40 12/17/21 (283,509) (Premiums received $334,157) ------------- TOTAL WRITTEN OPTIONS............................................................................ (389,423) (Premiums received $469,867) ------------- NET OTHER ASSETS AND LIABILITIES -- (0.1)%....................................................... (4,954) ------------- NET ASSETS -- 100.0%............................................................................ $ 8,174,004 ============= </TABLE> ----------------------------- (a) Rate shown reflects yield as of February 28, 2021. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $135,856 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $79,106. The net unrealized appreciation was $56,750. The unrealized amounts presented are inclusive of derivative contracts. See Notes to Financial Statements Page 9 <PAGE> FT CBOE VEST INTERNATIONAL EQUITY BUFFER ETF - DECEMBER (YDEC) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- <S> <C> <C> <C> <C> Money Market Funds............................... $ 92,746 $ 92,746 $ -- $ -- ------------- ------------- ------------- ------------- Total Investments................................ 92,746 92,746 -- -- Call Options Purchased........................... 7,956,221 -- 7,956,221 -- Put Options Purchased............................ 519,414 -- 519,414 -- ------------- ------------- ------------- ------------- Total............................................ $ 8,568,381 $ 92,746 $ 8,475,635 $ -- ============= ============= ============= ============= LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 2/28/2021 PRICES INPUTS INPUTS ------------- ------------- ------------- ------------- Call Options Written............................. $ (105,914) $ -- $ (105,914) $ -- Put Options Written.............................. (283,509) -- (283,509) -- ------------- ------------- ------------- ------------- Total............................................ $ (389,423) $ -- $ (389,423) $ -- ============= ============= ============= ============= </TABLE> Page 10 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF ASSETS AND LIABILITIES FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST GROWTH-100 INTERNATIONAL BUFFER ETF - EQUITY BUFFER ETF - DECEMBER DECEMBER (QDEC) (YDEC) ----------------- ----------------- <S> <C> <C> ASSETS: Investments, at value................................................................ $ 721,046 $ 92,746 Options contracts purchased, at value................................................ 76,462,721 8,475,635 Dividends receivable................................................................. 15 2 ----------------- ----------------- Total Assets...................................................................... 77,183,782 8,568,383 ----------------- ----------------- LIABILITIES: Options contracts written, at value.................................................. 6,930,294 389,423 Investment advisory fees payable..................................................... 44,548 4,956 ----------------- ----------------- Total Liabilities................................................................. 6,974,842 394,379 ----------------- ----------------- NET ASSETS........................................................................... $ 70,208,940 $ 8,174,004 ================= ================= NET ASSETS CONSIST OF: Paid-in capital...................................................................... $ 70,368,313 $ 8,122,866 Par value............................................................................ 35,000 4,000 Accumulated distributable earnings (loss)............................................ (194,373) 47,138 ----------------- ----------------- NET ASSETS........................................................................... $ 70,208,940 $ 8,174,004 ================= ================= NET ASSET VALUE, per share........................................................... $ 20.06 $ 20.43 ================= ================= Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................................ 3,500,002 400,002 ================= ================= Investments, at cost................................................................. $ 721,046 $ 92,746 ================= ================= Premiums paid on options contracts purchased......................................... $ 76,643,652 $ 8,499,329 ================= ================= Premiums received on options contracts written....................................... $ 6,993,419 $ 469,867 ================= ================= </TABLE> See Notes to Financial Statements Page 11 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED FEBRUARY 28, 2021 (a) (UNAUDITED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST GROWTH-100 INTERNATIONAL BUFFER ETF - EQUITY BUFFER ETF - DECEMBER DECEMBER (QDEC) (YDEC) ----------------- ----------------- <S> <C> <C> INVESTMENT INCOME: Dividends............................................................................ $ 28 $ 6 ----------------- ----------------- Total investment income........................................................... 28 6 ----------------- ----------------- EXPENSES: Investment advisory fees............................................................. 76,595 9,618 ----------------- ----------------- Total expenses.................................................................... 76,595 9,618 ----------------- ----------------- NET INVESTMENT INCOME (LOSS)......................................................... (76,567) (9,612) ----------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Purchased options contracts....................................................... -- -- Written options contracts......................................................... -- -- ----------------- ----------------- Net realized gain (loss)............................................................. -- -- ----------------- ----------------- Net change in unrealized appreciation (depreciation) on: Purchased options contracts....................................................... (180,931) (23,694) Written options contracts......................................................... 63,125 80,444 ----------------- ----------------- Net change in unrealized appreciation (depreciation)................................. (117,806) 56,750 ----------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................................. (117,806) 56,750 ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................................... $ (194,373) $ 47,138 ================= ================= </TABLE> (a) Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 12 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS FOR THE PERIOD DECEMBER 18, 2020 (a) THROUGH FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FT CBOE VEST FT CBOE VEST GROWTH-100 INTERNATIONAL BUFFER ETF - EQUITY BUFFER ETF - DECEMBER DECEMBER (QDEC) (YDEC) ----------------- ----------------- <S> <C> <C> OPERATIONS: Net investment income (loss)......................................................... $ (76,567) $ (9,612) Net realized gain (loss)............................................................. -- -- Net change in unrealized appreciation (depreciation)................................. (117,806) 56,750 ----------------- ----------------- Net increase (decrease) in net assets resulting from operations...................... (194,373) 47,138 ----------------- ----------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 70,403,313 8,126,866 Cost of shares redeemed.............................................................. -- -- ----------------- ----------------- Net increase (decrease) in net assets resulting from shareholder transactions..................................................... 70,403,313 8,126,866 ----------------- ----------------- Total increase (decrease) in net assets.............................................. 70,208,940 8,174,004 NET ASSETS: Beginning of period.................................................................. -- -- ----------------- ----------------- End of period........................................................................ $ 70,208,940 $ 8,174,004 ================= ================= CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. -- -- Shares sold.......................................................................... 3,500,002 400,002 Shares redeemed...................................................................... -- -- ----------------- ----------------- Shares outstanding, end of period.................................................... 3,500,002 400,002 ================= ================= </TABLE> (a) Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Financial Statements Page 13 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD FT CBOE VEST GROWTH-100 BUFFER ETF - DECEMBER (QDEC) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 19.84 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.02) Net realized and unrealized gain (loss)........................ 0.24 --------- Total from investment operations............................... 0.22 --------- Net asset value, end of period................................. $ 20.06 ========= TOTAL RETURN (b)............................................... 1.11% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 70,209 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.90% (c) Ratio of net investment income (loss) to average net assets.... (0.90)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> FT CBOE VEST INTERNATIONAL EQUITY BUFFER ETF - DECEMBER (YDEC) <TABLE> <CAPTION> PERIOD ENDED 2/28/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 20.06 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.02) Net realized and unrealized gain (loss)........................ 0.39 --------- Total from investment operations............................... 0.37 --------- Net asset value, end of period................................. $ 20.43 ========= TOTAL RETURN (b)............................................... 1.84% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 8,174 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.90% (c) Ratio of net investment income (loss) to average net assets.... (0.90)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> (a) Inception date is December 18, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. Page 14 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on February 22, 2016, 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 thirty-seven funds that are offering shares. This report covers the two funds (each a "Fund" and collectively, "the Funds") listed below. The shares of each Fund are listed and traded on the Cboe BZX Exchange, Inc. ("Cboe BZX"). FT Cboe Vest Growth-100 Buffer ETF - December - (Cboe BZX ticker "QDEC")(1) FT Cboe Vest International Equity Buffer ETF - December - (Cboe BZX ticker "YDEC")(1) (1) Commenced investment operations on December 18, 2020. Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." Each Fund is an actively managed exchange-traded fund. The investment objective of QDEC is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the Invesco QQQ Trust(SM), Series 1 (the "Underlying ETF"), up to a predetermined upside cap of 17.04% (before fees, expenses and taxes) and 16.14% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from December 21, 2020 to December 17, 2021. The investment objective of YDEC is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the iShares MSCI EAFE ETF (the "Underlying ETF"), up to a predetermined upside cap of 13.79% (before fees, expenses and taxes) and 12.89% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against the first 10% (before fees, expenses and taxes) of Underlying ETF losses, over the period from December 21, 2020 to December 17, 2021. Under normal market conditions, each Fund will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow 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 Funds 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 Each 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. Each 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. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Exchange-traded options contracts (other than FLEX Option 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. Over-the-counter options contracts are fair valued at the mean of their Page 15 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) most recent bid and asked price, if available, and otherwise at their closing bid price. FLEX Option contracts are normally valued using a model-based price provided by a third-party pricing vendor. On days when a trade in a FLEX Option contract occurs, the trade price will be used to value such FLEX Option contracts in lieu of the model 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. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. The Funds are 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 each Fund's investments as of February 28, 2021, is included with each 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. Page 16 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) C. FLEX OPTIONS FLEX Options are customized equity or index option contracts that trade on an exchange, but provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. FLEX Options are guaranteed for settlement by the Options Clearing Corporation. Each Fund will purchase and sell call and put FLEX Options based on the performance of the Underlying ETF. The FLEX Options that each Fund will hold that reference the Underlying ETF will give each Fund the right to receive or deliver shares of the Underlying ETF on the option expiration date at a strike price, depending on whether the option is a put or call option and whether each Fund purchases or sells the option. The FLEX Options held by each Fund are European style options, which are exercisable at the strike price only on the FLEX Option expiration date. D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds 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. During their applicable taxable period, none of the Funds paid a distribution. E. INCOME TAXES Each Fund intends 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, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are 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. As of February 28, 2021, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each 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. Each 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. F. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. First Trust is paid an annual unitary management fee of 0.90% of each Fund's average daily net assets. First Trust and Cboe Vest Financial LLC ("Cboe Vest"), an affiliate of First Trust, are responsible for each Fund's expenses, including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. Page 17 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Cboe Vest serves as the Funds' sub-advisor and manages each Fund's portfolio subject to First Trust's supervision. Pursuant to the Investment Management Agreement, between the Trust, on behalf of the Funds, and the Advisor, and the Investment Sub-Advisory Agreement among the Trust, on behalf of the Funds, the Advisor and Cboe Vest, First Trust will supervise Cboe Vest and its management of the investment of each Fund's assets and will pay Cboe Vest for its services as the Funds' sub-advisor a sub-advisory fee equal to 50% of the monthly unitary management fee paid to the Advisor, less Cboe Vest's 50% share of each Fund's expenses for that month. 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 each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each 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 is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the period ended February 28, 2021, the Funds had no purchases or sales of investments, excluding short-term investments and in-kind transactions. Each Fund holds options for a target outcome period of approximately one year based on the expiration date of the options, which occurs on the third Friday of the month corresponding to the month in each Fund name. For securities transactions purposes, the options are considered short-term investments. For the period ended February 28, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales ------------ ------------ <S> <C> <C> FT Cboe Vest Growth-100 Buffer ETF - December $ 26,455,380 $ -- FT Cboe Vest International Equity Buffer ETF - December 4,522,841 -- </TABLE> 5. DERIVATIVE TRANSACTIONS The following table presents the types of derivatives held by each Fund at February 28, 2021, the primary underlying risk exposure and the location of these instruments as presented on the Statements of Assets and Liabilities. <TABLE> <CAPTION> ASSET DERIVATIVES LIABILITY DERIVATIVES --------------------------------------- --------------------------------------- DERIVATIVES STATEMENTS OF ASSETS AND STATEMENTS OF ASSETS AND INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ------------------ ------------------ -------------------------- ----------- -------------------------- ----------- <S> <C> <C> <C> <C> <C> QDEC Options contracts Options contracts Options Equity Risk purchased, at value $76,462,721 written, at value $ 6,930,294 YDEC Options contracts Options contracts Options Equity Risk purchased, at value 8,475,635 written, at value 389,423 </TABLE> Page 18 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the period ended February 28, 2021, on each Fund's derivative instruments, as well as the primary underlying risk exposure associated with the instruments. <TABLE> <CAPTION> EQUITY RISK -------------------------- STATEMENTS OF OPERATIONS LOCATION QDEC YDEC ----------------------------------- -------------------------- <S> <C> <C> Net realized gain (loss) on: Purchased options contracts $ -- $ -- Written options contracts -- -- Net change in unrealized appreciation (depreciation) on: Purchased options contracts (180,931) (23,694) Written options contracts 63,125 80,444 </TABLE> The Funds do not have the right to offset financial assets and financial liabilities related to options contracts on the Statements of Assets and Liabilities. The following table presents the premiums for purchased options contracts opened, premiums for purchased options contracts closed, exercised and expired, premiums for written options contracts opened, and premiums for written options contracts closed, exercised and expired, for the period ended February 28, 2021, on each Fund's options contracts. <TABLE> <CAPTION> PREMIUMS FOR PREMIUMS FOR PREMIUMS FOR PURCHASED WRITTEN OPTIONS PURCHASED OPTIONS CONTRACTS PREMIUMS FOR CONTRACTS CLOSED, OPTIONS CONTRACTS CLOSED, EXERCISED WRITTEN OPTIONS EXERCISED AND OPENED AND EXPIRED CONTRACTS OPENED EXPIRED ------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> QDEC $ 76,643,652 $ -- $ 6,993,419 $ -- YDEC 8,499,329 -- 469,867 -- </TABLE> 6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each 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 a 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, a 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 a 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 a 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 a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each 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 a 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. Each 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 a 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 Page 19 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 a 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. 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 Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, 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 Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before December 9, 2022 for QDEC and YDEC. 8. INDEMNIFICATION The Trust, on behalf of the Funds, 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 Funds through the date the financial statements were issued, and has determined that there were the following subsequent events: On March 22, 2021, FT Cboe Vest U.S. Equity Buffer ETF - March, FT Cboe Vest U.S. Equity Deep Buffer ETF - March, FT Cboe Vest Growth-100 Buffer ETF - March and FT Cboe Vest International Equity Buffer ETF - March, additional series of the Trust, began trading under the symbols "FMAR," "DMAR," "QMAR," and "YMAR," respectively, on Cboe BZX Exchange, Inc. On April 19, 2021, FT Cboe Vest U.S. Equity Buffer ETF - April and FT Cboe Vest U.S. Equity Deep Buffer ETF - April, additional series of the Trust, began trading under the symbols "FAPR" and "DAPR," respectively, on Cboe BZX Exchange, Inc. Page 20 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (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 each 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 each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each 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. Each 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 each Fund is available to investors within 60 days after the period to which it relates. Each 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 large 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 not concentrated. 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. 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 Page 21 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in 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. 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. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, Page 22 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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. Although the funds and the 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. ADDITIONAL RISK CONSIDERATIONS FOR TARGET OUTCOME FUNDS(R) ABSENCE OF AN ACTIVE MARKET RISK. The Funds face numerous market trading risks, including the potential lack of an active market for Fund shares due to a limited number of market markers or authorized participants. A Fund may rely on a small number of third-party market makers to provide a market for the purchase and sale of shares and market makers are under no obligation to make a market in the Fund's shares. Additionally, only a limited number of institutions act as authorized participants for a Fund and only an authorized participant may engage in creation or redemption transactions directly with the Funds and are not obligated to submit purchase or redemption orders for Creation Units. Decisions by market makers or authorized participants to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund's portfolio securities and the Fund's market price. Any trading halt or other problem relating to the trading activity of these market makers or any issues disrupting the authorized participants' ability to proceed with creation and/or redemption orders could result in a dramatic change in the spread between a Fund's net asset value and the price at which the Fund's shares are trading on the Exchange, which could result in a decrease in value of the Fund's shares. This reduced effectiveness could result in Fund shares trading at a premium or discount to net asset value and also in greater than normal intraday bid-ask spreads for Fund shares. BUFFERED LOSS RISK. There can be no guarantee that a Fund will be successful in its strategy to buffer against Underlying ETF losses if the Underlying ETF decreases over the Target Outcome Period by 10% or less. A shareholder may lose their entire investment. The Fund's strategy seeks to deliver returns that match the price return of the Underlying ETF (up to the cap), while limiting downside losses, if shares are bought on the day on which the Fund enters into the FLEX Options and held until those FLEX Options expire at the end of each Target Outcome Period. In the event an investor purchases shares after the date on which the FLEX Options were entered into or sells shares prior to the expiration of the FLEX Options, the buffer that the Fund seeks to provide may not be available. CAP CHANGE RISK. A new cap is established at the beginning of each Target Outcome Period and is dependent on prevailing market conditions. As a result, the cap may rise or fall from one Target Outcome Period to the next and is unlikely to remain the same for consecutive Target Outcome Periods. CAPPED UPSIDE RISK. The Funds' strategies seek to provide returns that match those of the Underlying ETF for Fund shares purchased on the first day of a Target Outcome Period and held for the entire Target Outcome Period, subject to a pre-determined upside cap. If an investor does not hold its Fund shares for an entire Target Outcome Period, the returns realized by that investor may not match those that the Fund seeks to achieve. If the Underlying ETF experiences gains during a Target Outcome Period, a Fund will not participate in those gains beyond the cap. In the event an investor purchases Fund shares after the first day of a Target Outcome Period and the Fund has risen in value to a level near to the cap, there may be little or no ability for that investor to experience an investment gain on their Fund shares. FLEX OPTIONS RISK. Trading FLEX Options involves risks different from, or possibly greater than, the risks associated with investing directly in securities. A Fund may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The FLEX Options are listed on an exchange; however, no one can guarantee that a liquid secondary trading market will exist for the FLEX Options. In the event that trading in the FLEX Options is limited or absent, the value of the Fund's FLEX Options may decrease. In a less liquid market for the FLEX Options, liquidating the FLEX Options may require the payment of a premium (for written FLEX Options) or acceptance of a discounted price (for purchased FLEX Options) and may take longer to complete. A less liquid trading market may adversely impact the value of the FLEX Options and Fund shares and result in the Fund being unable to achieve its investment objective. In a less liquid market for the FLEX Options, the liquidation of a large number of options may more significantly impact the price. A less liquid trading market may adversely impact the value of the FLEX Options and the value of your investment. The trading in FLEX Options may be less deep and liquid than the market for certain other exchange-traded options, non-customized options or other securities. Page 23 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Transactions in FLEX Options are required to be centrally cleared. In a transaction involving FLEX Options, the Fund's counterparty is the OCC, rather than a bank or broker. Since the Fund is not a member of the OCC and only members ("clearing members") can participate directly in the OCC, the Fund will hold its FLEX Options through accounts at clearing members. Although clearing members guarantee performance of their clients' obligations to the OCC, there is a risk that the assets of a Fund might not be fully protected in the event of a clearing member's bankruptcy, as the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member's customers for the relevant account class. Additionally, the OCC may be unable or unwilling to perform its obligations under the FLEX Options contracts. FLEX OPTIONS VALUATION RISK. The FLEX Options held by the Funds will be exercisable at the strike price only on their expiration date. Prior to the expiration date, the value of the FLEX Options will be determined based upon market quotations or using other recognized pricing methods. The value of the FLEX Options does not increase or decrease at the same rate as the Underlying ETF (although they generally move in the same direction) or its underlying securities and FLEX Option prices may be highly volatile and may fluctuate substantially during a short period of time. The value of the FLEX Options prior to the expiration date may vary because of factors other than the value of the Underlying ETF, such as interest rate changes, changing supply and demand, decreased liquidity of the FLEX Options, a change in the actual and perceived volatility of the stock market and the Underlying ETF and the remaining time to expiration. During periods of reduced market liquidity or in the absence of readily available market quotations for the holdings of the Funds, the ability of the Funds to value the FLEX Options becomes more difficult and the judgment of the Fund's investment adviser (employing the fair value procedures adopted by the Board of Trustees of the Trust) may play a greater role in the valuation of the Fund's holdings due to reduced availability of reliable objective pricing data. Consequently, while such determinations may be made in good faith, it may nevertheless be more difficult for the Fund to accurately assign a daily value. Under those circumstances, the value of the FLEX Options will require more reliance on the investment adviser's judgment than that required for securities for which there is an active trading market. This creates a risk of mispricing or improper valuation of the FLEX Options which could impact the value paid for shares of the Funds. TARGET OUTCOME PERIOD RISK. The Funds' investment strategies are designed to deliver returns that match the Underlying ETF if Fund shares are bought on the day on which the Fund enters into the FLEX Options (i.e., the first day of a Target Outcome Period) and held until those FLEX Options expire at the end of the Target Outcome Period. In the event an investor purchases Fund shares after the first day of a Target Outcome Period or sells shares prior to the expiration of the Target Outcome Period, the value of that investor's investment in Fund shares may not be buffered against a decline in the value of the Underlying ETF and may not participate in a gain in the value of the Underlying ETF up to the cap for the investor's investment period. UNDERLYING ETF RISK. The Funds invest in FLEX Options that reference an ETF, which subjects the Funds to certain of the risks of owning shares of an ETFs as well as the types of instruments in which the Underlying ETF invests. The value of an ETF will fluctuate over time based on fluctuations in the values of the securities held by the ETF, which may be affected by changes in general economic conditions, expectations for future growth and profits, interest rates and the supply and demand for those securities. In addition, ETFs are subject to authorized participant concentration risk, market maker risk, premium/discount risk, tracking error risk and trading issues risk. Brokerage, tax and other expenses may negatively impact the performance of the Underlying ETF and, in turn, the value of the Funds' shares. An ETF that tracks an index may not exactly match the performance of the index due to cash drag, differences between the portfolio of the ETF and the components of the index, expenses and other factors. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE ADVISORY AND SUB-ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT AND INVESTMENT SUB-ADVISORY AGREEMENT FOR FT CBOE VEST GROWTH-100 BUFFER ETF - DECEMBER The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"), including the Independent Trustees, approved the Investment Management Agreement (the "Advisory Agreement") with First Trust Advisors L.P. (the "Advisor") and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreement, the "Agreements") among the Trust, the Advisor and Cboe Vest Financial LLC (the "Sub-Advisor") on behalf of FT Cboe Vest Growth-100 Buffer ETF - December, a series of the Trust (the "Fund"), for an initial two-year term at a meeting held on December 7, 2020. The Board determined that the Agreements are in the best interests of the Fund in light of the nature, extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting Page 24 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) on such agreements. To assist the Board in its evaluation of the Agreements for the Fund, the Independent Trustees received a separate report from each of the Advisor and the Sub-Advisor in advance of the Board meeting responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services to be provided by the Advisor and the Sub-Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by the Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other exchange-traded funds ("ETFs") managed by the Advisor; the proposed sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; the estimated expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; the nature of expenses to be incurred in providing services to the Fund and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any fall-out benefits to the Advisor and its affiliates, First Trust Portfolios L.P. ("FTP") and First Trust Capital Partners, LLC ("FTCP"), and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Independent Trustees and their counsel also met separately to discuss the information provided by the Advisor and the Sub-Advisor. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor are reasonable business arrangements from the Fund's perspective. In evaluating whether to approve the Agreements for the Fund, the Board considered the nature, extent and quality of the services to be provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor will be responsible for the overall management and administration of the Fund and reviewed all of the services to be provided by the Advisor to the Fund, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board considered that the Fund will be an actively-managed ETF and will employ an advisor/sub-advisor management structure and considered that the Advisor manages other ETFs with a similar structure in the First Trust Fund Complex. The Board noted that the Advisor will oversee the Sub-Advisor's day-to-day management of the Fund's investments, including portfolio risk monitoring and performance review. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objective, policies and restrictions. The Board noted that employees of the Advisor provide management services to other ETFs and to other funds in the First Trust Fund Complex with diligence and care. With respect to the Sub-Advisory Agreement, in addition to the written materials provided by the Sub-Advisor, at the December 7, 2020 meeting, the Board also received a presentation from representatives of the Sub-Advisor discussing the services that the Sub-Advisor will provide to the Fund, and the Trustees were able to ask questions about the proposed investment strategy for the Fund. The Board noted the background and experience of the Sub-Advisor's portfolio management team and the Sub-Advisor's investment style. The Board also noted that the Sub-Advisor manages a number of other defined-outcome ETFs with strategies similar to those of the Fund in the First Trust Fund Complex. Because the Fund had yet to commence investment operations, the Board could not consider the historical investment performance of the Fund. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to the Fund by the Advisor and the Sub-Advisor under the Agreements are expected to be satisfactory. The Board considered the proposed unitary fee rate payable by the Fund under the Advisory Agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, the Fund would pay the Advisor a unitary fee equal to an annual rate of 0.90% of its average daily net assets. The Board considered that, from the unitary fee for the Fund, the Advisor would pay the Sub-Advisor a sub-advisory fee equal to 50% of the Fund's unitary fee less one-half of the Fund's expenses. The Board noted that the Advisor and the Sub-Advisor would be responsible for the Fund's expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Advisory Agreement and interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETF) and non-fund clients, as applicable. Because the Fund will pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for the Fund was above the median total (net) expense ratio of the peer funds in its Expense Group. With respect to the Expense Group, the Board discussed with representatives of the Advisor how the Expense Group was assembled and how the Fund compared and differed from the peer funds. The Board took this information into account in considering the peer data. With respect to fees charged to other clients, the Board considered the Advisor's statement that the Fund will be unique to the market and the First Trust Fund Complex, but will be most similar to the ETFs in the FT Cboe Vest U.S. Equity Target Outcome ETF product line in the First Trust Fund Complex that are managed by the Advisor and sub-advised by the Sub-Advisor, as well as two other actively-managed ETFs in the First Trust Fund Complex that are managed by the Advisor and employ options-based strategies, each of which pays a unitary fee equal to an annual Page 25 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) rate of 0.85% of its average daily net assets. In light of the information considered and the nature, extent and quality of the services expected to be provided to the Fund under the Agreements, the Board determined that the proposed unitary fee, including the sub-advisory fee to be paid by the Advisor to the Sub-Advisor from the unitary fee, was fair and reasonable. The Board noted that the proposed unitary fee for the Fund was not structured to pass on to shareholders the benefits of any economies of scale as the Fund's assets grow. The Board noted that any reduction in fixed costs associated with the management of the Fund would benefit the Advisor and the Sub-Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Fund. The Board noted that the Advisor has continued to hire personnel and build infrastructure, including technology, to improve the services to the funds in the First Trust Fund Complex. The Board took into consideration the types of costs to be borne by the Advisor in connection with its services to be performed for the Fund under the Advisory Agreement. The Board considered the Advisor's estimate of the asset level for the Fund at which the Advisor expects the Advisory Agreement for the Fund to be profitable to the Advisor and the Advisor's estimate of the profitability of the Advisory Agreement if the Fund's assets reach $100 million. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's estimated profitability level for the Fund was not unreasonable. The Board reviewed financial information provided by the Sub-Advisor, but did not review any potential profitability of the Sub-Advisory Agreement to the Sub-Advisor. The Board considered that the Sub-Advisor would be paid by the Advisor from the Fund's unitary fee and its understanding that the sub-advisory fee rate was the product of an arm's length negotiation. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Fund. The Board noted that FTCP has a controlling ownership interest in the Sub-Advisor's parent company and considered potential fall-out benefits to the Advisor from such ownership interest. The Board also considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP. The Board also considered the potential fall-out benefits to the Sub-Advisor from FTCP's controlling ownership interest in the Sub-Advisor's parent company. The Board noted the Sub-Advisor's statements that it does not foresee any fall-out benefits from its relationship with the Fund and that, as a policy, it does not enter into soft-dollar arrangements for the procurement of research services in connection with client securities transactions. The Board concluded that the character and amount of potential fall-out benefits to the Advisor and the Sub-Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined that the terms of the Agreements are fair and reasonable and that the approval of the Agreements is in the best interests of the Fund. No single factor was determinative in the Board's analysis. BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT AND INVESTMENT SUB-ADVISORY AGREEMENT FOR FT CBOE VEST INTERNATIONAL EQUITY BUFFER ETF - DECEMBER The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"), including the Independent Trustees, approved the Investment Management Agreement (the "Advisory Agreement") with First Trust Advisors L.P. (the "Advisor") and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreement, the "Agreements") among the Trust, the Advisor and Cboe Vest Financial LLC (the "Sub-Advisor") on behalf of FT Cboe Vest International Equity Buffer ETF - December, a series of the Trust (the "Fund"), for an initial two-year term at a meeting held on December 7, 2020. The Board determined that the Agreements are in the best interests of the Fund in light of the nature, extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreements for the Fund, the Independent Trustees received a separate report from each of the Advisor and the Sub-Advisor in advance of the Board meeting responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services to be provided by the Advisor and the Sub-Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by the Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other exchange-traded funds ("ETFs") managed by the Advisor; the proposed sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; the estimated expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; the nature of expenses to be incurred in providing services to the Fund and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any fall-out benefits to the Advisor and its affiliates, First Trust Portfolios L.P. ("FTP") and First Trust Capital Partners, LLC ("FTCP"), and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Independent Trustees and their counsel also met separately to discuss the information provided by the Advisor and the Page 26 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Sub-Advisor. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor are reasonable business arrangements from the Fund's perspective. In evaluating whether to approve the Agreements, the Board considered the nature, extent and quality of the services to be provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor will be responsible for the overall management and administration of the Fund and reviewed all of the services to be provided by the Advisor to the Fund, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board considered that the Fund will be an actively-managed ETF and will employ an advisor/sub-advisor management structure and considered that the Advisor manages other ETFs with a similar structure in the First Trust Fund Complex. The Board noted that the Advisor will oversee the Sub-Advisor's day-to-day management of the Fund's investments, including portfolio risk monitoring and performance review. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objective, policies and restrictions. The Board noted that employees of the Advisor provide management services to other ETFs and to other funds in the First Trust Fund Complex with diligence and care. With respect to the Sub-Advisory Agreement, in addition to the written materials provided by the Sub-Advisor, at the December 7, 2020 meeting, the Board also received a presentation from representatives of the Sub-Advisor discussing the services that the Sub-Advisor will provide to the Fund, and the Trustees were able to ask questions about the proposed investment strategy for the Fund. The Board noted the background and experience of the Sub-Advisor's portfolio management team and the Sub-Advisor's investment style. The Board also noted that the Sub-Advisor manages a number of other defined-outcome ETFs with strategies similar to those of the Fund in the First Trust Fund Complex. Because the Fund had yet to commence investment operations, the Board could not consider the historical investment performance of the Fund. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to the Fund by the Advisor and the Sub-Advisor under the Agreements are expected to be satisfactory. The Board considered the proposed unitary fee rate payable by the Fund under the Advisory Agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, the Fund would pay the Advisor a unitary fee equal to an annual rate of 0.90% of its average daily net assets. The Board considered that, from the unitary fee for the Fund, the Advisor would pay the Sub-Advisor a sub-advisory fee equal to 50% of the Fund's unitary fee less one-half of the Fund's expenses. The Board noted that the Advisor and the Sub-Advisor would be responsible for the Fund's expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Advisory Agreement and interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETF) and non-fund clients, as applicable. Because the Fund will pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for the Fund was equal to the median total (net) expense ratio of the peer funds in its Expense Group. With respect to the Expense Group, the Board discussed with representatives of the Advisor how the Expense Group were assembled and how the Fund compared and differed from the peer funds. The Board took this information into account in considering the peer data. With respect to fees charged to other clients, the Board considered the Advisor's statement that the Fund will be unique to the market and the First Trust Fund Complex, but will be most similar to the ETFs in the FT Cboe Vest U.S. Equity Target Outcome ETF product line in the First Trust Fund Complex that are managed by the Advisor and sub-advised by the Sub-Advisor, as well as two other actively-managed ETFs in the First Trust Fund Complex that are managed by the Advisor and employ options-based strategies, each of which pays a unitary fee equal to an annual rate of 0.85% of its average daily net assets. In light of the information considered and the nature, extent and quality of the services expected to be provided to the Fund under the Agreements, the Board determined that the proposed unitary fee, including the sub-advisory fee to be paid by the Advisor to the Sub-Advisor from the unitary fee, was fair and reasonable. The Board noted that the proposed unitary fee for the Fund was not structured to pass on to shareholders the benefits of any economies of scale as the Fund's assets grow. The Board noted that any reduction in fixed costs associated with the management of the Fund would benefit the Advisor and the Sub-Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Fund. The Board noted that the Advisor has continued to hire personnel and build infrastructure, including technology, to improve the services to the funds in the First Trust Fund Complex. The Board took into consideration the types of costs to be borne by the Advisor in connection with its services to be performed for the Fund under the Advisory Agreement. The Board considered the Advisor's estimate of the asset level for the Fund at which the Advisor expects the Advisory Agreement for the Fund to be profitable to the Advisor and the Advisor's estimate of the profitability of the Advisory Agreement if the Fund's assets reach $100 million. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's estimated profitability level for the Fund was not unreasonable. The Board reviewed financial information provided by the Sub-Advisor, but did not review any potential profitability of the Sub-Advisory Agreement to the Page 27 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Sub-Advisor. The Board considered that the Sub-Advisor would be paid by the Advisor from the Fund's unitary fee and its understanding that the sub-advisory fee rate was the product of an arm's length negotiation. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Fund. The Board noted that FTCP has a controlling ownership interest in the Sub-Advisor's parent company and considered potential fall-out benefits to the Advisor from such ownership interest. The Board also considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP. The Board also considered the potential fall-out benefits to the Sub-Advisor from FTCP's controlling ownership interest in the Sub-Advisor's parent company. The Board noted the Sub-Advisor's statements that it does not foresee any fall-out benefits from its relationship with the Fund and that, as a policy, it does not enter into soft-dollar arrangements for the procurement of research services in connection with client securities transactions. The Board concluded that the character and amount of potential fall-out benefits to the Advisor and the Sub-Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined that the terms of the Agreements are fair and reasonable and that the approval of the Agreements is in the best interests of the Fund. No single factor was determinative in the Board's analysis. Page 28 <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 INVESTMENT SUB-ADVISOR Cboe Vest Financial LLC 1765 Greensboro Station Pl, 9th Floor McLean, VA 22102 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 111 W. Monroe Street Chicago, IL 60603 <PAGE> [BLANK BACK COVER] <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- First Trust Active Factor Large Cap ETF (AFLG) First Trust Active Factor Mid Cap ETF (AFMC) First Trust Active Factor Small Cap ETF (AFSM) ---------------------------- Semi-Annual Report For the Six Months Ended February 28, 2021 ---------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview First Trust Active Factor Large Cap ETF (AFLG)............................ 2 First Trust Active Factor Mid Cap ETF (AFMC).............................. 4 First Trust Active Factor Small Cap ETF (AFSM)............................ 6 Notes to Fund Performance Overview........................................... 8 Portfolio Management......................................................... 9 Understanding Your Fund Expenses............................................. 10 Portfolio of Investments First Trust Active Factor Large Cap ETF (AFLG)............................ 11 First Trust Active Factor Mid Cap ETF (AFMC).............................. 16 First Trust Active Factor Small Cap ETF (AFSM)............................ 21 Statements of Assets and Liabilities......................................... 27 Statements of Operations..................................................... 28 Statements of Changes in Net Assets.......................................... 29 Financial Highlights......................................................... 32 Notes to Financial Statements................................................ 34 Additional Information....................................................... 39 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 any series of First Trust Exchange-Traded Fund VIII (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") 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 any Fund described in this report will achieve its investment objective. Each 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 a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds. 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 each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. The statistical information that follows may help you understand each 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 each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO FEBRUARY 28, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for certain series of the First Trust Exchange-Traded Fund VIII (the "Funds"), which contains detailed information about the Funds for the six months ended February 28, 2021. For the better part of the past year, we Americans have been operating under the premise that the U.S. government's decision to inject trillions of dollars of capital into the economy was likely the best approach to keeping it propped up until one or more coronavirus ("COVID-19") vaccines could garner approval from the Food and Drug Administration ("FDA"). In other words, we have literally been buying time until a remedy for this virus could be discovered, approved, manufactured, and brought to market. While the jury may still be out with respect to whether or not such a massive amount of money was truly necessary, I am pleased to report that we now have three FDA-approved vaccines, and we got them in record time. Nobody thought it was possible to accomplish this task within the scope of 12 months. Even the most experienced scientists, including Dr. Anthony Fauci, were hoping for one by the 18-month mark at best. When you combine the number of people who have already contracted COVID-19 and developed the antibodies to it along with the people who are projected to receive the vaccine in the weeks ahead it is conceivable that the U.S. population could achieve a type of herd immunity - where at least 70% of the population develops antibodies - by the end of April 2021, according to Brian Wesbury, Chief Economist at First Trust. Keep in mind that Wesbury's April target is probably more optimistic than most, but I am willing to wager that he has done considerably more in-depth research on the pandemic than most. Achieving herd immunity sooner than expected is a potential boon for investors, in my opinion. Think about how much more optimistic consumers are likely to be once the entire U.S. economy is deemed open for business. Consider how much pent up demand there could be for activities such as leisure travel, attending theme parks, ballparks and movie theaters, as well as dining out and in-store shopping. Best of all, think about how achieving herd immunity could expedite putting at least some of the 10 million or so Americans who lost their jobs due to the pandemic back to work. Corporate executives seem ready to go. The Conference Board reported that its first quarter 2021 survey, which tracks CEO confidence levels, hit its highest reading since the first quarter of 2004, when the measure stood at 74, according to its own release. The measure currently stands at 73, up from 64 in the third quarter of 2020. A reading above 50 points reflects more positive than negative responses. Eighty-two percent of those CEOs polled expect economic conditions to improve over the next six months. Looking out 12 months, 47% of CEOs expect to grow their workforce. Investors, like top executives, should keep at least one eye on the future. What might the future hold for investors? The stimulus designed to mitigate the fallout from the pandemic comes at a cost. No free lunch! The added Treasury debt used to fund the stimulus will have to be paid back at some point - just not anytime soon. Expect economic growth to accelerate. The outlook for U.S. economic growth is robust, according to the Federal Reserve (the "Fed"). On March 17, 2021, the Fed raised its forecast for real gross domestic product this year from 4.2% to 6.5%, largely due to the passage of the $1.9 trillion American Rescue Plan Act of 2021, according to Wesbury. The outlook for corporate earnings is optimistic. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 24.35% and 15.20%, respectively, as of March 19, 2021. While the Fed continues to stick to its mandate of keeping short-term lending rates at a quarter-point through at least 2022, there is less certainty when it comes to the direction of inflation and intermediate to long-term bond yields. The yield on the 10-Year Treasury Note has already risen 70 basis points this year to 1.62% (thru March 23), according to Bloomberg. The prospects for robust economic activity moving forward suggests to us that investors should prepare for higher inflation and higher bond yields and adjust their investment portfolios accordingly, if necessary. We encourage investors to remain engaged and to stay invested. 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 Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 1 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) The First Trust Active Factor Large Cap ETF (the "Fund") seeks to provide capital appreciation. Under normal market conditions, the Fund will invest at least 80% of its net assets (including investment borrowings) in U.S.-listed equity securities issued by large capitalization companies. The Fund defines large capitalization companies as those that, at the time of investment, have a minimum market capitalization equal to or greater than the minimum market capitalization of a widely recognized index of large capitalization companies based upon the composition of the index at the time of investment. The Fund is actively managed primarily relying on a multi-factor quantitative methodology with active risk management to construct a portfolio of securities exhibiting exposures to one or more investing factors. The multi-factor quantitative methodology currently used by the Fund may take into account the following factors: (i) value; (ii) momentum; (iii) quality; and (iv) low volatility. The Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the NYSE Arca, Inc., under the ticker symbol "AFLG." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (12/3/19) (12/3/19) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 9.47% 24.98% 13.34% 16.78% Market Price 9.22% 24.80% 13.26% 16.68% INDEX PERFORMANCE S&P 500(R) Index 9.74% 31.29% 20.50% 25.98% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 8.) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Information Technology 25.71% Health Care 13.12 Consumer Discretionary 13.10 Industrials 11.58 Communication Services 10.75 Financials 8.24 Consumer Staples 4.59 Materials 3.85 Utilities 3.55 Real Estate 2.91 Energy 2.60 -------- Total 100.00% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Apple, Inc. 4.15% Microsoft Corp. 3.51 Amazon.com, Inc. 2.45 Alphabet, Inc., Class A 2.31 Target Corp. 1.33 Walmart, Inc. 1.15 Berkshire Hathaway, Inc., Class B 1.12 Verizon Communications, Inc. 1.10 Quanta Services, Inc. 1.03 Johnson & Johnson 1.03 -------- Total 19.18% ======== Page 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 3, 2019 - FEBRUARY 28, 2021 First Trust Active S&P 500(R) Factor Large Cap ETF Index <S> <C> <C> 12/3/19 $10,000 $10,000 2/29/20 9,344 9,595 8/31/20 10,667 11,479 2/28/21 11,677 12,597 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) The First Trust Active Factor Mid Cap ETF (the "Fund") seeks to provide capital appreciation. Under normal market conditions, the Fund will invest at least 80% of its net assets (including investment borrowings) in U.S.-listed equity securities issued by mid capitalization companies. The Fund defines mid capitalization companies as those that, at the time of investment, have a market capitalization between the minimum and maximum market capitalization of a widely recognized index of mid capitalization companies based upon the composition of the index at the time of investment. The Fund is actively managed primarily relying on a multi-factor quantitative methodology with active risk management to construct a portfolio of securities exhibiting exposures to one or more investing factors. The multi-factor quantitative methodology currently used by the Fund may take into account the following factors: (i) value; (ii) momentum; (iii) quality; and (iv) low volatility. The Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the NYSE Arca, Inc., under the ticker symbol "AFMC." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (12/3/19) (12/3/19) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 27.31% 29.93% 14.75% 18.58% Market Price 26.99% 29.75% 14.67% 18.48% INDEX PERFORMANCE S&P MidCap 400 Index 30.45% 39.79% 22.32% 28.34% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 8.) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Industrials 17.88% Information Technology 16.02 Consumer Discretionary 15.96 Financials 14.12 Health Care 12.25 Materials 6.56 Real Estate 5.88 Consumer Staples 3.97 Communication Services 3.09 Utilities 2.85 Energy 1.42 -------- Total 100.00% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- AGCO Corp. 1.55% Generac Holdings, Inc. 1.51 Commercial Metals Co. 1.07 Brunswick Corp. 1.07 Jefferies Financial Group, Inc. 1.04 Zebra Technologies Corp., Class A 1.04 Regal Beloit Corp. 1.02 Molina Healthcare, Inc. 0.99 AMC Networks, Inc., Class A 0.99 Reliance Steel & Aluminum Co. 0.89 -------- Total 11.17% ======== Page 4 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 3, 2019 - FEBRUARY 28, 2021 First Trust Active Factor S&P MidCap 400 Mid Cap ETF Index <S> <C> <C> 12/3/19 $10,000 $10,000 2/29/20 9,126 9,181 8/31/20 9,314 9,838 2/28/21 11,858 12,834 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 5 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) The First Trust Active Factor Small Cap ETF (the "Fund") seeks to provide capital appreciation. Under normal market conditions, the Fund will invest at least 80% of its net assets (including investment borrowings) in U.S.-listed equity securities issued by small capitalization companies. The Fund defines small capitalization companies as those that, at the time of investment, have a market capitalization between a minimum of $250 million and the maximum market capitalization of a widely recognized index of small capitalization companies based upon the composition of the index at the time of investment. The Fund is actively managed primarily relying on a multi-factor quantitative methodology with active risk management to construct a portfolio of securities exhibiting exposures to one or more investing factors. The multi-factor quantitative methodology currently used by the Fund may take into account the following factors: (i) value; (ii) momentum; (iii) quality; and (iv) low volatility. The Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the NYSE Arca, Inc., under the ticker symbol "AFSM." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (12/3/19) (12/3/19) 2/28/21 2/28/21 to 2/28/21 to 2/28/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 34.03% 38.74% 19.43% 24.60% Market Price 33.97% 38.61% 19.39% 24.55% INDEX PERFORMANCE Russell 2000(R) Index 41.69% 51.00% 30.90% 39.58% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 8.) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Health Care 20.92% Industrials 16.82 Information Technology 14.79 Consumer Discretionary 14.73 Financials 13.81 Consumer Staples 5.13 Real Estate 4.54 Materials 3.13 Energy 2.33 Communication Services 2.08 Utilities 1.72 -------- Total 100.00% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Hibbett Sports, Inc. 1.07% Boise Cascade Co. 0.97 ModivCare, Inc. 0.92 Generac Holdings, Inc. 0.91 ArcBest Corp. 0.88 Rent-A-Center, Inc. 0.84 Medifast, Inc. 0.82 TechTarget, Inc. 0.80 Digital Turbine, Inc. 0.79 Vista Outdoor, Inc. 0.76 -------- Total 8.76% ======== Page 6 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 3, 2019 - FEBRUARY 28, 2021 First Trust Active Factor Russell 2000(R) Small Cap ETF Index <S> <C> <C> 12/3/19 $10,000 $10,000 2/29/20 8,981 9,244 8/31/20 9,297 9,851 2/28/21 12,461 13,958 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 7 <PAGE> -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the period since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. Each 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. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each 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 each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 8 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII SEMI-ANNUAL REPORT FEBRUARY 28, 2021 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") serves as the investment advisor to the Funds. First Trust is responsible for the selection and ongoing monitoring of the securities in the Fund's portfolio and certain other services necessary for the management of the portfolios. PORTFOLIO MANAGEMENT TEAM DANIEL J. LINDQUIST, CHAIRMAN OF THE INVESTMENT COMMITTEE AND MANAGING DIRECTOR OF FIRST TRUST JON C. ERICKSON, SENIOR VICE PRESIDENT OF FIRST TRUST DAVID G. MCGAREL, CHIEF INVESTMENT OFFICER, CHIEF OPERATING OFFICER AND MANAGING DIRECTOR OF FIRST TRUST ROGER F. TESTIN, SENIOR VICE PRESIDENT OF FIRST TRUST STAN UELAND, SENIOR VICE PRESIDENT OF FIRST TRUST CHRIS A. PETERSON, SENIOR VICE PRESIDENT OF FIRST TRUST Page 9 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII UNDERSTANDING YOUR FUND EXPENSES FEBRUARY 28, 2021 (UNAUDITED) As a shareholder of First Trust Active Factor Large Cap ETF, First Trust Active Factor Mid Cap ETF or First Trust Active Factor Small Cap ETF (each a "Fund" and collectively, the "Funds"), 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 Funds 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 February 28, 2021. 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 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 each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each 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 Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ---------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH SEPTEMBER 1, 2020 FEBRUARY 28, 2021 PERIOD PERIOD (a) ---------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) Actual $1,000.00 $1,094.70 0.55% $2.86 Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.55% $2.76 FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) Actual $1,000.00 $1,273.10 0.65% $3.66 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) (b) Actual $1,000.00 $1,340.30 0.75% $4.35 Hypothetical (5% return before expenses) $1,000.00 $1,021.08 0.75% $3.76 </TABLE> (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2020 through February 28, 2021), multiplied by 181/365 (to reflect the six-month period). (b) Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund may invest. Page 10 <PAGE> FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 99.6% AEROSPACE & DEFENSE -- 0.7% 20 General Dynamics Corp. $ 3,269 80 Huntington Ingalls Industries, Inc. 14,073 75 L3Harris Technologies, Inc. 13,643 15 Lockheed Martin Corp. 4,954 10 Northrop Grumman Corp. 2,917 ------------- 38,856 ------------- AIR FREIGHT & LOGISTICS -- 0.9% 134 C.H. Robinson Worldwide, Inc. 12,174 194 Expeditors International of Washington, Inc. 17,817 154 United Parcel Service, Inc., Class B 24,306 ------------- 54,297 ------------- AUTO COMPONENTS -- 0.6% 701 BorgWarner, Inc. 31,545 ------------- AUTOMOBILES -- 0.2% 15 Tesla, Inc. (a) 10,133 ------------- BANKS -- 2.0% 264 Citizens Financial Group, Inc. 11,468 134 JPMorgan Chase & Co. 19,721 20 M&T Bank Corp. 3,019 814 People's United Financial, Inc. 14,603 408 Regions Financial Corp. 8,417 949 Wells Fargo & Co. 34,325 388 Zions Bancorp N.A. 20,630 ------------- 112,183 ------------- BEVERAGES -- 0.5% 328 Monster Beverage Corp. (a) 28,779 ------------- BIOTECHNOLOGY -- 1.4% 173 AbbVie, Inc. 18,639 25 Alexion Pharmaceuticals, Inc. (a) 3,819 30 Amgen, Inc. 6,748 59 Biogen, Inc. (a) 16,100 433 Gilead Sciences, Inc. 26,586 15 Regeneron Pharmaceuticals, Inc. (a) 6,758 ------------- 78,650 ------------- BUILDING PRODUCTS -- 2.1% 562 A.O. Smith Corp. 33,366 94 Fortune Brands Home & Security, Inc. 7,815 438 Johnson Controls International PLC 24,436 25 Lennox International, Inc. 6,994 348 Masco Corp. 18,521 204 Trane Technologies PLC 31,261 ------------- 122,393 ------------- CAPITAL MARKETS -- 1.4% 288 Bank of New York Mellon (The) Corp. 12,142 35 BlackRock, Inc. 24,308 1,113 Franklin Resources, Inc. 29,127 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 85 T. Rowe Price Group, Inc. $ 13,782 ------------- 79,359 ------------- CHEMICALS -- 1.3% 457 Corteva, Inc. 20,633 99 Eastman Chemical Co. 10,817 119 PPG Industries, Inc. 16,044 65 Scotts Miracle-Gro (The) Co. 13,855 15 Sherwin-Williams (The) Co. 10,205 ------------- 71,554 ------------- COMMERCIAL SERVICES & SUPPLIES -- 0.4% 10 Cintas Corp. 3,244 661 Rollins, Inc. 21,925 ------------- 25,169 ------------- COMMUNICATIONS EQUIPMENT -- 2.2% 879 Cisco Systems, Inc. 39,441 234 F5 Networks, Inc. (a) 44,455 1,029 Juniper Networks, Inc. 23,955 60 Ubiquiti, Inc. 19,135 ------------- 126,986 ------------- CONSTRUCTION & ENGINEERING -- 1.0% 696 Quanta Services, Inc. 58,360 ------------- CONSUMER FINANCE -- 0.3% 433 Synchrony Financial 16,748 ------------- CONTAINERS & PACKAGING -- 1.0% 70 Avery Dennison Corp. 12,265 154 Ball Corp. 13,150 338 International Paper Co. 16,782 104 Packaging Corp. of America 13,730 ------------- 55,927 ------------- DISTRIBUTORS -- 0.4% 30 Genuine Parts Co. 3,161 239 LKQ Corp. (a) 9,414 35 Pool Corp. 11,717 ------------- 24,292 ------------- DIVERSIFIED FINANCIAL SERVICES -- 1.3% 264 Berkshire Hathaway, Inc., Class B (a) 63,495 358 Equitable Holdings, Inc. 10,586 ------------- 74,081 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.0% 1,333 AT&T, Inc. 37,177 1,129 Lumen Technologies, Inc. 13,875 1,129 Verizon Communications, Inc. 62,434 ------------- 113,486 ------------- See Notes to Financial Statements Page 11 <PAGE> FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 1.9% 403 Evergy, Inc. $ 21,613 607 Exelon Corp. 23,430 512 NextEra Energy, Inc. 37,622 735 NRG Energy, Inc. 26,835 ------------- 109,500 ------------- ELECTRICAL EQUIPMENT -- 0.8% 60 Eaton Corp. PLC 7,811 99 Emerson Electric Co. 8,504 94 Generac Holdings, Inc. (a) 30,979 ------------- 47,294 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0% 50 CDW Corp. 7,845 70 Keysight Technologies, Inc. (a) 9,906 139 TE Connectivity Ltd. 18,074 45 Zebra Technologies Corp., Class A (a) 22,474 ------------- 58,299 ------------- ENERGY EQUIPMENT & SERVICES -- 0.1% 144 Baker Hughes Co. 3,525 ------------- ENTERTAINMENT -- 1.3% 343 Activision Blizzard, Inc. 32,794 90 Electronic Arts, Inc. 12,057 20 Roku, Inc. (a) 7,910 104 Take-Two Interactive Software, Inc. (a) 19,184 ------------- 71,945 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.3% 204 Equity Residential 13,344 40 Essex Property Trust, Inc. 10,191 149 Extra Space Storage, Inc. 18,729 696 Host Hotels & Resorts, Inc. 11,547 333 Iron Mountain, Inc. 11,585 94 Mid-America Apartment Communities, Inc. 12,665 189 Public Storage 44,215 40 Regency Centers Corp. 2,191 35 SBA Communications Corp. 8,929 ------------- 133,396 ------------- FOOD & STAPLES RETAILING -- 1.7% 55 Costco Wholesale Corp. 18,205 443 Kroger (The) Co. 14,269 502 Walmart, Inc. 65,220 ------------- 97,694 ------------- FOOD PRODUCTS -- 0.3% 94 General Mills, Inc. 5,171 114 J.M. Smucker (The) Co. 12,768 ------------- 17,939 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.5% 204 Abbott Laboratories $ 24,435 50 ABIOMED, Inc. (a) 16,228 5 Align Technology, Inc. (a) 2,836 179 Danaher Corp. 39,321 239 DENTSPLY SIRONA, Inc. 12,684 80 Hologic, Inc. (a) 5,767 60 IDEXX Laboratories, Inc. (a) 31,210 40 Masimo Corp. (a) 10,029 55 Medtronic PLC 6,433 30 Quidel Corp. (a) 4,928 45 ResMed, Inc. 8,675 139 West Pharmaceutical Services, Inc. 39,010 ------------- 201,556 ------------- HEALTH CARE PROVIDERS & SERVICES -- 2.5% 55 AmerisourceBergen Corp. 5,567 64 Anthem, Inc. 19,404 298 Cardinal Health, Inc. 15,353 20 Cigna Corp. 4,198 114 CVS Health Corp. 7,767 119 DaVita, Inc. (a) 12,153 114 Henry Schein, Inc. (a) 7,051 30 Humana, Inc. 11,390 35 McKesson Corp. 5,933 30 Molina Healthcare, Inc. (a) 6,503 60 Quest Diagnostics, Inc. 6,935 85 UnitedHealth Group, Inc. 28,239 80 Universal Health Services, Inc., Class B 10,026 ------------- 140,519 ------------- HEALTH CARE TECHNOLOGY -- 0.6% 333 Cerner Corp. 23,024 40 Veeva Systems, Inc., Class A (a) 11,204 ------------- 34,228 ------------- HOTELS, RESTAURANTS & LEISURE -- 0.6% 20 Chipotle Mexican Grill, Inc. (a) 28,840 10 Domino's Pizza, Inc. 3,465 ------------- 32,305 ------------- HOUSEHOLD DURABLES -- 1.4% 239 D.R. Horton, Inc. 18,372 149 Garmin Ltd. 18,479 149 Lennar Corp., Class A 12,362 65 Mohawk Industries, Inc. (a) 11,374 134 Newell Brands, Inc. 3,105 323 PulteGroup, Inc. 14,571 20 Whirlpool Corp. 3,802 ------------- 82,065 ------------- HOUSEHOLD PRODUCTS -- 0.4% 45 Clorox (The) Co. 8,147 189 Colgate-Palmolive Co. 14,213 ------------- 22,360 ------------- Page 12 See Notes to Financial Statements <PAGE> FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 114 AES (The) Corp. $ 3,028 1,222 Vistra Corp. 21,079 ------------- 24,107 ------------- INDUSTRIAL CONGLOMERATES -- 0.7% 99 3M Co. 17,331 124 Honeywell International, Inc. 25,091 ------------- 42,422 ------------- INSURANCE -- 3.3% 269 Aflac, Inc. 12,882 254 Allstate (The) Corp. 27,076 70 Aon PLC, Class A 15,940 124 Arthur J. Gallagher & Co. 14,855 60 Assurant, Inc. 7,393 114 Chubb Ltd. 18,534 264 CNA Financial Corp. 11,231 60 Hartford Financial Services Group (The), Inc. 3,041 65 Loews Corp. 3,108 303 Progressive (The) Corp. 26,043 239 Travelers (The) Cos., Inc. 34,775 413 Unum Group 10,936 ------------- 185,814 ------------- INTERACTIVE MEDIA & SERVICES -- 4.3% 65 Alphabet, Inc., Class A (a) 131,424 119 Match Group, Inc. (a) 18,189 298 Pinterest, Inc., Class A (a) 24,013 507 Snap, Inc., Class A (a) 33,290 224 Zillow Group, Inc., Class C (a) 36,138 ------------- 243,054 ------------- INTERNET & DIRECT MARKETING RETAIL -- 4.1% 45 Amazon.com, Inc. (a) 139,182 5 Booking Holdings, Inc. (a) 11,642 55 Chewy, Inc., Class A (a) 5,586 964 eBay, Inc. 54,389 75 Etsy, Inc. (a) 16,520 15 Wayfair, Inc., Class A (a) 4,335 ------------- 231,654 ------------- IT SERVICES -- 4.7% 154 Accenture PLC, Class A 38,639 20 Automatic Data Processing, Inc. 3,480 378 Cognizant Technology Solutions Corp., Class A 27,775 10 EPAM Systems, Inc. (a) 3,736 249 International Business Machines Corp. 29,613 144 Jack Henry & Associates, Inc. 21,375 30 MongoDB, Inc. (a) 11,578 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- IT SERVICES (CONTINUED) 55 Okta, Inc. (a) $ 14,380 80 Paychex, Inc. 7,286 134 PayPal Holdings, Inc. (a) 34,820 129 Square, Inc., Class A (a) 29,674 99 Visa, Inc., Class A 21,027 1,054 Western Union (The) Co. 24,474 ------------- 267,857 ------------- LEISURE PRODUCTS -- 0.2% 104 Peloton Interactive, Inc., Class A (a) 12,529 ------------- LIFE SCIENCES TOOLS & SERVICES -- 2.1% 199 Agilent Technologies, Inc. 24,292 45 Bio-Rad Laboratories, Inc., Class A (a) 26,302 40 Bio-Techne Corp. 14,468 10 Illumina, Inc. (a) 4,394 10 Mettler-Toledo International, Inc. (a) 11,161 35 PerkinElmer, Inc. 4,413 65 Thermo Fisher Scientific, Inc. 29,255 15 Waters Corp. (a) 4,108 ------------- 118,393 ------------- MACHINERY -- 2.7% 99 Caterpillar, Inc. 21,372 169 Cummins, Inc. 42,791 124 Deere & Co. 43,291 149 Graco, Inc. 10,333 30 Illinois Tool Works, Inc. 6,065 104 Pentair PLC 5,817 94 Snap-on, Inc. 19,092 30 Xylem, Inc. 2,987 ------------- 151,748 ------------- MEDIA -- 2.9% 790 Comcast Corp., Class A 41,649 920 Discovery, Inc., Class A (a) 48,788 829 Fox Corp., Class A 27,614 1,476 News Corp., Class A 34,612 203 Omnicom Group, Inc. 13,952 ------------- 166,615 ------------- METALS & MINING -- 1.6% 746 Arconic Corp. (a) 16,352 224 Newmont Corp. 12,181 521 Nucor Corp. 31,166 438 Southern Copper Corp. 31,243 ------------- 90,942 ------------- MULTILINE RETAIL -- 1.9% 99 Dollar General Corp. 18,710 99 Dollar Tree, Inc. (a) 9,722 124 Kohl's Corp. 6,851 413 Target Corp. 75,761 ------------- 111,044 ------------- See Notes to Financial Statements Page 13 <PAGE> FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES -- 0.7% 298 Consolidated Edison, Inc. $ 19,564 388 Public Service Enterprise Group, Inc. 20,886 ------------- 40,450 ------------- OIL, GAS & CONSUMABLE FUELS -- 2.5% 547 Chevron Corp. 54,700 129 ConocoPhillips 6,709 194 Devon Energy Corp. 4,179 209 EOG Resources, Inc. 13,493 905 Exxon Mobil Corp. 49,205 253 HollyFrontier Corp. 9,583 35 Phillips 66 2,907 45 Valero Energy Corp. 3,464 ------------- 144,240 ------------- PERSONAL PRODUCTS -- 0.6% 124 Estee Lauder (The) Cos., Inc., Class A 35,447 ------------- PHARMACEUTICALS -- 3.0% 328 Bristol-Myers Squibb Co. 20,116 144 Eli Lilly and Co. 29,504 368 Johnson & Johnson 58,313 487 Merck & Co., Inc. 35,366 487 Pfizer, Inc. 16,310 131 Viatris, Inc. (a) 1,945 65 Zoetis, Inc. 10,091 ------------- 171,645 ------------- PROFESSIONAL SERVICES -- 1.3% 327 Booz Allen Hamilton Holding Corp. 25,224 35 Jacobs Engineering Group, Inc. 4,028 124 Leidos Holdings, Inc. 10,968 452 Robert Half International, Inc. 35,161 ------------- 75,381 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% 423 CBRE Group, Inc., Class A (a) 32,051 ------------- ROAD & RAIL -- 0.4% 94 Old Dominion Freight Line, Inc. 20,188 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.1% 55 Advanced Micro Devices, Inc. (a) 4,648 174 Applied Materials, Inc. 20,565 20 Enphase Energy, Inc. (a) 3,521 820 Intel Corp. 49,840 35 Lam Research Corp. 19,852 139 QUALCOMM, Inc. 18,930 134 Teradyne, Inc. 17,234 238 Texas Instruments, Inc. 41,000 ------------- 175,590 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- SOFTWARE -- 8.3% 50 Adobe, Inc. (a) $ 22,983 10 ANSYS, Inc. (a) 3,410 30 Autodesk, Inc. (a) 8,280 154 Cadence Design Systems, Inc. (a) 21,728 204 Citrix Systems, Inc. 27,250 60 DocuSign, Inc. (a) 13,600 20 Fair Isaac Corp. (a) 9,151 45 HubSpot, Inc. (a) 23,175 55 Intuit, Inc. 21,458 859 Microsoft Corp. 199,614 471 NortonLifeLock, Inc. 9,189 20 Nuance Communications, Inc. (a) 892 403 Oracle Corp. 25,998 30 Palo Alto Networks, Inc. (a) 10,749 25 PTC, Inc. (a) 3,423 174 SS&C Technologies Holdings, Inc. 11,533 94 Synopsys, Inc. (a) 23,050 75 Tyler Technologies, Inc. (a) 34,756 25 Zendesk, Inc. (a) 3,654 ------------- 473,893 ------------- SPECIALTY RETAIL -- 2.5% 20 Advance Auto Parts, Inc. 3,207 5 AutoZone, Inc. (a) 5,800 283 Best Buy Co., Inc. 28,399 114 Gap (The), Inc. (a) 2,844 99 Home Depot (The), Inc. 25,576 80 L Brands, Inc. 4,373 234 Lowe's Cos., Inc. 37,381 10 O'Reilly Automotive, Inc. (a) 4,473 204 Tractor Supply Co. 32,428 ------------- 144,481 ------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 6.3% 1,942 Apple, Inc. 235,487 1,277 HP, Inc. 36,995 537 NetApp, Inc. 33,616 512 Seagate Technology PLC 37,494 567 Xerox Holdings Corp. 14,447 ------------- 358,039 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 348 NIKE, Inc., Class B 46,903 149 Ralph Lauren Corp. 17,445 ------------- 64,348 ------------- TOBACCO -- 1.0% 393 Altria Group, Inc. 17,135 492 Philip Morris International, Inc. 41,338 ------------- 58,473 ------------- Page 14 See Notes to Financial Statements <PAGE> FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS -- 0.4% 308 Fastenal Co. $ 14,282 20 W.W. Grainger, Inc. 7,454 ------------- 21,736 ------------- WATER UTILITIES -- 0.5% 194 American Water Works Co., Inc. 27,525 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 129 T-Mobile US, Inc. (a) 15,476 ------------- TOTAL COMMON STOCKS -- 99.6% 5,680,565 (Cost $5,304,073) ------------- MONEY MARKET FUNDS -- 0.3% 17,855 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 17,855 (Cost $17,855) ------------- TOTAL INVESTMENTS -- 99.9% 5,698,420 (Cost $5,321,928) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 5,540 ------------- NET ASSETS -- 100.0% $ 5,703,960 ============= (a) Non-income producing security. (b) Rate shown reflects yield as of February 28, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $447,412 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $70,920. The net unrealized appreciation was $376,492. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------- Common Stocks* $5,680,565 $ -- $ -- Money Market Funds 17,855 -- -- --------------------------------------- Total Investments $5,698,420 $ -- $ -- ======================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 15 <PAGE> FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 0.3% 44 Huntington Ingalls Industries, Inc. $ 7,740 ------------- AUTO COMPONENTS -- 0.9% 185 Gentex Corp. 6,545 54 Lear Corp. 8,969 44 Visteon Corp. (a) 5,596 ------------- 21,110 ------------- BANKS -- 4.9% 389 Associated Banc-Corp. 7,838 110 East West Bancorp, Inc. 7,938 24 First Citizens BancShares, Inc., Class A 17,709 396 First Hawaiian, Inc. 11,044 337 Hancock Whitney Corp. 12,722 221 PacWest Bancorp 8,009 359 People's United Financial, Inc. 6,441 201 Popular, Inc. 13,431 415 Sterling Bancorp 9,059 76 Western Alliance Bancorp 6,955 235 Zions Bancorp N.A. 12,495 ------------- 113,641 ------------- BEVERAGES -- 0.8% 14 Boston Beer (The) Co., Inc., Class A (a) 14,402 104 Molson Coors Beverage Co., Class B 4,623 ------------- 19,025 ------------- BIOTECHNOLOGY -- 1.8% 46 Blueprint Medicines Corp. (a) 4,518 62 Denali Therapeutics, Inc. (a) 4,452 349 Exelixis, Inc. (a) 7,559 301 Halozyme Therapeutics, Inc. (a) 13,620 24 Invitae Corp. (a) 963 24 Natera, Inc. (a) 2,786 38 United Therapeutics Corp. (a) 6,353 16 Veracyte, Inc. (a) 929 ------------- 41,180 ------------- BUILDING PRODUCTS -- 0.8% 84 A.O. Smith Corp. 4,987 54 Advanced Drainage Systems, Inc. 5,941 10 Lennox International, Inc. 2,798 86 UFP Industries, Inc. 5,246 ------------- 18,972 ------------- CAPITAL MARKETS -- 2.0% 46 Affiliated Managers Group, Inc. 6,439 54 Evercore, Inc., Class A 6,468 219 Franklin Resources, Inc. 5,731 539 Janus Henderson Group PLC 15,755 10 LPL Financial Holdings, Inc. 1,315 44 Morningstar, Inc. 9,867 ------------- 45,575 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CHEMICALS -- 2.4% 128 Cabot Corp. $ 6,301 191 Chemours (The) Co. 4,494 159 Huntsman Corp. 4,341 38 Quaker Chemical Corp. 10,730 76 RPM International, Inc. 6,053 50 Scotts Miracle-Gro (The) Co. 10,658 161 Sensient Technologies Corp. 12,534 ------------- 55,111 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.6% 916 CoreCivic, Inc. 6,577 64 Deluxe Corp. 2,530 114 Herman Miller, Inc. 4,373 277 HNI Corp. 9,858 108 Tetra Tech, Inc. 14,944 ------------- 38,282 ------------- COMMUNICATIONS EQUIPMENT -- 2.2% 373 Ciena Corp. (a) 19,460 114 EchoStar Corp., Class A (a) 2,588 26 F5 Networks, Inc. (a) 4,940 361 Juniper Networks, Inc. 8,404 60 Lumentum Holdings, Inc. (a) 5,400 279 NetScout Systems, Inc. (a) 7,873 186 Viavi Solutions, Inc. (a) 3,010 ------------- 51,675 ------------- CONSTRUCTION & ENGINEERING -- 2.0% 56 Dycom Industries, Inc. (a) 4,288 68 EMCOR Group, Inc. 6,621 96 MasTec, Inc. (a) 8,328 241 Quanta Services, Inc. 20,208 28 Valmont Industries, Inc. 6,623 ------------- 46,068 ------------- CONSUMER FINANCE -- 1.0% 104 OneMain Holdings, Inc. 4,879 30 PROG Holdings, Inc. 1,500 1,008 SLM Corp. 15,916 ------------- 22,295 ------------- CONTAINERS & PACKAGING -- 0.2% 40 Packaging Corp. of America 5,281 ------------- DISTRIBUTORS -- 0.3% 18 Pool Corp. 6,026 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.5% 317 Adtalem Global Education, Inc. (a) 12,458 16 Graham Holdings Co., Class B 9,613 275 H&R Block, Inc. 5,288 58 Strategic Education, Inc. 5,274 24 Terminix Global Holdings, Inc. (a) 1,080 ------------- 33,713 ------------- Page 16 See Notes to Financial Statements <PAGE> FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES -- 1.5% 193 Equitable Holdings, Inc. $ 5,707 832 Jefferies Financial Group, Inc. 24,161 80 Voya Financial, Inc. 4,823 ------------- 34,691 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 464 Lumen Technologies, Inc. 5,703 ------------- ELECTRIC UTILITIES -- 1.0% 44 Hawaiian Electric Industries, Inc. 1,538 46 IDACORP, Inc. 3,967 147 NRG Energy, Inc. 5,367 159 OGE Energy Corp. 4,654 167 Portland General Electric Co. 7,041 ------------- 22,567 ------------- ELECTRICAL EQUIPMENT -- 3.7% 100 Acuity Brands, Inc. 12,330 106 Generac Holdings, Inc. (a) 34,933 200 GrafTech International Ltd. 2,366 116 Plug Power, Inc. (a) 5,612 173 Regal Beloit Corp. 23,644 114 Sunrun, Inc. (a) 7,134 ------------- 86,019 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.6% 94 Arrow Electronics, Inc. (a) 9,424 60 Avnet, Inc. 2,284 26 Coherent, Inc. (a) 6,290 116 Dolby Laboratories, Inc., Class A 11,325 56 Littelfuse, Inc. 14,572 120 National Instruments Corp. 5,328 126 SYNNEX Corp. 11,234 118 Trimble, Inc. (a) 8,749 542 Vishay Intertechnology, Inc. 12,938 48 Zebra Technologies Corp., Class A (a) 23,973 ------------- 106,117 ------------- ENERGY EQUIPMENT & SERVICES -- 0.5% 259 Helmerich & Payne, Inc. 7,441 661 Patterson-UTI Energy, Inc. 4,891 ------------- 12,332 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.6% 143 American Homes 4 Rent, Class A 4,453 323 Apple Hospitality REIT, Inc. 4,603 106 Brixmor Property Group, Inc. 2,086 18 CoreSite Realty Corp. 2,191 255 Cousins Properties, Inc. 8,553 303 CubeSmart 11,199 88 First Industrial Realty Trust, Inc. 3,758 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 193 Gaming and Leisure Properties, Inc. $ 8,569 548 GEO Group (The), Inc. 3,946 219 Highwoods Properties, Inc. 8,751 24 Innovative Industrial Properties, Inc. 4,680 87 Life Storage, Inc. 7,299 193 Park Hotels & Resorts, Inc. 4,198 70 PotlatchDeltic Corp. 3,552 30 PS Business Parks, Inc. 4,346 90 Regency Centers Corp. 4,930 271 Sabra Health Care REIT, Inc. 4,667 243 Service Properties Trust 3,120 86 Terreno Realty Corp. 4,819 263 Weingarten Realty Investors 6,678 ------------- 106,398 ------------- FOOD & STAPLES RETAILING -- 0.8% 315 BJ's Wholesale Club Holdings, Inc. (a) 12,657 295 Sprouts Farmers Market, Inc. (a) 6,227 ------------- 18,884 ------------- FOOD PRODUCTS -- 1.6% 151 Darling Ingredients, Inc. (a) 9,519 50 Flowers Foods, Inc. 1,088 38 Freshpet, Inc. (a) 5,923 209 Hain Celestial Group (The), Inc. (a) 8,816 132 Ingredion, Inc. 11,906 ------------- 37,252 ------------- GAS UTILITIES -- 0.7% 54 National Fuel Gas Co. 2,454 335 UGI Corp. 12,834 ------------- 15,288 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.8% 10 ABIOMED, Inc. (a) 3,246 24 Avanos Medical, Inc. (a) 1,104 78 DENTSPLY SIRONA, Inc. 4,139 20 Globus Medical, Inc., Class A (a) 1,250 14 Haemonetics Corp. (a) 1,771 36 Hill-Rom Holdings, Inc. 3,840 36 ICU Medical, Inc. (a) 7,470 6 iRhythm Technologies, Inc. (a) 965 42 Masimo Corp. (a) 10,531 24 Nevro Corp. (a) 3,964 20 Penumbra, Inc. (a) 5,689 22 Quidel Corp. (a) 3,614 26 STAAR Surgical Co. (a) 2,704 6 STERIS PLC 1,049 48 West Pharmaceutical Services, Inc. 13,471 ------------- 64,807 ------------- See Notes to Financial Statements Page 17 <PAGE> FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES -- 3.5% 64 1Life Healthcare, Inc. (a) $ 3,041 48 Amedisys, Inc. (a) 12,175 28 AMN Healthcare Services, Inc. (a) 2,040 9 Chemed Corp. 4,007 30 Covetrus, Inc. (a) 1,115 58 DaVita, Inc. (a) 5,923 139 Henry Schein, Inc. (a) 8,597 24 LHC Group, Inc. (a) 4,361 106 Molina Healthcare, Inc. (a) 22,977 76 Patterson Cos., Inc. 2,361 136 Premier, Inc., Class A 4,599 173 R1 RCM, Inc. (a) 4,782 34 Universal Health Services, Inc., Class B 4,261 ------------- 80,239 ------------- HEALTH CARE TECHNOLOGY -- 0.7% 30 Inspire Medical Systems, Inc. (a) 6,983 32 Omnicell, Inc. (a) 4,061 20 Teladoc Health, Inc. (a) 4,422 ------------- 15,466 ------------- HOTELS, RESTAURANTS & LEISURE -- 1.0% 42 Papa John's International, Inc. 3,788 149 Penn National Gaming, Inc. (a) 17,251 10 Wingstop, Inc. 1,362 ------------- 22,401 ------------- HOUSEHOLD DURABLES -- 1.9% 114 KB Home 4,603 76 Meritage Homes Corp. (a) 6,408 18 Mohawk Industries, Inc. (a) 3,150 257 PulteGroup, Inc. 11,593 70 TopBuild Corp. (a) 13,329 239 Tri Pointe Homes, Inc. (a) 4,541 6 Whirlpool Corp. 1,140 ------------- 44,764 ------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 44 Ormat Technologies, Inc. 3,769 243 Vistra Corp. 4,192 ------------- 7,961 ------------- INSURANCE -- 3.4% 66 American Financial Group, Inc. 7,042 28 Assurant, Inc. 3,450 550 CNO Financial Group, Inc. 13,233 40 Erie Indemnity Co., Class A 9,684 62 First American Financial Corp. 3,258 44 Hanover Insurance Group (The), Inc. 5,076 22 Kinsale Capital Group, Inc. 3,873 169 Mercury General Corp. 9,870 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- INSURANCE (CONTINUED) 701 Old Republic International Corp. $ 13,550 355 Unum Group 9,400 ------------- 78,436 ------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 167 ANGI Homeservices, Inc., Class A (a) 2,496 78 TripAdvisor, Inc. (a) 3,870 ------------- 6,366 ------------- INTERNET & DIRECT MARKETING RETAIL -- 1.2% 88 Etsy, Inc. (a) 19,384 56 Overstock.com, Inc. (a) 3,761 108 Qurate Retail, Inc., Series A 1,341 54 Stitch Fix, Inc., Class A (a) 4,121 ------------- 28,607 ------------- IT SERVICES -- 1.4% 126 Concentrix Corp. (a) 15,562 38 Euronet Worldwide, Inc. (a) 5,712 54 LiveRamp Holdings, Inc. (a) 3,410 86 MAXIMUS, Inc. 6,990 44 Western Union (The) Co. 1,022 ------------- 32,696 ------------- LEISURE PRODUCTS -- 2.3% 279 Brunswick Corp. 24,655 817 Mattel, Inc. (a) 16,503 179 YETI Holdings, Inc. (a) 12,310 ------------- 53,468 ------------- LIFE SCIENCES TOOLS & SERVICES -- 2.9% 30 Bio-Rad Laboratories, Inc., Class A (a) 17,535 32 Bio-Techne Corp. 11,574 40 Bruker Corp. 2,439 12 Charles River Laboratories International, Inc. (a) 3,434 92 Medpace Holdings, Inc. (a) 14,943 72 NeoGenomics, Inc. (a) 3,670 96 Pacific Biosciences of California, Inc. (a) 2,935 32 PRA Health Sciences, Inc. (a) 4,717 28 Repligen Corp. (a) 5,947 ------------- 67,194 ------------- MACHINERY -- 4.7% 277 AGCO Corp. 35,866 22 Chart Industries, Inc. (a) 3,148 94 Crane Co. 7,883 173 Graco, Inc. 11,997 74 Lincoln Electric Holdings, Inc. 8,740 143 Oshkosh Corp. 15,158 56 Snap-on, Inc. 11,374 149 Terex Corp. 6,136 78 Toro (The) Co. 7,860 Page 18 See Notes to Financial Statements <PAGE> FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 10 Watts Water Technologies, Inc., Class A $ 1,141 ------------- 109,303 ------------- MEDIA -- 2.6% 349 AMC Networks, Inc., Class A (a) 22,891 209 Interpublic Group of (The) Cos., Inc. 5,459 205 John Wiley & Sons, Inc., Class A 10,799 56 Meredith Corp. 1,388 128 New York Times (The) Co., Class A 6,550 524 News Corp., Class A 12,288 ------------- 59,375 ------------- METALS & MINING -- 2.9% 983 Commercial Metals Co. 24,722 155 Reliance Steel & Aluminum Co. 20,491 195 Steel Dynamics, Inc. 8,108 221 Worthington Industries, Inc. 14,120 ------------- 67,441 ------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.2% 100 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 5,623 ------------- MULTILINE RETAIL -- 0.6% 58 Dillard's, Inc., Class A 4,623 145 Kohl's Corp. 8,011 116 Macy's, Inc. 1,764 ------------- 14,398 ------------- MULTI-UTILITIES -- 0.9% 720 MDU Resources Group, Inc. 20,232 ------------- OIL, GAS & CONSUMABLE FUELS -- 0.9% 219 Cimarex Energy Co. 12,700 157 CVR Energy, Inc. 3,467 141 World Fuel Services Corp. 4,382 ------------- 20,549 ------------- PAPER & FOREST PRODUCTS -- 1.0% 339 Domtar Corp. 12,560 241 Louisiana-Pacific Corp. 11,474 ------------- 24,034 ------------- PERSONAL PRODUCTS -- 0.7% 141 Edgewell Personal Care Co. 4,313 241 Nu Skin Enterprises, Inc., Class A 12,335 ------------- 16,648 ------------- PHARMACEUTICALS -- 0.6% 46 Jazz Pharmaceuticals PLC (a) 7,730 167 Prestige Consumer Healthcare, Inc. (a) 6,965 ------------- 14,695 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- PROFESSIONAL SERVICES -- 2.7% 66 CACI International, Inc., Class A (a) $ 14,608 14 FTI Consulting, Inc. (a) 1,604 58 Insperity, Inc. 5,144 134 ManpowerGroup, Inc. 12,655 163 Robert Half International, Inc. 12,680 78 TriNet Group, Inc. (a) 6,261 195 Upwork, Inc. (a) 10,507 ------------- 63,459 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.3% 58 eXp World Holdings, Inc. (a) 3,503 80 Jones Lang LaSalle, Inc. (a) 13,918 163 Redfin Corp. (a) 12,346 ------------- 29,767 ------------- ROAD & RAIL -- 1.1% 64 Landstar System, Inc. 10,249 24 Saia, Inc. (a) 4,813 211 Schneider National, Inc., Class B 4,880 120 Werner Enterprises, Inc. 5,150 ------------- 25,092 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.3% 62 Cirrus Logic, Inc. (a) 5,070 80 Enphase Energy, Inc. (a) 14,085 287 Lattice Semiconductor Corp. (a) 13,810 16 SolarEdge Technologies, Inc. (a) 4,773 80 SunPower Corp. (a) 2,782 97 Teradyne, Inc. 12,475 ------------- 52,995 ------------- SOFTWARE -- 4.5% 54 Alarm.com Holdings, Inc. (a) 4,746 18 Altair Engineering, Inc., Class A (a) 1,109 14 Anaplan, Inc. (a) 910 8 Appfolio, Inc., Class A (a) 1,312 54 Appian Corp. (a) 9,283 8 Aspen Technology, Inc. (a) 1,204 12 Blackline, Inc. (a) 1,488 32 CDK Global, Inc. 1,604 16 CommVault Systems, Inc. (a) 1,020 42 Digital Turbine, Inc. (a) 3,468 14 Fair Isaac Corp. (a) 6,406 24 InterDigital, Inc. 1,521 122 J2 Global, Inc. (a) 13,588 34 Manhattan Associates, Inc. (a) 4,180 245 Nuance Communications, Inc. (a) 10,927 12 Paylocity Holding Corp. (a) 2,294 10 Pegasystems, Inc. 1,323 26 PTC, Inc. (a) 3,560 207 Sailpoint Technologies Holdings, Inc. (a) 11,671 159 Teradata Corp. (a) 6,376 See Notes to Financial Statements Page 19 <PAGE> FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 18 Tyler Technologies, Inc. (a) $ 8,342 20 Varonis Systems, Inc. (a) 3,671 40 Workiva, Inc. (a) 4,046 ------------- 104,049 ------------- SPECIALTY RETAIL -- 3.3% 15 Aaron's (The) Co., Inc. (a) 329 90 AutoNation, Inc. (a) 6,752 147 Dick's Sporting Goods, Inc. 10,491 316 Foot Locker, Inc. 15,196 141 Gap (The), Inc. (a) 3,518 98 L Brands, Inc. 5,357 46 Lithia Motors, Inc., Class A 17,202 50 Murphy USA, Inc. 6,233 14 RH (a) 6,865 40 Williams-Sonoma, Inc. 5,252 ------------- 77,195 ------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.0% 58 3D Systems Corp. (a) 2,079 169 NetApp, Inc. 10,579 415 Xerox Holdings Corp. 10,574 ------------- 23,232 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.9% 86 Carter's, Inc. 7,178 124 Crocs, Inc. (a) 9,513 56 Deckers Outdoor Corp. (a) 18,262 217 Hanesbrands, Inc. 3,839 46 Ralph Lauren Corp. 5,386 145 Steven Madden Ltd. 5,364 311 Tapestry, Inc. 13,105 237 Under Armour, Inc., Class A (a) 5,188 ------------- 67,835 ------------- THRIFTS & MORTGAGE FINANCE -- 1.1% 852 MGIC Investment Corp. 10,377 141 PennyMac Financial Services, Inc. 8,349 385 Radian Group, Inc. 7,854 ------------- 26,580 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% 151 MSC Industrial Direct Co., Inc., Class A 13,006 24 Watsco, Inc. 5,834 ------------- 18,840 ------------- TOTAL COMMON STOCKS -- 99.7% 2,314,692 (Cost $2,130,513) ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- MONEY MARKET FUNDS -- 0.3% 6,643 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (b) $ 6,643 (Cost $6,643) ------------- TOTAL INVESTMENTS -- 100.0% 2,321,335 (Cost $2,137,156) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 906 ------------- NET ASSETS -- 100.0% $ 2,322,241 ============= (a) Non-income producing security. (b) Rate shown reflects yield as of February 28, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $212,512 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $28,333. The net unrealized appreciation was $184,179. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------- Common Stocks* $2,314,692 $ -- $ -- Money Market Funds 6,643 -- -- --------------------------------------- Total Investments $2,321,335 $ -- $ -- ======================================= * See Portfolio of Investments for industry breakout. Page 20 See Notes to Financial Statements <PAGE> FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 99.8% AIR FREIGHT & LOGISTICS -- 0.4% 167 Hub Group, Inc., Class A (a) $ 9,616 ------------- AUTO COMPONENTS -- 1.3% 125 Cooper Tire & Rubber Co. 7,155 100 Gentherm, Inc. (a) 7,079 42 LCI Industries 5,919 259 XPEL, Inc. (a) (b) 12,523 ------------- 32,676 ------------- BANKS -- 6.5% 359 Associated Banc-Corp. 7,234 183 Bank of NT Butterfield & Son (The) Ltd. 6,678 167 Bank OZK 6,884 60 BankUnited, Inc. 2,411 44 Berkshire Hills Bancorp, Inc. 887 286 Cadence BanCorp 5,869 204 Central Pacific Financial Corp. 4,616 10 Columbia Banking System, Inc. 443 158 CVB Financial Corp. 3,383 278 Eagle Bancorp, Inc. 13,591 226 First Financial Bancorp 5,069 167 First Hawaiian, Inc. 4,658 254 Hancock Whitney Corp. 9,588 613 Hope Bancorp, Inc. 8,067 94 Lakeland Financial Corp. 6,481 150 PacWest Bancorp 5,436 207 Popular, Inc. 13,832 135 Renasant Corp. 5,303 6 Silvergate Capital Corp., Class A (a) 765 270 Simmons First National Corp., Class A 7,906 456 Sterling Bancorp 9,954 189 Synovus Financial Corp. 7,997 223 Triumph Bancorp, Inc. (a) 17,104 78 UMB Financial Corp. 6,581 ------------- 160,737 ------------- BEVERAGES -- 0.6% 252 Celsius Holdings, Inc. (a) 15,002 ------------- BIOTECHNOLOGY -- 4.5% 58 Amicus Therapeutics, Inc. (a) 712 254 Anika Therapeutics, Inc. (a) 9,322 78 Arena Pharmaceuticals, Inc. (a) 6,267 62 Blueprint Medicines Corp. (a) 6,090 18 CareDx, Inc. (a) 1,423 294 Coherus Biosciences, Inc. (a) 4,775 94 Eagle Pharmaceuticals, Inc. (a) 4,183 173 Enanta Pharmaceuticals, Inc. (a) 8,532 258 Halozyme Therapeutics, Inc. (a) 11,675 86 Ironwood Pharmaceuticals, Inc. (a) 794 16 Kodiak Sciences, Inc. (a) 2,064 133 Kura Oncology, Inc. (a) 3,724 64 Natera, Inc. (a) 7,430 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 30 Novavax, Inc. (a) $ 6,937 42 Travere Therapeutics, Inc. (a) 1,294 52 Twist Bioscience Corp. (a) 7,157 26 Ultragenyx Pharmaceutical, Inc. (a) 3,680 802 Vanda Pharmaceuticals, Inc. (a) 14,957 22 Veracyte, Inc. (a) 1,277 177 Vericel Corp. (a) 8,546 ------------- 110,839 ------------- BUILDING PRODUCTS -- 2.1% 22 Advanced Drainage Systems, Inc. 2,420 367 Apogee Enterprises, Inc. 13,726 162 Builders FirstSource, Inc. (a) 7,009 100 CSW Industrials, Inc. 12,557 96 Gibraltar Industries, Inc. (a) 8,386 14 Masonite International Corp. (a) 1,536 40 Simpson Manufacturing Co., Inc. 3,898 16 UFP Industries, Inc. 976 ------------- 50,508 ------------- CAPITAL MARKETS -- 2.1% 278 Artisan Partners Asset Management, Inc., Class A 13,205 353 Brightsphere Investment Group, Inc. 6,389 165 Cowen, Inc., Class A 5,585 16 Evercore, Inc., Class A 1,916 119 Houlihan Lokey, Inc. 7,564 131 Moelis & Co., Class A 6,765 88 PJT Partners, Inc., Class A 6,135 20 Virtu Financial, Inc., Class A 546 12 Virtus Investment Partners, Inc. 3,011 ------------- 51,116 ------------- CHEMICALS -- 1.0% 20 Quaker Chemical Corp. 5,648 54 Sensient Technologies Corp. 4,204 223 Trinseo S.A. 14,430 ------------- 24,282 ------------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 112 ABM Industries, Inc. 4,836 848 CoreCivic, Inc. 6,089 62 Deluxe Corp. 2,451 137 Herman Miller, Inc. 5,255 178 HNI Corp. 6,335 61 Knoll, Inc. 995 40 MSA Safety, Inc. 6,440 693 Steelcase, Inc., Class A 9,660 112 Tetra Tech, Inc. 15,497 ------------- 57,558 ------------- COMMUNICATIONS EQUIPMENT -- 1.7% 320 Calix, Inc. (a) 12,643 32 Cambium Networks Corp. (a) 1,353 See Notes to Financial Statements Page 21 <PAGE> FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 284 Comtech Telecommunications Corp. $ 7,634 253 NETGEAR, Inc. (a) 10,120 365 NetScout Systems, Inc. (a) 10,301 ------------- 42,051 ------------- CONSTRUCTION & ENGINEERING -- 1.6% 108 Comfort Systems USA, Inc. 6,690 141 EMCOR Group, Inc. 13,729 102 MasTec, Inc. (a) 8,849 322 Primoris Services Corp. 10,777 ------------- 40,045 ------------- DISTRIBUTORS -- 0.2% 130 Core-Mark Holding Co., Inc. 4,235 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.4% 316 Adtalem Global Education, Inc. (a) 12,419 18 Graham Holdings Co., Class B 10,815 72 Laureate Education, Inc., Class A (a) 990 748 Perdoceo Education Corp. (a) 9,627 ------------- 33,851 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 127 Vonage Holdings Corp. (a) 1,679 ------------- ELECTRIC UTILITIES -- 0.7% 300 Hawaiian Electric Industries, Inc. 10,488 159 Portland General Electric Co. 6,703 ------------- 17,191 ------------- ELECTRICAL EQUIPMENT -- 1.6% 82 Acuity Brands, Inc. 10,111 68 Generac Holdings, Inc. (a) 22,410 68 Vicor Corp. (a) 6,697 ------------- 39,218 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.7% 44 Badger Meter, Inc. 4,778 375 Benchmark Electronics, Inc. 10,650 16 FARO Technologies, Inc. (a) 1,495 74 Insight Enterprises, Inc. (a) 6,186 145 Methode Electronics, Inc. 5,645 22 OSI Systems, Inc. (a) 2,081 108 PC Connection, Inc. 4,969 151 Plexus Corp. (a) 12,681 134 Sanmina Corp. (a) 4,773 518 Vishay Intertechnology, Inc. 12,365 ------------- 65,623 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES -- 0.4% 326 Helmerich & Payne, Inc. $ 9,366 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.7% 643 Brandywine Realty Trust 7,864 78 CorEnergy Infrastructure Trust, Inc. 583 36 EastGroup Properties, Inc. 4,900 111 First Industrial Realty Trust, Inc. 4,741 389 GEO Group (The), Inc. 2,801 34 Innovative Industrial Properties, Inc. 6,630 2 National Storage Affiliates Trust 77 415 Office Properties Income Trust 10,495 340 Piedmont Office Realty Trust, Inc., Class A 5,800 671 RPT Realty 7,361 508 Service Properties Trust 6,523 294 Tanger Factory Outlet Centers, Inc. 4,627 76 Terreno Realty Corp. 4,259 ------------- 66,661 ------------- FOOD & STAPLES RETAILING -- 1.3% 155 BJ's Wholesale Club Holdings, Inc. (a) 6,228 606 SpartanNash Co. 11,047 246 Sprouts Farmers Market, Inc. (a) 5,193 191 Weis Markets, Inc. 10,209 ------------- 32,677 ------------- FOOD PRODUCTS -- 1.1% 189 B&G Foods, Inc. 5,732 133 Darling Ingredients, Inc. (a) 8,384 50 Freshpet, Inc. (a) 7,794 18 Hain Celestial Group (The), Inc. (a) 759 40 John B Sanfilippo & Son, Inc. 3,459 ------------- 26,128 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.3% 347 AngioDynamics, Inc. (a) 7,270 112 AtriCure, Inc. (a) 7,310 2 Atrion Corp. 1,250 24 Avanos Medical, Inc. (a) 1,103 114 CryoPort, Inc. (a) 6,776 291 GenMark Diagnostics, Inc. (a) 5,689 102 Globus Medical, Inc., Class A (a) 6,375 12 Haemonetics Corp. (a) 1,518 32 Heska Corp. (a) 6,029 159 Inogen, Inc. (a) 8,346 56 iRhythm Technologies, Inc. (a) 9,010 129 Lantheus Holdings, Inc. (a) 2,410 395 Meridian Bioscience, Inc. (a) 8,327 379 Natus Medical, Inc. (a) 9,820 12 Neogen Corp. (a) 983 Page 22 See Notes to Financial Statements <PAGE> FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 60 Nevro Corp. (a) $ 9,911 50 Novocure Ltd. (a) 7,455 12 NuVasive, Inc. (a) 724 249 Orthofix Medical, Inc. (a) 11,581 56 Quidel Corp. (a) 9,198 82 STAAR Surgical Co. (a) 8,529 14 Tandem Diabetes Care, Inc. (a) 1,344 ------------- 130,958 ------------- HEALTH CARE PROVIDERS & SERVICES -- 4.1% 133 Addus HomeCare Corp. (a) 14,307 58 Amedisys, Inc. (a) 14,711 30 AMN Healthcare Services, Inc. (a) 2,186 24 CorVel Corp. (a) 2,436 36 Fulgent Genetics, Inc. (a) 3,645 90 LHC Group, Inc. (a) 16,354 177 ModivCare, Inc. (a) 22,702 102 Ontrak, Inc. (a) 6,012 222 Owens & Minor, Inc. 7,550 46 Patterson Cos., Inc. 1,429 241 R1 RCM, Inc. (a) 6,661 20 US Physical Therapy, Inc. 2,345 ------------- 100,338 ------------- HEALTH CARE TECHNOLOGY -- 2.5% 70 Inspire Medical Systems, Inc. (a) 16,295 264 NextGen Healthcare, Inc. (a) 4,937 125 Omnicell, Inc. (a) 15,862 108 Phreesia, Inc. (a) 6,615 119 Simulations Plus, Inc. 8,535 28 Teladoc Health, Inc. (a) 6,191 62 Vocera Communications, Inc. (a) 2,656 ------------- 61,091 ------------- HOTELS, RESTAURANTS & LEISURE -- 0.5% 76 Papa John's International, Inc. 6,854 40 Wingstop, Inc. 5,446 ------------- 12,300 ------------- HOUSEHOLD DURABLES -- 2.5% 56 Ethan Allen Interiors, Inc. 1,435 218 Green Brick Partners, Inc. (a) 4,301 12 iRobot Corp. (a) 1,489 135 KB Home 5,451 96 M/I Homes, Inc. (a) 4,790 64 Meritage Homes Corp. (a) 5,396 40 Purple Innovation, Inc. (a) 1,472 18 Sonos, Inc. (a) 701 223 Taylor Morrison Home Corp. (a) 6,135 76 TopBuild Corp. (a) 14,471 638 Tri Pointe Homes, Inc. (a) 12,122 121 Tupperware Brands Corp. (a) 3,699 ------------- 61,462 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.2% 133 Central Garden & Pet Co., Class A (a) $ 5,521 2 WD-40 Co. 623 ------------- 6,144 ------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.2% 66 Ormat Technologies, Inc. 5,654 ------------- INSURANCE -- 2.6% 106 American Equity Investment Life Holding Co. 2,929 84 American National Group, Inc. 7,562 270 CNO Financial Group, Inc. 6,496 343 Employers Holdings, Inc. 11,418 26 Enstar Group Ltd. (a) 5,527 98 Goosehead Insurance, Inc., Class A 12,695 34 Kinsale Capital Group, Inc. 5,986 189 Mercury General Corp. 11,038 10 Safety Insurance Group, Inc. 791 ------------- 64,442 ------------- INTERNET & DIRECT MARKETING RETAIL -- 1.1% 273 CarParts.com, Inc. (a) 4,840 70 Overstock.com, Inc. (a) 4,702 38 PetMed Express, Inc. 1,319 90 Shutterstock, Inc. 7,941 96 Stitch Fix, Inc., Class A (a) 7,326 ------------- 26,128 ------------- IT SERVICES -- 1.6% 378 Brightcove, Inc. (a) 8,233 185 CSG Systems International, Inc. 8,538 62 ExlService Holdings, Inc. (a) 5,246 66 MAXIMUS, Inc. 5,364 310 Sykes Enterprises, Inc. (a) 12,667 ------------- 40,048 ------------- LEISURE PRODUCTS -- 2.0% 32 Acushnet Holdings Corp. 1,351 234 Nautilus, Inc. (a) 4,308 855 Smith & Wesson Brands, Inc. 14,714 115 Sturm Ruger & Co., Inc. 7,843 588 Vista Outdoor, Inc. (a) 18,587 18 YETI Holdings, Inc. (a) 1,238 ------------- 48,041 ------------- LIFE SCIENCES TOOLS & SERVICES -- 2.4% 424 Luminex Corp. 13,789 68 Medpace Holdings, Inc. (a) 11,045 165 NeoGenomics, Inc. (a) 8,410 173 Pacific Biosciences of California, Inc. (a) 5,289 84 Quanterix Corp. (a) 6,363 72 Repligen Corp. (a) 15,292 ------------- 60,188 ------------- See Notes to Financial Statements Page 23 <PAGE> FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY -- 3.1% 197 Astec Industries, Inc. $ 13,380 70 Franklin Electric Co., Inc. 5,254 226 Greenbrier (The) Cos., Inc. 10,633 20 Kadant, Inc. 3,480 42 Lindsay Corp. 6,731 318 Mueller Industries, Inc. 12,924 215 Shyft Group (The), Inc. 7,071 36 Terex Corp. 1,483 680 Wabash National Corp. 11,274 40 Watts Water Technologies, Inc., Class A 4,564 ------------- 76,794 ------------- MEDIA -- 2.0% 199 AMC Networks, Inc., Class A (a) 13,052 34 Cardlytics, Inc. (a) 4,503 308 Gray Television, Inc. (a) 5,590 48 Meredith Corp. 1,190 54 MSG Networks, Inc., Class A (a) 916 117 Scholastic Corp. 3,370 234 TechTarget, Inc. (a) 19,569 ------------- 48,190 ------------- METALS & MINING -- 1.3% 598 Commercial Metals Co. 15,040 64 Kaiser Aluminum Corp. 7,302 270 Warrior Met Coal, Inc. 5,176 80 Worthington Industries, Inc. 5,111 ------------- 32,629 ------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 153 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 8,603 ------------- MULTILINE RETAIL -- 0.4% 76 Big Lots, Inc. 4,829 58 Dillard's, Inc., Class A 4,623 ------------- 9,452 ------------- MULTI-UTILITIES -- 0.5% 114 Avista Corp. 4,584 98 NorthWestern Corp. 5,731 60 Unitil Corp. 2,510 ------------- 12,825 ------------- OIL, GAS & CONSUMABLE FUELS -- 1.9% 86 Clean Energy Fuels Corp. (a) 1,122 176 CVR Energy, Inc. 3,886 863 Dorian LPG Ltd. (a) 10,744 165 Renewable Energy Group, Inc. (a) 12,832 594 Teekay Tankers Ltd., Class A (a) 7,479 378 World Fuel Services Corp. 11,748 ------------- 47,811 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- PAPER & FOREST PRODUCTS -- 0.8% 319 Domtar Corp. $ 11,819 171 Louisiana-Pacific Corp. 8,141 ------------- 19,960 ------------- PERSONAL PRODUCTS -- 1.5% 80 Medifast, Inc. 20,239 108 Nu Skin Enterprises, Inc., Class A 5,528 117 USANA Health Sciences, Inc. (a) 11,356 ------------- 37,123 ------------- PHARMACEUTICALS -- 2.1% 454 Amphastar Pharmaceuticals, Inc. (a) 7,959 54 Collegium Pharmaceutical, Inc. (a) 1,274 635 Corcept Therapeutics, Inc. (a) 15,970 914 Innoviva, Inc. (a) 10,447 20 Pacira BioSciences, Inc. (a) 1,470 46 Prestige Consumer Healthcare, Inc. (a) 1,919 427 Supernus Pharmaceuticals, Inc. (a) 11,473 ------------- 50,512 ------------- PROFESSIONAL SERVICES -- 2.2% 96 ASGN, Inc. (a) 8,925 14 Exponent, Inc. 1,351 12 Insperity, Inc. 1,064 167 Kforce, Inc. 8,575 129 Korn Ferry 7,940 70 ManTech International Corp., Class A 5,471 14 TriNet Group, Inc. (a) 1,124 238 TrueBlue, Inc. (a) 4,958 297 Upwork, Inc. (a) 16,002 ------------- 55,410 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.8% 197 eXp World Holdings, Inc. (a) 11,897 76 Realogy Holdings Corp. (a) 1,146 230 Redfin Corp. (a) 17,420 200 RMR Group (The), Inc., Class A 8,038 127 St Joe (The) Co. 6,392 ------------- 44,893 ------------- ROAD & RAIL -- 1.4% 366 ArcBest Corp. 21,591 38 Saia, Inc. (a) 7,620 256 Schneider National, Inc., Class B 5,921 ------------- 35,132 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.6% 20 ACM Research, Inc., Class A (a) 1,943 60 Ambarella, Inc. (a) 6,749 198 Axcelis Technologies, Inc. (a) 7,300 90 Enphase Energy, Inc. (a) 15,846 323 Lattice Semiconductor Corp. (a) 15,543 976 NeoPhotonics Corp. (a) 9,379 Page 24 See Notes to Financial Statements <PAGE> FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 114 Photronics, Inc. (a) $ 1,358 52 Synaptics, Inc. (a) 6,970 ------------- 65,088 ------------- SOFTWARE -- 5.4% 16 Alarm.com Holdings, Inc. (a) 1,406 22 Altair Engineering, Inc., Class A (a) 1,355 60 Appian Corp. (a) 10,314 119 Blackline, Inc. (a) 14,758 234 Digital Turbine, Inc. (a) 19,321 16 Ebix, Inc. 390 92 Five9, Inc. (a) 17,042 157 InterDigital, Inc. 9,949 64 J2 Global, Inc. (a) 7,128 78 Mitek Systems, Inc. (a) 1,192 82 Progress Software Corp. 3,488 225 Sailpoint Technologies Holdings, Inc. (a) 12,686 179 Sprout Social, Inc., Class A (a) 12,167 76 SPS Commerce, Inc. (a) 7,656 145 Workiva, Inc. (a) 14,667 ------------- 133,519 ------------- SPECIALTY RETAIL -- 4.5% 70 Aaron's (The) Co., Inc. (a) 1,537 56 Buckle (The), Inc. 2,153 100 Citi Trends, Inc. 7,789 121 GrowGeneration Corp. (a) 5,521 161 Haverty Furniture Cos., Inc. 5,823 409 Hibbett Sports, Inc. (a) 26,282 336 Lumber Liquidators Holdings, Inc. (a) 8,323 161 MarineMax, Inc. (a) 7,189 84 ODP (The) Corp. 3,215 358 Rent-A-Center, Inc. 20,678 18 RH (a) 8,827 40 Sleep Number Corp. (a) 5,485 151 Zumiez, Inc. (a) 6,807 ------------- 109,629 ------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 305 Avid Technology, Inc. (a) 5,914 343 Super Micro Computer, Inc. (a) 11,192 ------------- 17,106 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 62 Crocs, Inc. (a) 4,757 28 Deckers Outdoor Corp. (a) 9,131 139 G-III Apparel Group Ltd. (a) 4,002 272 Movado Group, Inc. 6,201 ------------- 24,091 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE -- 2.2% 190 HomeStreet, Inc. $ 8,162 996 MGIC Investment Corp. 12,131 207 PennyMac Financial Services, Inc. 12,257 238 Provident Financial Services, Inc. 4,815 503 Radian Group, Inc. 10,261 224 Washington Federal, Inc. 6,769 ------------- 54,395 ------------- TOBACCO -- 0.4% 84 Turning Point Brands, Inc. 4,133 75 Universal Corp. 3,811 84 Vector Group Ltd. 1,147 ------------- 9,091 ------------- TRADING COMPANIES & DISTRIBUTORS -- 2.0% 476 Boise Cascade Co. 23,771 531 NOW, Inc. (a) 5,645 142 Rush Enterprises, Inc., Class A 6,025 64 SiteOne Landscape Supply, Inc. (a) 10,145 22 Triton International Ltd. 1,271 26 WESCO International, Inc. (a) 2,087 ------------- 48,944 ------------- WATER UTILITIES -- 0.3% 72 American States Water Co. 5,259 26 California Water Service Group 1,429 ------------- 6,688 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.1% 114 Gogo, Inc. (a) 1,351 ------------- TOTAL COMMON STOCKS -- 99.8% 2,457,089 (Cost $2,214,408) ------------- MONEY MARKET FUNDS -- 0.2% 5,736 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 5,736 (Cost $5,736) ------------- TOTAL INVESTMENTS -- 100.0% 2,462,825 (Cost $2,220,144) (d) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (166) ------------- NET ASSETS -- 100.0% $ 2,462,659 ============= (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act, as amended. (c) Rate shown reflects yield as of February 28, 2021. See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) (d) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $275,742 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $33,061. The net unrealized appreciation was $242,681. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------- Common Stocks* $2,457,089 $ -- $ -- Money Market Funds 5,736 -- -- --------------------------------------- Total Investments $2,462,825 $ -- $ -- ======================================= * See Portfolio of Investments for industry breakout. Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF ASSETS AND LIABILITIES FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST ACTIVE FACTOR ACTIVE FACTOR ACTIVE FACTOR LARGE CAP ETF MID CAP ETF SMALL CAP ETF (AFLG) (AFMC) (AFSM) --------------- --------------- --------------- ASSETS: <S> <C> <C> <C> Investments, at value............................................ $ 5,698,420 $ 2,321,335 $ 2,462,825 Dividends receivable............................................. 7,996 2,086 1,307 --------------- --------------- --------------- Total Assets.................................................. 5,706,416 2,323,421 2,464,132 --------------- --------------- --------------- LIABILITIES: Investment advisory fees payable................................. 2,456 1,180 1,473 --------------- --------------- --------------- Total Liabilities............................................. 2,456 1,180 1,473 --------------- --------------- --------------- NET ASSETS....................................................... $ 5,703,960 $ 2,322,241 $ 2,462,659 =============== =============== =============== NET ASSETS CONSIST OF: Paid-in capital.................................................. $ 5,270,552 $ 2,088,044 $ 2,120,761 Par value........................................................ 2,500 1,000 1,000 Accumulated distributable earnings (loss)........................ 430,908 233,197 340,898 --------------- --------------- --------------- NET ASSETS....................................................... $ 5,703,960 $ 2,322,241 $ 2,462,659 =============== =============== =============== NET ASSET VALUE, per share....................................... $ 22.82 $ 23.22 $ 24.63 =============== =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................ 250,002 100,002 100,002 --------------- --------------- --------------- Investments, at cost............................................. $ 5,321,928 $ 2,137,156 $ 2,220,144 =============== =============== =============== </TABLE> See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST ACTIVE FACTOR ACTIVE FACTOR ACTIVE FACTOR LARGE CAP ETF MID CAP ETF SMALL CAP ETF (AFLG) (AFMC) (AFSM) --------------- --------------- --------------- INVESTMENT INCOME: <S> <C> <C> <C> Dividends........................................................ $ 35,698 $ 16,521 $ 12,569 Foreign withholding tax.......................................... -- (12) (9) --------------- --------------- --------------- Total investment income....................................... 35,698 16,509 12,560 --------------- --------------- --------------- EXPENSES: Investment advisory fees......................................... 11,227 6,598 7,874 --------------- --------------- --------------- Total expenses................................................ 11,227 6,598 7,874 --------------- --------------- --------------- NET INVESTMENT INCOME (LOSS)..................................... 24,471 9,911 4,686 --------------- --------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (44,982) (27,563) (18,125) In-kind redemptions........................................... 276,595 320,986 432,760 --------------- --------------- --------------- Net realized gain (loss)......................................... 231,613 293,423 414,635 --------------- --------------- --------------- Net change in unrealized appreciation (depreciation) on investments................................................... 187,164 196,528 197,011 --------------- --------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS).......................... 418,777 489,951 611,646 --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ 443,248 $ 499,862 $ 616,332 =============== =============== =============== </TABLE> Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) ----------------------------------- SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- OPERATIONS: <S> <C> <C> Net investment income (loss).......................................................... $ 24,471 $ 23,037 Net realized gain (loss).............................................................. 231,613 (91,727) Net change in unrealized appreciation (depreciation).................................. 187,164 189,328 --------------- --------------- Net increase (decrease) in net assets resulting from operations....................... 443,248 120,638 --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................................................. (23,290) (17,680) --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................. 4,348,184 3,045,020 Cost of shares redeemed............................................................... (1,163,613) (1,048,547) --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions......... 3,184,571 1,996,473 --------------- --------------- Total increase (decrease) in net assets............................................... 3,604,529 2,099,431 NET ASSETS: Beginning of period................................................................... 2,099,431 -- --------------- --------------- End of period......................................................................... $ 5,703,960 $ 2,099,431 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............................................... 100,002 -- Shares sold........................................................................... 200,000 150,002 Shares redeemed....................................................................... (50,000) (50,000) --------------- --------------- Shares outstanding, end of period..................................................... 250,002 100,002 =============== =============== </TABLE> (a) Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) ----------------------------------- SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- OPERATIONS: <S> <C> <C> Net investment income (loss).......................................................... $ 9,911 $ 17,733 Net realized gain (loss).............................................................. 293,423 (152,076) Net change in unrealized appreciation (depreciation).................................. 196,528 (12,349) --------------- --------------- Net increase (decrease) in net assets resulting from operations....................... 499,862 (146,692) --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................................................. (14,430) (14,061) --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................. 1,175,597 3,032,718 Cost of shares redeemed............................................................... (1,176,163) (1,034,590) --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions......... (566) 1,998,128 --------------- --------------- Total increase (decrease) in net assets............................................... 484,866 1,837,375 NET ASSETS: Beginning of period................................................................... 1,837,375 -- --------------- --------------- End of period......................................................................... $ 2,322,241 $ 1,837,375 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............................................... 100,002 -- Shares sold........................................................................... 50,000 150,002 Shares redeemed....................................................................... (50,000) (50,000) --------------- --------------- Shares outstanding, end of period..................................................... 100,002 100,002 =============== =============== </TABLE> (a) Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 30 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) ----------------------------------- SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> $ 4,686 $ 11,974 414,635 (210,183) 197,011 45,670 --------------- --------------- 616,332 (152,539) --------------- --------------- (8,250) (9,970) --------------- --------------- 1,263,620 3,026,068 (1,253,848) (1,018,754) --------------- --------------- 9,772 2,007,314 --------------- --------------- 617,854 1,844,805 1,844,805 -- --------------- --------------- $ 2,462,659 $ 1,844,805 =============== =============== 100,002 -- 50,000 150,002 (50,000) (50,000) --------------- --------------- 100,002 100,002 =============== =============== </TABLE> See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/21 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period............................ $ 20.99 $ 19.87 --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss).................................... 0.12 0.23 Net realized and unrealized gain (loss)......................... 1.86 1.07 --------- --------- Total from investment operations................................ 1.98 1.30 --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income........................................... (0.15) (0.18) --------- --------- Net asset value, end of period.................................. $ 22.82 $ 20.99 ========= ========= TOTAL RETURN (b)................................................ 9.47% 6.67% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)............................ $ 5,704 $ 2,099 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets................... 0.55% (c) 0.55% (c) Ratio of net investment income (loss) to average net assets .... 1.20% (c) 1.62% (c) Portfolio turnover rate (d)..................................... 41% 55% </TABLE> FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/21 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period............................ $ 18.37 $ 19.88 --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss).................................... 0.09 0.18 Net realized and unrealized gain (loss)......................... 4.90 (1.55) --------- --------- Total from investment operations................................ 4.99 (1.37) --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income........................................... (0.14) (0.14) --------- --------- Net asset value, end of period.................................. $ 23.22 $ 18.37 ========= ========= TOTAL RETURN (b)................................................ 27.31% (6.86)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)............................ $ 2,322 $ 1,837 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets................... 0.65% (c) 0.65% (c) Ratio of net investment income (loss) to average net assets .... 0.98% (c) 1.34% (c) Portfolio turnover rate (d)..................................... 39% 66% </TABLE> (a) Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/21 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period............................ $ 18.45 $ 19.95 --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss).................................... 0.04 0.12 Net realized and unrealized gain (loss)......................... 6.22 (1.52) --------- --------- Total from investment operations................................ 6.26 (1.40) --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income........................................... (0.08) (0.10) --------- --------- Net asset value, end of period.................................. $ 24.63 $ 18.45 ========= ========= TOTAL RETURN (b)................................................ 34.03% (7.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)............................ $ 2,463 $ 1,845 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (c)............... 0.75% (d) 0.75% (d) Ratio of net investment income (loss) to average net assets .... 0.45% (d) 0.91% (d) Portfolio turnover rate (e)..................................... 44% 65% </TABLE> (a) Inception date is December 3, 2019, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 33 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on February 22, 2016, 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 thirty-seven funds that are offering shares. This report covers the three funds (each a "Fund" and collectively, the "Funds") listed below. The shares of each Fund are listed and traded on the NYSE Arca, Inc. ("NYSE Arca"). First Trust Active Factor Large Cap ETF - (NYSE Arca ticker "AFLG") First Trust Active Factor Mid Cap ETF - (NYSE Arca ticker "AFMC") First Trust Active Factor Small Cap ETF - (NYSE Arca ticker "AFSM") Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." Each Fund is an actively managed exchange-traded fund. Each Fund's investment objective seeks to provide capital appreciation. Under normal market conditions, AFLG will invest at least 80% of its net assets (including investment borrowings) in U.S.-listed equity securities issued by large capitalization companies. Under normal market conditions, AFMC will invest at least 80% of its net assets (including investment borrowings) in U.S.-listed equity securities issued by mid capitalization companies. Under normal market conditions, AFSM will invest at least 80% of its net assets (including investment borrowings) in U.S.-listed equity securities issued by small capitalization companies. There can be no assurance that a Fund will achieve its investment objective. The Funds may not be appropriate for all investors. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow 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 Funds 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 Each 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. Each 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. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Shares of open-end funds are valued at fair value which is based on NAV per share. Page 34 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. The Funds are 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 each Fund's investments as of February 28, 2021, is included with each 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, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Page 35 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal period ended August 31, 2020, was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid from paid from paid from Ordinary Capital Return of Income Gains Capital --------------- --------------- --------------- <S> <C> <C> <C> First Trust Active Factor Large Cap ETF $ 17,680 $ -- $ -- First Trust Active Factor Mid Cap ETF 14,061 -- -- First Trust Active Factor Small Cap ETF 9,970 -- -- </TABLE> D. INCOME TAXES Each 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, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are 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 year ended 2020 remains open to federal and state audit. As of February 28, 2021, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each 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. Each 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 August 31, 2020, for federal income tax purposes, the Funds had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to the Funds' shareholders. Non-Expiring Capital Loss Carryforwards --------------- First Trust Active Factor Large Cap ETF $ 167,085 First Trust Active Factor Mid Cap ETF 227,782 First Trust Active Factor Small Cap ETF 285,816 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 period ended August 31, 2020, the Funds had no net late year ordinary or capital losses. E. 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 Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for supervising the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. Page 36 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of each Fund's assets and is responsible for the expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit, and other services and license fees, 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. Each Fund has agreed to pay First Trust an annual unitary management fee based on each Fund's average daily net assets at a rate set forth below: Rate --------------- First Trust Active Factor Large Cap ETF 0.55% First Trust Active Factor Mid Cap ETF 0.65% First Trust Active Factor Small Cap ETF 0.75% 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 each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each 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 is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the six months ended February 28, 2021, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales ------------ ------------ <S> <C> <C> First Trust Active Factor Large Cap ETF $ 1,573,612 $ 1,578,890 First Trust Active Factor Mid Cap ETF 784,567 788,073 First Trust Active Factor Small Cap ETF 907,764 911,565 </TABLE> For the six months ended February 28, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales ------------ ------------ <S> <C> <C> First Trust Active Factor Large Cap ETF $ 4,334,087 $ 1,162,506 First Trust Active Factor Mid Cap ETF 1,172,266 1,176,056 First Trust Active Factor Small Cap ETF 1,260,799 1,250,689 </TABLE> 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each 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 a 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, a 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 a 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 Page 37 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 a 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 a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each 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 a 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. Each 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 a 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 a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, 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 Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before December 31, 2021. 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were the following subsequent events: On March 22, 2021, FT Cboe Vest U.S. Equity Buffer ETF - March, FT Cboe Vest U.S. Equity Deep Buffer ETF - March, FT Cboe Vest Growth-100 Buffer ETF - March and FT Cboe Vest International Equity Buffer ETF - March, additional series of the Trust, began trading under the symbols "FMAR," "DMAR," "QMAR," and "YMAR," respectively, on Cboe BZX Exchange, Inc. On April 19, 2021, FT Cboe Vest U.S. Equity Buffer ETF - April and FT Cboe Vest U.S. Equity Deep Buffer ETF - April, additional series of the Trust, began trading under the symbols "FAPR" and "DAPR," respectively, on Cboe BZX Exchange, Inc. Page 38 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (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 each 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 each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each 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. Each 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 each Fund is available to investors within 60 days after the period to which it relates. Each 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 large 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 not concentrated. 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. 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. Page 39 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in 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. 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. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. Page 40 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII FEBRUARY 28, 2021 (UNAUDITED) 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. 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. Although the funds and the Advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 41 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII 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 111 W. Monroe Street Chicago, IL 60603 <PAGE> [BLANK BACK COVER] <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- First Trust Multi-Manager Large Growth ETF (MMLG) ---------------------------- Semi-Annual Report For the Six Months Ended February 28, 2021 ---------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) SEMI-ANNUAL REPORT FEBRUARY 28, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview.................................................... 2 Portfolio Management......................................................... 4 Understanding Your Fund Expenses............................................. 5 Portfolio of Investments..................................................... 6 Statement of Assets and Liabilities.......................................... 9 Statement of Operations...................................................... 10 Statements of Changes in Net Assets.......................................... 11 Financial Highlights......................................................... 12 Notes to Financial Statements................................................ 13 Additional Information....................................................... 18 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and/or Wellington Management Company LLP ("Wellington") and/or Sands Capital Management, LLC ("Sands Capital") (each, a "Sub-Advisor" and together, "Sub-Advisors") and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund VIII (the "Trust") described in this report (First Trust Multi-Manager Large Growth ETF; hereinafter referred to as the "Fund") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisors and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that the Fund will achieve its investment objective. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in the Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on the Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund's performance and investment approach. The statistical information that follows may help you understand the Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisors are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO FEBRUARY 28, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the First Trust Multi-Manager Large Growth ETF (the "Fund"), which contains detailed information about the Fund for the six months ended February 28, 2021. For the better part of the past year, we Americans have been operating under the premise that the U.S. government's decision to inject trillions of dollars of capital into the economy was likely the best approach to keeping it propped up until one or more coronavirus ("COVID-19") vaccines could garner approval from the Food and Drug Administration ("FDA"). In other words, we have literally been buying time until a remedy for this virus could be discovered, approved, manufactured, and brought to market. While the jury may still be out with respect to whether or not such a massive amount of money was truly necessary, I am pleased to report that we now have three FDA-approved vaccines, and we got them in record time. Nobody thought it was possible to accomplish this task within the scope of 12 months. Even the most experienced scientists, including Dr. Anthony Fauci, were hoping for one by the 18-month mark at best. When you combine the number of people who have already contracted COVID-19 and developed the antibodies to it along with the people who are projected to receive the vaccine in the weeks ahead it is conceivable that the U.S. population could achieve a type of herd immunity - where at least 70% of the population develops antibodies - by the end of April 2021, according to Brian Wesbury, Chief Economist at First Trust. Keep in mind that Wesbury's April target is probably more optimistic than most, but I am willing to wager that he has done considerably more in-depth research on the pandemic than most. Achieving herd immunity sooner than expected is a potential boon for investors, in my opinion. Think about how much more optimistic consumers are likely to be once the entire U.S. economy is deemed open for business. Consider how much pent up demand there could be for activities such as leisure travel, attending theme parks, ballparks and movie theaters, as well as dining out and in-store shopping. Best of all, think about how achieving herd immunity could expedite putting at least some of the 10 million or so Americans who lost their jobs due to the pandemic back to work. Corporate executives seem ready to go. The Conference Board reported that its first quarter 2021 survey, which tracks CEO confidence levels, hit its highest reading since the first quarter of 2004, when the measure stood at 74, according to its own release. The measure currently stands at 73, up from 64 in the third quarter of 2020. A reading above 50 points reflects more positive than negative responses. Eighty-two percent of those CEOs polled expect economic conditions to improve over the next six months. Looking out 12 months, 47% of CEOs expect to grow their workforce. Investors, like top executives, should keep at least one eye on the future. What might the future hold for investors? The stimulus designed to mitigate the fallout from the pandemic comes at a cost. No free lunch! The added Treasury debt used to fund the stimulus will have to be paid back at some point - just not anytime soon. Expect economic growth to accelerate. The outlook for U.S. economic growth is robust, according to the Federal Reserve (the "Fed"). On March 17, 2021, the Fed raised its forecast for real gross domestic product this year from 4.2% to 6.5%, largely due to the passage of the $1.9 trillion American Rescue Plan Act of 2021, according to Wesbury. The outlook for corporate earnings is optimistic. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 24.35% and 15.20%, respectively, as of March 19, 2021. While the Fed continues to stick to its mandate of keeping short-term lending rates at a quarter-point through at least 2022, there is less certainty when it comes to the direction of inflation and intermediate to long-term bond yields. The yield on the 10-Year Treasury Note has already risen 70 basis points this year to 1.62% (thru March 23), according to Bloomberg. The prospects for robust economic activity moving forward suggests to us that investors should prepare for higher inflation and higher bond yields and adjust their investment portfolios accordingly, if necessary. We encourage investors to remain engaged and to stay invested. 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) The First Trust Multi-Manager Large Growth ETF (the "Fund") seeks to provide long-term capital appreciation. Under normal market conditions, the Fund invests at least 80% of its net assets (including investment borrowings) in equity securities issued by large capitalization companies. The Fund considers large capitalization companies to be those companies with market capitalizations within the market capitalization range of the companies comprising the Russell 1000(R) Growth Index (as of the index's most recent reconstitution). The Fund's portfolio is principally composed of common stocks issued by companies domiciled in the United States, common stocks issued by non-U.S. companies that are principally traded in the United States and American Depositary Receipts. The Fund utilizes a multi-manager approach to provide exposure to the large capitalization growth segment of the equity market through the blending of multiple portfolio management teams. The Fund lists and principally trades its shares on NYSE Arca, Inc. under the ticker symbol "MMLG." <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS 6 Months Ended Inception (7/21/20) 2/28/21 to 2/28/21 <S> <C> <C> FUND PERFORMANCE NAV 11.03% 22.33% Market Price 10.93% 22.33% INDEX PERFORMANCE Russell 1000(R) Index 11.78% 20.56% Russell 1000(R) Growth Index 5.34% 17.96% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> Total returns for the period since inception are calculated from the inception date of the Fund. "Cumulative Total Returns" represent the total change in value of an investment over the period indicated. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint 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. 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 indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the index. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future performance. Page 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) (CONTINUED) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Information Technology 37.43% Communication Services 23.95 Health Care 13.39 Consumer Discretionary 12.91 Industrials 7.28 Consumer Staples 2.53 Financials 1.28 Real Estate 0.78 Materials 0.45 -------- Total 100.00% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Amazon.com, Inc. 5.17% Sea Ltd., ADR 4.83 Netflix, Inc. 4.65 Facebook, Inc., Class A 3.88 ServiceNow, Inc. 3.71 Microsoft Corp. 3.65 Visa, Inc., Class A 3.39 Square, Inc., Class A 3.36 Adobe, Inc. 3.04 Apple, Inc. 2.74 -------- Total 38.42% ======== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 21, 2020 - FEBRUARY 28, 2021 First Trust Multi-Manager Russell 1000(R) Russell 1000(R) Large Growth ETF Index Growth Index <S> <C> <C> <C> 1/3/19 $10,000 $10,000 $10,000 8/31/20 11,018 10,785 11,198 2/28/21 12,233 12,056 11,796 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS 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 3 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) SEMI-ANNUAL REPORT FEBRUARY 28, 2021 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to the First Trust Multi-Manager Large Growth ETF ("MMLG" or the "Fund"). The following serve as investment sub-advisors (each, a "Sub-Advisor") to the Fund: Wellington Management Company LLP ("Wellington") and Sands Capital Management, LLC ("Sands Capital"). First Trust is responsible for the ongoing monitoring of the Fund's investment portfolio, selecting and overseeing the investment sub-advisors, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. PORTFOLIO MANAGEMENT TEAM THE ADVISOR'S INVESTMENT COMMITTEE, WHICH MANAGES THE FUND'S INVESTMENTS, CONSISTS OF: o Daniel J. Lindquist, Managing Director of First Trust o Jon C. Erickson, Senior Vice President of First Trust o David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust o Roger F. Testin, Senior Vice President of First Trust o Stan Ueland, Senior Vice President of First Trust o Chris A. Peterson, CFA, Senior Vice President of First Trust SUB-ADVISOR PORTFOLIO MANAGERS WELLINGTON o Douglas W. McLane, CFA, Senior Managing Director, Partner and Equity Portfolio Manager SANDS CAPITAL o Frank M. Sands, CFA, Chief Investment Officer and Chief Executive Officer o Michael A. Sramek, CFA, Senior Portfolio Manager, Research Analyst and Managing Director o Wesley A. Johnston, CFA, Portfolio Manager and Senior Research Analyst o Thomas H. Trentman, CFA, Portfolio Manager and Senior Research Analyst Page 4 <PAGE> FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) UNDERSTANDING YOUR FUND EXPENSES FEBRUARY 28, 2021 (UNAUDITED) As a shareholder of First Trust Multi-Manager Large Growth 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 February 28, 2021. 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH SEPTEMBER 1, 2020 FEBRUARY 28, 2021 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) Actual $1,000.00 $1,110.30 0.85% $4.45 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 </TABLE> (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (September 1, 2020 through February 28, 2021), multiplied by 181/365 (to reflect the six-month period). Page 5 <PAGE> FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 98.9% AEROSPACE & DEFENSE -- 0.7% 183 BWX Technologies, Inc. $ 10,616 223 Raytheon Technologies Corp. 16,054 ------------- 26,670 ------------- AIR FREIGHT & LOGISTICS -- 0.5% 69 FedEx Corp. 17,561 ------------- BEVERAGES -- 0.9% 87 Constellation Brands, Inc., Class A 18,630 180 Monster Beverage Corp. (a) 15,793 ------------- 34,423 ------------- BIOTECHNOLOGY -- 1.3% 241 Sarepta Therapeutics, Inc. (a) 20,982 85 Seagen, Inc. (a) 12,844 57 Vertex Pharmaceuticals, Inc. (a) 12,115 ------------- 45,941 ------------- BUILDING PRODUCTS -- 0.5% 232 Fortune Brands Home & Security, Inc. 19,288 ------------- CAPITAL MARKETS -- 0.4% 21 BlackRock, Inc. 14,585 ------------- CHEMICALS -- 0.5% 24 Sherwin-Williams (The) Co. 16,328 ------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 121 Republic Services, Inc. 10,780 ------------- COMMUNICATIONS EQUIPMENT -- 0.6% 120 Motorola Solutions, Inc. 21,058 ------------- CONSUMER FINANCE -- 0.5% 133 American Express Co. 17,990 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0% 117 CDW Corp. 18,356 447 Corning, Inc. 17,093 ------------- 35,449 ------------- ENTERTAINMENT -- 11.5% 154 Activision Blizzard, Inc. 14,724 310 Netflix, Inc. (a) 167,043 736 Sea Ltd., ADR (a) 173,468 111 Walt Disney (The) Co. (a) 20,983 1,216 Warner Music Group Corp., Class A 43,132 ------------- 419,350 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 0.8% 76 Alexandria Real Estate Equities, Inc. 12,137 256 Equity LifeStyle Properties, Inc. 15,782 ------------- 27,919 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- FOOD & STAPLES RETAILING -- 0.9% 688 Grocery Outlet Holding Corp. (a) $ 24,761 73 Walmart, Inc. 9,484 ------------- 34,245 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.0% 106 Align Technology, Inc. (a) 60,114 255 Baxter International, Inc. 19,811 57 Becton, Dickinson and Co. 13,745 72 Danaher Corp. 15,816 82 DexCom, Inc. (a) 32,618 363 Edwards Lifesciences Corp. (a) 30,165 240 Hologic, Inc. (a) 17,302 33 Teleflex, Inc. 13,138 52 West Pharmaceutical Services, Inc. 14,594 ------------- 217,303 ------------- HEALTH CARE PROVIDERS & SERVICES -- 1.7% 66 Laboratory Corp. of America Holdings (a) 15,834 136 UnitedHealth Group, Inc. 45,182 ------------- 61,016 ------------- HOTELS, RESTAURANTS & LEISURE -- 2.1% 207 Airbnb, Inc., Class A (a) 42,714 13 Chipotle Mexican Grill, Inc. (a) 18,746 78 McDonald's Corp. 16,079 ------------- 77,539 ------------- HOUSEHOLD PRODUCTS -- 0.6% 181 Procter & Gamble (The) Co. 22,359 ------------- INSURANCE -- 0.4% 82 Chubb Ltd. 13,332 ------------- INTERACTIVE MEDIA & SERVICES -- 10.8% 43 Alphabet, Inc., Class A (a) 86,942 13 Alphabet, Inc., Class C (a) 26,479 541 Facebook, Inc., Class A (a) 139,373 567 Match Group, Inc. (a) 86,666 330 Zillow Group, Inc., Class C (a) 53,239 ------------- 392,699 ------------- INTERNET & DIRECT MARKETING RETAIL -- 6.7% 60 Amazon.com, Inc. (a) 185,576 135 DoorDash, Inc., Class A (a) 22,881 123 Fiverr International Ltd. (a) 33,206 ------------- 241,663 ------------- IT SERVICES -- 14.1% 42 EPAM Systems, Inc. (a) 15,692 105 Fidelity National Information Services, Inc. 14,490 70 FleetCor Technologies, Inc. (a) 19,412 114 Global Payments, Inc. 22,571 201 GoDaddy, Inc., Class A (a) 16,305 Page 6 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 132 Mastercard, Inc., Class A $ 46,708 136 PayPal Holdings, Inc. (a) 35,340 64 Snowflake, Inc., Class A (a) 16,610 525 Square, Inc., Class A (a) 120,766 213 Twilio, Inc., Class A (a) 83,683 573 Visa, Inc., Class A 121,699 ------------- 513,276 ------------- LIFE SCIENCES TOOLS & SERVICES -- 1.8% 102 Illumina, Inc. (a) 44,820 49 Thermo Fisher Scientific, Inc. 22,054 ------------- 66,874 ------------- MEDIA -- 1.3% 79 Charter Communications, Inc., Class A (a) 48,460 ------------- PHARMACEUTICALS -- 2.5% 190 Eli Lilly and Co. 38,929 328 Zoetis, Inc. 50,919 ------------- 89,848 ------------- PROFESSIONAL SERVICES -- 2.6% 61 CoStar Group, Inc. (a) 50,249 81 Equifax, Inc. 13,112 202 Leidos Holdings, Inc. 17,867 151 Science Applications International Corp. 13,006 ------------- 94,234 ------------- ROAD & RAIL -- 2.6% 1,794 Uber Technologies, Inc. (a) 92,840 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% 210 Advanced Micro Devices, Inc. (a) 17,747 184 Entegris, Inc. 19,359 277 Marvell Technology Group Ltd. 13,373 130 Texas Instruments, Inc. 22,395 ------------- 72,874 ------------- SOFTWARE -- 16.6% 238 Adobe, Inc. (a) 109,401 150 Atlassian Corp. PLC, Class A (a) 35,655 66 Coupa Software, Inc. (a) 22,853 39 DocuSign, Inc. (a) 8,840 97 Guidewire Software, Inc. (a) 10,766 168 Intuit, Inc. 65,544 565 Microsoft Corp. 131,295 168 salesforce.com, Inc. (a) 36,372 250 ServiceNow, Inc. (a) 133,365 82 Splunk, Inc. (a) 11,727 172 SS&C Technologies Holdings, Inc. 11,400 108 Workday, Inc., Class A (a) 26,479 ------------- 603,697 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- SPECIALTY RETAIL -- 2.7% 97 Burlington Stores, Inc. (a) $ 25,106 439 Floor & Decor Holdings, Inc., Class A (a) 41,744 469 TJX (The) Cos., Inc. 30,949 ------------- 97,799 ------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.7% 813 Apple, Inc. 98,584 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.3% 202 NIKE, Inc., Class B 27,226 249 VF Corp. 19,703 ------------- 46,929 ------------- TOTAL COMMON STOCKS -- 98.9% 3,592,913 (Cost $3,477,293) ------------- MONEY MARKET FUNDS -- 0.6% 21,687 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (b) 21,687 (Cost $21,687) ------------- TOTAL INVESTMENTS -- 99.5% 3,614,600 (Cost $3,498,980) (c) NET OTHER ASSETS AND LIABILITIES -- 0.5% 17,548 ------------- NET ASSETS -- 100.0% $ 3,632,148 ============= (a) Non-income producing security. (b) Rate shown reflects yield as of February 28, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 28, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $149,371 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $33,751. The net unrealized appreciation was $115,620. ADR - American Depositary Receipt See Notes to Financial Statements Page 7 <PAGE> FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------ Common Stocks* $ 3,592,913 $ -- $ -- Money Market Funds 21,687 -- -- ------------------------------------------ Total Investments $ 3,614,600 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 8 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> <S> <C> ASSETS: Investments, at value.................................................. $ 3,614,600 Receivables: Capital shares sold................................................. 1,210,700 Dividends........................................................... 1,100 ---------------- Total Assets..................................................... 4,826,400 ---------------- LIABILITIES: Payables: Investment securities purchased..................................... 1,192,579 Investment advisory fees............................................ 1,673 ---------------- Total Liabilities................................................ 1,194,252 ---------------- NET ASSETS............................................................. $ 3,632,148 ================ NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 3,187,076 Par value.............................................................. 1,500 Accumulated distributable earnings (loss).............................. 443,572 ---------------- NET ASSETS............................................................. $ 3,632,148 ================ NET ASSET VALUE, per share............................................. $ 24.21 ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 150,002 ================ Investments, at cost................................................... $ 3,498,980 ================ </TABLE> See Notes to Financial Statements Page 9 <PAGE> FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2021 (UNAUDITED) <TABLE> <CAPTION> <S> <C> INVESTMENT INCOME: Dividends.............................................................. $ 5,241 ---------------- Total investment income............................................. 5,241 ---------------- EXPENSES: Investment advisory fees............................................... 9,705 ---------------- Total expenses...................................................... 9,705 ---------------- NET INVESTMENT INCOME (LOSS)........................................... (4,464) ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... 27,805 In-kind redemptions................................................. 310,530 ---------------- Net realized gain (loss) on investments................................ 338,335 ---------------- Net change in unrealized appreciation (depreciation) on investments.... (85,768) ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 252,567 ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 248,103 ================ </TABLE> Page 10 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) ---------------- ---------------- <S> <C> <C> OPERATIONS: Net investment income (loss)......................................................... $ (4,464) $ (491) Net realized gain (loss)............................................................. 338,335 632 Net change in unrealized appreciation (depreciation)................................. (85,768) 201,388 ---------------- ---------------- Net increase (decrease) in net assets resulting from operations...................... 248,103 201,529 ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................................................ (6,060) -- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 2,485,981 1,984,028 Cost of shares redeemed.............................................................. (1,281,433) -- ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions........ 1,204,548 1,984,028 ---------------- ---------------- Total increase (decrease) in net assets.............................................. 1,446,591 2,185,557 NET ASSETS: Beginning of period.................................................................. 2,185,557 -- ---------------- ---------------- End of period........................................................................ $ 3,632,148 $ 2,185,557 ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. 100,002 -- Shares sold.......................................................................... 100,000 100,002 Shares redeemed...................................................................... (50,000) -- ---------------- ---------------- Shares outstanding, end of period.................................................... 150,002 100,002 ================ ================ </TABLE> (a) Inception date is July 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Financial Statements Page 11 <PAGE> FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 2/28/2021 ENDED (UNAUDITED) 8/31/2020 (a) --------------- --------------- <S> <C> <C> Net asset value, beginning of period........................... $ 21.86 $ 19.84 ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.01) (0.00) (b) Net realized and unrealized gain (loss)........................ 2.42 2.02 ----------- ----------- Total from investment operations............................... 2.41 2.02 ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.......................................... (0.06) -- ----------- ----------- Net asset value, end of period................................. $ 24.21 $ 21.86 =========== =========== TOTAL RETURN (c)............................................... 11.03% 10.18% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 3,632 $ 2,186 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (d) 0.85% (d) Ratio of net investment income (loss) to average net assets ... (0.39)% (d) (0.21)% (d) Portfolio turnover rate (e).................................... 14% 2% </TABLE> (a) Inception date is July 21, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Amount is less than $0.01. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 12 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) FEBRUARY 28, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on February 22, 2016, 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 thirty-seven funds that are offering shares. This report covers the First Trust Multi-Manager Large Growth ETF (the "Fund"), which trades under the ticker "MMLG" on NYSE Arca, Inc. 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. The Fund seeks to provide long-term capital appreciation. Under normal market conditions, the Fund invests at least 80% of its net assets (including investment borrowings) in equity securities issued by large capitalization companies. The Fund considers large capitalization companies to be those companies with market capitalizations within the market capitalization range of the companies comprising the Russell 1000(R) Growth Index (as of the index's most recent reconstitution). The Fund's portfolio is principally composed of common stocks issued by companies domiciled in the United States, common stocks issued by non-U.S. companies that are principally traded in the United States and American Depositary Receipts. The Fund utilizes a multi-manager approach to provide exposure to the large capitalization growth segment of the equity market through the blending of multiple portfolio management teams. There can be no assurance that the Fund will achieve its investment objective. The Fund may not be appropriate for all investors. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION The Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. 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 accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Shares of open-end funds are valued at fair value which is based on NAV per share. 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 Page 13 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) FEBRUARY 28, 2021 (UNAUDITED) source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. 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 February 28, 2021, 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, if any, is recorded on the accrual basis. C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income, if any, are declared and paid quarterly by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by the Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The Fund did not pay a distribution during its fiscal period ended August 31, 2020. As of August 31, 2020, the components of distributable earnings on a tax basis for the Fund were as follows: Undistributed ordinary income................. $ 255 Accumulated capital and other gain (loss)..... -- Net unrealized appreciation (depreciation).... 201,274 Page 14 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) FEBRUARY 28, 2021 (UNAUDITED) D. INCOME TAXES The Fund intends 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 year ended 2020 remains open to federal and state audit. As of February 28, 2021, 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 August 31, 2020, the Fund had no capital loss carryforwards for federal income tax purposes. Certain losses realized during the current fiscal period may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal period ended August 31, 2020, the Fund had no net late year ordinary or capital losses. E. 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 ongoing monitoring of the securities in the Fund's portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the Fund's portfolio based on recommendations provided by the Sub-Advisors (defined below) and is responsible for the expenses of the Fund including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services and license fees (if any), but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, which are paid by the Fund. The Fund has agreed to pay First Trust an annual management fee equal to 0.85% of its average daily net assets. The Fund utilizes a multi-manager structure. The Trust, on behalf of the Fund, and First Trust have retained Wellington Management Company LLP ("Wellington") and Sands Capital Management, LLC ("Sands Capital") (each, a "Sub-Advisor" and together, "Sub-Advisors"), to serve as non-discretionary investment sub-advisors to the Fund pursuant to sub-advisory agreements (the "Sub-Advisory Agreements"). In this capacity, Wellington and Sands Capital are each responsible for providing recommendations to First Trust regarding the selection and allocation of the securities in the portion of the Fund's portfolio they have been allocated by First Trust. Pursuant to the Sub-Advisory Agreements, First Trust has agreed to pay for the services and facilities provided by the Sub-Advisors through sub-advisory fees equal in the aggregate to an annual rate of 0.30% of the average daily net assets of the Fund (i.e., for each sub-advisor, 0.30% of the average daily net assets of the portion of the Fund's assets allocated to that sub-advisor). Each Sub-Advisor's fees are paid by First Trust out of First Trust's management fee. 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 is an index fund. Page 15 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) FEBRUARY 28, 2021 (UNAUDITED) Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen 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 For the six months ended February 28, 2021, the cost of purchases and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were $342,999 and $331,173, respectively. For the six months ended February 28, 2021, the cost of in-kind purchases and proceeds from in-kind sales were $2,451,098 and $1,286,373, respectively. 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES The Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with the Fund 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. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. 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 May 15, 2022. Page 16 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) FEBRUARY 28, 2021 (UNAUDITED) 7. INDEMNIFICATION The Trust, on behalf of the Fund, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were the following subsequent events: On March 22, 2021, FT Cboe Vest U.S. Equity Buffer ETF - March, FT Cboe Vest U.S. Equity Deep Buffer ETF - March, FT Cboe Vest Growth-100 Buffer ETF - March and FT Cboe Vest International Equity Buffer ETF - March, additional series of the Trust, began trading under the symbols "FMAR," "DMAR," "QMAR," and "YMAR," respectively, on Cboe BZX Exchange, Inc. On April 19, 2021, FT Cboe Vest U.S. Equity Buffer ETF - April and FT Cboe Vest U.S. Equity Deep Buffer ETF - April, additional series of the Trust, began trading under the symbols "FAPR" and "DAPR," respectively, on Cboe BZX Exchange, Inc. Page 17 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) FEBRUARY 28, 2021 (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 large 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 not concentrated. 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. 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 Page 18 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) FEBRUARY 28, 2021 (UNAUDITED) 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in 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. 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. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. 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. Page 19 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER LARGE GROWTH ETF (MMLG) FEBRUARY 28, 2021 (UNAUDITED) 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. Although the funds and the Advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 20 <PAGE> FIRST TRUST First Trust Exchange-Traded Fund VIII INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 INVESTMENT SUB-ADVISORS Wellington Management Company LLP 280 Congress Street Boston, MA 02210 Sands Capital Management, LLC 1000 Wilson Boulevard, Suite 3000 Arlington, Virginia 22209 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 111 W. Monroe Street Chicago, IL 60603 <PAGE> [BLANK BACK COVER] <PAGE>
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund VIII |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | May 10, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | May 10, 2021 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | May 10, 2021 |
* Print the name and title of each signing officer under his or her signature.