First Trust/Confluence Small Cap Value Fund (FOVAX) N-CSR Certified annual shareholder report (management investment company)

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 811-22452

First Trust Series Fund
(Exact name of registrant as specified in charter)

120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)

Registrant’s telephone number, including area code: (630) 765-8000

Date of fiscal year end:October 31

Date of reporting period:October 31, 2019

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. Reports to Stockholders.

The Report to Shareholders is attached herewith.

First Trust Preferred
Securities and Income Fund

Annual Report

For the Year Ended

October 31, 2019

Table of Contents

First Trust Preferred Securities and Income Fund

Annual Report

October 31, 2019

Shareholder Letter	1
At a Glance	2
Portfolio Commentary	4
Understanding Your Fund Expenses	6
Portfolio of Investments	7
Statement of Assets and Liabilities	14
Statement of Operations	15
Statements of Changes in Net Assets	16
Financial Highlights	17
Notes to Financial Statements	22
Report of Independent Registered Public Accounting Firm	29
Additional Information	30
Board of Trustees and Officers	35
Privacy Policy	37

Caution Regarding Forward-Looking Statements

This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and/or Stonebridge Advisors LLC (“Stonebridge” 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 First Trust Preferred Securities and Income Fund (the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Performance and Risk Disclosure

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

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

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page atwww.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.

By reading the portfolio commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund’s performance. 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 First Trust and Stonebridge are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.

Shareholder Letter

First Trust Preferred Securities and Income Fund

Annual Letter from the Chairman and CEO

October 31, 2019

Dear Shareholders,

First Trust is pleased to provide you with the annual report for the First Trust Preferred Securities and Income Fund (the “Fund”), which contains detailed information about the Fund for the twelve months ended October 31, 2019, including a market overview and a performance analysis. We encourage you to read this report carefully and discuss it with your financial advisor.

One of our responsibilities as asset managers is to be good listeners. Perhaps the most effective way in which we do this continually is by paying close attention to mutual fund and exchange-traded fund (ETF) money flows. After all, investors vote with their dollars, and money flows provide valuable feedback with respect to their biases. Over the past 12 months, we have learned that investors, in general, have grown more risk-averse. For the 12-month period ended October 31, 2019, investors funneled an estimated net $359.56 billion into bond mutual funds and ETFs, while liquidating an estimated net $56.86 billion from equity mutual funds and ETFs, according to data from Morningstar. Over the same period, money market funds took in an estimated net $583.27 billion. Those figures were more balanced for the full-year 2018. Those estimated net flows were as follows: $94.42 billion (equity mutual funds & ETFs); $137.60 billion (bond mutual funds & ETFs); and $161.60 billion (money market funds).

In addition to monitoring fund flows, we watch the performance of all the asset classes. Market returns can either help validate or invalidate our interpretation of money flows. As we noted above, we believe that investors have tempered their appetite for risk, and the returns on the major sectors that comprise the S&P 500^® Index back it up. For the 12-month period ended October 31, 2019, as measured by total return, the top performers were Real Estate and Utilities, up 26.72% and 23.71%, respectively, according to Bloomberg. The S&P 500^® Index posted a total return of 14.33% for the period. These two sectors are defensive in nature. They also tend to distribute cash dividends that are often well above those sectors that are more cyclical in nature. The higher dividend distributions likely drew the attention of fixed-income investors dissatisfied with the current low-yield climate in the bond market, in our opinion.

The absence of a new trade deal between the U.S. and China has been a bit of a wet blanket on the global economy. Global growth projections have been trimmed over time by such organizations as the International Monetary Fund. The tariffs have been in play for 19 months and counting as of October 2019. While the lack of any significant progress in the negotiations between the U.S. and China is a concern, we believe a remedy will be found. Remember, as uncertain as things may appear in the current climate, investors with diversified investment portfolios were most likely rewarded over the past 12 months. Stay the course and stay engaged!

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,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

First Trust Preferred Securities and Income Fund

“AT A GLANCE”

As of October 31, 2019 (Unaudited)

Fund Statistics
First Trust Preferred Securities and Income Fund	Net Asset Value (NAV)
Class A (FPEAX)	$22.07
Class C (FPECX)	$22.18
Class F (FPEFX)	$22.32
Class I (FPEIX)	$22.23
Class R3 (FPERX)	$22.02

Sector Allocation	% of Total Investments
Financials	70.1%
Utilities	12.0
Energy	7.1
Consumer Staples	4.0
Real Estate	2.4
Industrials	2.1
Communication Services	1.3
Materials	1.0
Total	100.0%

Credit Quality(1)	% of Total Investments
A-	1.1%
BBB+	9.4
BBB	15.1
BBB-	27.9
BB+	26.7
BB	10.5
BB-	3.5
B+	1.5
B	0.1
Not Rated	4.2
Total	100.0%

Top Ten Holdings	% of Total Investments
Emera, Inc., Series 16-A	3.2%
Enel S.p.A.	2.2
Barclays PLC	2.2
NiSource, Inc.	1.9
Credit Agricole S.A.	1.9
Royal Bank of Scotland Group PLC	1.7
Enbridge, Inc., Series 16-A	1.7
ING Groep N.V.	1.7
Credit Agricole S.A.	1.5
Goldman Sachs Group (The), Inc., Series Q	1.5
Total	19.5%

 

Dividend Distributions	Class A Shares	Class C Shares	Class F Shares	Class I Shares	Class R3 Shares
Current Monthly Distribution per Share(2)	$0.0955	$0.0818	$0.0972	$0.1000	$0.0909
Current Distribution Rate on NAV(3)	5.19%	4.43%	5.23%	5.40%	4.95%

⁽¹⁾ The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.

⁽²⁾ Most recent distribution paid or declared through 10/31/2019. Subject to change in the future.

⁽³⁾ Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by NAV as of 10/31/2019. Subject to change in the future.

Page 2

First Trust Preferred Securities and Income Fund

“AT A GLANCE” (Continued)

As of October 31, 2019 (Unaudited)

Performance of a $10,000 investment

This chart compares your Fund’s Class I performance to that of the ICE BofAML Fixed Rate Preferred Securities Index, the ICE BofAML U.S. Capital Securities Index and the Blended Index⁽⁴⁾ from 1/11/2011 through 10/31/2019.

Performance as of October 31, 2019
	A Shares Inception 2/25/2011		C Shares Inception 2/25/2011		F Shares Inception 3/2/2011	I Shares Inception 1/11/2011	R3 Shares Inception 3/2/2011	Blended Index*	P0P1* ICE BofAML Fixed Rate Preferred Securities Index	C0CS* ICE BofAML U.S. Capital Securities Index
Cumulative Total Returns	w/o sales charge	w/max 4.50% sales charge	w/o sales charge	w/max 1.00% contingent deferred sales charge	w/o sales charge	w/o sales charges	w/o sales charges	w/o sales charges	w/o sales charges	w/o sales charges
1 Year	11.75%	6.72%	11.01%	10.01%	11.87%	12.09%	11.44%	13.82%	12.77%	14.84%
Average Annual Total Returns
5 Years	6.33%	5.36%	5.59%	5.59%	6.45%	6.65%	6.03%	5.99%	6.47%	5.48%
Since Inception	6.62%	6.06%	5.88%	5.88%	6.78%	7.01%	6.27%	6.90%	6.75%	7.01%
30-Day SEC Yield(5)	3.94%		3.39%		4.30%	4.43%	3.95%	N/A	N/A	N/A

* Since inception return is based on the Class I Shares inception date.

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that the shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor and Sub-Advisor. An index is a statistical composite that tracks a specific financial market or sector. Unlike the Fund, these 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.

Performance of share classes will vary due to differences in sales charges and expenses. Total return with sales charges includes payment of the maximum sales charge of 4.50% for Class A Shares, a contingent deferred sales charge (“CDSC”) of 1.00% for Class C Shares in year one and Rule 12b-1 service fees of 0.25% per year of average daily net assets for Class A Shares and combined Rule 12b-1 distribution and service fees of 1.00% per year of average daily net assets for Class C Shares. Class F, Class I and Class R3 Shares do not have a front-end sales charge or a CDSC; therefore, performance is at net asset value. The Rule 12b-1 service fees are 0.15% of average daily net assets for Class F Shares and combined Rule 12b-1 distribution and service fees are 0.50% of average daily net assets for Class R3 Shares, while Class I Shares do not have these fees. Prior to December 15, 2011, the combined Rule 12b-1 distribution and service fees for Class R3 Shares were 0.75% of average daily net assets.

⁽⁴⁾ The Blended Index return is a 50/50 split between the ICE BofAML Fixed Rate Preferred Securities Index and ICE BofAML U.S. Capital Securities Index.

⁽⁵⁾ 30-day SEC yield is calculated by dividing the net investment income per share earned during the most recent 30-day period by the maximum offering price per share on the last day of the period. The reported SEC yields are subsidized. The subsidized yields reflect the waiver and/or a reimbursement of Fund expenses, which has the effect of lowering the Fund’s expense ratio and generating a higher yield.

Page 3

Portfolio Commentary

First Trust Preferred Securities and Income Fund

Annual Report

October 31, 2019 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”) serves as the investment advisor to the First Trust Preferred Securities and Income Fund (the “Fund”). First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

Sub-Advisor

Stonebridge Advisors LLC (“Stonebridge” or the “Sub-Advisor”) is the investment sub-advisor to the Fund and is a registered investment advisor based in Wilton, Connecticut. Stonebridge specializes in the management of preferred and hybrid securities.

Stonebridge Advisors LLC Portfolio Management Team

Scott T. Fleming - Chief Executive Officer and President

Robert Wolf - Chief Investment Officer, Senior Vice President and Senior Portfolio Manager

Annual Report Commentary

Market Recap

The fiscal year ended October 31, 2019 was a strong period for the preferred and hybrid securities market with all parts of the market experiencing positive performance. The beginning of the period was marked by weak returns and volatility, as global growth fears, central bank policy, and headline risk across the U.S., Europe and Asia weighed on financial markets during the fourth quarter of 2018. As investor sentiment waned, investment outflows across fixed income asset classes caused credit spreads to widen significantly within the preferred and hybrid securities market, leaving valuations at year-end 2018 at the lowest levels in 5 years. In response to the deteriorating growth and inflation expectations, the Federal Reserve (the “Fed”) and other central banks globally cut interest rates and embarked on increased stimulus measures. Additionally, the 10-Year Treasury yield fell by almost 150 basis points (“bps”), causing the 2-Year/10-Year part of the curve to flatten and an inversion of the 3-Month/10-Year part of the curve. Even as U.S.-China trade tensions simmered throughout the period, the supportive rate environment, positive fund inflows, and strong credit fundamentals in the preferred and hybrid securities market sparked a massive rally. For the fiscal year ended October 31, 2019, the retail market produced returns of 12.77% while the institutional market gained 14.84%, according to the ICE BofAML Fixed Rate Preferred Securities Index (“P0P1”) and the ICE BofAML U.S. Capital Securities Index (“C0CS”), respectively. European contingent convertible capital securities (CoCos) also performed well as the prospects for a no-deal BREXIT diminished and Italy formed a new coalition government that figured to be more European Union (“E.U.”) and market friendly compared to its predecessor. By the end of the period, CoCos, as measured by the ICE BofAML USD Investment Grade Contingent Capital Index (COCU), earned 13.90%.

Performance Analysis

For the fiscal year ended October 31, 2019 the Fund’s I-shares produced a total return of 12.09% compared to the benchmark’s (a 50/50 blend of the ICE BofAML Fixed Rate Preferred Securities Index (P0P1) and the ICE BofAML U.S. Capital Securities Index (C0CS)) total return of 13.82%. The Fund modestly underperformed the benchmark during the period as a result of maintaining a conservative stance on duration management. This was partially offset by security selection and an overweight in European bank capital securities. In addition, investments in newly issued securities contributed positively to the Fund’s relative performance.

The Fund’s relative performance was hindered by maintaining a shorter duration than the benchmark. Interest rates globally trended lower during the fiscal year as central banks pivoted to a more dovish stance in early 2019, which resulted in longer duration securities outperforming. The Fund entered the period underweight these longer duration securities (7+ years) in order to protect against rising interest rates. Despite the outperformance of longer duration securities during the period, we still believe that it is prudent to remain underweight going forward. The yields on longer duration securities are similar to the 3-7 year duration securities but, in our opinion, the longer duration securities offer significantly less liquidity and inferior security structures.

The Fund’s security selection and overweight to European bank capital securities were among the largest positive contributors to relative performance during the fiscal year. Italian banks in particular outperformed during the period as the country’s newly formed coalition government figured to be more E.U. and market friendly than its predecessor. Additionally, the reduced prospects for a no-deal BREXIT along with the easing measures enacted by the European Central Bank both helped to tighten credit spreads across the curve for European banks. Going forward, the superior security structures in Europe, along with the positive supply backdrop, should continue to support the space, in our opinion.

The Fund also took advantage of opportunities within the primary issuance market during the period, selectively focusing on newly issued securities with the best combination of credit, relative valuation, and structure.

Page 4

Portfolio Commentary (Continued)

First Trust Preferred Securities and Income Fund

Annual Report

October 31, 2019 (Unaudited)

Market and Fund Outlook

Given the current market environment of low interest rates globally and stable credit metrics, we believe the fundamentals for outperformance of preferred and hybrid securities within the larger fixed-income market remain intact. Strong credit fundamentals of the underlying issuers may result in spread tightening within the asset class, which should help to insulate against volatility that may arise because of current geopolitical risks or unexpected interest rate increases. In addition, the relatively high yields compared to other fixed-income asset classes, limited new supply and the current low rate environment, are supportive of the preferred and hybrid securities market. As a result, we believe preferreds and hybrids present a stable total return outlook supported by attractive projected income.

As we begin fiscal year 2020, we will continue to position the Fund to protect against the largest risks in the market while identifying the best securities from both a credit fundamentals and security structure standpoint to construct a balanced portfolio that we believe will lead to long term outperformance.

Page 5

First Trust Preferred Securities and Income Fund

Understanding Your Fund Expenses

October 31, 2019 (Unaudited)

As a shareholder of the First Trust Preferred Securities and Income Fund (the “Fund”), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases of Class A Shares and contingent deferred sales charges on the lesser of purchase price or redemption proceeds of Class C Shares; 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 October 31, 2019.

Actual Expenses

The first three columns of the table below provide information about actual account values and actual expenses. You may use the information in these columns, 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 third column under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The next three columns of the table below provide 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 sales charges (loads) or contingent deferred sales charges. Therefore, the hypothetical section of 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.

	Actual Expenses			Hypothetical (5% Return Before Expenses)
	Beginning Account Value 5/1/2019	Ending Account Value 10/31/2019	Expenses Paid During Period 5/1/2019 - 10/31/2019 (a)	Beginning Account Value 5/1/2019	Ending Account Value 10/31/2019	Expenses Paid During Period 5/1/2019 - 10/31/2019 (a)	Annualized Expense Ratios (b)
Class A	$ 1,000.00	$ 1,062.00	$ 7.28	$ 1,000.00	$ 1,018.15	$ 7.12	1.40%
Class C	1,000.00	1,058.70	10.79	1,000.00	1,014.72	10.56	2.08
Class F	1,000.00	1,062.80	6.76	1,000.00	1,018.65	6.61	1.30
Class I	1,000.00	1,063.80	5.46	1,000.00	1,019.91	5.35	1.05
Class R3	1,000.00	1,060.80	8.57	1,000.00	1,016.89	8.39	1.65

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2019 through October 31, 2019), multiplied by 184/365 (to reflect the six-month period).
(b)	These expense ratios reflect expense caps.

Page 6

First Trust Preferred Securities and Income Fund

Portfolio of Investments

October 31, 2019

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES – 18.5%
	Banks – 4.3%
25,034	Bank of America Corp., Series HH	5.88%	(a)	$679,423
30,000	Citigroup Capital XIII, 3 Mo. LIBOR + 6.37% (b)	8.31%	10/30/40	818,700
30,000	Citigroup, Inc., Series K (c)	6.88%	(a)	849,000
23,377	Citizens Financial Group, Series D (c)	6.35%	(a)	655,725
54,440	Fifth Third Bancorp, Series A	6.00%	(a)	1,494,922
115,000	GMAC Capital Trust I, Series 2, 3 Mo. LIBOR + 5.79% (b)	7.94%	02/15/40	3,037,150
31,400	JPMorgan Chase & Co., Series GG	4.75%	(a)	785,000
36,673	People’s United Financial, Inc., Series A (c)	5.63%	(a)	987,604
39,002	Synovus Financial Corp., Series E (c)	5.88%	(a)	1,031,213
36,120	Valley National Bancorp, Series B (c)	5.50%	(a)	938,398
1,709	Wells Fargo & Co., Series O	5.13%	(a)	43,203
175	Wells Fargo & Co., Series P	5.25%	(a)	4,433
5,388	Wells Fargo & Co., Series X	5.50%	(a)	140,034
16,256	Wintrust Financial Corp., Series D (c) (d)	6.50%	(a)	475,163
				11,939,968
	Capital Markets – 0.7%
21,896	Affiliated Managers Group, Inc.	5.88%	03/30/59	583,748
28,998	Apollo Global Management, Inc., Series B	6.38%	(a)	780,916
5,140	Oaktree Capital Group LLC, Series A	6.63%	(a)	138,626
13,897	Oaktree Capital Group LLC, Series B	6.55%	(a)	373,690
				1,876,980
	Consumer Finance – 0.2%
28,000	Capital One Financial Corp., Series I	5.00%	(a)	703,640
	Diversified Financial Services – 0.4%
42,316	National Rural Utilities Cooperative Finance Corp.	5.50%	05/15/64	1,167,921
	Diversified Telecommunication Services – 0.1%
7,142	Qwest Corp.	6.63%	09/15/55	184,978
	Equity Real Estate Investment Trusts – 2.1%
21,990	Colony Capital, Inc., Series E	8.75%	(a)	560,965
17,605	Colony Capital, Inc., Series H	7.13%	(a)	420,583
26,403	Digital Realty Trust, Inc., Series K	5.85%	(a)	721,594
24,776	Digital Realty Trust, Inc., Series L	5.20%	(a)	644,176
25,000	Farmland Partners, Inc., Series B, steps up 10/01/24 to 10.00% (e)	6.00%	(a)	604,750
23,390	Global Net Lease, Inc., Series A	7.25%	(a)	613,052
15,000	Urstadt Biddle Properties, Inc., Series H	6.25%	(a)	399,600
70,344	VEREIT, Inc., Series F	6.70%	(a)	1,786,738
				5,751,458
	Food Products – 1.0%
93,791	CHS, Inc., Series 2 (c)	7.10%	(a)	2,567,060
726	CHS, Inc., Series 3 (c)	6.75%	(a)	19,275
5,676	CHS, Inc., Series 4	7.50%	(a)	157,112
				2,743,447
	Gas Utilities – 0.2%
20,000	South Jersey Industries, Inc.	5.63%	09/16/79	524,200
5,326	Spire, Inc., Series A	5.90%	(a)	144,121
				668,321
	Insurance – 4.0%
71,049	Aegon Funding Corp. II	5.10%	12/15/49	1,830,222
38,942	Allstate (The) Corp., Series H	5.10%	(a)	1,021,449

See Notes to Financial Statements

Page 7

First Trust Preferred Securities and Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES (Continued)
	Insurance (Continued)
4,822	AmTrust Financial Services, Inc.	7.25%	06/15/55	$97,404
5,383	AmTrust Financial Services, Inc.	7.50%	09/15/55	110,998
4,746	Arch Capital Group Ltd., Series E	5.25%	(a)	121,023
1,100	Arch Capital Group Ltd., Series F	5.45%	(a)	28,545
23,944	Aspen Insurance Holdings Ltd.	5.63%	(a)	627,812
50,000	Aspen Insurance Holdings Ltd. (c)	5.95%	(a)	1,348,000
84,031	Athene Holding Ltd., Series A (c)	6.35%	(a)	2,362,111
234	Axis Capital Holdings Ltd., Series E	5.50%	(a)	6,044
69,176	Delphi Financial Group, Inc., 3 Mo. LIBOR + 3.19% (b)	5.35%	05/15/37	1,521,872
52,753	Enstar Group Ltd., Series D (c)	7.00%	(a)	1,443,322
11,683	National General Holdings Corp.	7.63%	09/15/55	307,263
25,700	Phoenix Cos. (The), Inc.	7.45%	01/15/32	419,887
				11,245,952
	Mortgage Real Estate Investment Trusts – 1.6%
25,000	AGNC Investment Corp., Series C (c)	7.00%	(a)	648,250
47,332	Annaly Capital Management, Inc., Series F (c)	6.95%	(a)	1,232,525
7,000	Annaly Capital Management, Inc., Series I (c)	6.75%	(a)	181,790
13,200	Invesco Mortgage Capital, Inc., Series B (c)	7.75%	(a)	367,488
15,000	Invesco Mortgage Capital, Inc., Series C (c)	7.50%	(a)	400,200
23,000	Two Harbors Investment Corp., Series B (c)	7.63%	(a)	602,830
42,661	Two Harbors Investment Corp., Series C (c)	7.25%	(a)	1,093,402
				4,526,485
	Multi-Utilities – 2.0%
39,206	Algonquin Power & Utilities Corp. (c)	6.88%	10/17/78	1,095,808
60,000	Algonquin Power & Utilities Corp., Series 19-A (c)	6.20%	07/01/79	1,666,200
3,040	CMS Energy Corp.	5.88%	10/15/78	83,478
57,844	Integrys Holding, Inc. (c)	6.00%	08/01/73	1,605,171
30,000	Just Energy Group, Inc., Series A (c)	8.50%	(a)	552,300
24,000	NiSource, Inc., Series B (c)	6.50%	(a)	665,040
				5,667,997
	Oil, Gas & Consumable Fuels – 0.9%
17,738	Enbridge, Inc., Series B (c)	6.38%	04/15/78	487,086
965	Energy Transfer Operating L.P., Series C (c)	7.38%	(a)	23,372
4,580	Energy Transfer Operating L.P., Series D (c)	7.63%	(a)	113,034
78,105	Energy Transfer Operating L.P., Series E (c)	7.60%	(a)	1,974,494
				2,597,986
	Real Estate Management & Development – 0.3%
26,788	Brookfield Property Partners L.P., Series A2	6.38%	(a)	734,795
	Thrifts & Mortgage Finance – 0.2%
19,735	New York Community Bancorp, Inc., Series A (c)	6.38%	(a)	551,001
	Trading Companies & Distributors – 0.5%
48,229	Air Lease Corp., Series A (c)	6.15%	(a)	1,308,453
	Total $25 Par Preferred Securities			51,669,382
	(Cost $49,618,073)
$100 PAR PREFERRED SECURITIES – 3.1%
	Banks – 3.0%
9,400	AgriBank FCB (c)	6.88%	(a)	1,016,375
32,500	CoBank ACB, Series F (c)	6.25%	(a)	3,453,125
27,000	CoBank ACB, Series G	6.13%	(a)	2,781,000

Page 8

See Notes to Financial Statements

First Trust Preferred Securities and Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Shares	Description	Stated Rate	Stated Maturity	Value
$100 PAR PREFERRED SECURITIES (Continued)
	Banks (Continued)
10,500	Farm Credit Bank of Texas (c) (f)	6.75%	(a)	$1,139,250
				8,389,750
	Consumer Finance – 0.1%
1,942	SLM Corp., Series B, 3 Mo. LIBOR + 1.70% (b)	3.82%	(a)	106,499
	Total $100 Par Preferred Securities			8,496,249
	(Cost $8,049,054)
$1,000 PAR PREFERRED SECURITIES – 1.3%
	Banks – 1.0%
443	CoBank ACB, 3 Mo. LIBOR + 1.18% (b) (g)	3.19%	(a)	276,875
2,250	Farm Credit Bank of Texas, Series 1	10.00%	(a)	2,500,313
				2,777,188
	Diversified Financial Services – 0.2%
500	Compeer Financial ACA (c) (f)	6.75%	(a)	520,000
	Oil, Gas & Consumable Fuels – 0.1%
500	Kinder Morgan GP, Inc., 3 Mo. LIBOR + 3.90% (b) (g)	6.02%	08/18/57	450,328
	Total $1,000 Par Preferred Securities			3,747,516
	(Cost $4,051,266)
Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES – 75.7%
	Banks – 37.8%
$1,600,000	Australia & New Zealand Banking Group Ltd. (c) (f) (h)	6.75%	(a)	1,803,368
1,200,000	Banco Bilbao Vizcaya Argentaria S.A., Series 9 (c) (h)	6.50%	(a)	1,240,538
1,000,000	Banco Mercantil del Norte S.A. (c) (f) (h)	6.75%	(a)	1,023,510
600,000	Banco Mercantil del Norte S.A. (c) (f) (h)	7.50%	(a)	626,400
1,000,000	Banco Mercantil del Norte S.A. (c) (f) (h)	7.63%	(a)	1,048,760
2,600,000	Banco Santander S.A. (c) (h)	7.50%	(a)	2,821,000
1,700,000	Bank of America Corp., Series JJ (c)	5.13%	(a)	1,791,375
250,000	Bank of America Corp., Series Z (c)	6.50%	(a)	283,646
5,800,000	Barclays PLC (c) (h)	7.88%	(a)	6,202,021
3,600,000	Barclays PLC (c) (h)	8.00%	(a)	3,931,074
675,000	BB&T Corp. (c)	4.80%	(a)	687,656
1,250,000	BBVA Bancomer S.A. (c) (f) (h)	5.88%	09/13/34	1,273,125
700,000	BNP Paribas S.A. (c) (f) (h)	6.63%	(a)	746,001
1,839,000	BNP Paribas S.A. (c) (f) (h)	6.75%	(a)	1,936,274
1,987,000	BNP Paribas S.A. (c) (f) (h)	7.63%	(a)	2,087,046
750,000	Citigroup, Inc. (c)	5.90%	(a)	794,599
300,000	Citigroup, Inc. (c)	5.95%	(a)	316,875
850,000	Citigroup, Inc., Series O (c)	5.88%	(a)	861,981
680,000	Citigroup, Inc., Series P (c)	5.95%	(a)	728,181
550,000	Citigroup, Inc., Series R (c)	6.13%	(a)	566,995
262,000	Citigroup, Inc., Series T (c)	6.25%	(a)	295,629
2,600,000	Citigroup, Inc., Series U (c)	5.00%	(a)	2,689,375
500,000	Citizens Financial Group, Inc., Series A (c)	5.50%	(a)	505,523
2,500,000	CoBank ACB, Series I (c)	6.25%	(a)	2,695,600
2,600,000	Credit Agricole S.A. (c) (f) (h)	6.88%	(a)	2,829,359
4,600,000	Credit Agricole S.A. (c) (f) (h)	7.88%	(a)	5,197,807
3,485,000	Credit Agricole S.A. (c) (f) (h)	8.13%	(a)	4,182,230
1,900,000	Danske Bank A.S. (c) (h)	6.13%	(a)	1,945,883
450,000	Danske Bank A.S. (c) (h)	7.00%	(a)	479,867

See Notes to Financial Statements

Page 9

First Trust Preferred Securities and Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Banks (Continued)
$600,000	Farm Credit Bank of Texas, Series 3 (c) (f)	6.20%	(a)	$625,847
2,444,000	HSBC Holdings PLC (c) (h)	6.38%	(a)	2,606,123
1,190,000	ING Groep N.V. (c) (h)	5.75%	(a)	1,220,494
1,400,000	ING Groep N.V. (c) (h)	6.50%	(a)	1,492,610
4,400,000	ING Groep N.V. (c) (h)	6.88%	(a)	4,653,000
2,954,000	Intesa Sanpaolo S.p.A. (c) (f) (h)	7.70%	(a)	3,115,303
1,400,000	JPMorgan Chase & Co., Series FF (c)	5.00%	(a)	1,457,750
977,000	JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (b)	5.41%	(a)	984,347
3,236,000	JPMorgan Chase & Co., Series V, 3 Mo. LIBOR + 3.32% (b)	5.42%	(a)	3,262,697
2,000,000	Lloyds Bank PLC (c) (f)	12.00%	(a)	2,441,250
2,500,000	Lloyds Banking Group PLC (c) (h)	7.50%	(a)	2,743,750
800,000	M&T Bank Corp., Series G (c)	5.00%	(a)	836,000
2,800,000	Nordea Bank Abp (c) (f) (h)	6.63%	(a)	3,054,394
2,700,000	Royal Bank of Scotland Group PLC (c) (h)	8.00%	(a)	3,094,875
4,450,000	Royal Bank of Scotland Group PLC (c) (h)	8.63%	(a)	4,806,000
200,000	Skandinaviska Enskilda Banken AB (c) (h)	5.63%	(a)	204,875
3,000,000	Societe Generale S.A. (c) (f) (h)	7.38%	(a)	3,165,000
2,250,000	Societe Generale S.A. (c) (f) (h)	7.88%	(a)	2,468,171
1,500,000	Standard Chartered PLC (c) (f) (h)	7.50%	(a)	1,593,750
2,250,000	Standard Chartered PLC (c) (f) (h)	7.75%	(a)	2,451,296
1,400,000	Swedbank AB (c) (h)	6.00%	(a)	1,456,134
3,900,000	UniCredit S.p.A. (c) (h)	8.00%	(a)	4,126,633
2,148,000	Wells Fargo & Co., Series K, 3 Mo. LIBOR + 3.77% (b)	5.89%	(a)	2,177,535
				105,629,532
	Capital Markets – 6.8%
2,000,000	Credit Suisse Group AG (c) (f) (h)	6.38%	(a)	2,112,500
650,000	Credit Suisse Group AG (c) (f) (h)	7.25%	(a)	707,431
3,250,000	Credit Suisse Group AG (c) (f) (h)	7.50%	(a)	3,611,465
2,300,000	Credit Suisse Group AG (c) (f) (h)	7.50%	(a)	2,481,964
1,700,000	E*TRADE Financial Corp., Series A (c)	5.88%	(a)	1,785,000
1,200,000	Goldman Sachs Group (The), Inc., Series M (c)	5.38%	(a)	1,217,742
3,900,000	Goldman Sachs Group (The), Inc., Series Q (c)	5.50%	(a)	4,176,705
2,400,000	UBS Group AG (c) (h)	6.88%	(a)	2,608,200
400,000	UBS Group AG (c) (h)	7.00%	(a)	447,082
				19,148,089
	Consumer Finance – 0.2%
462,000	American Express Co., Series C (c)	4.90%	(a)	465,012
	Diversified Financial Services – 0.7%
2,000,000	Voya Financial, Inc. (c)	5.65%	05/15/53	2,118,040
	Diversified Telecommunication Services – 1.2%
750,000	Koninklijke KPN N.V. (c) (f)	7.00%	03/28/73	823,328
2,350,000	Koninklijke KPN N.V. (c)	7.00%	03/28/73	2,579,759
				3,403,087
	Electric Utilities – 6.3%
1,300,000	Duke Energy Corp. (c)	4.88%	(a)	1,373,612
7,890,000	Emera, Inc., Series 16-A (c)	6.75%	06/15/76	8,883,982
5,261,000	Enel S.p.A. (c) (f)	8.75%	09/24/73	6,207,980
1,000,000	Southern (The) Co., Series B (c)	5.50%	03/15/57	1,046,569
				17,512,143

Page 10

See Notes to Financial Statements

First Trust Preferred Securities and Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Energy Equipment & Services – 2.3%
$2,400,000	Transcanada Trust (c)	5.50%	09/15/79	$2,568,000
3,500,000	Transcanada Trust, Series 16-A (c)	5.88%	08/15/76	3,802,820
				6,370,820
	Food Products – 3.0%
300,000	Dairy Farmers of America, Inc. (g)	7.13%	(a)	295,920
3,000,000	Land O’Lakes Capital Trust I (g)	7.45%	03/15/28	3,390,000
500,000	Land O’Lakes, Inc. (f)	7.00%	(a)	470,938
1,200,000	Land O’Lakes, Inc. (f)	7.25%	(a)	1,158,000
3,000,000	Land O’Lakes, Inc. (f)	8.00%	(a)	3,030,000
				8,344,858
	Independent Power & Renewable Electricity Producers – 0.4%
1,100,000	AES Gener S.A. (c) (f)	6.35%	10/07/79	1,106,380
	Insurance – 7.7%
1,900,000	Asahi Mutual Life Insurance Co. (c)	6.50%	(a)	2,002,804
1,500,000	Asahi Mutual Life Insurance Co. (c)	7.25%	(a)	1,593,740
2,522,000	Assurant, Inc. (c)	7.00%	03/27/48	2,790,643
1,063,000	Everest Reinsurance Holdings, Inc., 3 Mo. LIBOR + 2.39% (b)	4.54%	05/15/37	974,340
1,000,000	Fortegra Financial Corp. (c) (g)	8.50%	10/15/57	1,066,520
1,000,000	Fukoku Mutual Life Insurance Co. (c)	6.50%	(a)	1,120,087
3,420,000	Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (b) (f)	4.28%	02/12/47	3,021,502
1,826,000	Mitsui Sumitomo Insurance Co., Ltd. (c) (f)	7.00%	03/15/72	2,002,246
1,000,000	Prudential Financial, Inc. (c)	5.63%	06/15/43	1,084,365
2,400,000	QBE Insurance Group Ltd. (c) (f)	7.50%	11/24/43	2,685,648
2,500,000	QBE Insurance Group Ltd. (c)	6.75%	12/02/44	2,778,800
400,000	VIVAT N.V. (c)	6.25%	(a)	401,234
				21,521,929
	Metals & Mining – 1.0%
2,300,000	BHP Billiton Finance USA Ltd. (c) (f)	6.75%	10/19/75	2,700,131
	Multi-Utilities – 3.0%
2,775,000	CenterPoint Energy, Inc., Series A (c)	6.13%	(a)	2,950,421
5,285,000	NiSource, Inc. (c)	5.65%	(a)	5,368,054
				8,318,475
	Oil, Gas & Consumable Fuels – 3.7%
2,100,000	DCP Midstream Operating L.P. (c) (f)	5.85%	05/21/43	1,890,000
1,200,000	Enbridge, Inc. (c)	5.50%	07/15/77	1,225,824
1,000,000	Enbridge, Inc. (c)	6.25%	03/01/78	1,077,000
4,458,000	Enbridge, Inc., Series 16-A (c)	6.00%	01/15/77	4,709,966
1,786,000	Energy Transfer Operating L.P., 3 Mo. LIBOR + 3.02% (b)	5.27%	11/01/66	1,348,430
				10,251,220
	Trading Companies & Distributors – 0.6%
1,600,000	AerCap Holdings N.V. (c)	5.88%	10/10/79	1,676,000
	Transportation Infrastructure – 1.0%
2,560,000	AerCap Global Aviation Trust (c) (f)	6.50%	06/15/45	2,819,200
	Total Capital Preferred Securities			211,384,916
	(Cost $205,370,276)

See Notes to Financial Statements

Page 11

First Trust Preferred Securities and Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES – 0.4%
	Insurance – 0.4%
$1,000,000	AmTrust Financial Services, Inc.	6.13%	08/15/23	$1,007,341
	(Cost $996,675)

Total Investments – 99.0%	276,305,404
(Cost $268,085,344) (i)
Net Other Assets and Liabilities – 1.0%	2,845,019
Net Assets – 100.0%	$279,150,423

(a)	Perpetual maturity.
(b)	Floating or variable rate security.
(c)	Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2019. At a predetermined date, the fixed rate will change to a floating rate or a variable rate.
(d)	Pursuant to procedures adopted by the First Trust Series Fund’s (the “Trust”) Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor (the “Advisor”).
(e)	Step-up security. A security where the coupon increases or steps up at a predetermined date.
(f)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (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 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 October 31, 2019, securities noted as such amounted to $80,156,854 or 28.7% of net assets.
(g)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements).
(h)	This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At October 31, 2019, securities noted as such amounted to $93,595,313 or 33.5% of net assets. Of these securities, 4.2% originated in emerging markets, and 95.8% originated in foreign markets.
(i)	Aggregate cost for federal income tax purposes was $268,108,164. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $9,841,778 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,644,538. The net unrealized appreciation was $8,197,240.

Page 12

See Notes to Financial Statements

First Trust Preferred Securities and Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of October 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 10/31/2019	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
$25 Par Preferred Securities:
Banks	$ 11,939,968	$ 11,154,968	$ 785,000	$ —
Insurance	11,245,952	9,095,791	2,150,161	—
Multi-Utilities	5,667,997	4,062,826	1,605,171	—
Other industry categories*	22,815,465	22,815,465	—	—
$100 Par Preferred Securities:
Banks	8,389,750	—	8,389,750	—
Consumer Finance	106,499	106,499	—	—
$1,000 Par Preferred Securities*	3,747,516	—	3,747,516	—
Capital Preferred Securities*	211,384,916	—	211,384,916	—
Corporate Bonds and Notes*	1,007,341	—	1,007,341	—
Total Investments	$ 276,305,404	$ 47,235,549	$ 229,069,855	$—

* See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 13

First Trust Preferred Securities and Income Fund

Statement of Assets and Liabilities

October 31, 2019

ASSETS:
Investments, at value     (Cost $268,085,344)	$ 276,305,404
Cash	1,835,418
Receivables:
Interest	2,637,659
Investment securities sold	897,976
Fund shares sold	397,471
Dividends	100,875
Prepaid expenses	73,316
Total Assets	282,248,119
LIABILITIES:
Payables:
Investment securities purchased	1,867,416
Fund shares redeemed	649,267
Investment advisory fees	179,525
Distributions	154,458
12b-1 distribution and service fees	59,984
Transfer agent fees	42,432
Audit and tax fees	42,321
Administrative fees	37,321
Shareholder reporting fees	17,677
Custodian fees	15,303
Legal fees	8,926
Registration fees	8,220
Commitment and administrative agency fees	4,605
Trustees’ fees and expenses	4,128
Financial reporting fees	770
Other liabilities	5,343
Total Liabilities	3,097,696
NET ASSETS	$279,150,423
NET ASSETS consist of:
Paid-in capital	$ 280,744,969
Par value	125,750
Accumulated distributable earnings (loss)	(1,720,296)
NET ASSETS	$279,150,423
Maximum Offering Price Per Share:
Class A Shares:
Net asset value and redemption price per share (Based on net assets of $39,719,176 and 1,799,759 shares of beneficial interest issued and outstanding)	$22.07
Maximum sales charge (4.50% of offering price)	1.04
Maximum offering price to public	$23.11
Class C Shares:
Net asset value and redemption price per share (Based on net assets of $57,898,079 and 2,610,870 shares of beneficial interest issued and outstanding)	$22.18
Class F Shares:
Net asset value and redemption price per share (Based on net assets of $4,238,196 and 189,917 shares of beneficial interest issued and outstanding)	$22.32
Class I Shares:
Net asset value and redemption price per share (Based on net assets of $176,503,372 and 7,938,547 shares of beneficial interest issued and outstanding)	$22.23
Class R3 Shares:
Net asset value and redemption price per share (Based on net assets of $791,600 and 35,948 shares of beneficial interest issued and outstanding)	$22.02

Page 14

See Notes to Financial Statements

First Trust Preferred Securities and Income Fund

Statement of Operations

For the Year Ended October 31, 2019

INVESTMENT INCOME:
Interest	$ 13,069,301
Dividends	3,682,377
Total investment income	16,751,678
EXPENSES:
Investment advisory fees	2,015,091
12b-1 distribution and/or service fees:
Class A	83,404
Class C	586,589
Class F	7,539
Class R3	3,690
Transfer agent fees	201,062
Administrative fees	107,052
Registration fees	83,231
Shareholder reporting fees	66,513
Legal fees	61,740
Commitment and administrative agency fees	50,887
Custodian fees	44,991
Audit and tax fees	41,039
Trustees’ fees and expenses	15,091
Financial reporting fees	9,250
Listing expense	3,500
Excise tax expense	(1,372)
Other	11,333
Total expenses	3,390,630
Fees waived and expenses reimbursed by the investment advisor	(42,450)
Net expenses	3,348,180
NET INVESTMENT INCOME (LOSS)	13,403,498
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments	687,417
Net change in unrealized appreciation (depreciation) on investments	14,215,822
NET REALIZED AND UNREALIZED GAIN (LOSS)	14,903,239
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$ 28,306,737

See Notes to Financial Statements

Page 15

First Trust Preferred Securities and Income Fund

Statements of Changes in Net Assets

	Year Ended 10/31/2019	Year Ended 10/31/2018
OPERATIONS:
Net investment income (loss)	$ 13,403,498	$ 13,166,754
Net realized gain (loss)	687,417	(1,628,284)
Net change in unrealized appreciation (depreciation)	14,215,822	(15,896,751)
Net increase (decrease) in net assets resulting from operations	28,306,737	(4,358,281)
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS:
Class A Shares	(1,756,868)	(1,994,865)
Class C Shares	(2,648,196)	(2,804,369)
Class F Shares	(268,244)	(350,933)
Class I Shares	(8,407,725)	(7,801,065)
Class R3 Shares	(37,149)	(35,756)
Total distributions to shareholders from investment operations	(13,118,182)	(12,986,988)
DISTRIBUTIONS TO SHAREHOLDERS FROM RETURN OF CAPITAL:
Class A shares	(50,339)	(42,759)
Class C shares	(76,625)	(60,012)
Class F shares	(7,053)	(7,338)
Class I shares	(249,181)	(167,713)
Class R3 shares	(1,080)	(765)
Total distributions to shareholders from return of capital	(384,278)	(278,587)
CAPITAL TRANSACTIONS:
Proceeds from shares sold	126,727,777	107,089,680
Proceeds from shares reinvested	12,105,566	12,102,249
Cost of shares redeemed	(120,676,444)	(108,659,756)
Net increase (decrease) in net assets resulting from capital transactions	18,156,899	10,532,173
Total increase (decrease) in net assets	32,961,176	(7,091,683)
NET ASSETS:
Beginning of period	246,189,247	253,280,930
End of period	$279,150,423	$246,189,247

Page 16

See Notes to Financial Statements

First Trust Preferred Securities and Income Fund

Financial Highlights

For a Share outstanding throughout each period

Class A Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 20.85	$ 22.39	$ 21.63	$ 21.13	$ 21.20
Income from investment operations:
Net investment income (loss)	1.12 (a)	1.11 (a)	1.11 (a)	1.16 (a)	1.18 (a)
Net realized and unrealized gain (loss)	1.25	(1.50)	0.80	0.49	(0.13)
Total from investment operations	2.37	(0.39)	1.91	1.65	1.05
Distributions paid to shareholders from:
Net investment income	(1.12)	(1.13)	(1.15)	(1.15)	(1.12)
Return of capital	(0.03)	(0.02)	—	—	—
Total distributions	(1.15)	(1.15)	(1.15)	(1.15)	(1.12)
Net asset value, end of period	$22.07	$20.85	$22.39	$21.63	$21.13
Total return (b)	11.75%	(1.77)%	9.05%	8.09%	5.05%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 39,719	$ 36,262	$ 39,063	$ 35,468	$ 28,585
Ratio of total expenses to average net assets	1.41%	1.37%	1.36%	1.51% (c)	1.50% (c)
Ratio of net expenses to average net assets	1.40%	1.37%	1.36%	1.41% (c)	1.41% (c)
Ratio of net investment income (loss) to average net assets	5.27%	5.15%	5.11%	5.50%	5.55%
Portfolio turnover rate	41%	33%	44%	71%	123%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period and does not include payment of the maximum sales charge of 4.50% or contingent deferred sales charge (CDSC). On purchases of $1 million or more, a CDSC of 1% may be imposed on certain redemptions made within twelve months of purchase. If the sales charges were included, total returns would be lower. These returns include Rule 12b-1 service fees of 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	For the years ended October 31, 2016 and 2015, ratios reflect excise tax of 0.01% and 0.01%, respectively, which are not included in the expense cap.

See Notes to Financial Statements

Page 17

First Trust Preferred Securities and Income Fund

Financial Highlights (Continued)

For a Share outstanding throughout each period

Class C Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 20.93	$ 22.44	$ 21.67	$ 21.17	$ 21.24
Income from investment operations:
Net investment income (loss)	0.98 (a)	0.97 (a)	0.96 (a)	1.01 (a)	1.02 (a)
Net realized and unrealized gain (loss)	1.26	(1.50)	0.79	0.48	(0.13)
Total from investment operations	2.24	(0.53)	1.75	1.49	0.89
Distributions paid to shareholders from:
Net investment income	(0.96)	(0.96)	(0.98)	(0.99)	(0.96)
Return of capital	(0.03)	(0.02)	—	—	—
Total distributions	(0.99)	(0.98)	(0.98)	(0.99)	(0.96)
Net asset value, end of period	$22.18	$20.93	$22.44	$21.67	$21.17
Total return (b)	11.01%	(2.37)%	8.27%	7.27%	4.26%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 57,898	$ 59,610	$ 64,462	$ 51,004	$ 45,093
Ratio of total expenses to average net assets	2.06%	2.02%	2.06%	2.17% (c)	2.16% (c)
Ratio of net expenses to average net assets	2.06%	2.02%	2.06%	2.16% (c)	2.16% (c)
Ratio of net investment income (loss) to average net assets	4.61%	4.50%	4.41%	4.76%	4.79%
Portfolio turnover rate	41%	33%	44%	71%	123%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period and does not include payment of the maximum CDSC of 1%, charged on certain redemptions made within one year of purchase. If the sales charge was included, total returns would be lower. These returns include combined Rule 12b-1 distribution and service fees of 1% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	For the years ended October 31, 2016 and 2015, ratios reflect excise tax of 0.01% and 0.01%, respectively, which are not included in the expense cap.

Page 18

See Notes to Financial Statements

First Trust Preferred Securities and Income Fund

Financial Highlights (Continued)

For a Share outstanding throughout each period

Class F Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 21.07	$ 22.62	$ 21.82	$ 21.31	$ 21.37
Income from investment operations:
Net investment income (loss)	1.16 (a)	1.14 (a)	1.13 (a)	1.18 (a)	1.23 (a)
Net realized and unrealized gain (loss)	1.26	(1.52)	0.84	0.50	(0.15)
Total from investment operations:	2.42	(0.38)	1.97	1.68	1.08
Distributions paid to shareholders from:
Net investment income	(1.14)	(1.15)	(1.17)	(1.17)	(1.14)
Return of capital	(0.03)	(0.02)	—	—	—
Total distributions	(1.17)	(1.17)	(1.17)	(1.17)	(1.14)
Net asset value, end of period	$22.32	$21.07	$22.62	$21.82	$21.31
Total return (b)	11.87%	(1.70)%	9.27%	8.18%	5.16%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 4,238	$ 7,431	$ 7,339	$ 5,025	$ 2,501
Ratio of total expenses to average net assets	1.65%	1.42%	1.39%	1.70% (c)	1.92%
Ratio of net expenses to average net assets	1.30%	1.30%	1.30%	1.31% (c)	1.30%
Ratio of net investment income (loss) to average net assets	5.43%	5.21%	5.11%	5.55%	5.70%
Portfolio turnover rate	41%	33%	44%	71%	123%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period. These returns include Rule 12b-1 service fees of 0.15% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	For the year ended October 31, 2016, ratios reflect excise tax of 0.01%, which is not included in the expense cap.

See Notes to Financial Statements

Page 19

First Trust Preferred Securities and Income Fund

Financial Highlights (Continued)

For a Share outstanding throughout each period

Class I Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 20.98	$ 22.49	$ 21.71	$ 21.21	$ 21.27
Income from investment operations:
Net investment income (loss)	1.19 (a)	1.20 (a)	1.20 (a)	1.22 (a)	1.23 (a)
Net realized and unrealized gain (loss)	1.26	(1.51)	0.78	0.48	(0.12)
Total from investment operations	2.45	(0.31)	1.98	1.70	1.11
Distributions paid to shareholders from:
Net investment income	(1.17)	(1.17)	(1.20)	(1.20)	(1.17)
Return of capital	(0.03)	(0.03)	—	—	—
Total distributions	(1.20)	(1.20)	(1.20)	(1.20)	(1.17)
Net asset value, end of period	$22.23	$20.98	$22.49	$21.71	$21.21
Total return (b)	12.09%	(1.38)%	9.39%	8.33%	5.35%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 176,503	$ 142,161	$ 141,661	$ 106,393	$ 86,412
Ratio of total expenses to average net assets	1.04%	1.02%	0.99%	1.16% (c)	1.16% (c)
Ratio of net expenses to average net assets	1.04%	1.02%	0.99%	1.16% (c)	1.16% (c)
Ratio of net investment income (loss) to average net assets	5.60%	5.51%	5.49%	5.74%	5.80%
Portfolio turnover rate	41%	33%	44%	71%	123%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period. These returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	For the years ended October 31, 2016 and 2015, ratios reflect excise tax of 0.01% and 0.01%, respectively, which are not included in the expense cap.

Page 20

See Notes to Financial Statements

First Trust Preferred Securities and Income Fund

Financial Highlights (Continued)

For a Share outstanding throughout each period

Class R3 Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 20.81	$ 22.35	$ 21.61	$ 21.13	$ 21.20
Income from investment operations:
Net investment income (loss)	1.06 (a)	1.05 (a)	1.05 (a)	1.11 (a)	1.13 (a)
Net realized and unrealized gain (loss)	1.24	(1.50)	0.78	0.47	(0.14)
Total from investment operations:	2.30	(0.45)	1.83	1.58	0.99
Distributions paid to shareholders from:
Net investment income	(1.06)	(1.07)	(1.09)	(1.10)	(1.06)
Return of capital	(0.03)	(0.02)	—	—	—
Total distributions	(1.09)	(1.09)	(1.09)	(1.10)	(1.06)
Net asset value, end of period	$22.02	$20.81	$22.35	$21.61	$21.13
Total return (b)	11.44%	(2.02)%	8.70%	7.73%	4.79%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 792	$ 724	$ 756	$ 717	$ 357
Ratio of total expenses to average net assets	4.46%	4.01%	4.29%	7.42% (c)	6.56% (c)
Ratio of net expenses to average net assets	1.65%	1.65%	1.65%	1.66% (c)	1.66% (c)
Ratio of net investment income (loss) to average net assets	5.02%	4.87%	4.83%	5.25%	5.30%
Portfolio turnover rate	41%	33%	44%	71%	123%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period. These returns include combined Rule 12b-1 distribution and service fees of 0.50%, and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	For the years ended October 31, 2016 and 2015, ratios reflect excise tax of 0.01% and 0.01%, respectively, which are not included in the expense cap.

See Notes to Financial Statements

Page 21

Notes to Financial Statements

First Trust Preferred Securities and Income Fund

October 31, 2019

1. Organization

First Trust Preferred Securities and Income Fund (the “Fund”) is a series of the First Trust Series Fund (the “Trust”), a Massachusetts business trust organized on July 9, 2010, and is registered as a diversified open-end management investment company with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund offers five classes of shares: Class A, Class C, Class F, Class I and Class R3. Each class represents an interest in the same portfolio of investments but with a different combination of sales charges, distribution and service (12b-1) fees, eligibility requirements and other features.

The Fund’s investment objective is to seek to provide current income and total return. The Fund seeks to achieve its objective by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings, if any) in preferred securities and other securities with similar economic characteristics. 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 (“FASB”) Accounting Standards Codification (“ASC”) 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 net asset value (“NAV”) of each class of shares of the Fund 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 at the principal markets for those securities. The NAV for each class is calculated by dividing the value of the Fund’s total assets attributable to such class (including accrued interest and dividends), less all liabilities attributable to such class (including accrued expenses, dividends declared but unpaid and any borrowings of the Fund), by the total number of shares of the class outstanding. Differences in NAV of each class of the Fund’s shares are generally expected to be due to the daily expense accruals of the specified distribution and service (12b-1) fees and transfer agency costs applicable to such class of shares and the resulting differential in the dividends that may be paid on each class of shares.

The Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Trust’s investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures adopted by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund’s investments are valued as follows:

Preferred 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.

Bonds, notes, 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;
5)	benchmark securities;
6)	bids and offers; and
7)	reference data including market research publications.

Page 22

Notes to Financial Statements (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019

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

Fixed income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the Advisor’s Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific conditions existing at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following:

1)	the credit conditions in the relevant market and changes thereto;
2)	the liquidity conditions in the relevant market and changes thereto;
3)	the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);
4)	issuer-specific conditions (such as significant credit deterioration); and
5)	any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.

Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust’s Board of Trustees or its delegate, the Advisor’s Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended (the “1933 Act”)) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:

1)	the type of security;
2)	the size of the holding;
3)	the initial cost of the security;
4)	transactions in comparable securities;
5)	price quotes from dealers and/or third-party pricing services;
6)	relationships among various securities;
7)	information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
8)	an analysis of the issuer’s financial statements; and
9)	the existence of merger proposals or tender offers that might affect the value of the security.

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

1)	the value of similar foreign securities traded on other foreign markets;
2)	ADR trading of similar securities;
3)	closed-end fund or exchange-traded fund trading of similar securities;
4)	foreign currency exchange activity;
5)	the trading prices of financial products that are tied to baskets of foreign securities;
6)	factors relating to the event that precipitated the pricing problem;
7)	whether the event is likely to recur; and
8)	whether the effects of the event are isolated or whether they affect entire markets, countries or regions.

The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:

• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

Page 23

Notes to Financial Statements (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019

• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:

o Quoted prices for similar investments in active markets.

o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.

o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).

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

• Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of October 31, 2019, is included with the Fund’s Portfolio of Investments.

B. Securities Transactions and Investment Income

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis, including the amortization of premiums and accretion of discounts. Income is allocated on a pro rata basis to each class of shares.

The Fund may hold the securities of real estate investment trusts (“REITs”). Distributions from such investments may include income, capital gains and return of capital. The actual character of amounts received during the year is not known until after the REITs’ fiscal year end. The Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by the Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.

On July 27, 2017, the Financial Conduct Authority (“FCA”) announced that it will no longer persuade or compel banks to submit rates for the calculations of the London Interbank Offered Rates (“LIBOR”) after 2021 (the “FCA Announcement”). Furthermore, in the United States, efforts to identify a set of alternative U.S. dollar reference interest rates include proposals by the Alternative References Rates Committee of the Federal Reserve Board and the Federal Reserve Bank of New York. On August 24, 2017, the Federal Reserve Board requested public comment on a proposal by the Federal Reserve Bank of New York, in cooperation with the Office of Financial Research, to produce three new reference rates intended to serve as alternatives to LIBOR. These alternative rates are based on overnight repurchase agreement transactions secured by U.S. Treasury Securities. On December 12, 2017, following consideration of public comments, the Federal Reserve Board concluded that the public would benefit if the Federal Reserve Bank of New York published the three proposed reference rates as alternatives to LIBOR (the “Federal Reserve Board Notice”).

At this time, it is not possible to predict the effect of the FCA Announcement, the Federal Reserve Board Notice, or other regulatory changes or announcements, any establishment of alternative reference rates of any other reforms to LIBOR that may be enacted in the United Kingdom, the United States or elsewhere. As such, the potential effect of any such event on the Fund cannot yet be determined.

C. Restricted Securities

The Fund invests in restricted securities, which are securities that may not be offered for public sale without first being registered under the 1933 Act. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of October 31, 2019, the Fund held restricted securities as shown in the following table that the Advisor has deemed illiquid pursuant to procedures adopted by the Trust’s Board of Trustees. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security-specific factors and assumptions, which require subjective judgment. The Fund does not have the right to demand that such securities be registered. These securities are valued according to the valuation procedures as stated in the Portfolio Valuation note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security. There are no unrestricted securities with the same maturity dates and yields for these issuers.

Page 24

Notes to Financial Statements (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019

Security	Acquisition Date	Principal Value/Shares	Current Price	Carrying Cost	Value	% of Net Assets
CoBank ACB, 3.19%	3/29/18	443	$625.00	$300,133	$276,875	0.10%
Dairy Farmers of America, Inc., 7.13%	9/15/16-10/4/16	$300,000	98.64	310,125	295,920	0.11
Fortegra Financial Corp., 8.50%, 10/15/57	10/12/17	$1,000,000	106.65	1,000,000	1,066,520	0.38
Kinder Morgan GP, Inc., 6.02%, 08/18/57	6/20/17	500	900.66	457,500	450,328	0.16
Land O’Lakes Capital Trust I, 7.45%, 03/15/28	6/6/14-3/20/15	$3,000,000	113.00	3,067,469	3,390,000	1.21
				$5,135,227	$5,479,643	1.96%

D. Dividends and Distributions to Shareholders

The Fund will declare daily and pay monthly distributions of all or a portion of its net income to holders of each class of shares. Distributions of any net capital gains earned by the Fund will be distributed at least annually. Distributions will automatically be reinvested into additional Fund shares unless cash distributions are elected by the shareholder.

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 point in the future. Permanent differences incurred during the fiscal year ended October 31, 2019, resulting in book and tax accounting differences, have been reclassified at year end to reflect a decrease in accumulated net investment income (loss) of $90,624, an increase in accumulated net realized gain (loss) on investments of $33,411, and an increase to paid-in capital of $57,213. Accumulated distributable earnings (loss) consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments, and unrealized appreciation (depreciation) on investments. Net assets were not affected by these reclassifications.

The tax character of distributions paid by the Fund during the fiscal years ended October 31, 2019 and 2018, was as follows:

Distributions paid from:	2019	2018
Ordinary income	$13,118,182	$12,986,988
Capital gains	—	—
Return of capital	384,278	278,587

As of October 31, 2019, the components of distributable earnings and net assets on a tax basis were as follows:

Undistributed ordinary income	$—
Undistributed capital gains	—
Total undistributed earnings	—
Accumulated capital and other losses	(9,917,536)
Net unrealized appreciation (depreciation)	8,197,240
Total accumulated earnings (losses)	(1,720,296)
Other	—
Paid-in capital	280,870,719
Total net assets	$279,150,423

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

Page 25

Notes to Financial Statements (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019

and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.

The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At October 31, 2019, the Fund had $9,917,536 of non-expiring capital loss carryforwards for federal income tax purposes.

The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2016, 2017, 2018, and 2019 remain open to federal and state audit. As of October 31, 2019, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund’s financial statements for uncertain tax positions.

F. Expenses

The Fund pays all expenses directly related to its operations. Expenses of the Fund are allocated on a pro rata basis to each class of shares, except for distribution and service (12b-1) fees and incremental transfer agency costs which are unique to each class of shares.

G. New Accounting Pronouncements

On March 30, 2017, the FASB issued Accounting Standards Update (“ASU”) 2017-08 “Premium Amortization on Purchased Callable Debt Securities,” which amends the amortization period for certain purchased callable debt securities held at a premium by shortening such period to the earliest call date. The new guidance requires an entity to amortize the premium on a callable debt security within its scope to the earliest call date, unless the guidance for considering estimated prepayments is applied. If the call option is not exercised at the earliest call date, the yield is reset to the effective yield using the payment terms of the security. If the security has more than one call date and the premium was amortized to a call price greater than the next call price, any excess of the amortized cost basis over the amount repayable at the next call date will be amortized to that date. If there are no other call dates, any excess of the amortized cost basis over the par amount will be amortized to maturity. Discounts on purchased callable debt securities will continue to be amortized to the security’s maturity date. ASU 2017-08 is effective for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Earlier adoption is permitted for all entities, including adoption in an interim period. If an entity early adopts the ASU in an interim period, any adjustments must be reflected as of the beginning of the fiscal year that includes that interim period. Management is still assessing the impact of the adoption of ASU 2017-08 on the financial statements but does not expect it to have a material impact.

On August 28, 2018, the FASB issued ASU 2018-13, “Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement,” which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Fund has early adopted ASU 2018-13 for these financial statements, which did not result in a material impact.

3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements

First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund. For these investment management services, First Trust is entitled to a monthly fee calculated at an annual rate of 0.80% of the Fund’s average daily net assets. First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250.

Stonebridge, a majority-owned affiliate of First Trust, serves as the Fund’s sub-advisor and manages the Fund’s portfolio subject to First Trust’s supervision. The Sub-Advisor receives a monthly portfolio management fee calculated at an annual rate of 0.40% of the Fund’s average daily net assets that is paid by First Trust out of its investment advisory fee.

First Trust Capital Partners, LLC, an affiliate of First Trust, owns a 51% ownership interest in Stonebridge.

First Trust and Stonebridge have agreed to waive fees and/or reimburse Fund expenses to the extent necessary to prevent the total annual fund operating expenses (excluding 12b-1 distribution and service fees, interest expenses, taxes, acquired fund fees and expenses, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses) from exceeding 1.15% of

Page 26

Notes to Financial Statements (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019

average daily net assets of any class of shares of the Fund (the “Expense Cap”) until February 28, 2021 and then from exceeding 1.50% from March 1, 2021 to February 28, 2030 (the “Expense Cap Termination Date”). Expenses borne and fees waived by First Trust and Stonebridge are subject to recovery on a Fund class level, if applicable, by First Trust and Stonebridge for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by the Fund at any time if it would result in the Fund’s expenses exceeding (i) the Expense Cap in place for the most recent fiscal year for which such expense limitation was in place; (ii) the Expense Cap in place at the time the fees were waived; or (iii) the current Expense Cap. Expense limitations may be terminated or modified prior to their expiration only with the approval of the Board of Trustees of the Trust. These amounts would be included in “Expenses previously waived or reimbursed” on the Statement of Operations. The advisory fee waiver and expense reimbursement for the fiscal year ended October 31, 2019 and the expenses borne by First Trust and Stonebridge subject to recovery were as follows:

		Expenses Subject to Recovery
Advisory Fee Waiver	Expense Reimbursement	Year Ended October 31, 2017	Year Ended October 31, 2018	Year Ended October 31, 2019	Total
$ 42,450	$ —	$ 25,178	$ 25,202	$ 42,450	$ 92,830

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s administrator, fund accountant and custodian in accordance with certain fee arrangements. As administrator and fund accountant, BBH is responsible for providing certain administrative and accounting services to the Fund, including maintaining the Fund’s books of account, records of the Fund’s securities transactions, and certain other books and records. As custodian, BBH is responsible for custody of the Fund’s assets.

BNY Mellon Investment Servicing (US) Inc. (“BNYM IS”) serves as the Fund’s transfer agent in accordance with certain fee arrangements. As transfer agent, BNYM IS is responsible for maintaining shareholder records for the Fund. BNYM IS 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, 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. Capital Share Transactions

Capital transactions were as follows:

	Year Ended October 31, 2019		Year Ended October 31, 2018
	Shares	Value	Shares	Value
Sales:
Class A	680,558	$ 14,600,270	557,982	$ 12,132,212
Class C	329,878	7,051,396	448,510	9,846,845
Class F	70,279	1,498,250	253,825	5,480,054
Class I	4,865,806	103,548,021	3,664,902	79,583,405
Class R3	1,357	29,840	2,201	47,164
Total Sales	5,947,878	$ 126,727,777	4,927,420	$ 107,089,680

Page 27

Notes to Financial Statements (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019

	Year Ended October 31, 2019		Year Ended October 31, 2018
	Shares	Value	Shares	Value
Dividend Reinvestment:
Class A	64,784	$ 1,374,865	68,933	$ 1,486,664
Class C	116,942	2,490,442	121,676	2,632,676
Class F	10,638	226,454	14,267	311,535
Class I	373,643	7,989,505	352,828	7,648,742
Class R3	1,148	24,300	1,052	22,632
Total Dividend Reinvestment	567,155	$ 12,105,566	558,756	$ 12,102,249
Redemptions:
Class A	(684,716)	$ (14,292,927)	(632,693)	$ (13,690,505)
Class C	(684,475)	(14,625,857)	(594,141)	(12,900,474)
Class F	(243,706)	(5,133,934)	(239,813)	(5,224,066)
Class I	(4,076,915)	(86,594,385)	(3,539,637)	(76,794,684)
Class R3	(1,369)	(29,341)	(2,261)	(50,027)
Total Redemptions	(5,691,181)	$ (120,676,444)	(5,008,545)	$ (108,659,756)

5. Purchases and Sales of Securities

The cost of purchases and proceeds from sales of securities, excluding short-term investments, for the fiscal year ended October 31, 2019, were $123,046,182 and $102,764,446, respectively.

6. Distribution and Service 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 share classes of the Fund are authorized to pay an amount up to 0.25%, 1.00%, 0.15% and 0.50% of their average daily net assets each year for Class A, Class C, Class F and Class R3, respectively, 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 Fund shares or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. Class I shares have no 12b-1 fees.

7. Borrowings

The Trust, on behalf of the Fund, along with First Trust Exchange-Traded Fund III and First Trust Exchange-Traded Fund IV have a $385 million Credit Agreement with The Bank of Nova Scotia (“Scotia”) as administrative agent for a group of lenders. Prior to March 6, 2019, the commitment amount was $360 million. Scotia charges a commitment fee of 0.25% of the daily amount of the excess of the commitment amount over the outstanding principal balance of the loans, and an agency fee. First Trust allocates the commitment fee and agency fee amongst the funds that have access to the credit line. To the extent that the Fund accesses the credit line, there would also be an interest fee charged. The Fund did not have any borrowings outstanding during the fiscal year ended October 31, 2019.

8. Indemnification

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

9. Subsequent Events

Management has evaluated the impact of all subsequent events to the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:

Effective November 25, 2019, the Scotia Credit Agreement was amended and the credit limit was increased from $385 million to $410 million.

Page 28

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of First Trust Series Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of First Trust Preferred Securities and Income Fund (the “Fund”), a series of the First Trust Series Fund, including the portfolio of investments, as of October 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Chicago, Illinois

December 20, 2019

We have served as the auditor of one or more First Trust investment companies since 2001.

Page 29

Additional Information

First Trust Preferred Securities and Income Fund

October 31, 2019 (Unaudited)

Proxy Voting Policies and Procedures

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

Federal Tax Information

The Fund hereby designates as qualified dividend income 69.23% of its ordinary income distributions (including short-term capital gains, if applicable) for the year ended October 31, 2019. In addition, 25.43% of the ordinary income distributions (including short-term capital gain, if applicable) made by the Fund during the fiscal year ended October 31, 2019, qualify for corporate dividends received deduction available to corporate shareholders.

A portion of the ordinary dividends (including short-term capital gains) paid to shareholders during the taxable year ended October 31, 2019, may be eligible for the Qualified Business Income (QBI) Deduction under the Internal Revenue Code of 1986, as amended, section 199A for the aggregate dividends the Fund received from the underlying Real Estate Investment Trusts (REITs) it invests in.

Risk Considerations

Risks are inherent in all investing. You should consider the Fund’s investment objective, risks, charges and expenses carefully before investing. You can download the Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about the Fund. For additional information about the risks associated with investing in the Fund, please see the Fund’s prospectus and statement of additional information, as well as other regulatory filings. Read these documents carefully before you invest.

The order of the below risk factors does not indicate the significance of any particular risk factor.

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

CONTINGENT CONVERTIBLE SECURITIES RISK. Contingent convertible securities (“CoCos”) may provide for mandatory conversion into common stock of the issuer under certain circumstances. Since the common stock of the issuer may not pay a dividend, investors in these instruments could experience a reduced income rate, potentially to zero; and conversion would deepen the subordination of the investor, hence worsening standing in a bankruptcy. In addition, some such instruments have a set stock conversion rate that would cause a reduction in value of the security if the price of the stock is below the conversion price on the conversion date. CoCos may be considered to be high-yield securities (a.k.a. “junk” bonds) and, to the extent a CoCo held by the Fund undergo a write down, the Fund may lose some or all of its original investment in the CoCo. Subordinate securities such as CoCos are more likely to experience credit loss than non-subordinate securities of the same issuer - even if the CoCos do not convert to equity securities. Any losses incurred by subordinate securities, such as CoCos, are likely to be proportionately greater than non-subordinate securities and any recovery of principal and interest of subordinate securities may take more time. As a result, any perceived decline in creditworthiness of a CoCo issuer is likely to have a greater impact on the CoCo, as a subordinate security.

CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer’s ability to make such payments. Credit risk may be heightened if the Fund invests in “high yield” or “junk” securities; such securities, while generally offering higher yields than investment grade debt with similar maturities, involve greater risks, including the possibility of dividend or interest deferral, default or bankruptcy, and are regarded as predominantly speculative with respect to the issuer’s capacity to pay dividends or interest and repay principal.

Page 30

Additional Information (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019 (Unaudited)

CURRENCY EXCHANGE RATE RISK. Changes in currency exchange rates and the relative value of non-U.S. currencies will affect the value of the Fund’s investment and the value of Fund shares. Currency exchange rates can be very volatile and can change quickly and unpredictably. As a result, the value of an investment in the Fund may change quickly and without warning and you may lose money.

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

DEPOSITARY RECEIPTS RISK. Depositary receipts may be less liquid than the underlying shares in their primary trading market. Any distributions paid to the holders of depositary receipts are usually subject to a fee charged by the depositary. Holders of depositary receipts may have limited voting rights, and investment restrictions in certain countries may adversely impact the value of depositary receipts because such restrictions may limit the ability to convert the equity shares into depositary receipts and vice versa. Such restrictions may cause the equity shares of the underlying issuer to trade at a discount or premium to the market price of the depositary receipts.

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

FINANCIAL COMPANIES RISK. Financial companies are especially subject to the adverse effects of economic recession, currency exchange rates, government regulation, decreases in the availability of capital, volatile interest rates, portfolio concentrations in geographic markets and in commercial and residential real estate loans, and competition from new entrants in their fields of business.

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

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

INCOME RISK. Income from the Fund’s fixed income investments could decline during periods of falling interest rates.

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

Page 31

Additional Information (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019 (Unaudited)

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

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

PREFERRED SECURITIES RISK. Preferred securities combine some of the characteristics of both common stocks and bonds. Preferred securities are typically subordinated to bonds and other debt instruments in a company’s capital structure, in terms of priority to corporate income, and therefore will be subject to greater credit risk than those debt instruments. Preferred securities are also subject to credit risk, interest rate risk and income risk.

REAL ESTATE INVESTMENT RISK. The Fund invests in companies in the real estate industry, including real estate investment trusts (“REITs”). Therefore, the Fund is subject to the risks associated with investing in real estate, which may include, but are not limited to, fluctuations in the value of underlying properties; defaults by borrowers or tenants; market saturation; changes in general and local economic conditions; decreases in market rates for rents; increases in competition, property taxes, capital expenditures or operating expenses; and other economic, political or regulatory occurrences affecting companies in the real estate industry.

REIT INVESTMENT RISK. Investing in REITs involves certain other risks related to their structure and focus, which include, but are not limited to, dependency upon management skills, limited diversification, the risks of locating and managing financing for projects, heavy cash flow dependency, possible default by borrowers, the costs and potential losses of self-liquidation of one or more holdings, the risk of a possible lack of mortgage funds and associated interest rate risks, overbuilding, property vacancies, increases in property taxes and operating expenses, changes in zoning laws, losses due to environmental damages, changes in neighborhood values and appeal to purchasers, the possibility of failing to maintain exemptions from registration under the Investment Company Act of 1940, as amended and, in many cases, relatively small market capitalization, which may result in less market liquidity and greater price volatility. REITs are also subject to the risk that the real estate market may experience an economic downturn generally, which may have a material effect on the real estate in which the REITs invest and their underlying portfolio securities.

Advisory and Sub-Advisory Agreements

Board Considerations Regarding Approval of Continuation of Investment Management and Investment Sub-Advisory Agreements

The Board of Trustees of First Trust Series Fund (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Advisory Agreement”) between the Trust, on behalf of the First Trust Preferred Securities and Income Fund (the “Fund”), and 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, on behalf of the Fund, the Advisor and Stonebridge Advisors LLC (the “Sub-Advisor”). The Board approved the continuation of the Agreements for a one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The Board determined that the continuation of the Agreements is in the best interests of the Fund in light of the nature, extent and quality of the services 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. At meetings held on April 18, 2019 and June 2, 2019, the Board, including the Independent Trustees, reviewed materials provided by the Advisor and the Sub-Advisor 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 provided by the Advisor and the Sub-Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by the Fund and the sub-advisory fee rate 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 and the Sub-Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to the Fund and the potential for economies of scale, if any;

Page 32

Additional Information (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019 (Unaudited)

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 Board reviewed initial materials with the Advisor at the meeting held on April 18, 2019, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor and the Sub-Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 2, 2019 meeting, as well as at the meeting held that day. 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 continue to be reasonable business arrangements from the Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor and the Sub-Advisor manage the Fund and knowing the Fund’s advisory fee.

In reviewing the Agreements, the Board considered the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund and reviewed all of the services 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 noted that the Advisor oversees the Sub-Advisor’s day-to-day management of the Fund’s investments, including portfolio risk monitoring and performance review. In reviewing the services 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 also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 18, 2019 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. With respect to the Sub-Advisory Agreement, in addition to the written materials provided by the Sub-Advisor, at the June 2, 2019 meeting, the Board also received a presentation from representatives of the Sub-Advisor discussing the services that the Sub-Advisor provides to the Fund, including the Sub-Advisor’s day-to-day management of the Fund’s investments. In considering the Sub-Advisor’s management of the Fund, the Board noted the background and experience of the Sub-Advisor’s portfolio management team.

In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and the Fund by the Advisor and the Sub-Advisor under the Agreements have been and are expected to remain satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed the Fund consistent with its investment objective, policies and restrictions.

The Board considered the advisory and sub-advisory fee rates payable under the Agreements for the services provided. The Board noted that the sub-advisory fee is paid by the Advisor from its advisory fee. The Board considered that the Advisor and Sub-Advisor agreed to extend the current expense caps for each share class through February 28, 2021 and agreed to keep the long-term expense cap in place from March 1, 2021 through February 28, 2030. The Board noted that fees waived or expenses borne by the Advisor and Sub-Advisor are subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fees were waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time of the reimbursement or at the time the expenses were borne or the fees were waived by the Advisor and Sub-Advisor. 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 and non-fund clients, as applicable. With respect to the Expense Group, the Board, at the April 18, 2019 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating a relevant peer group for the Fund, including that (i) the Fund is unique in its composition, which makes assembling peers with the same strategy and asset mix difficult; (ii) certain peer group fund assets are larger than those of the Fund, in which case the comparison causes the fixed expenses of the Fund to be larger on a percentage basis; and (iii) not all peer funds employ an advisor/sub-advisor management structure. The Board took these limitations into account in considering the peer data. Based on the information provided, the Board noted that the advisory fee rate payable by the Fund was above the median advisory fee of the peer funds in the Expense Group. The Board noted that the Fund’s total (net) expense ratio (Class A shares) was above the median net expense ratio of the peer funds in the Fund’s Expense Group. With respect to fees charged to other clients, the Board considered differences between the Fund and other clients that limited their comparability. In considering the advisory fee rate overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s description of its long-term commitment to the Fund.

Page 33

Additional Information (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019 (Unaudited)

The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor and Sub-Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund’s performance. The Board received and reviewed information comparing the Fund’s performance for periods ended December 31, 2018 to the performance of the funds in the Performance Universe and to that of a blended benchmark index. Based on the information provided, the Board noted that the Fund (Class A shares) outperformed the Performance Universe median and the blended benchmark index for the three- and five-year periods ended December 31, 2018 but underperformed the Performance Universe median and the blended benchmark index for the one-year period ended December 31, 2018.

On the basis of all the information provided on the fees, expenses and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the advisory and sub-advisory fees for the Fund continue to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor to the Fund under the Agreements.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund and noted the Advisor’s statement that it believes its expenses will likely increase over the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Fund. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2018 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for the Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Fund. The Board 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 considered the ownership interest of FTCP in the Sub-Advisor and potential fall-out benefits to the Advisor from such ownership interest. The Board noted that in addition to the advisory fees paid by the Fund, FTP is compensated for services provided to the Fund through 12b-1 distribution and service fees and that the Advisor receives compensation from the Fund for providing fund reporting services pursuant to a separate Fund Reporting Services Agreement. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable.

The Board considered the Sub-Advisor’s expenses in providing sub-advisory services to the Fund and noted the Sub-Advisor’s hiring of additional personnel in the past year and commitment to add additional resources if assets increase. The Board did not review the profitability of the Sub-Advisor with respect to the Fund. The Board noted that the Advisor pays the Sub-Advisor from its advisory fee, and its understanding that the Fund’s sub-advisory fee rate was the product of an arm’s length negotiation. The Board concluded that the profitability analysis for the Advisor was more relevant. The Board considered fall-out benefits that may be realized by the Sub-Advisor from its relationship with the Fund, including potential fall-out benefits to the Sub-Advisor from the ownership interest of FTCP in the Sub-Advisor. The Board noted that the Sub-Advisor does not maintain any soft-dollar arrangements. The Board concluded that the character and amount of potential fall-out benefits to 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 continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of the Fund. No single factor was determinative in the Board’s analysis.

Page 34

Board of Trustees and Officers

First Trust Preferred Securities and Income Fund

October 31, 2019 (Unaudited)

The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187.

The Trust’s statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.

Name, Year of Birth and Position with the Trust	Term of Office and Year First Elected or Appointed	Principal Occupations During Past 5 Years	Number of Portfolios in the First Trust Fund Complex Overseen by Trustee	Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INDEPENDENT TRUSTEES
Richard E. Erickson, Trustee (1951)	• Indefinite Term   • Since Trust Inception	Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015)	162	None
Thomas R. Kadlec, Trustee (1957)	• Indefinite Term   • Since Trust Inception	President, ADM Investor Services, Inc. (Futures Commission Merchant)	162	Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association
Robert F. Keith, Trustee (1956)	• Indefinite Term   • Since Trust Inception	President, Hibs Enterprises (Financial and Management Consulting)	162	Director of Trust Company of Illinois
Niel B. Nielson, Trustee (1954)	• Indefinite Term   • Since Trust Inception	Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services)	162	None
INTERESTED TRUSTEE
James A. Bowen(1), Trustee and Chairman of the Board (1955)	• Indefinite Term   • Since Trust Inception	Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)	162	None

⁽¹⁾ Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust.

Page 35

Board of Trustees and Officers (Continued)

First Trust Preferred Securities and Income Fund

October 31, 2019 (Unaudited)

Name and Year of Birth	Position and Offices with Trust	Term of Office and Length of Service	Principal Occupations During Past 5 Years
OFFICERS(2)
James M. Dykas (1966)	President and Chief Executive Officer	• Indefinite Term   • Since January 2016	Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)
Donald P. Swade (1972)	Treasurer, Chief Financial Officer and Chief Accounting Officer	• Indefinite Term   • Since January 2016	Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine (1960)	Secretary and Chief Legal Officer	• Indefinite Term   • Since Trust Inception	General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist (1970)	Vice President	• Indefinite Term   • Since Trust Inception	Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P.
Kristi A. Maher (1966)	Chief Compliance Officer and Assistant Secretary	• Indefinite Term   • Chief Compliance Officer Since January 2011 • Assistant Secretary Since Trust Inception	Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.

⁽²⁾ The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.

Page 36

Privacy Policy

First Trust Preferred Securities and Income Fund

October 31, 2019 (Unaudited)

Privacy Policy

First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.

Sources of Information

We collect nonpublic personal information about you from the following sources:

• Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms;

• Information about your transactions with us, our affiliates or others;

• Information we receive from your inquiries by mail, e-mail or telephone; and

• Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits.

Information Collected

The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.

Disclosure of Information

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:

• In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.

• We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).

In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.

Use of Website Analytics

We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust’s website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust’s website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on:Google Analytics andAddThis.

Confidentiality and Security

With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.

Policy Updates and Inquiries

As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go towww.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).

March 2019

Page 37

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INVESTMENT ADVISOR

First Trust Advisors L.P.

120 East Liberty Drive, Suite 400

Wheaton, IL 60187

INVESTMENT SUB-ADVISOR

Stonebridge Advisors LLC

10 Westport Road, Suite C101

Wilton, CT 06897

ADMINISTRATOR,
FUND ACCOUNTANT &
CUSTODIAN

Brown Brothers Harriman & Co.

50 Post Office Square

Boston, MA 02110

TRANSFER AGENT

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

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

First Trust/Confluence
Small Cap Value Fund

Annual Report

For the Year Ended

October 31, 2019

Table of Contents

First Trust/Confluence Small Cap Value Fund

Annual Report

October 31, 2019

Shareholder Letter	1
At a Glance	2
Portfolio Commentary	4
Understanding Your Fund Expenses	6
Portfolio of Investments	7
Statement of Assets and Liabilities	9
Statement of Operations	10
Statements of Changes in Net Assets	11
Financial Highlights	12
Notes to Financial Statements	15
Report of Independent Registered Public Accounting Firm	21
Additional Information	22
Board of Trustees and Officers	27
Privacy Policy	29

Caution Regarding Forward-Looking Statements

This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and/or Confluence Investment Management LLC (“Confluence” 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 First Trust/Confluence Small Cap Value Fund (the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Performance and Risk Disclosure

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

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

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page atwww.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.

By reading the portfolio commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund’s performance. 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 First Trust and Confluence are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.

Shareholder Letter

First Trust/Confluence Small Cap Value Fund

Annual Letter from the Chairman and CEO

October 31, 2019

Dear Shareholders,

First Trust is pleased to provide you with the annual report for the First Trust/Confluence Small Cap Value Fund (the “Fund”), which contains detailed information about the Fund for the twelve months ended October 31, 2019, including a market overview and a performance analysis. We encourage you to read this report carefully and discuss it with your financial advisor.

One of our responsibilities as asset managers is to be good listeners. Perhaps the most effective way in which we do this continually is by paying close attention to mutual fund and exchange-traded fund (ETF) money flows. After all, investors vote with their dollars, and money flows provide valuable feedback with respect to their biases. Over the past 12 months, we have learned that investors, in general, have grown more risk-averse. For the 12-month period ended October 31, 2019, investors funneled an estimated net $359.56 billion into bond mutual funds and ETFs, while liquidating an estimated net $56.86 billion from equity mutual funds and ETFs, according to data from Morningstar. Over the same period, money market funds took in an estimated net $583.27 billion. Those figures were more balanced for the full-year 2018. Those estimated net flows were as follows: $94.42 billion (equity mutual funds & ETFs); $137.60 billion (bond mutual funds & ETFs); and $161.60 billion (money market funds).

In addition to monitoring fund flows, we watch the performance of all the asset classes. Market returns can either help validate or invalidate our interpretation of money flows. As we noted above, we believe that investors have tempered their appetite for risk, and the returns on the major sectors that comprise the S&P 500^® Index back it up. For the 12-month period ended October 31, 2019, as measured by total return, the top performers were Real Estate and Utilities, up 26.72% and 23.71%, respectively, according to Bloomberg. The S&P 500^® Index posted a total return of 14.33% for the period. These two sectors are defensive in nature. They also tend to distribute cash dividends that are often well above those sectors that are more cyclical in nature. The higher dividend distributions likely drew the attention of fixed-income investors dissatisfied with the current low-yield climate in the bond market, in our opinion.

The absence of a new trade deal between the U.S. and China has been a bit of a wet blanket on the global economy. Global growth projections have been trimmed over time by such organizations as the International Monetary Fund. The tariffs have been in play for 19 months and counting as of October 2019. While the lack of any significant progress in the negotiations between the U.S. and China is a concern, we believe a remedy will be found. Remember, as uncertain as things may appear in the current climate, investors with diversified investment portfolios were most likely rewarded over the past 12 months. Stay the course and stay engaged!

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,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

First Trust/Confluence Small Cap Value Fund

“AT A GLANCE”

As of October 31, 2019 (Unaudited)

Fund Statistics
First Trust/Confluence Small Cap Value Fund	Net Asset Value (NAV)
Class A (FOVAX)	$30.95
Class C (FOVCX)	$27.30
Class I (FOVIX)	$31.76

Sector Allocation	% of Total Investments
Industrials	27.6%
Financials	19.2
Health Care	15.7
Real Estate	10.0
Consumer Discretionary	8.6
Utilities	7.0
Materials	6.3
Information Technology	5.6
Total	100.0%

Top Ten Holdings	% of Total Investments
Cannae Holdings, Inc.	4.7%
frontdoor, Inc.	4.4
RE/MAX Holdings, Inc., Class A	4.1
Avanos Medical, Inc.	3.8
SJW Group	3.8
Kadant, Inc.	3.5
Allied Motion Technologies, Inc.	3.5
Northwest Natural Holding Co.	3.3
John Bean Technologies Corp.	3.3
Neenah, Inc.	3.2
Total	37.6%

Page 2

First Trust/Confluence Small Cap Value Fund

“AT A GLANCE” (Continued)

As of October 31, 2019 (Unaudited)

Performance of a $10,000 Investment

This chart compares your Fund’s Class I performance to that of the Russell 2000^® Value Index and the Russell 2000^® Index from 1/11/2011 through 10/31/2019.

Performance as of October 31, 2019
	Class A Inception 2/24/2011		Class C Inception 3/2/2011		Class I Inception 1/11/2011	R2000V*	R2000*
Cumulative Total Returns	w/o sales charge	w/max 5.50% sales charge	w/o sales charge	w/max 1.00% contingent deferred sales charge	w/o sales charge	w/o sales charges	w/o sales charges
1 Year	4.77%	-1.00%	4.33%	3.44%	5.14%	3.22%	4.90%
Average Annual Total Returns
5 Years	8.26%	7.04%	7.45%	7.45%	8.32%	6.24%	7.37%
Since Inception	9.53%	8.82%	8.26%	8.26%	9.75%	8.48%	9.48%

* Since inception return is based on the Class I Shares inception date.

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that the shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. An index is a statistical composite that tracks a specific financial market or sector. Unlike the Fund, these 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.

Performance of share classes will vary due to differences in sales charges and expenses. Total return with sales charges includes payment of the maximum sales charge of 5.50% for Class A Shares, a contingent deferred sales charge (“CDSC”) of 1.00% for Class C Shares in year one and 12b-1 service fees of 0.25% per year of average daily net assets for Class A Shares and combined Rule 12b-1 distribution and service fees of 1.00% per year of average daily net assets for Class C Shares. Class I Shares do not have a front-end sales charge or a CDSC, nor do they pay distribution or service fees.

Page 3

Portfolio Commentary

First Trust/Confluence Small Cap Value Fund

Annual Report

October 31, 2019 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”) serves as the investment advisor to the First Trust/Confluence Small Cap Value Fund (the “Fund”). First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

Sub-Advisor

Confluence Investment Management LLC, a registered investment advisor (“Confluence” or the “Sub-Advisor”), located in St. Louis, Missouri, serves as the sub-advisor to the Fund. The investment professionals at Confluence have over 80 years of aggregate portfolio management experience. Confluence professionals have invested in a wide range of specialty finance and other financial company securities during various market cycles, working to provide attractive risk-adjusted returns to clients.

Portfolio Management Team

Mark Keller, CFA - Chief Executive Officer and Chief Investment Officer, Confluence

Daniel Winter, CFA - Senior Vice President and Chief Investment Officer - Value Equity, Confluence

Chris Stein - Vice President and Portfolio Manager, Confluence

Thomas Dugan, CFA -Vice President and Portfolio Manager, Confluence

Commentary

Market Recap

The small capitalization equity markets posted rather meager results for the Fund’s fiscal year ended October 31, 2019, with the Russell 2000^® Index and Russell 2000^® Value Index up 4.90% and 3.22%, respectively. While returns were scant, volatility was high, especially in the first part of the fiscal year. More specifically, the start of the fiscal year witnessed a lot of downside pressure as small cap stocks were in the midst of a correction that would take the Russell 2000^® and Russell 2000^® Value Index down over -20% from September through late December 2018. The market did rebound sharply in January and February of 2019 before finding a trading range for the remainder of the year.

Small-Cap Indexes	Nov-Dec 2018	Jan-Feb 2019	Mar-Oct 2019	Fiscal Year
Russell 2000 Index	(10.48%)	17.03%	0.13%	4.90%
Russell 2000 Growth Index	(10.30%)	18.75	(0.11%)	6.40
Russell 2000 Value Index	(10.67%)	15.25	0.26	3.22

The swing in investor sentiment was primarily driven by concerns that the Federal Reserve (the “Fed”) would continue the normalization of monetary policy which began in December 2015 with additional interest rate increases throughout 2019. Investors feared that additional increases in rates could be the policy mistake that would put the economy in a recession, especially with the backdrop of a trade war with China and slowing global growth. It wasn’t until early January 2019 that Fed Chairman Jerome Powell intimated patience with additional rate increases which alleviated investor concerns and pushed the equity markets higher.

Investor sentiment remained sanguine for the remainder of the fiscal year as the Fed took a more accommodative stance via reducing interest rates on three occasions in 2019 (July, September, and October) to stem the slowdown in economic growth occurring domestically. All in all, investors appear cautiously optimistic about the actions of the Fed as well as the direction of the trade discussions. Of course, this is set on the backdrop of an economic expansion that began in 2009 and, in July 2019, became the longest on record, albeit one of the weakest expansions since 1850.

The Class I shares of the Fund generated gains of 5.14% during the fiscal year ended October 31, 2019, performing roughly in line with the Russell 2000^® Index and outperforming the Russell 2000^® Value Index. From the Fund’s inception on January 11, 2011 through the end of October 2019, the Class I shares of the Fund were up 9.75%, ahead of the performance of the Russell 2000^® Value Index and in line with the Russell 2000^® Index, which posted gains of 8.48% and 9.48%, respectively, for the same period (returns are annualized for periods greater than a year).

Performance Analysis

While the small cap markets were relatively benign, there was a very wide dispersion in sector performance as the Information Technology and Utilities sectors posted strong returns, while the Energy (down over -40%), Consumer Staples and Communication Services sectors posted negative results.

Page 4

Portfolio Commentary (Continued)

First Trust/Confluence Small Cap Value Fund

Annual Report

October 31, 2019 (Unaudited)

The Fund also saw wide dispersion within the sectors as well as its holdings, with the Financial Services and Information Technology sectors leading while the Consumer Staples and Consumer Discretionary sectors lagged (see Portfolio Attribution table).

	Russell 2000		Russell 2000 Value		Small Cap Value		Attribution
Sector	Wgt	Rtn	Wgt	Rtn	Wgt	GrossRtn	vs. Rsl2000	vs. Rsl2000V
Communication Services	3.12	-8.27	2.94	-11.41	0.00	0.00	0.44	0.48
Consumer Discretionary	11.69	2.03	9.33	-0.73	15.84	-8.60	-1.84	-1.62
Consumer Staples	2.84	-5.76	2.55	-13.65	0.84	-23.10	0.09	0.24
Energy	3.63	-42.06	5.89	-43.08	0.00	0.00	1.74	2.84
Financial Services	17.89	5.76	29.48	6.00	15.96	25.07	3.09	2.91
Health Care	15.97	-3.70	4.51	-18.16	11.15	5.14	1.45	1.06
Industrials	15.10	10.74	11.74	7.74	21.04	0.16	-1.94	-1.34
Information Technology	14.49	23.47	10.54	28.30	9.64	20.78	-1.11	-0.93
Materials	3.81	-2.32	4.28	-4.26	5.41	-2.48	-0.14	-0.01
Real Estate	7.66	18.17	11.88	18.67	9.07	7.56	-0.79	-1.39

Sources: FactSet and Confluence Investment Management. Index Data is based on the respective Exchange Traded Fund (iShares Russell 2000^® and Russell 2000^® Value).

Our investment approach is focused on understanding and valuing individual businesses with the emphasis of owning great businesses at bargain prices. This is a fundamental approach that views risk as the probability of a permanent loss of capital as opposed to tracking error of a benchmark. Businesses that exhibit the attributes we seek (e.g., substantial competitive advantages and pricing power, free cash flow generation, high returns on invested capital) are often difficult to find in commodity-oriented or highly regulated businesses in which pricing is contingent on factors outside management’s control. This will often result in over/underweighting certain areas of the market that either offer more attractive valuations or have superior underlying attributes. Subsequently, performance in any given time frame will be impacted by the market’s perception of the value of these individual businesses compared to the benchmarks. Our objective is to beat the broad markets on average and over long periods, but in order to accomplish this goal we will differ from the benchmarks which will ultimately result in tracking error, good and bad, from time to time.

This approach is research intensive and deployed with a bottom-up focus of investing in businesses in a relatively concentrated manner; therefore, performance is ultimately driven by the underlying strength of the holdings of the Fund and less influenced by macro or top-down sector weightings. The emphasis is on owning a diversified portfolio of undervalued businesses with the sector weightings (over/under) considered more of a by-product of what the market is presenting as good investment opportunities.

Market and Fund Outlook

Looking forward, we expect volatility to persist given uncertainty surrounding trade policies and the actions of the Fed (particularly regarding the timing and magnitude of monetary policy changes as they try to adjust for slower growth). We believe inflation and inflation expectations will likely remain near current levels which support market valuations. As always, we remain focused on company-specific fundamentals and growth prospects and believe the current market will continue to provide us with opportunities to buy quality companies at reasonable prices.

Page 5

First Trust/Confluence Small Cap Value Fund

Understanding Your Fund Expenses

October 31, 2019 (Unaudited)

As a shareholder of the First Trust/Confluence Small Cap Value Fund (the “Fund”), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases of Class A Shares and contingent deferred sales charges on the lesser of purchase price or redemption proceeds of Class C Shares; 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 October 31, 2019.

Actual Expenses

The first three columns of the table below provide information about actual account values and actual expenses. You may use the information in these columns, 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 third column under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The next three columns of the table below provide 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 sales charges (loads) or contingent deferred sales charges. Therefore, the hypothetical section of 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.

	Actual Expenses			Hypothetical (5% Return Before Expenses)
	Beginning Account Value 5/1/2019	Ending Account Value 10/31/2019	Expenses Paid During Period 5/1/2019 - 10/31/2019 (a)	Beginning Account Value 5/1/2019	Ending Account Value 10/31/2019	Expenses Paid During Period 5/1/2019 - 10/31/2019 (a)	Annualized Expense Ratios (b)
Class A	$ 1,000.00	$ 1,008.50	$ 8.10	$ 1,000.00	$ 1,017.14	$ 8.13	1.60%
Class C	1,000.00	1,005.50	11.88	1,000.00	1,013.36	11.93	2.35
Class I	1,000.00	1,008.90	6.84	1,000.00	1,018.40	6.87	1.35

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2019 through October 31, 2019), multiplied by 184/365 (to reflect the six-month period).
(b)	These expense ratios reflect expense caps.

Page 6

First Trust/Confluence Small Cap Value Fund

Portfolio of Investments

October 31, 2019

Shares	Description	Value
COMMON STOCKS – 90.8%
	Air Freight & Logistics – 2.8%
10,922	Forward Air Corp.	$755,475
	Banks – 5.7%
18,968	Bank of Marin Bancorp.	832,126
28,969	Veritex Holdings, Inc.	713,217
		1,545,343
	Capital Markets – 2.8%
4,692	Morningstar, Inc.	759,353
	Chemicals – 3.0%
24,440	Innophos Holdings, Inc.	797,233
	Commercial Services & Supplies – 2.8%
31,392	Healthcare Services Group, Inc.	764,709
	Diversified Consumer Services – 4.2%
23,650	frontdoor, Inc. (a)	1,140,639
	Diversified Financial Services – 4.5%
41,780	Cannae Holdings, Inc. (a)	1,219,976
	Electrical Equipment – 6.2%
24,055	Allied Motion Technologies, Inc.	910,722
31,838	Thermon Group Holdings, Inc. (a)	758,700
		1,669,422
	Electronic Equipment, Instruments & Components – 2.7%
12,954	MTS Systems Corp.	731,642
	Gas Utilities – 3.2%
12,380	Northwest Natural Holding Co.	858,677
	Health Care Equipment & Supplies – 8.7%
22,368	Avanos Medical, Inc. (a)	985,087
22,019	Natus Medical, Inc. (a)	741,600
20,941	Varex Imaging Corp. (a)	628,439
		2,355,126
	Health Care Providers & Services – 2.0%
30,755	Patterson Cos., Inc.	526,833
	Hotels, Restaurants & Leisure – 1.3%
4,659	Nathan’s Famous, Inc.	354,550
	Industrial Conglomerates – 2.7%
21,205	Raven Industries, Inc.	739,630
	Insurance – 5.5%
19,690	Brown & Brown, Inc.	741,919

Shares	Description	Value
	Insurance (Continued)
20,819	James River Group Holdings, Ltd.	$745,528
		1,487,447
	IT Services – 2.7%
35,780	I3 Verticals, Inc., Class A (a)	731,701
	Life Sciences Tools & Services – 2.0%
9,119	Cambrex Corp. (a)	544,678
	Machinery – 9.5%
8,341	John Bean Technologies Corp.	857,205
10,034	Kadant, Inc.	911,087
4,921	RBC Bearings, Inc. (a)	789,525
		2,557,817
	Paper & Forest Products – 3.1%
13,010	Neenah, Inc.	839,145
	Pharmaceuticals – 2.5%
27,945	Phibro Animal Health Corp., Class A	669,562
	Professional Services – 2.6%
47,604	Resources Connection, Inc.	697,399
	Real Estate Management & Development – 4.0%
32,255	RE/MAX Holdings, Inc., Class A	1,078,930
	Textiles, Apparel & Luxury Goods – 2.7%
28,174	Movado Group, Inc.	733,933
	Water Utilities – 3.6%
13,533	SJW Group	979,112
	Total Common Stocks	24,538,332
	(Cost $22,720,020)
REAL ESTATE INVESTMENT TRUSTS – 5.6%
	Equity Real Estate Investment Trusts – 5.6%
32,508	Gladstone Commercial Corp.	765,889
28,188	Rayonier, Inc.	760,512
	Total Real Estate Investment Trusts	1,526,401
	(Cost $1,341,387)
	Total Investments – 96.4%	26,064,733
	(Cost $24,061,407) (b)
	Net Other Assets and Liabilities – 3.6%	965,391
	Net Assets – 100.0%	$27,030,124

(a) Non-income producing security.

 

See Notes to Financial Statements

Page 7

First Trust/Confluence Small Cap Value Fund

Portfolio of Investments (Continued)

October 31, 2019

(b) Aggregate cost for federal income tax purposes was $24,100,012. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,778,916 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,814,195. The net unrealized appreciation was $1,964,721.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of October 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 10/31/2019	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$ 24,538,332	$ 24,538,332	$ —	$ —
Real Estate Investment Trusts*	1,526,401	1,526,401	—	—
Total Investments	$ 26,064,733	$ 26,064,733	$—	$—

* See Portfolio of Investments for industry breakout.

Page 8

See Notes to Financial Statements

First Trust/Confluence Small Cap Value Fund

Statement of Assets and Liabilities

October 31, 2019

ASSETS:
Investments, at value     (Cost $24,061,407)	$ 26,064,733
Cash	944,042
Receivables:
Fund shares sold	105,692
Dividends	12,203
Prepaid expenses	29,849
Total Assets	27,156,519
LIABILITIES:
Payables:
Audit and tax fees	39,156
Transfer agent fees	19,647
Administrative fees	17,503
Fund shares redeemed	16,640
Shareholder reporting fees	7,253
Trustees’ fees and expenses	5,428
12b-1 distribution and service fees	4,005
Custodian fees	3,710
Investment advisory fees	3,706
Commitment and administrative agency fees	3,030
Listing fees	2,104
Legal fees	1,643
Registration fees	821
Financial reporting fees	770
Other liabilities	979
Total Liabilities	126,395
NET ASSETS	$27,030,124
NET ASSETS consist of:
Paid-in capital	$ 25,091,162
Par value	8,718
Accumulated distributable earnings (loss)	1,930,244
NET ASSETS	$27,030,124
Maximum Offering Price Per Share:
Class A Shares:
Net asset value and redemption price per share (Based on net assets of $8,612,193 and 278,237 shares of beneficial interest issued and outstanding)	$30.95
Maximum sales charge (5.50% of offering price)	1.80
Maximum offering price to public	$32.75
Class C Shares:
Net asset value and redemption price per share (Based on net assets of $2,671,264 and 97,857 shares of beneficial interest issued and outstanding)	$27.30
Class I Shares:
Net asset value and redemption price per share (Based on net assets of $15,746,667 and 495,729 shares of beneficial interest issued and outstanding)	$31.76

See Notes to Financial Statements

Page 9

First Trust/Confluence Small Cap Value Fund

Statement of Operations

For the Year Ended October 31, 2019

INVESTMENT INCOME:
Dividends	$ 315,631
Interest	18,847
Total investment income	334,478
EXPENSES:
Investment advisory fees	252,568
12b-1 distribution and/or service fees:
Class A	18,941
Class C	30,415
Transfer agent fees	89,252
Administrative fees	52,502
Registration fees	51,143
Audit and tax fees	34,268
Shareholder reporting fees	33,739
Commitment and administrative agency fees	32,716
Trustees’ fees and expenses	16,182
Financial reporting fees	9,250
Custodian fees	9,060
Legal fees	7,657
Listing expense	4,200
Other	1,823
Total expenses	643,716
Fees waived and expenses reimbursed by the investment advisor	(253,404)
Net expenses	390,312
NET INVESTMENT INCOME (LOSS)	(55,834)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments	(76,445)
Net change in unrealized appreciation (depreciation) on investments	1,470,642
NET REALIZED AND UNREALIZED GAIN (LOSS)	1,394,197
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$ 1,338,363

Page 10

See Notes to Financial Statements

First Trust/Confluence Small Cap Value Fund

Statements of Changes in Net Assets

	Year Ended 10/31/2019	Year Ended 10/31/2018
OPERATIONS:
Net investment income (loss)	$ (55,834)	$ (116,201)
Net realized gain (loss)	(76,445)	2,628,572
Net change in unrealized appreciation (depreciation)	1,470,642	(1,939,618)
Net increase (decrease) in net assets resulting from operations	1,338,363	572,753
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS:
Class A Shares	(777,653)	(328,598)
Class C Shares	(433,615)	(234,993)
Class I Shares	(1,288,554)	(407,096)
Total distributions to shareholders from investment operations	(2,499,822)	(970,687)
CAPITAL TRANSACTIONS:
Proceeds from shares sold	15,538,706	9,965,431
Proceeds from shares reinvested	2,411,744	912,306
Cost of shares redeemed	(11,374,675)	(5,754,814)
Net increase (decrease) in net assets resulting from capital transactions	6,575,775	5,122,923
Total increase (decrease) in net assets	5,414,316	4,724,989
NET ASSETS:
Beginning of period	21,615,808	16,890,819
End of period	$27,030,124	$21,615,808

See Notes to Financial Statements

Page 11

First Trust/Confluence Small Cap Value Fund

Financial Highlights

For a Share outstanding throughout each period

Class A Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 33.98	$ 34.48	$ 27.81	$ 26.34	$ 28.03
Income from investment operations:
Net investment income (loss) (a)	(0.08)	(0.20)	(0.16)	(0.10)	0.04
Net realized and unrealized gain (loss)	0.83	1.63	7.20	1.97	0.31
Total from investment operations	0.75	1.43	7.04	1.87	0.35
Distributions paid to shareholders from:
Net realized gain	(3.78)	(1.93)	(0.37)	(0.40)	(2.04)
Net asset value, end of period	$30.95	$33.98	$34.48	$27.81	$26.34
Total return (b)	4.77%	4.16%	25.53%	7.22%	1.22%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 8,612	$ 6,692	$ 5,656	$ 3,767	$ 1,413
Ratio of total expenses to average net assets	2.66%	2.71%	3.56%	5.69%	7.61%
Ratio of net expenses to average net assets	1.60%	1.60%	1.60%	1.61% (c)	1.60%
Ratio of net investment income (loss) to average net assets	(0.28)%	(0.56)%	(0.50)%	(0.38)%	0.16%
Portfolio turnover rate	25%	35%	28%	15%	17%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period and does not include payment of the maximum sales charge of 5.50% or contingent deferred sales charge (CDSC). On purchases of $1 million or more, a CDSC of 1% may be imposed on certain redemptions made within twelve months of purchase. If the sales charges were included, total returns would be lower. These returns include Rule 12b-1 service fees of 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 1.60%.

Page 12

See Notes to Financial Statements

First Trust/Confluence Small Cap Value Fund

Financial Highlights (Continued)

For a Share outstanding throughout each period

Class C Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 30.61	$ 31.47	$ 25.61	$ 24.51	$ 26.44
Income from investment operations:
Net investment income (loss) (a)	(0.27)	(0.42)	(0.36)	(0.28)	(0.14)
Net realized and unrealized gain (loss)	0.74	1.49	6.59	1.78	0.25
Total from investment operations	0.47	1.07	6.23	1.50	0.11
Distributions paid to shareholders from:
Net realized gain	(3.78)	(1.93)	(0.37)	(0.40)	(2.04)
Net asset value, end of period	$27.30	$30.61	$31.47	$25.61	$24.51
Total return (b)	4.33%	3.34%	24.58%	6.28%	0.33%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 2,671	$ 3,621	$ 3,962	$ 3,237	$ 2,247
Ratio of total expenses to average net assets	3.87%	3.69%	4.45%	6.28%	7.93%
Ratio of net expenses to average net assets	2.35%	2.35%	2.35%	2.36% (c)	2.35%
Ratio of net investment income (loss) to average net assets	(1.03)%	(1.31)%	(1.25)%	(1.12)%	(0.57)%
Portfolio turnover rate	25%	35%	28%	15%	17%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period and does not include payment of the maximum CDSC of 1%, charged on certain redemptions made within one year of purchase. If the sales charge was included, total returns would be lower. These returns include combined Rule 12b-1 distribution and service fees of 1% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 2.35%.

See Notes to Financial Statements

Page 13

First Trust/Confluence Small Cap Value Fund

Financial Highlights (Continued)

For a Share outstanding throughout each period

Class I Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 34.65	$ 35.07	$ 28.40	$ 26.84	$ 28.52
Income from investment operations:
Net investment income (loss) (a)	(0.01)	(0.11)	(0.09)	(0.05)	0.10
Net realized and unrealized gain (loss)	0.90	1.62	7.13	2.01	0.26
Total from investment operations	0.89	1.51	7.04	1.96	0.36
Distributions paid to shareholders from:
Net realized gain	(3.78)	(1.93)	(0.37)	(0.40)	(2.04)
Net asset value, end of period	$31.76	$34.65	$35.07	$28.40	$26.84
Total return (b)	5.14%	4.30%	24.99%	7.46%	1.23%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 15,747	$ 11,302	$ 7,273	$ 2,101	$ 813
Ratio of total expenses to average net assets	2.22%	2.33%	3.22%	5.63%	8.46%
Ratio of net expenses to average net assets	1.35%	1.35%	1.35%	1.35%	1.35%
Ratio of net investment income (loss) to average net assets	(0.02)%	(0.29)%	(0.28)%	(0.16)%	0.38%
Portfolio turnover rate	25%	35%	28%	15%	17%

(a)

Based on average shares outstanding.

(b)

Assumes reinvestment of all distributions for the period. These returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year.

Page 14

See Notes to Financial Statements

Notes to Financial Statements

First Trust/Confluence Small Cap Value Fund

October 31, 2019

1. Organization

First Trust/Confluence Small Cap Value Fund (the “Fund”) is a series of the First Trust Series Fund (the “Trust”), a Massachusetts business trust organized on July 9, 2010, and is registered as a diversified open-end management investment company with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund offers three classes of shares: Class A, Class C and Class I. Each class represents an interest in the same portfolio of investments but with a different combination of sales charges, distribution and service (12b-1) fees, eligibility requirements and other features.

The Fund’s investment objective is to seek to provide long-term capital appreciation. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings, if any) in equity securities of U.S. listed companies with small market capitalizations (“Small-Cap Companies”) at the time of investment that Confluence Investment Management LLC (“Confluence” or the “Sub-Advisor”) believes have produced solid returns over extended periods of time. 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 (“FASB”) Accounting Standards Codification (“ASC”) 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 net asset value (“NAV”) of each class of shares of the Fund 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 NAV for each class is calculated by dividing the value of the Fund’s total assets attributable to such class (including accrued interest and dividends), less all liabilities attributable to such class (including accrued expenses, dividends declared but unpaid and any borrowings of the Fund), by the total number of shares of the class outstanding. Differences in NAV of each class of the Fund’s shares are generally expected to be due to the daily expense accruals of the specified distribution and service (12b-1) fees and transfer agency costs applicable to such class of shares and the resulting differential in the dividends that may be paid on each class of shares.

The Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Fund’s investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures adopted by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund’s investments are valued as follows:

Common stocks, real estate investment trusts (“REITs”), 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.

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

Page 15

Notes to Financial Statements (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019

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:

• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:

o Quoted prices for similar investments in active markets.

o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.

o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).

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

• Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of October 31, 2019, 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 daily on the accrual basis, including the amortization of premiums and the accretion of discounts. Income is allocated on a pro rata basis to each class of shares.

The Fund may hold REITs. Distributions from such investments may be comprised of return of capital, capital gains and income. The actual character of amounts received during the year is not known until after the REIT’s fiscal year end. The Fund records the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by the Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.

C. Dividends and Distributions to Shareholders

The Fund will distribute to holders of its shares semi-annual dividends of all or a portion of its net income. Distributions of any net capital gains earned by the Fund will be distributed at least annually. Distributions will automatically be reinvested into additional Fund shares unless cash distributions are elected by the shareholder.

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

Page 16

Notes to Financial Statements (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019

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 point in the future. Permanent differences incurred during the fiscal year ended October 31, 2019, resulting in book and tax accounting differences, have been reclassified at year end to reflect an increase in accumulated net investment income (loss) of $55,834, a decrease in accumulated net realized gain (loss) of $11,400, and a decrease to paid-in capital of $44,434. Accumulated distributable earnings (loss) consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments, and unrealized appreciation (depreciation) on investments. Net assets were not affected by this reclassification.

The tax character of distributions paid by the Fund during the fiscal years ended October 31, 2019 and 2018, was as follows:

Distributions paid from:	2019	2018
Ordinary income	$395,428	$247,923
Capital gains	2,104,394	722,764
Return of capital	—	—

As of October 31, 2019, the distributable earnings and net assets on a tax basis were as follows:

Undistributed ordinary income	$—
Undistributed capital gains	—
Total undistributed earnings	—
Accumulated capital and other losses	(34,477)
Net unrealized appreciation (depreciation)	1,964,721
Total accumulated earnings (losses)	1,930,244
Other	—
Paid-in capital	25,099,880
Total net assets	$27,030,124

D. Income Taxes

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

The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At October 31, 2019, the Fund had $34,477 of non-expiring net capital loss carryforwards for federal income tax purposes.

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended October 31, 2019, the Fund did not incur any net ordinary losses.

The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2016, 2017, 2018, and 2019 remain open to federal and state audit. As of October 31, 2019, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund’s financial statements for uncertain tax positions.

E. Expenses

The Fund will pay all expenses directly related to its operations. Expenses of the Fund are allocated on a pro rata basis to each class of shares, except for distribution and service (12b-1) fees and incremental transfer agency costs which are unique to each class of shares.

F. New Accounting Pronouncement

On August 28, 2018, the FASB issued Accounting Standards Update (“ASU”) 2018-13, “Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement,” which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the

Page 17

Notes to Financial Statements (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019

amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Fund has early adopted ASU 2018-13 for these financial statements, which did not result in a material impact.

3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements

First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund. For these investment management services, First Trust is entitled to a monthly fee calculated at an annual rate of 1.00% of the Fund’s average daily net assets. First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250.

Confluence serves as the Fund’s sub-advisor and manages the Fund’s portfolio subject to First Trust’s supervision. The Sub-Advisor receives a monthly sub-advisory fee calculated at an annual rate of 0.50% of the Fund’s average daily net assets that is paid by First Trust out of its investment advisory fee.

First Trust and Confluence have agreed to waive fees and/or reimburse Fund expenses to the extent necessary to prevent the total annual fund operating expenses (excluding 12b-1 distribution and service fees, interest expenses, taxes, acquired fund fees and expenses, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses) from exceeding 1.35% of average daily net assets of any class of shares of the Fund (the “Expense Cap”) until February 28, 2021 and then from exceeding 1.70% from March 1, 2021 to February 28, 2030 (the “Expense Cap Termination Date”). Expenses borne and fees waived by First Trust and Confluence are subject to recovery on a Fund class level, if applicable, by First Trust and Confluence for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by the Fund at any time if it would result in the Fund’s expenses exceeding (i) the Expense Cap in place for the most recent fiscal year for which such expense limitation was in place; (ii) the Expense Cap in place at the time the fees were waived; or (iii) the current Expense Cap. Expense limitations may be terminated or modified prior to their expiration only with the approval of the Board of Trustees of the Trust. These amounts would be included in “Expenses previously waived or reimbursed” on the Statement of Operations. The advisory fee waiver and expense reimbursement for the fiscal year ended October 31, 2019 and the expenses borne by First Trust and Confluence subject to recovery were as follows:

		Expenses Subject to Recovery
Advisory Fee Waiver	Expense Reimbursement	Year Ended October 31, 2017	Year Ended October 31, 2018	Year Ended October 31, 2019	Total
$ 252,568	$ 836	$ 262,436	$ 218,185	$ 253,404	$ 734,025

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s administrator, fund accountant and custodian in accordance with certain fee arrangements. As administrator and fund accountant, BBH is responsible for providing certain administrative and accounting services to the Fund, including maintaining the Fund’s books of account, records of the Fund’s securities transactions, and certain other books and records. As custodian, BBH is responsible for custody of the Fund’s assets.

BNY Mellon Investment Servicing (US) Inc. (“BNYM IS”) serves as the Fund’s transfer agent in accordance with certain fee arrangements. As transfer agent, BNYM IS is responsible for maintaining shareholder records for the Fund. BNYM IS 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, 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.

Page 18

Notes to Financial Statements (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019

4. Capital Share Transactions

Capital transactions were as follows:

	Year Ended October 31, 2019		Year Ended October 31, 2018
	Shares	Value	Shares	Value
Sales:
Class A	103,037	$ 3,048,286	62,108	$ 2,190,325
Class C	18,114	478,101	34,840	1,080,006
Class I	398,202	12,012,319	187,274	6,695,100
Total Sales	519,353	$ 15,538,706	284,222	$ 9,965,431
Dividend Reinvestment:
Class A	29,335	$ 738,665	8,807	$ 299,176
Class C	18,550	413,302	7,113	219,210
Class I	48,885	1,259,777	11,385	393,920
Total Dividend Reinvestment	96,770	$ 2,411,744	27,305	$ 912,306
Redemptions:
Class A	(51,089)	$ (1,496,122)	(38,003)	$ (1,336,253)
Class C	(57,126)	(1,504,089)	(49,530)	(1,564,657)
Class I	(277,580)	(8,374,464)	(79,846)	(2,853,904)
Total Redemptions	(385,795)	$ (11,374,675)	(167,379)	$ (5,754,814)

5. Purchases and Sales of Securities

The cost of purchases and proceeds from sales of securities, excluding short-term investments, for the fiscal year ended October 31, 2019, were $9,822,628 and $6,189,804, respectively.

6. Distribution and Service 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 share classes of the Fund are authorized to pay an amount up to 0.25% and 1.00% of their average daily net assets each year for Class A and Class C, respectively, 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 Fund shares or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. Class I shares have no 12b-1 fees.

7. Borrowings

The Trust, on behalf of the Fund, along with First Trust Exchange-Traded Fund III and First Trust Exchange-Traded Fund IV have a $385 million Credit Agreement with The Bank of Nova Scotia (“Scotia”) as administrative agent for a group of lenders. Prior to March 6, 2019, the commitment amount was $360 million. Scotia charges a commitment fee of 0.25% of the daily amount of the excess of the commitment amount over the outstanding principal balance of the loans, and an agency fee. First Trust allocates the commitment fee and agency fee amongst the funds that have access to the credit line. To the extent that the Fund accesses the credit line, there would also be an interest fee charged. The Fund did not have any borrowings outstanding during the fiscal year ended October 31, 2019.

8. Indemnification

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

Page 19

Notes to Financial Statements (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019

9. Subsequent Events

Management has evaluated the impact of all subsequent events to the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:

Effective November 25, 2019, the Scotia Credit Agreement was amended and the credit limit was increased from $385 million to $410 million.

Page 20

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of First Trust Series Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of First Trust/Confluence Small Cap Value Fund (the “Fund”), a series of the First Trust Series Fund, including the portfolio of investments, as of October 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2019, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

Chicago, Illinois

December 20, 2019

We have served as the auditor of one or more First Trust investment companies since 2001.

Page 21

Additional Information

First Trust/Confluence Small Cap Value Fund

October 31, 2019 (Unaudited)

Proxy Voting Policies and Procedures

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

Federal Tax Information

The Fund hereby designates as qualified dividend income 41.80% of its ordinary income distributions (including short-term capital gain, if applicable) for the period ended October 31, 2019. 42.10% of its ordinary income distributions (including short-term capital gain, if applicable) for the period ended October 31, 2019 qualify for the corporate dividends received deduction available to corporate shareholders.

For the fiscal year ended October 31, 2019, the amount of long-term capital gain distributions by the Fund was $2,104,394 which is taxable at the maximum rate of 20% for federal income tax purposes.

A portion of the ordinary dividends (including short-term capital gains) that the Fund paid to shareholders during the taxable year ended October 31, 2019, may be eligible for the Qualified Business Income (QBI) Deduction under the Internal Revenue Code of 1986, as amended, section 199A for the aggregate dividends the Fund received from the underlying Real Estate Investment Trusts (REITs) it invests in.

Risk Considerations

Risks are inherent in all investing. You should consider the Fund’s investment objective, risks, charges and expenses carefully before investing. You can download the Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about the Fund. For additional information about the risks associated with investing in the Fund, please see the Fund’s statement of additional information, as well as other regulatory filings. Read these documents carefully before you invest.

The order of the below risk factors does not indicate the significance of any particular risk factor.

BDC RISK.A BDC may invest in the equity and fixed income securities of smaller and developing companies as well as companies that are experiencing financial crises. Investments in these types of companies present a greater risk of loss due to the companies’ youth and limited track records. They are also generally more susceptible to competition and economic and market changes due to limited products and market shares. In addition, the securities of smaller and developing companies and companies experiencing financial crises typically have limited liquidity. A BDC may use leverage (e.g., borrowing and the issuance of fixed income and preferred securities) to finance its own operations and may suffer significant losses if market fluctuations cause the BDC’s net asset value to decline or if related interest charges exceed investment income. The Fund has no control over the investments made by BDCs, and BDCs are subject to additional risks such as the fact that their shares may trade at a market price above or below their net asset value and that an active market may not develop for their shares.

CYBER SECURITY RISK.The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the securities issuers or the Fund’s third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. Although the Fund has established risk management systems designed to reduce

Page 22

Additional Information (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019 (Unaudited)

the risks associated with cyber security, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

EQUITY SECURITIES RISK.The value of the Fund’s shares will fluctuate with changes in the value of the equity securities in which it invests. 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 equity market, such as market volatility, or when political or economic events affecting an issuer occur. 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.

GROWTH STOCKS INVESTMENT RISK.Stocks exhibiting growth characteristics tend to be more volatile than certain other types of stocks and their prices usually fluctuate more dramatically than the overall stock market. A stock with growth characteristics can have sharp price declines due to decreases in current or expected earnings and may lack dividend payments that can help cushion its share price during declining markets.

INDUSTRIALS COMPANIES RISK. Industrials companies convert unfinished goods into finished durables used to manufacture other goods or provide services. Examples of industrials companies include companies involved in the production of electrical equipment and components, industrial products, manufactured housing and telecommunications equipment, as well as defense and aerospace companies. General risks of industrials companies include the general state of the economy, exchange rates, commodity prices, intense competition, consolidation, domestic and international politics, government regulation, import controls, excess capacity, consumer demand and spending trends. In addition, industrials companies may also be significantly affected by overall capital spending levels, economic cycles, rapid technological changes, delays in modernization, labor relations, environmental liabilities, governmental and product liability and e-commerce initiatives.

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

MARKET CAPITALIZATION RISK. There can be no assurance that the securities held by the Fund will stay within the Fund’s intended market capitalization range. As a result, the Fund may be exposed to additional risk or investors may not be given the opportunity to invest fully in a certain market capitalization range.

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

REAL ESTATE COMPANIES RISK.Real estate companies include REITs and other companies involved in the operation and development of commercial, residential and industrial real estate. An investment in a real estate company may be subject to risks similar to those associated with direct ownership of real estate, including the possibility of declines in the value of real estate, losses from casualty or condemnation, and changes in local and general economic conditions, supply and demand, interest rates, environmental liability, zoning laws, regulatory limitations on rents, property taxes, and operating expenses. Some real estate companies have limited diversification because they invest in a limited number of properties, a narrow geographic area, or a single type of property. The price of a real estate company’s securities may also drop because of dividend reductions, lowered credit ratings, poor management, or other factors that affect companies in general.

REIT RISK.REITs typically own and operate income-producing real estate, such as residential or commercial buildings, or real-estate related assets, including mortgages. As a result, investments in REITs are subject to the risks associated with investing in real estate, which may include, but are not limited to: fluctuations in the value of underlying properties; defaults by borrowers or tenants; market saturation; changes in general and local operating expenses; and other economic, political or regulatory occurrences affecting companies in the real estate sector. REITs are also subject to the risk that the real estate market may experience an economic downturn generally, which may have a material effect on the real estate in which the REITs invest and their underlying portfolio securities. REITs may have also a relatively small market capitalization which may result in their shares experiencing less market liquidity and greater price volatility than larger companies. Increases in interest rates typically lower the present value of a REIT’s future earnings stream, and may make financing property purchases and improvements more costly. Because the market price of REIT stocks may change based upon investors’ collective perceptions of future earnings, the value of the Fund will generally decline when investors anticipate or experience rising interest rates.

SMALL FUND RISK.The Fund currently has fewer assets than larger funds, and like other smaller funds, large inflows and outflows may impact the Fund’s market exposure for limited periods of time. This impact may be positive or negative, depending on the

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Additional Information (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019 (Unaudited)

direction of market movement during the period affected. If the Fund fails to attract a large amount of assets, shareholders of the Fund may incur higher expenses as the Fund’s fixed costs would be allocated over a smaller number of shareholders.

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

VALUE STOCKS INVESTMENT RISK. The intrinsic value of a stock with value characteristics may not be fully recognized by the market for a long time or a stock judged to be undervalued may actually be appropriately priced at a low level.

Advisory and Sub-Advisory Agreements

Board Considerations Regarding Approval of Continuation of Investment Management and Investment Sub-Advisory Agreements

The Board of Trustees of First Trust Series Fund (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Advisory Agreement”) between the Trust, on behalf of the First Trust/Confluence Small Cap Value Fund (the “Fund”), and 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, on behalf of the Fund, the Advisor and Confluence Investment Management LLC (the “Sub-Advisor”). The Board approved the continuation of the Agreements for a one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The Board determined that the continuation of the Agreements is in the best interests of the Fund in light of the nature, extent and quality of the services 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. At meetings held on April 18, 2019 and June 2, 2019, the Board, including the Independent Trustees, reviewed materials provided by the Advisor and the Sub-Advisor 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 provided by the Advisor and the Sub-Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by the Fund and the sub-advisory fee rate 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 and the Sub-Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to the 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 affiliate, First Trust Portfolios L.P. (“FTP”), and the Sub-Advisor; and information on the Advisor’s and the Sub-Advisor’s compliance programs. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2019, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor and the Sub-Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 2, 2019 meeting, as well as at the meeting held that day. 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 continue to be reasonable business arrangements from the Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor and the Sub-Advisor manage the Fund and knowing the Fund’s advisory fee.

In reviewing the Agreements, the Board considered the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund and reviewed all of the services 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 noted that the Advisor oversees the Sub-Advisor’s day-to-day management of the Fund’s investments, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that

Page 24

Additional Information (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019 (Unaudited)

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 also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 18, 2019 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. With respect to the Sub-Advisory Agreement, the Board reviewed the materials provided by the Sub-Advisor and considered the services that the Sub-Advisor provides to the Fund, including the Sub-Advisor’s day-to-day management of the Fund’s investments. In considering the Sub-Advisor’s management of the Fund, the Board noted the background and experience of the Sub-Advisor’s portfolio management team, including the Board’s prior meetings with members of the portfolio management team.

In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and the Fund by the Advisor and the Sub-Advisor under the Agreements have been and are expected to remain satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed the Fund consistent with its investment objective, policies and restrictions.

The Board considered the advisory and sub-advisory fee rates payable under the Agreements for the services provided. The Board noted that the sub-advisory fee is paid by the Advisor from its advisory fee. The Board considered that the Advisor and Sub-Advisor agreed to extend the current expense caps for each share class through February 28, 2021 and agreed to keep the long-term expense cap in place from March 1, 2021 through February 28, 2030. The Board noted that fees waived or expenses borne by the Advisor and Sub-Advisor are subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fees were waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time of the reimbursement or at the time the expenses were borne or the fees were waived by the Advisor and Sub-Advisor. 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 and non-fund clients, as applicable. With respect to the Expense Group, the Board, at the April 18, 2019 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating a relevant peer group for the Fund, including that not all peer funds employ an advisor/sub-advisor management structure. The Board took these limitations into account in considering the peer data. Based on the information provided, the Board noted that the advisory fee rate payable by the Fund was above the median advisory fee of the peer funds in the Expense Group. The Board noted that the Fund’s total (net) expense ratio (Class A shares) was above the median net expense ratio of the peer funds in the Fund’s Expense Group. With respect to fees charged to other clients, the Board considered differences between the Fund and other clients that limited their comparability. In considering the advisory fee rate overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s description of its long-term commitment to the Fund.

The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor and Sub-Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund’s performance. The Board received and reviewed information comparing the Fund’s performance for periods ended December 31, 2018 to the performance of the funds in the Performance Universe and to that of a benchmark index. Based on the information provided, the Board noted that the Fund (Class A shares) outperformed the Performance Universe median and the benchmark index for the one-, three- and five-year periods ended December 31, 2018.

On the basis of all the information provided on the fees, expenses and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the advisory and sub-advisory fees for the Fund continue to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor to the Fund under the Agreements.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund and noted the Advisor’s statement that it believes its expenses will likely increase over the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Fund. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2018 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for the Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Fund. The Board 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 noted that in addition to the advisory fees paid by the Fund, FTP is compensated for services provided to

Page 25

Additional Information (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019 (Unaudited)

the Fund through 12b-1 distribution and service fees and that the Advisor receives compensation from the Fund for providing fund reporting services pursuant to a separate Fund Reporting Services Agreement. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable.

The Board considered that many of the Sub-Advisor’s costs are fixed, allowing for economies of scale. The Board did not review the profitability of the Sub-Advisor with respect to the Fund. The Board noted that the Advisor pays the Sub-Advisor from its advisory fee and its understanding that the Fund’s sub-advisory fee rate was the product of an arm’s length negotiation. The Board concluded that the profitability analysis for the Advisor was more relevant. The Board considered fall-out benefits that may be realized by the Sub-Advisor and one of its affiliates from their relationship with the Fund, including that the Sub-Advisor may enter into soft dollar and commission sharing arrangements, and considered a summary of such arrangements. The Board noted certain additional fall-out benefits identified by the Sub-Advisor deriving from the exposure provided by its relationship with Fund shareholders and the Advisor. The Board concluded that the character and amount of potential fall-out benefits to 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 continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of the Fund. No single factor was determinative in the Board’s analysis.

Page 26

Board of Trustees and Officers

First Trust/Confluence Small Cap Value Fund

October 31, 2019 (Unaudited)

The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187.

The Trust’s statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.

Name, Year of Birth and Position with the Trust	Term of Office and Year First Elected or Appointed	Principal Occupations During Past 5 Years	Number of Portfolios in the First Trust Fund Complex Overseen by Trustee	Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INDEPENDENT TRUSTEES
Richard E. Erickson, Trustee (1951)	• Indefinite Term   • Since Trust Inception	Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015)	162	None
Thomas R. Kadlec, Trustee (1957)	• Indefinite Term   • Since Trust Inception	President, ADM Investor Services, Inc. (Futures Commission Merchant)	162	Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association
Robert F. Keith, Trustee (1956)	• Indefinite Term   • Since Trust Inception	President, Hibs Enterprises (Financial and Management Consulting)	162	Director of Trust Company of Illinois
Niel B. Nielson, Trustee (1954)	• Indefinite Term   • Since Trust Inception	Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services)	162	None
INTERESTED TRUSTEE
James A. Bowen(1), Trustee and Chairman of the Board (1955)	• Indefinite Term   • Since Trust Inception	Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)	162	None

⁽¹⁾ Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust.

Page 27

Board of Trustees and Officers (Continued)

First Trust/Confluence Small Cap Value Fund

October 31, 2019 (Unaudited)

Name and Year of Birth	Position and Offices with Trust	Term of Office and Length of Service	Principal Occupations During Past 5 Years
OFFICERS(2)
James M. Dykas (1966)	President and Chief Executive Officer	• Indefinite Term   • Since January 2016	Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)
Donald P. Swade (1972)	Treasurer, Chief Financial Officer and Chief Accounting Officer	• Indefinite Term   • Since January 2016	Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine (1960)	Secretary and Chief Legal Officer	• Indefinite Term   • Since Trust Inception	General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist (1970)	Vice President	• Indefinite Term   • Since Trust Inception	Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P.
Kristi A. Maher (1966)	Chief Compliance Officer and Assistant Secretary	• Indefinite Term   • Chief Compliance Officer Since January 2011 • Assistant Secretary Since Trust Inception	Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.

⁽²⁾ The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.

Page 28

Privacy Policy

First Trust/Confluence Small Cap Value Fund

October 31, 2019 (Unaudited)

Privacy Policy

First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.

Sources of Information

We collect nonpublic personal information about you from the following sources:

• Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms;

• Information about your transactions with us, our affiliates or others;

• Information we receive from your inquiries by mail, e-mail or telephone; and

• Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits.

Information Collected

The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.

Disclosure of Information

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:

• In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.

• We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).

In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.

Use of Website Analytics

We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust’s website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust’s website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on:Google Analytics andAddThis.

Confidentiality and Security

With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.

Policy Updates and Inquiries

As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go towww.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).

March 2019

Page 29

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INVESTMENT ADVISOR

First Trust Advisors L.P.

120 East Liberty Drive, Suite 400

Wheaton, IL 60187

INVESTMENT SUB-ADVISOR

Confluence Investment Management LLC

20 Allen Avenue, Suite 300

Saint Louis, MO 63119

ADMINISTRATOR,
FUND ACCOUNTANT &
CUSTODIAN

Brown Brothers Harriman & Co.

50 Post Office Square

Boston, MA 02110

TRANSFER AGENT

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

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

First Trust Short Duration
High Income Fund

Annual Report

For the Year Ended

October 31, 2019

Table of Contents

First Trust Short Duration High Income Fund

Annual Report

October 31, 2019

Shareholder Letter	1
At a Glance	2
Portfolio Commentary	4
Understanding Your Fund Expenses	6
Portfolio of Investments	7
Statement of Assets and Liabilities	17
Statement of Operations	18
Statements of Changes in Net Assets	19
Financial Highlights	20
Notes to Financial Statements	23
Report of Independent Registered Public Accounting Firm	30
Additional Information	31
Board of Trustees and Officers	37
Privacy Policy	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 First Trust Short Duration High Income Fund (the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Performance and Risk Disclosure

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

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

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page atwww.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.

By reading the portfolio commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund’s performance. The statistical information that follows may help you understand the Fund’s performance compared to that of relevant market benchmarks.

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

Shareholder Letter

First Trust Short Duration High Income Fund

Annual Letter from the Chairman and CEO

October 31, 2019

Dear Shareholders,

First Trust is pleased to provide you with the annual report for the First Trust Short Duration High Income Fund (the “Fund”), which contains detailed information about the Fund for the twelve months ended October 31, 2019, including a market overview and a performance analysis. We encourage you to read this report carefully and discuss it with your financial advisor.

One of our responsibilities as asset managers is to be good listeners. Perhaps the most effective way in which we do this continually is by paying close attention to mutual fund and exchange-traded fund (ETF) money flows. After all, investors vote with their dollars, and money flows provide valuable feedback with respect to their biases. Over the past 12 months, we have learned that investors, in general, have grown more risk-averse. For the 12-month period ended October 31, 2019, investors funneled an estimated net $359.56 billion into bond mutual funds and ETFs, while liquidating an estimated net $56.86 billion from equity mutual funds and ETFs, according to data from Morningstar. Over the same period, money market funds took in an estimated net $583.27 billion. Those figures were more balanced for the full-year 2018. Those estimated net flows were as follows: $94.42 billion (equity mutual funds & ETFs); $137.60 billion (bond mutual funds & ETFs); and $161.60 billion (money market funds).

In addition to monitoring fund flows, we watch the performance of all the asset classes. Market returns can either help validate or invalidate our interpretation of money flows. As we noted above, we believe that investors have tempered their appetite for risk, and the returns on the major sectors that comprise the S&P 500^® Index back it up. For the 12-month period ended October 31, 2019, as measured by total return, the top performers were Real Estate and Utilities, up 26.72% and 23.71%, respectively, according to Bloomberg. The S&P 500^® Index posted a total return of 14.33% for the period. These two sectors are defensive in nature. They also tend to distribute cash dividends that are often well above those sectors that are more cyclical in nature. The higher dividend distributions likely drew the attention of fixed-income investors dissatisfied with the current low-yield climate in the bond market, in our opinion.

The absence of a new trade deal between the U.S. and China has been a bit of a wet blanket on the global economy. Global growth projections have been trimmed over time by such organizations as the International Monetary Fund. The tariffs have been in play for 19 months and counting as of October 2019. While the lack of any significant progress in the negotiations between the U.S. and China is a concern, we believe a remedy will be found. Remember, as uncertain as things may appear in the current climate, investors with diversified investment portfolios were most likely rewarded over the past 12 months. Stay the course and stay engaged!

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,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

First Trust Short Duration High Income Fund

“AT A GLANCE”

As of October 31, 2019 (Unaudited)

Fund Statistics
First Trust Short Duration High Income Fund	Net Asset Value (NAV)
Class A (FDHAX)	$19.31
Class C (FDHCX)	$19.30
Class I (FDHIX)	$19.33

Credit Quality(1)	% of Senior Loans and Other Debt Securities(2)
BBB-	5.2%
BB+	3.1
BB	8.0
BB-	12.0
B+	21.7
B	29.7
B-	13.6
CCC+	5.1
CCC	1.6
D	0.0*
Total	100.0%

* Amount is less than 0.1%.

Top 10 Issuers	% of Senior Loans and other Securities(2)
HUB International Ltd.	3.1%
Nexstar Broadcasting, Inc.	3.0
Bausch Health Companies, Inc. (Valeant)	2.9
Amwins Group, Inc.	2.8
Tenet Healthcare Corp.	2.8
Multiplan, Inc. (MPH)	2.6
CHG Healthcare Services, Inc.	2.5
Reynolds Group Holdings, Inc.	2.5
ClubCorp Holdings, Inc.	2.5
Alliant Holdings I, LLC	2.3
Total	27.0%

Industry Classification	% of Senior Loans and Other Securities(2)
Health Care Providers & Services	18.3%
Software	12.3
Hotels, Restaurants & Leisure	11.0
Insurance	9.9
Media	9.3
Pharmaceuticals	6.7
Diversified Financial Services	5.6
Containers & Packaging	3.8
Life Sciences Tools & Services	3.5
Diversified Telecommunication Services	2.2
Diversified Consumer Services	2.2
Entertainment	2.1
Building Products	2.1
Health Care Technology	1.7
Commercial Services & Supplies	1.5
Real Estate Management & Development	1.3
Aerospace & Defense	1.2
Food & Staples Retailing	1.0
Professional Services	0.7
Household Durables	0.6
Equity Real Estate Investment Trusts	0.5
Oil, Gas & Consumable Fuels	0.5
Auto Components	0.4
Capital Markets	0.3
Communications Equipment	0.3
Food Products	0.3
Electric Utilities	0.3
Independent Power & Renewable Electricity Producers	0.2
Specialty Retail	0.1
Semiconductors & Semiconductor Equipment	0.1
Construction & Engineering	0.0*
Total	100.0%

* Amount is less than 0.1%.

 

Dividend Distributions	A Shares	C Shares	I Shares
Current Monthly Distribution per Share(3)	$0.0710	$0.0589	$0.0750
Current Distribution Rate on NAV(4)	4.41%	3.66%	4.66%

⁽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 its 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. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not the Fund or its shares. Credit ratings are subject to change.

⁽²⁾ Percentages are based on long-term positions. Money market funds are excluded.

⁽³⁾ Most recent distribution paid or declared through 10/31/2019. Subject to change in the future.

⁽⁴⁾ Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by NAV as of 10/31/2019. Subject to change in the future.

Page 2

First Trust Short Duration High Income Fund

“AT A GLANCE” (Continued)

As of October 31, 2019 (Unaudited)

Performance of a $10,000 Investment

This chart compares your Fund’s Class I performance to that of the ICE BofAML US High Yield Constrained Index, the S&P/LSTA Leveraged Loan Index and the Blended Index⁽⁵⁾.

Performance as of October 31, 2019
	A Shares Inception 11/1/2012		C Shares Inception 11/1/2012		I Shares Inception 11/1/2012	Blended Index*	HUC0*	SPBDAL*
Cumulative Total Returns	w/o sales charge	w/max 3.50% sales charge	w/o sales charge	w/max 1.00% contingent deferred sales charge	w/o sales charge	w/o sales charges	w/o sales charges	w/o sales charges
1 Year	2.82%	(0.77)%	2.11%	1.12%	3.13%	5.47%	8.32%	2.67%
Average Annual Total Returns
5 Years	3.25%	2.52%	2.49%	2.49%	3.53%	4.52%	5.18%	3.83%
Since Inception	3.88%	3.35%	3.11%	3.11%	4.15%	4.89%	5.77%	3.99%
30-Day SEC Yield(6)	3.94%		3.33%		4.33%	N/A	N/A	N/A

* Since inception return is based on inception date of the Fund.

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. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. 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.

Performance of share classes will vary due to differences in sales charges and expenses. Total returns with sales charges include payment of the maximum sales charge of 3.50% for Class A Shares, a contingent deferred sales charge (“CDSC”) of 1.00% for Class C Shares in year one and Rule 12b-1 service fees of 0.25% per year of average daily net assets for Class A Shares and combined Rule 12b-1 distribution and service fees of 1.00% per year of average daily net assets for Class C Shares. Class I Shares do not have a front-end sales charge or a CDSC, nor do they pay distribution or service fees.

⁽⁵⁾ The Blended Index return is a 50/50 split between the ICE BofAML US High Yield Constrained Index and the S&P/LSTA Leveraged Loan Index returns.

⁽⁶⁾ 30-day SEC yield is calculated by dividing the net investment income per share earned during the most recent 30-day period by the maximum offering price per share on the last day of the period. The reported SEC yields are subsidized. The subsidized yields reflect the waiver and/or a reimbursement of Fund expenses, which has the effect of lowering the Fund’s expense ratio and generating a higher yield.

Page 3

Portfolio Commentary

First Trust Short Duration High Income Fund

Annual Report

October 31, 2019 (Unaudited)

Advisor

The First Trust Advisors L.P. (“First Trust”) Leveraged Finance Team is comprised of 15 experienced investment professionals specializing in below investment grade securities. The team is comprised of portfolio management, research, trading and operations personnel. As of October 31, 2019, the First Trust Leveraged Finance Team managed or supervised approximately $4.2 billion in senior secured bank loans and high-yield bonds. These assets are managed across various strategies, including two closed-end funds, an open-end fund, four exchange-traded funds, and a series of unit investment trusts on behalf of retail and institutional clients.

Portfolio Management Team

William Housey, CFA – Managing Director of Fixed Income, Senior Portfolio Manager

Scott D. Fries, CFA – Senior Vice President, Portfolio Manager

Peter Fasone, CFA, CPA - Vice President, Portfolio Manager

Annual Report Commentary

First Trust Short Duration High Income Fund

The primary investment objective of the First Trust Short Duration High Income Fund (the “Fund”) is to seek to provide a high level of current income. As a secondary objective, the Fund seeks capital appreciation.

Market Recap

Near the end of 2018, concerns surrounding slower global growth, the Federal Reserve (the “Fed”) increasing interest rates too quickly and trade tensions between the U.S. and China led to risk assets trading lower. Early in 2019, the Fed signaled that it would wait for economic data to show continued signs of strength before electing to continue tightening. Investors responded positively to this news and markets quickly rebounded at the beginning of 2019. In July 2019, the Fed announced that it would cut interest rates as U.S. economic data started to show signs of weakness. The Fed went on to cut interest rates two more times during September and October, ostensibly to mitigate any fallout from U.S.-China trade tensions. The combination of an easing Fed and improving U.S.-China trade relations propelled the S&P 500^® Index to new highs in the year.

High-Yield Bond Market

High-yield bond spreads over U.S. Treasuries increased 34 basis points (“bps”) to end the period at T+415 bps as of October 31, 2019. The spread is inside the long-term average spread over U.S. Treasuries of T+566 bps (December 1997 – October 2019).

Higher quality high-yield bonds (BB rated) outperformed lower quality high-yield bonds (B rated or below) in the period, which was a reversal of the trend from the prior year period. High-yield bond issues rated BB returned 11.79%, outperforming the 7.57% return of B rated issues, and outperforming the -1.94% return of issues rated CCC in the period. The average price of high-yield bonds in the market at the beginning of the period was $96.40. The price dropped to $92.31 at the end of December 2018 driven by the broader market selloff, and subsequently increased steadily for the better part of the year to end the period with an average price of $99.09.

Senior Loan Market

Senior loan spreads over 3-month London Interbank Offered Rate (“LIBOR”) increased 126 bps during the 12-month period ended October 31, 2019 to L+515 bps. This is above the pre-credit crisis average spread of L+372 (December 1997 – June 2007) and is in-line with the long-term average spread of L+513 (December 1997 – October 2019). As of October 31, 2019, retail senior loan funds experienced 13 consecutive months of outflows, however this has been more than offset by institutional demand. On a yield basis, senior loans ended the same period yielding more than high-yield bonds for five consecutive months. The last time senior loans offered more yield than high-yield bonds in consecutive months was in August and September of 2007.

Higher quality senior loans outperformed lower quality senior loans for the 12-month period ended October 31, 2019, a reversal of the trend experienced in the prior 12-month period. BB rated issues returned 4.09%, outperforming the 2.48% return of B rated issues, and outperforming the -4.30% return of CCC rated issues in the period. The average price of senior loans in the market decreased from $98.14 in the beginning of the period to $95.42 at the end of the period.

Default Rates

During the 12-month period ended October 31, 2019, default rates increased marginally within the high-yield bond universe but decreased within the S&P/LSTA Leveraged Loan Index. The last twelve months (“LTM”) default rate within the high-yield bond market ended the period at 2.54% compared to the 2.02% default rate as of October 31, 2018. The senior loan market ended the period

Page 4

Portfolio Commentary (Continued)

First Trust Short Duration High Income Fund

Annual Report

October 31, 2019 (Unaudited)

at 1.43% compared to the 1.92% default rate as of October 31, 2018. Despite the increase in default rates in high-yield bonds, defaults in both the senior loan market and high-yield bond market remain low by historical standards. We believe the low default rate is reflective of the relatively sound financial condition of most companies, the lack of near-term debt maturities, and the strong backdrop of a healthy macroeconomic environment.

Fund Performance

The Fund’s Class I shares returned 3.13% over the 12-month period ended October 31, 2019. The Blended Index (the “Benchmark”)(comprised of 50% S&P/LSTA Leveraged Loan Index and 50% ICE BofAML US High Yield Constrained Index) returned 5.47% over the same period.

The Fund held 162 individual positions diversified across 31 industries at the end of the reporting period. Health Care Providers & Services (18.30%), Software (12.29%), and Hotels, Restaurants & Leisure (11.05%) were the Fund’s top three industry exposures at the end of the period. By comparison, the Fund held 238 individual positions across 42 industries at October 31, 2018. The Fund greatly reduced its allocation to high-yield bonds from 22.03% to 15.89% during the period. The Fund’s duration remained low throughout the period and declined from 0.94 years to 0.50 years at the end of the period.

During the 12-month period ended October 31, 2019, the Fund’s performance benefitted from its underweight position in the energy industry, its asset selection and overweight positions in the radio & television industry, and its asset selection in the food service industry. The oil & gas industry was the worst performing industry in the Benchmark during the period. The average weight of the oil & gas industry in the Benchmark during the LTM period was approximately 8.63% which compares to just 0.38% for the Fund. Within the radio & television industry the Fund’s overweight position in television broadcasting companies outperformed the broader media industry. The television broadcasters are expected to benefit heavily from the advertising spend of presidential hopefuls during the 2020 election year. Finally, within the food service industry, the Fund’s holdings in two fast food restaurant operators outperformed the broader food service industry during the period.

Offsetting these contributors were the Fund’s asset selection within the healthcare industry, automotive industry, and lodging and casinos industry. Within the healthcare industry the Fund’s holdings in a physician management services company, a wound care management services company and an outsourced healthcare professional staffing company underperformed the broader healthcare industry. Within the automotive industry the Fund’s holdings in a specialty automotive lighting company and an automotive parts manufacturer underperformed the broader automotive industry. Lastly within the lodging and casinos industry the Fund’s holdings in a membership club operator and casino operator underperformed the lodging and casinos industry as a whole.

The Fund’s most recent monthly distribution of $0.075 per share for Class I shares is unchanged from the distribution paid in October 2018. At the end of the period, the effective yield for Class I shares based on the distributions for the trailing twelve months was 4.66% based on a net asset value (“NAV”).

Market and Fund Outlook

Within the high-yield bond market, spreads are tight relative to the long-term average spread over U.S. Treasuries, however, we believe that the highest quality (BB rated) high-yield bonds are the most expensive today, trading near their richest levels in a decade. We believe there is room for further tightening in this cycle for the high-yield market given that spreads remain wide of the lowest spreads experienced in the last business cycle (T+245 in May 2007) and fundamentals for high-yield issuers remain sound. However, we would expect any spread tightening to come from the lower rated (B and CCC) areas of the high-yield market given how much those areas have lagged the higher quality returns over the past year. We believe there is better value in secured loans relative to the BB segment of the high-yield bond market and have tilted our exposure higher to senior loans, as a result. Moreover, even though the default rate within the high-yield bond market has marginally increased during the period, the default rate is reflective of the relatively sound financial condition of most companies and the strong backdrop of a healthy macroeconomic environment, in our opinion.

We remain confident that the favorable backdrop for the macro economy will persist for the near to intermediate term and that we are in a healthy part of the economic cycle to own high-yield bonds and senior loans. As we evaluate new investment opportunities, decisions will continue to be rooted in our rigorous bottom-up credit analysis and our focus will remain on identifying the opportunities that we believe offer the best risk and reward balance.

Page 5

First Trust Short Duration High Income Fund

Understanding Your Fund Expenses

October 31, 2019 (Unaudited)

As a shareholder of the First Trust Short Duration High Income Fund (the “Fund”), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases of Class A Shares and contingent deferred sales charges on the lesser of purchase price or redemption proceeds of Class C Shares; 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 October 31, 2019.

Actual Expenses

The first three columns of the table below provide information about actual account values and actual expenses. You may use the information in these columns, 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 third column under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The next three columns of the table below provide 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 sales charges (loads) or contingent deferred sales charges. Therefore, the hypothetical section of 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.

	Actual Expenses			Hypothetical (5% Return Before Expenses)
	Beginning Account Value 5/1/2019	Ending Account Value 10/31/2019	Expenses Paid During Period 5/1/2019 - 10/31/2019 (a)	Beginning Account Value 5/1/2019	Ending Account Value 10/31/2019	Expenses Paid During Period 5/1/2019 - 10/31/2019 (a)	Annualized Expense Ratios (b)
Class A	$ 1,000.00	$ 1,000.30	$ 6.20	$ 1,000.00	$���1,019.00	$ 6.26	1.23%
Class C	1,000.00	996.60	9.96	1,000.00	1,015.22	10.06	1.98
Class I	1,000.00	1,002.10	4.95	1,000.00	1,020.27	4.99	0.98

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2019 through October 31, 2019), multiplied by 184/365 (to reflect the six-month period).
(b)	These expense ratios reflect expense caps.

Page 6

First Trust Short Duration High Income Fund

Portfolio of Investments

October 31, 2019

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS – 81.2%
	Aerospace & Defense – 1.2%
$1,525,528	Transdigm, Inc., Term Loan F, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.29%	06/09/23	$1,517,702
345,632	Transdigm, Inc., Tranche E Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.29%	05/30/25	342,802
				1,860,504
	Alternative Carriers – 0.6%
1,000,000	Level 3 Financing, Inc., Tranche B 2024 Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.04%	02/22/24	1,000,750
	Application Software – 5.6%
688,528	CCC Information Services, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor	4.54%	04/26/24	676,107
1,466,652	Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor	5.04%	07/01/24	1,455,651
457,359	Informatica Corporation, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor	5.04%	08/06/22	458,013
323,764	Micro Focus International (MA Financeco, LLC), Miami Escrow TL B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.30%	06/21/24	313,850
2,186,456	Micro Focus International (MA Financeco, LLC), Seattle Spinco TLB, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.30%	06/21/24	2,119,507
489,396	Micro Focus International (MA Financeco, LLC), Term Loan B2, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.05%	11/19/21	485,114
1,092,651	Mitchell International, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor	5.04%	11/30/24	1,026,240
690,480	NCR Corp., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.29%	08/31/26	690,190
271,200	Qlik Technologies (Project Alpha Intermediate Holding, Inc.), 2019 Incremental Term Loan B, 3 Mo. LIBOR + 4.25%, 0.00% Floor	6.24%	04/26/24	270,354
1,537,992	Qlik Technologies (Project Alpha Intermediate Holding, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor	5.49%	04/26/24	1,501,465
				8,996,491
	Asset Management & Custody Banks – 0.3%
352,328	Harbourvest Partners L.P., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.17%	03/01/25	351,669
140,486	Victory Capital Holdings, Inc., Term Loan B, 3 Mo. LIBOR + 3.25%, 0.00% Floor	5.35%	07/01/26	140,908
				492,577
	Auto Parts & Equipment – 0.4%
369,256	Lumileds (Bright Bidco B.V.), Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor	5.29%	06/30/24	190,167
761,916	Lumileds (Bright Bidco B.V.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor	5.60%	06/30/24	392,387
				582,554
	Automotive Retail – 0.0%
58,647	KAR Auction Services, Inc. (Adesa), Term Loan B-6, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.13%	09/19/26	58,793
	Broadcasting – 4.2%
386,032	Cumulus Media Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 1.00% Floor	5.54%	03/31/26	387,561
439,400	Diamond Sports Group, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor	5.08%	08/23/26	441,048

See Notes to Financial Statements

Page 7

First Trust Short Duration High Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (Continued)
	Broadcasting (Continued)
$933,044	E.W. Scripps Company, Incremental Term Loan B-1, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	05/01/26	$932,344
1,111,930	Gray Television, Inc., Term C Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.51%	01/02/26	1,114,187
1,301,046	iHeartCommunications, Inc., Exit Term Loan, 1 Mo. LIBOR + 4.00%, 0.00% Floor	6.03%	05/01/26	1,304,702
2,478,261	Nexstar Broadcasting, Inc., Incremental Term Loan B-4, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.55%	09/19/26	2,486,166
				6,666,008
	Building Products – 2.0%
85,609	Beacon Roofing Supply, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.04%	01/02/25	84,802
3,207,918	Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	11/15/23	3,192,872
				3,277,674
	Cable & Satellite – 1.3%
1,549,292	Cablevision (aka CSC Holdings, LLC), October 2018 Incremental Term Loan B-3, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.17%	01/15/26	1,536,898
540,503	Cablevision (aka CSC Holdings, LLC), Term Loan B-5, 2 Mo. LIBOR + 2.50%, 0.00% Floor	4.33%	04/15/27	539,418
				2,076,316
	Casinos & Gaming – 6.9%
112,623	Aristocrat Technologies, Inc., Term B-3 Loan, 3 Mo. LIBOR + 1.75%, 0.00% Floor	3.72%	10/19/24	112,815
2,921,293	Caesars Resort Collection, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	12/22/24	2,875,954
1,327,614	CityCenter Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor	4.04%	04/18/24	1,327,203
58,783	Golden Nugget, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor	4.54%	10/04/23	58,627
1,000,709	Golden Nugget, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor	4.68%-4.72%	10/04/23	998,047
506,833	MGM Growth Properties Operating Partnership L.P., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor	3.79%	03/23/25	508,100
249,037	Penn National Gaming, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.04%	10/15/25	249,784
775,587	Scientific Games International, Inc., Term Loan B5, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	08/14/24	766,132
3,109,571	Stars Group Holdings B.V. (Amaya), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor	5.60%	07/10/25	3,120,983
752,442	Station Casinos, Inc. (Red Rocks), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor	4.29%	06/08/23	752,758
267,130	Twin River Worldwide Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.79%	05/10/26	267,130
				11,037,533
	Coal & Consumable Fuels – 0.1%
248,737	Peabody Energy Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	03/31/25	196,087
	Communications Equipment – 0.3%
482,049	Commscope, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor	5.04%	04/06/26	472,259

Page 8

See Notes to Financial Statements

First Trust Short Duration High Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (Continued)
	Construction & Engineering – 0.0%
$62,877	Pike Corp., 2019 New Term Loans, 1 Mo. LIBOR + 3.25%, 1.00% Floor	5.04%	07/24/26	$62,829
	Environmental & Facilities Services – 1.3%
989,904	GFL Environment, Inc., 2018 Incremental Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor	4.79%	05/31/25	986,013
1,057,892	Packers Holdings, LLC, Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor	5.57%	12/04/24	1,040,374
				2,026,387
	Food Distributors – 0.3%
516,914	US Foods, Inc., Incremental B-2019 Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor	3.79%	08/31/26	518,279
	Food Retail – 0.7%
1,058,475	Albertson’s, LLC, Term Loan B-8, 1 Mo. LIBOR + 2.75%, 0.75% Floor	4.54%	08/15/26	1,063,566
	Health Care Facilities – 0.9%
192,431	Acadia Healthcare Company, Inc., Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.29%	02/11/22	192,581
117,459	Acadia Healthcare Company, Inc., Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.29%	02/16/23	117,550
493,915	Concentra, Inc., Term Loan B, 6 Mo. LIBOR + 2.50%, 0.00% Floor	4.54%	06/01/22	493,708
565,279	Gentiva Health Services, Inc. (Kindred at Home), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor	5.56%	06/30/25	563,866
				1,367,705
	Health Care Services – 9.6%
927,550	21st Century Oncology Holdings, Inc., Tranche B Term Loan, 3 Mo. LIBOR + 6.13%, 1.00% Floor	8.14%	01/16/23	864,477
381,173	Air Medical Group Holdings, Inc. (Global Medical Response), 2018 New Term Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor	6.04%	03/14/25	340,879
507,970	Air Medical Group Holdings, Inc. (Global Medical Response), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor	5.10%	04/28/22	455,111
1,205,295	Air Methods Corp. (a/k/a ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor	5.60%	04/21/24	960,222
160,635	athenahealth, Inc. (VVC Holding Corp.), Term Loan B, 3 Mo. LIBOR + 4.50%, 0.00% Floor	6.68%	02/15/26	159,180
3,912,601	CHG Healthcare Services, Inc., Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor	4.79%	06/07/23	3,904,228
2,015,459	DaVita, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.04%	08/12/26	2,019,953
1,614,026	DuPage Medical Group (Midwest Physician Admin. Services, LLC), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor	4.54%	08/15/24	1,580,939
2,466,332	Envision Healthcare Corporation, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor	5.54%	10/10/25	1,987,321
1,168,672	Surgery Centers Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor	5.04%	08/31/24	1,126,799
1,159,969	Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor	4.54%	02/06/24	890,276
641,810	U.S. Renal Care, Inc., Term Loan B, 1 Mo. LIBOR + 5.00%, 0.00% Floor	6.79%	06/28/26	591,723
365,081	Verscend Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 4.50%, 0.00% Floor	6.29%	08/27/25	365,081

See Notes to Financial Statements

Page 9

First Trust Short Duration High Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (Continued)
	Health Care Services (Continued)
$66,476	Vizient, Inc., Term Loan B-5, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.29%	04/30/26	$66,455
				15,312,644
	Health Care Technology – 0.9%
1,174,940	Change Healthcare Holdings, Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor	4.29%	03/01/24	1,167,326
257,301	Press Ganey (Azalea TopCo, Inc.), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor	5.29%	07/25/26	253,056
				1,420,382
	Household Appliances – 0.6%
1,019,355	Traeger Grills (TGP Holdings III, LLC), Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor	6.04%	09/25/24	950,548
	Human Resource & Employment Services – 0.6%
903,220	Alight, Inc. (fka Tempo Acq.), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor	4.79%	05/01/24	903,031
	Insurance Brokers – 8.8%
3,648,379	Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 3.00%, 0.00% Floor	4.80%	05/09/25	3,550,931
3,602,254	Amwins Group, Inc., Term Loan B (First Lien), 1 Mo. LIBOR + 2.75%, 1.00% Floor	4.54%-4.74%	01/25/24	3,594,365
289,855	HUB International Limited, 2019 Incremental Term Loan B2, 3 Mo. LIBOR + 4.00%, 1.00% Floor	5.90%	04/25/25	289,275
10,360	HUB International Limited, Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor	4.90%	04/25/25	10,125
4,081,623	HUB International Limited, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor	4.94%	04/25/25	3,989,052
750,587	National Financial Partners Corp. (NFP), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor	4.79%	01/06/24	727,536
1,922,257	USI, Inc. (fka Compass Investors, Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor	5.10%	05/15/24	1,864,109
				14,025,393
	Integrated Telecommunication Services – 1.5%
2,431,026	CenturyLink, Inc. (Qwest), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	01/31/25	2,404,600
	Leisure Facilities – 1.4%
2,532,927	ClubCorp Holdings, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor	4.85%	09/18/24	2,219,478
	Life Sciences Tools & Services – 2.7%
901,753	Ortho-Clinical Diagnostics, Inc., Term Loan B, 3 Mo. LIBOR + 3.25%, 0.00% Floor	5.31%	05/31/25	860,425
1,341,642	Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	09/27/24	1,279,591
733,281	Pharmaceutical Product Development, Inc. (PPDI), Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor	4.29%	08/18/22	731,448
1,553,572	Sotera Health Holdings, LLC (Sterigenics), Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor	4.93%	05/15/22	1,524,443
				4,395,907
	Managed Health Care – 2.6%
3,257,760	Multiplan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor	4.85%	06/07/23	3,047,862

Page 10

See Notes to Financial Statements

First Trust Short Duration High Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (Continued)
	Managed Health Care (Continued)
$1,168,910	Versant Health (Wink Holdco, Inc.), Initial Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor	4.79%	12/02/24	$1,140,903
				4,188,765
	Metal & Glass Containers – 1.2%
1,991,675	Berry Global, Inc., Term Loan U, 1 Mo. LIBOR + 2.50%, 0.00% Floor	4.44%	07/01/26	1,997,491
	Movies & Entertainment – 1.7%
2,335,264	Cineworld Group PLC (Crown), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.04%	02/05/25	2,302,104
437,704	Creative Artists Agency, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor	4.80%	02/15/24	439,126
				2,741,230
	Other Diversified Financial Services – 5.5%
3,236,788	AlixPartners, LLP, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	04/04/24	3,231,383
3,509,115	Duff & Phelps Corporation (Deerfield Dakota), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor	5.04%	02/13/25	3,379,418
2,100,767	Refinitiv US Holdings, Inc., Initial Dollar Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor	5.54%	10/01/25	2,110,746
				8,721,547
	Packaged Foods & Meats – 0.1%
87,958	B&G Foods, Inc., Term Loan B, 2 Mo. LIBOR + 2.50%, 0.00% Floor	4.48%	09/30/26	88,232
129,268	BellRing Brands, LLC, Term Loan B, 1 Mo. LIBOR + 5.00%, 1.00% Floor	6.79%	10/21/24	128,865
				217,097
	Paper Packaging – 2.1%
3,400,131	Reynolds Group Holdings, Inc., U.S. Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	02/05/23	3,398,261
	Pharmaceuticals – 5.6%
331,252	Akorn, Inc., Loan, 1 Mo. LIBOR + 7.00%, 1.00% Floor	8.81%	04/16/21	305,911
3,797,652	Bausch Health Companies, Inc. (Valeant), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor	4.92%	06/01/25	3,809,918
2,948,436	Endo, LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor	6.06%	04/29/24	2,706,664
1,329,536	GoodRX, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.60%	10/15/25	1,325,215
491,184	Grifols Worldwide Operations Limited, Tranche B Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.09%	01/31/25	491,606
227,582	Mallinckrodt International Finance S.A., 2017 Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor	4.85%	09/24/24	177,840
163,263	Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 3 Mo. LIBOR + 3.00%, 0.75% Floor	5.18%	02/24/25	126,836
				8,943,990
	Real Estate Services – 0.7%
195,563	Cushman & Wakefield (DTZ U.S. Borrower, LLC), Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor	5.04%	08/21/25	195,725
987,437	Realogy Corporation, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor	4.07%	02/08/25	934,362
				1,130,087

See Notes to Financial Statements

Page 11

First Trust Short Duration High Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (Continued)
	Research & Consulting Services – 0.1%
$105,061	Clarivate Analytics PLC (Camelot), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor	5.03%	10/31/26	$105,521
	Restaurants – 0.2%
259,394	IRB Holding Corp. (Arby’s/Inspire Brands), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor	5.19%-5.22%	01/18/25	257,124
	Retail REITs – 0.5%
828,091	Capital Automotive L.P., 2nd Lien Term Loan, 1 Mo. LIBOR + 6.00%, 1.00% Floor	7.79%	03/15/25	828,091
	Security & Alarm Services – 0.2%
248,216	Garda World Security Corporation, Term Loan B, 1 Mo. LIBOR + 4.75%, 0.00% Floor	6.55%	10/30/26	246,665
	Semiconductors – 0.1%
202,083	ON Semiconductor Corp., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor	3.79%	09/19/26	202,863
	Specialized Consumer Services – 2.1%
1,114,000	Asurion, LLC, Second Lien Replacement B-2 Term Loan, 1 Mo. LIBOR + 6.50%, 0.00% Floor	8.29%	08/04/25	1,118,456
217,383	Asurion, LLC, Term Loan B4, 1 Mo. LIBOR + 3.00%, 0.00% Floor	4.79%	08/04/22	217,422
1,026,564	Asurion, LLC, Term Loan B6, 1 Mo. LIBOR + 3.00%, 0.00% Floor	4.79%	11/03/23	1,027,662
987,500	Asurion, LLC, Term Loan B7, 1 Mo. LIBOR + 3.00%, 0.00% Floor	4.79%	11/03/24	988,122
				3,351,662
	Systems Software – 6.3%
2,358,061	Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor	5.10%	09/13/24	2,342,474
234,945	Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 7.00%, 1.00% Floor	9.10%	09/13/25	237,100
726,007	Dynatrace, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor	4.54%	08/22/25	727,822
236,306	McAfee, LLC, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor	5.55%	09/30/24	236,117
1,315,327	Misys Financial Software Ltd. (Almonde, Inc.)(Finastra), Term Loan B, 6 Mo. LIBOR + 3.50%, 1.00% Floor	5.70%	06/13/24	1,255,322
1,809,124	Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor	5.04%	04/24/22	1,390,149
1,077,673	SS&C European Holdings, S.a.r.l, Term Loan B-3, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.04%	04/16/25	1,079,473
703,482	SS&C European Holdings, S.a.r.l, Term Loan B-4, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.04%	04/16/25	704,656
474,333	SS&C European Holdings, S.a.r.l, Term Loan B-5, 1 Mo. LIBOR + 2.25%, 0.00% Floor	4.04%	04/16/25	475,461
604,564	SUSE (Marcel Lux IV SARL), Facility B1 USD, 1 Mo. LIBOR + 3.25%, 0.00% Floor	5.04%	03/15/26	587,183
1,040,223	Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor	5.04%	06/15/25	1,005,678
				10,041,435
	Total Senior Floating-Rate Loan Interests			129,760,124
	(Cost $133,726,642)

Page 12

See Notes to Financial Statements

First Trust Short Duration High Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES – 13.5%
	Alternative Carriers – 0.0%
$43,000	Level 3 Financing, Inc.	5.38%	08/15/22	$43,172
	Automotive Retail – 0.1%
155,000	KAR Auction Services, Inc. (c)	5.13%	06/01/25	162,556
	Broadcasting – 3.4%
986,000	Gray Television, Inc. (c)	5.13%	10/15/24	1,024,208
2,000,000	Nexstar Broadcasting, Inc. (c)	5.63%	08/01/24	2,091,760
2,165,000	Sinclair Television Group, Inc. (c)	5.63%	08/01/24	2,235,362
				5,351,330
	Casinos & Gaming – 0.4%
54,000	Caesars Resort Collection LLC/CRC Finco, Inc. (c)	5.25%	10/15/25	55,417
387,000	Eldorado Resorts, Inc.	6.00%	04/01/25	408,769
190,000	Golden Nugget, Inc. (c)	6.75%	10/15/24	196,194
				660,380
	Coal & Consumable Fuels – 0.3%
500,000	Peabody Energy Corp. (c)	6.00%	03/31/22	465,000
	Diversified Real Estate Activities – 0.2%
355,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc.	5.88%	06/15/24	383,400
	Health Care Facilities – 3.0%
522,000	Acadia Healthcare Co., Inc.	5.63%	02/15/23	532,440
3,339,000	Tenet Healthcare Corp.	8.13%	04/01/22	3,622,982
695,000	Tenet Healthcare Corp. (c)	4.63%	09/01/24	713,661
				4,869,083
	Health Care Services – 0.7%
490,000	DaVita, Inc.	5.13%	07/15/24	501,402
487,000	DaVita, Inc.	5.00%	05/01/25	493,794
102,000	MEDNAX, Inc. (c)	5.25%	12/01/23	103,530
				1,098,726
	Health Care Technology – 0.8%
1,222,000	Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (c)	5.75%	03/01/25	1,254,933
	Independent Power Producers & Energy Traders – 0.2%
326,000	Calpine Corp.	5.38%	01/15/23	332,096
	Insurance Brokers – 0.8%
727,000	AmWINS Group, Inc. (c)	7.75%	07/01/26	785,160
462,000	HUB International Ltd. (c)	7.00%	05/01/26	476,438
				1,261,598
	Leisure Facilities – 1.0%
2,250,000	Constellation Merger Sub, Inc. (c)	8.50%	09/15/25	1,591,875
	Life Sciences Tools & Services – 0.6%
914,000	Jaguar Holding Co. II/Pharmaceutical Product Development LLC (c)	6.38%	08/01/23	948,275
	Managed Health Care – 0.9%
1,000,000	MPH Acquisition Holdings, LLC (c)	7.13%	06/01/24	930,050
672,000	Polaris Intermediate Corp. (c) (d)	8.50%	12/01/22	566,160
				1,496,210

See Notes to Financial Statements

Page 13

First Trust Short Duration High Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES (Continued)
	Movies & Entertainment – 0.4%
$599,000	AMC Entertainment Holdings, Inc.	5.75%	06/15/25	$571,356
	Oil & Gas Exploration & Production – 0.0%
625,000	Sanchez Energy Corp. (e) (f) (g)	6.13%	01/15/23	31,250
	Packaged Foods & Meats – 0.1%
214,000	B&G Foods, Inc.	5.25%	04/01/25	219,350
	Paper Packaging – 0.3%
399,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu. (c)	7.00%	07/15/24	413,713
	Pharmaceuticals – 0.1%
152,000	Eagle Holdings Co. II, LLC (c) (h)	7.63%	05/15/22	153,710
	Real Estate Services – 0.2%
268,000	Realogy Group, LLC/Realogy Co-Issuer Corp. (c)	5.25%	12/01/21	269,340
	Total Corporate Bonds and Notes			21,577,353
	(Cost $22,390,341)
FOREIGN CORPORATE BONDS AND NOTES – 1.9%
	Cable & Satellite – 0.2%
250,000	Virgin Media Finance PLC (c)	6.00%	10/15/24	258,750
	Diversified Real Estate Activities – 0.1%
196,000	Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. (c)	5.88%	04/15/23	212,660
	Pharmaceuticals – 0.8%
633,000	Bausch Health Cos., Inc. (c)	5.88%	05/15/23	644,869
1,000,000	Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (c)	5.75%	08/01/22	400,000
250,000	Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (c)	5.63%	10/15/23	91,250
250,000	Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (c)	5.50%	04/15/25	84,375
				1,220,494
	Restaurants – 0.8%
1,303,000	1011778 BC ULC/New Red Finance, Inc. (c)	5.00%	10/15/25	1,338,832
	Total Foreign Corporate Bonds and Notes			3,030,736
	(Cost $3,881,384)

Shares	Description	Value
COMMON STOCKS – 0.3%
	Broadcasting – 0.0%
426	Cumulus Media Holdings (i)	5,832
	Electric Utilities – 0.2%
14,134	Vistra Energy Corp. (i)	382,042
	Oil & Gas Exploration & Production – 0.1%
47,894	Ascent Resources - Marcellus LLC Class A Common Shares (i) (j)	98,183
	Total Common Stocks	486,057
	(Cost $377,488)
RIGHTS – 0.0%
	Electric Utilities – 0.0%
14,134	Vistra Energy Corp. (g) (i)	12,509

Page 14

See Notes to Financial Statements

First Trust Short Duration High Income Fund

Portfolio of Investments (Continued)

October 31, 2019

Shares	Description	Value
RIGHTS (Continued)
	Life Sciences Tools & Services – 0.0%
1	New Millennium Holdco, Inc., Corporate Claim Trust (g) (i) (k) (l)	$0
1	New Millennium Holdco, Inc., Lender Claim Trust (g) (i) (k) (l)	0
		0
	Total Rights	12,509
	(Cost $23,157)
WARRANTS – 0.0%
	Oil & Gas Exploration & Production – 0.0%
12,400	Ascent Resources - Marcellus, LLC First Lien Warrants (i) (j)	372
	(Cost $1,240)
MONEY MARKET FUNDS – 4.6%
7,346,038	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.68% (m)	7,346,038
	(Cost $7,346,038)
	Total Investments – 101.5%	162,213,189
	(Cost $167,746,290) (n)
	Net Other Assets and Liabilities – (1.5)%	(2,413,021)
	Net Assets – 100.0%	$159,800,168

(a)	Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests 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 dates.
(b)	Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown.
(c)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (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 “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 October 31, 2019, securities noted as such amounted to $17,468,078 or 10.9% of net assets.
(d)	These notes are Senior Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 8.50% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the fiscal year ended October 31, 2019, this security paid all of its interest in cash.
(e)	This issuer has filed for protection in bankruptcy court.
(f)	This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer.
(g)	Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor.
(h)	These notes are Senior PIK Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 7.63% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the fiscal year ended October 31, 2019, this security paid all of its interest in cash.
(i)	Non-income producing security.
(j)	Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for the security is determined based on security-specific factors and assumptions, which require subjective judgment. At October 31, 2019, securities noted as such amounted to $98,555 or 0.1% of net assets.
(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 the provisions of the Investment Company Act of 1940, as amended. At October 31, 2019, securities noted as such are valued at $0 or 0.0% of net assets.

See Notes to Financial Statements

Page 15

First Trust Short Duration High Income Fund

Portfolio of Investments (Continued)

October 31, 2019

(l)	This security’s value was determined using significant unobservable inputs. (see Note 2A- Portfolio Valuation in the Notes to Financial Statements).
(m)	Rate shown reflects yield as of October 31, 2019.
(n)	Aggregate cost for federal income tax purposes was $167,857,416. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,088,600 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,732,827. The net unrealized depreciation was $5,644,227.

LIBOR London Interbank Offered Rate

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of October 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 10/31/2019	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Senior Floating-Rate Loan Interests*	$ 129,760,124	$ —	$ 129,760,124	$ —
Corporate Bonds and Notes*	21,577,353	—	21,577,353	—
Foreign Corporate Bonds and Notes*	3,030,736	—	3,030,736	—
Common Stocks:
Oil & Gas Exploration & Production	98,183	—	98,183	—
Other industry categories*	387,874	387,874	—	—
Rights:
Electric Utilities	12,509	—	12,509	—
Life Sciences Tools & Services	—**	—	—	—**
Warrants*	372	—	372	—
Money Market Funds	7,346,038	7,346,038	—	—
Total Investments	$ 162,213,189	$ 7,733,912	$ 154,479,277	$—**

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

Level 3 Investments that are fair valued by the Advisor’s Pricing Committee are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.

Page 16

See Notes to Financial Statements

First Trust Short Duration High Income Fund

Statement of Assets and Liabilities

October 31, 2019

ASSETS:
Investments, at value     (Cost $167,746,290)	$ 162,213,189
Cash	43,835
Receivables:
Interest	520,248
Fund shares sold	238,542
Investment securities sold	150,683
Prepaid expenses	14,774
Total Assets	163,181,271
LIABILITIES:
Payables:
Investment securities purchased	2,468,097
Fund shares redeemed	496,756
Distributions	126,344
Investment advisory fees	88,639
Audit and tax fees	62,120
Shareholder reporting fees	40,927
Transfer agent fees	29,560
12b-1 distribution and service fees	26,141
Custodian fees	10,615
Administrative fees	8,446
Trustees’ fees and expenses	5,497
Legal fees	5,437
Commitment fees	3,412
Financial reporting fees	771
Registration fees	452
Other liabilities	7,889
Total Liabilities	3,381,103
NET ASSETS	$159,800,168
NET ASSETS consist of:
Paid-in capital	$ 173,516,187
Par value	82,713
Accumulated distributable earnings (loss)	(13,798,732)
NET ASSETS	$159,800,168
Class A Shares:
Net asset value and redemption price per share (Based on net assets of $37,835,700 and 1,958,914 shares of beneficial interest issued and outstanding)	$19.31
Maximum sales charge (3.50% of offering price)	0.70
Maximum offering price to public	$20.01
Class C Shares:
Net asset value and redemption price per share (Based on net assets of $20,801,931 and 1,077,625 shares of beneficial interest issued and outstanding)	$19.30
Class I Shares:
Net asset value and redemption price per share (Based on net assets of $101,162,537 and 5,234,756 shares of beneficial interest issued and outstanding)	$19.33

See Notes to Financial Statements

Page 17

First Trust Short Duration High Income Fund

Statement of Operations

For the Year Ended October 31, 2019

INVESTMENT INCOME:
Interest	$ 10,584,375
Dividends	5,300
Other	77,418
Total investment income	10,667,093
EXPENSES:
Investment advisory fees	1,228,887
12b-1 distribution and/or service fees:
Class A	100,429
Class C	232,516
Transfer agent fees	143,809
Administrative fees	113,076
Shareholder reporting fees	85,184
Audit and tax fees	59,988
Registration fees	53,576
Commitment fees	44,886
Custodian fees	44,102
Legal fees	39,385
Trustees’ fees and expenses	16,386
Financial reporting fees	9,250
Interest and fees on loan	6,387
Other	21,757
Total expenses	2,199,618
NET INVESTMENT INCOME (LOSS)	8,467,475
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments	(1,514,526)
Net change in unrealized appreciation (depreciation) on investments	(2,784,614)
NET REALIZED AND UNREALIZED GAIN (LOSS)	(4,299,140)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$ 4,168,335

Page 18

See Notes to Financial Statements

First Trust Short Duration High Income Fund

Statements of Changes in Net Assets

	Year Ended 10/31/2019	Year Ended 10/31/2018
OPERATIONS:
Net investment income (loss)	$ 8,467,475	$ 9,133,811
Net realized gain (loss)	(1,514,526)	(1,400,521)
Net change in unrealized appreciation (depreciation)	(2,784,614)	(2,162,996)
Net increase (decrease) in net assets resulting from operations	4,168,335	5,570,294
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS:
Class A Shares	(1,757,602)	(2,228,545)
Class C Shares	(843,454)	(864,672)
Class I Shares	(5,811,107)	(6,381,697)
Total distributions to shareholders from investment operations	(8,412,163)	(9,474,914)
DISTRIBUTIONS TO SHAREHOLDERS FROM RETURN OF CAPITAL:
Class A shares	—	(58,171)
Class C shares	—	(22,506)
Class I shares	—	(166,998)
Total distributions to shareholders from return of capital	—	(247,675)
CAPITAL TRANSACTIONS:
Proceeds from shares sold	52,916,051	105,690,417
Proceeds from shares reinvested	6,804,587	8,196,603
Cost of shares redeemed	(127,848,002)	(113,434,134)
Net increase (decrease) in net assets resulting from capital transactions	(68,127,364)	452,886
Total increase (decrease) in net assets	(72,371,192)	(3,699,409)
NET ASSETS:
Beginning of period	232,171,360	235,870,769
End of period	$159,800,168	$232,171,360

See Notes to Financial Statements

Page 19

First Trust Short Duration High Income Fund

Financial Highlights

For a Share outstanding throughout each period

Class A Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 19.62	$ 20.00	$ 19.97	$ 19.83	$ 20.54
Income from investment operations:
Net investment income (loss) (a)	0.86	0.84	0.79	0.87	0.90
Net realized and unrealized gain (loss)	(0.32)	(0.33)	0.15	0.18	(0.77)
Total from investment operations	0.54	0.51	0.94	1.05	0.13
Distributions paid to shareholders from:
Net investment income	(0.85)	(0.87)	(0.91)	(0.91)	(0.80)
Net realized gain	—	—	—	—	(0.04)
Return of capital	—	(0.02)	—	—	—
Total distributions	(0.85)	(0.89)	(0.91)	(0.91)	(0.84)
Net asset value, end of period	$19.31	$19.62	$20.00	$19.97	$19.83
Total return (b)	2.82%	2.61%	4.79%	5.47%	0.63%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 37,836	$ 57,982	$ 72,462	$ 55,640	$ 53,433
Ratio of total expenses to average net assets	1.23%	1.19%	1.21%	1.27%	1.26%
Ratio of net expenses to average net assets	1.23%	1.19%	1.26% (c)	1.27% (c)	1.25%
Ratio of net investment income (loss) to average net assets	4.39%	4.22%	3.96%	4.44%	4.43%
Portfolio turnover rate	37%	97%	100%	62%	58%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period and does not include payment of the maximum sales charge of 3.50% or contingent deferred sales charge (CDSC). On purchases of $250,000 or more, a CDSC of 1% may be imposed on certain redemptions made within twelve months of purchase. If the sales charges were included, total returns would be lower. These returns include Rule 12b-1 service fees of 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 1.25%.

Page 20

See Notes to Financial Statements

First Trust Short Duration High Income Fund

Financial Highlights (Continued)

For a Share outstanding throughout each period

Class C Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 19.60	$ 19.98	$ 19.95	$ 19.81	$ 20.52
Income from investment operations:
Net investment income (loss) (a)	0.71	0.69	0.64	0.72	0.75
Net realized and unrealized gain (loss)	(0.31)	(0.33)	0.15	0.18	(0.77)
Total from investment operations	0.40	0.36	0.79	0.90	(0.02)
Distributions paid to shareholders from:
Net investment income	(0.70)	(0.73)	(0.76)	(0.76)	(0.65)
Net realized gain	—	—	—	—	(0.04)
Return of capital	—	(0.01)	—	—	—
Total distributions	(0.70)	(0.74)	(0.76)	(0.76)	(0.69)
Net asset value, end of period	$19.30	$19.60	$19.98	$19.95	$19.81
Total return (b)	2.11%	1.85%	4.01%	4.69%	(0.12)%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 20,802	$ 23,625	$ 24,393	$ 23,841	$ 25,213
Ratio of total expenses to average net assets	1.98%	1.94%	1.96%	2.02%	2.01%
Ratio of net expenses to average net assets	1.98%	1.94%	2.01% (c)	2.02% (c)	2.00%
Ratio of net investment income (loss) to average net assets	3.68%	3.47%	3.20%	3.70%	3.68%
Portfolio turnover rate	37%	97%	100%	62%	58%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period and does not include payment of the maximum CDSC of 1%, charged on certain redemptions made within one year of purchase. If the sales charge was included, total returns would be lower. These returns include combined Rule 12b-1 distribution and service fees of 1% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 2.00%.

See Notes to Financial Statements

Page 21

First Trust Short Duration High Income Fund

Financial Highlights (Continued)

For a Share outstanding throughout each period

Class I Shares	Year Ended October 31,
	2019	2018	2017	2016	2015
Net asset value, beginning of period	$ 19.63	$ 20.00	$ 19.97	$ 19.83	$ 20.54
Income from investment operations:
Net investment income (loss) (a)	0.91	0.89	0.85	0.92	0.95
Net realized and unrealized gain (loss)	(0.31)	(0.32)	0.14	0.18	(0.77)
Total from investment operations	0.60	0.57	0.99	1.10	0.18
Distributions paid to shareholders from:
Net investment income	(0.90)	(0.92)	(0.96)	(0.96)	(0.85)
Net realized gain	—	—	—	—	(0.04)
Return of capital	—	(0.02)	—	—	—
Total distributions	(0.90)	(0.94)	(0.96)	(0.96)	(0.89)
Net asset value, end of period	$19.33	$19.63	$20.00	$19.97	$19.83
Total return (b)	3.13%	2.92%	5.06%	5.74%	0.88%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 101,163	$ 150,564	$ 139,015	$ 112,644	$ 103,655
Ratio of total expenses to average net assets	0.98%	0.94%	0.96%	1.02%	1.01%
Ratio of net expenses to average net assets	0.98%	0.94%	1.01% (c)	1.02% (c)	1.00%
Ratio of net investment income (loss) to average net assets	4.67%	4.47%	4.21%	4.69%	4.68%
Portfolio turnover rate	37%	97%	100%	62%	58%

(a)	Based on average shares outstanding.
(b)	Assumes reinvestment of all distributions for the period. These returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year.
(c)	Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 1.00%.

Page 22

See Notes to Financial Statements

Notes to Financial Statements

First Trust Short Duration High Income Fund

October 31, 2019

1. Organization

First Trust Short Duration High Income Fund (the “Fund”) is a series of the First Trust Series Fund (the “Trust”), a Massachusetts business trust organized on July 9, 2010, and is registered as a diversified open-end management investment company with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund offers three classes of shares: Class A, Class C and Class I. Each class represents an interest in the same portfolio of investments but with a different combination of sales charges, distribution and service (12b-1) fees, eligibility requirements and other features.

The Fund’s primary investment objective is to seek to provide a high level of current income. As a secondary objective, the Fund seeks capital appreciation. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets (including investment borrowings) in high-yield debt securities and bank loans that are rated below-investment grade or unrated. High-yield debt securities are below-investment grade debt securities, commonly known as “junk bonds.” For purposes of determining whether a security is below-investment grade, the lowest available rating is used. There can be no assurance that the Fund will achieve its investment objectives. 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 (“FASB”) Accounting Standards Codification (“ASC”) 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 net asset value (“NAV”) of each class of shares of the Fund 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 NAV for each class is calculated by dividing the value of the Fund’s total assets attributable to such class (including accrued interest and dividends), less all liabilities attributable to such class (including accrued expenses, dividends declared but unpaid and any borrowings of the Fund), by the total number of shares of the class outstanding. Differences in NAV of each class of the Fund’s shares are generally expected to be due to the daily expense accruals of the specified distribution and service (12b-1) fees and transfer agency costs applicable to such class of shares and the resulting differential in the dividends that may be paid on each class of shares.

The Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Trust’s investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures adopted by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund’s investments are valued as follows:

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

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.

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

Page 23

Notes to Financial Statements (Continued)

First Trust Short Duration High Income Fund

October 31, 2019

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

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.

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

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

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

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

Page 24

Notes to Financial Statements (Continued)

First Trust Short Duration High Income Fund

October 31, 2019

13)	the borrower’s/issuer’s ability to access additional liquidity through public and/or private markets; and
14)	other relevant factors.

The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:

• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:

o Quoted prices for similar investments in active markets.

o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.

o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).

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

• Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of October 31, 2019, is included with the Fund’s Portfolio of Investments.

B. Securities Transactions and Investment Income

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

On July 27, 2017, the Financial Conduct Authority (“FCA”) announced that it will no longer persuade or compel banks to submit rates for the calculations of the London Interbank Offered Rates (“LIBOR”) after 2021 (the “FCA Announcement”). Furthermore, in the United States, efforts to identify a set of alternative U.S. dollar reference interest rates include proposals by the Alternative References Rates Committee of the Federal Reserve Board and the Federal Reserve Bank of New York. On August 24, 2017, the Federal Reserve Board requested public comment on a proposal by the Federal Reserve Bank of New York, in cooperation with the Office of Financial Research, to produce three new reference rates intended to serve as alternatives to LIBOR. These alternative rates are based on overnight repurchase agreement transactions secured by U.S. Treasury Securities. On December 12, 2017, following consideration of public comments, the Federal Reserve Board concluded that the public would benefit if the Federal Reserve Bank of New York published the three proposed reference rates as alternatives to LIBOR (the “Federal Reserve Board Notice”).

At this time, it is not possible to predict the effect of the FCA Announcement, the Federal Reserve Board Notice, or other regulatory changes or announcements, any establishment of alternative reference rates of any other reforms to LIBOR that may be enacted in the United Kingdom, the United States or elsewhere. As such, the potential effect of any such event on the Fund cannot yet be determined.

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 purchased is subject to market fluctuations during this period. Due to the nature of the Senior Loan market, the actual settlement date may not be certain at the time of the purchase or sale for some of the Senior Loans. Interest income on such Senior Loans is not accrued until settlement date. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments. At October 31, 2019, the Fund had no when-issued, delayed-delivery or forward purchase commitments.

C. Unfunded Loan Commitments

The Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrower’s discretion. The Fund had no unfunded loan commitments as of October 31, 2019.

Page 25

Notes to Financial Statements (Continued)

First Trust Short Duration High Income Fund

October 31, 2019

D. Dividends and Distributions to Shareholders

The Fund will declare daily and pay monthly distributions of all or a portion of its net income to holders of each class of shares. Distributions of any net capital gains earned by the Fund will be distributed at least annually. Distributions will automatically be reinvested into additional Fund shares unless cash distributions are elected by the shareholder.

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 point in the future. Permanent differences incurred during the fiscal year ended October 31, 2019, resulting in book and tax accounting differences, have been reclassified at year end to reflect an increase in accumulated net investment income (loss) of $145,699, a decrease in accumulated net realized gain (loss) of $148,273, and an increase to paid-in capital of $2,574. Accumulated distributable earnings (loss) consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments, and unrealized appreciation (depreciation) on investments. Net assets were not affected by these reclassifications.

The tax character of distributions paid by the Fund during the fiscal year ended October 31, 2019 and 2018, was as follows:

Distributions paid from:	2019	2018
Ordinary income	$8,412,163	$9,474,914
Capital gains	—	—
Return of capital	—	247,675

As of October 31, 2019, the distributable earnings and net assets on a tax basis were as follows:

Undistributed ordinary income	$192,747
Undistributed capital gains	—
Total undistributed earnings	192,747
Accumulated capital and other losses	(8,316,692)
Net unrealized appreciation (depreciation)	(5,644,227)
Total accumulated earnings (losses)	(13,768,172)
Other	(30,560)
Paid-in capital	173,598,900
Total net assets	$159,800,168

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 intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At October 31, 2019, the Fund had $8,316,692 of non-expiring capital loss carryforwards for federal income tax purposes.

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended October 31, 2019, the Fund did not defer any net ordinary losses.

The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2016, 2017, 2018, and 2019 remain open to federal and state audit. As of October 31, 2019, 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 26

Notes to Financial Statements (Continued)

First Trust Short Duration High Income Fund

October 31, 2019

F. Expenses

The Fund will pay all expenses directly related to its operations. Expenses of the Fund are allocated on a pro rata basis to each class of shares, except for distribution and service (12b-1) fees and incremental transfer agency costs which are unique to each class of shares.

G. New Accounting Pronouncements

On March 30, 2017, the FASB issued Accounting Standards Update (“ASU”) 2017-08 “Premium Amortization on Purchased Callable Debt Securities,” which amends the amortization period for certain purchased callable debt securities held at a premium by shortening such period to the earliest call date. The new guidance requires an entity to amortize the premium on a callable debt security within its scope to the earliest call date, unless the guidance for considering estimated prepayments is applied. If the call option is not exercised at the earliest call date, the yield is reset to the effective yield using the payment terms of the security. If the security has more than one call date and the premium was amortized to a call price greater than the next call price, any excess of the amortized cost basis over the amount repayable at the next call date will be amortized to that date. If there are no other call dates, any excess of the amortized cost basis over the par amount will be amortized to maturity. Discounts on purchased callable debt securities will continue to be amortized to the security’s maturity date. ASU 2017-08 is effective for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Earlier adoption is permitted for all entities, including adoption in an interim period. If an entity early adopts the ASU in an interim period, any adjustments must be reflected as of the beginning of the fiscal year that includes that interim period. Management is still assessing the impact of the adoption of ASU 2017-08 on the financial statements but does not expect it to have a material impact.

On August 28, 2018, the FASB issued ASU 2018-13, “Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement,” which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Fund has early adopted ASU 2018-13 for these financial statements, which did not result in a material impact.

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 Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund. For these investment management services, First Trust is entitled to a monthly fee calculated at an annual rate of 0.65% of the Fund’s average daily net assets. First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250.

First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent necessary to prevent the total annual fund operating expenses (excluding 12b-1 distribution and service fees, interest expenses, taxes, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses) from exceeding 1.00% of average daily net assets of any class of shares of the Fund (the “Expense Cap”) until February 28, 2021 and then from exceeding 1.35% from March 1, 2021 to February 28, 2030 (the “Expense Cap Termination Date”). Expenses borne and fees waived by First Trust are subject to recovery on a Fund class level, if applicable, by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by the Fund at any time if it would result in the Fund’s expenses exceeding (i) the Expense Cap in place for the most recent fiscal year for which such expense limitation was in place; (ii) the Expense Cap in place at the time the fees were waived; or (iii) the current Expense Cap. Expense limitations may be terminated or modified prior to their expiration only with the approval of the Board of Trustees of the Trust. These amounts would be included in “Expenses previously waived or reimbursed” on the Statement of Operations. There were no advisory fee waivers or expense reimbursements for the fiscal year ended October 31, 2019.

BNY Mellon Investment Servicing (US) Inc. (“BNYM IS”) serves as the Fund’s transfer agent in accordance with certain fee arrangements. As transfer agent, BNYM IS is responsible for maintaining shareholder records for the Fund. The Bank of New York Mellon (“BNYM”) serves as the Fund’s administrator, fund accountant, and custodian in accordance with certain fee arrangements. As administrator and fund accountant, BNYM is responsible for providing certain administrative and accounting services to the Fund, including maintaining the Fund’s books of account, records of the Fund’s securities transactions, and certain other books and records. As custodian, BNYM is responsible for custody of the Fund’s assets. BNYM IS and BNYM are subsidiaries of The Bank of New York Mellon Corporation, a financial holding company.

Page 27

Notes to Financial Statements (Continued)

First Trust Short Duration High Income Fund

October 31, 2019

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

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

4. Capital Share Transactions

Capital transactions were as follows:

	Year Ended October 31, 2019		Year Ended October 31, 2018
	Shares	Value	Shares	Value
Sales:
Class A	569,717	$ 11,104,686	1,447,958	$ 28,558,091
Class C	211,490	4,056,294	274,033	5,419,138
Class I	1,939,846	37,755,071	3,625,462	71,713,188
Total Sales	2,721,053	$ 52,916,051	5,347,453	$ 105,690,417
Dividend Reinvestment:
Class A	78,670	$ 1,523,416	102,051	$ 2,017,636
Class C	36,353	705,843	39,118	772,841
Class I	235,410	4,575,328	273,318	5,406,126
Total Dividend Reinvestment	350,433	$ 6,804,587	414,487	$ 8,196,603
Redemptions:
Class A	(1,644,746)	$ (31,315,773)	(2,217,809)	$ (44,002,444)
Class C	(375,414)	(7,279,173)	(328,886)	(6,510,642)
Class I	(4,612,591)	(89,253,056)	(3,177,024)	(62,921,048)
Total Redemptions	(6,632,751)	$ (127,848,002)	(5,723,719)	$ (113,434,134)

5. Purchases and Sales of Securities

The cost of purchases and proceeds from sales of securities, excluding short-term investments, for the fiscal year ended October 31, 2019, were $67,202,608 and $128,792,143, respectively.

6. Distribution and Service 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 share classes of the Fund are authorized to pay an amount up to 0.25% and 1.00% of their average daily net assets each year for Class A and Class C, respectively, 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 Fund shares or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. Class I shares have no 12b-1 fees.

7. Borrowings

The Trust, on behalf of the Fund, along with First Trust Variable Insurance Trust and First Trust Exchange-Traded Fund IV, has a $200 million Credit Agreement (the “BNYM Line of Credit”) with BNYM to be a liquidity backstop during periods of high redemption volume. A commitment fee of 0.15% of the daily amount of the excess of the commitment amount over the outstanding principal balance of the loans will be charged by BNYM, which First Trust allocates amongst the funds that have access to the BNYM Line of Credit. These fees are reflected on the Statement of Operations in the Commitment fees line item. To the extent that the Fund accesses the BNYM Line of Credit, there would also be an interest fee charged. The Fund borrowed $13,000,000 on January 4, 2019,

Page 28

Notes to Financial Statements (Continued)

First Trust Short Duration High Income Fund

October 31, 2019

and paid it down over a period of 6 days, at a rate of 3.65%. The Fund incurred interest expense of $6,387 associated with the borrowing. As of October 31, 2019, the Fund did not have any borrowings outstanding.

8. Indemnification

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

9. Subsequent Events

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

Page 29

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of First Trust Series Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of First Trust Short Duration High Income Fund (the “Fund”), a series of the First Trust Series Fund, including the portfolio of investments, as of October 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2019, by correspondence with the custodian, agent banks and brokers; when replies were not received from agent banks and brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Chicago, Illinois

December 20, 2019

We have served as the auditor of one or more First Trust investment companies since 2001.

Page 30

Additional Information

First Trust Short Duration High Income Fund

October 31, 2019 (Unaudited)

Proxy Voting Policies and Procedures

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

Tax Information

Distributions paid to foreign shareholders during the Fund’s fiscal year ended October 31, 2019, that were properly designated by the Fund as “interest-related dividends” or “short-term capital gain dividends,” may not be subject to federal income tax provided that the income was earned by such foreign shareholders.

Of the ordinary income (including short-term capital gain, if applicable) distributions made by the Fund during the period ended October 31, 2019, none qualify for the corporate dividends received deduction available to corporate shareholders or as qualified dividend income.

Risk Considerations

Risks are inherent in all investing. You should consider the Fund’s investment objectives, risks, charges and expenses carefully before investing. You can download the Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about the Fund. For additional information about the risks associated with investing in the Fund, please see the Fund’s statement of additional information, as well as other regulatory filings. Read these documents carefully before you invest.

The following summarizes some of the risks that should be considered for the Fund. The order of the below risk factors does not indicate the significance of any particular risk factor.

BANK LOANS RISK. Investments in bank loans are subject to the same risks as investments in other types of debt securities, including credit risk, interest rate risk, liquidity risk and valuation risk that may be heightened because of the limited public information available regarding bank loans and because loan borrowers may be leveraged and tend to be more adversely affected by changes in market or economic conditions. If the Fund holds a bank loan through another financial institution or relies on a financial institution to administer the loan, its receipt of principal and interest on the loan may be subject to the credit risk of that financial institution. It is possible that any collateral securing a loan may be insufficient or unavailable to the Fund, and that the Fund’s rights to collateral may be limited by bankruptcy or insolvency laws. Additionally, there is no central clearinghouse for loan trades and the loan market has not established enforceable settlement standards or remedies for failure to settle. As such, the secondary market for bank loans may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods (in some cases longer than 7 days) which may cause the Fund to be unable to realize the full value of its investment. In addition, bank loans are generally not registered with the Securities Exchange Commission under the Securities Act of 1933, as amended, and may not be considered “securities,” and the Fund may not be entitled to rely on the anti-fraud protections of the federal securities laws.

CALL RISK. Some debt securities may be redeemed, or “called,” at the option of the issuer before their stated maturity date. In general, an issuer will call its debt securities if they can be refinanced by issuing new debt securities which bear a lower interest rate. The Fund is subject to the possibility that during periods of falling interest rates an issuer will call its high yielding debt securities. The Fund would then be forced to invest the proceeds at lower interest rates, likely resulting in a decline in the Fund’s income.

CONVERTIBLE SECURITIES RISK. A convertible security has characteristics of both equity and debt securities and, as a result, is exposed to risks that are typically associated with both types of securities. The value of convertible securities may rise and fall with the market value of the underlying stock or, like a debt security, vary with changes in interest rates and the credit quality of the issuer. A convertible security tends to perform more like a stock when the underlying stock price is high relative to the conversion price and more like a debt security when the underlying stock price is low relative to the conversion price.

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Additional Information (Continued)

First Trust Short Duration High Income Fund

October 31, 2019 (Unaudited)

COUNTERPARTY RISK.Fund transactions involving a counterparty are subject to the risk that the counterparty will not fulfill its obligation to the Fund. Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Fund. The Fund may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed.

COVENANT-LITE LOAN RISK.Covenant-lite loans contain fewer maintenance covenants, or no maintenance covenants at all, than traditional loans and may not include terms that allow the lender to monitor the financial performance of the borrower and declare a default if certain criteria are breached. This may hinder the Fund’s ability to reprice credit risk associated with the borrower and reduce the Fund’s ability to restructure a problematic loan and mitigate potential loss. As a result, the Fund’s exposure to losses on such investments is increased, especially during a downturn in the credit cycle.

CREDIT RISK. An issuer or other obligated party of a debt security may be unable or unwilling to make dividend, interest and/or principal payments when due. In addition, the value of a debt security may decline because of concerns about the issuer’s ability or unwillingness to make such payments.

CURRENCY RISK. Changes in currency exchange rates affect the value of investments denominated in a foreign currency, and therefore the value of such investments in the Fund’s portfolio. The Fund’s net asset value could decline if a currency to which the Fund has exposure depreciates against the U.S. dollar or if there are delays or limits on repatriation of such currency. Currency exchange rates can be very volatile and can change quickly and unpredictably. As a result, the value of an investment in the Fund may change quickly and without warning.

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

DEBT SECURITIES RISK. Investments in debt securities subject the holder to the credit risk of the issuer. Credit risk refers to the possibility that the issuer or other obligor of a security will not be able or willing to make payments of interest and principal when due. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

DISTRESSED SECURITIES RISK. Distressed debt securities are speculative and involve substantial risks in addition to the risks of investing in high-yield securities that are not in default. Generally, the Fund will not receive interest payments from the distressed securities it holds, and there is a substantial risk that the principal will not be repaid. In any reorganization or liquidation proceeding related to a distressed debt security, the Fund may lose its entire investment in the security.

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

FLOATING RATE SECURITIES RISK. Floating rate securities are structured so that the security’s coupon rate fluctuates based upon the level of a reference rate. As a result, the coupon on floating rate securities will generally decline in a falling interest rate environment, causing the Fund to experience a reduction in the income it receives from the security. A floating rate security’s coupon rate resets periodically according to the terms of the security. Consequently, in a rising interest rate environment, floating rate securities with coupon rates that reset infrequently may lag behind the changes in market interest rates. Floating rate securities may

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Additional Information (Continued)

First Trust Short Duration High Income Fund

October 31, 2019 (Unaudited)

also contain terms that impose a maximum coupon rate the issuer will pay, regardless of the level of the reference rate which would decrease the value of the security.

HIGH YIELD SECURITIES RISK. High yield securities, or “junk” bonds, are subject to greater market fluctuations, are less liquid and provide a greater risk of loss than investment grade securities, and therefore, are considered to be highly speculative. In general, high yield securities may have a greater risk of default than other types of securities and could cause income and principal losses for the Fund.

INCOME RISK. The Fund’s income may decline when interest rates fall or if there are defaults in its portfolio. This decline can occur because the Fund may subsequently invest in lower-yielding securities as debt securities in its portfolio mature, are near maturity or are called, or the Fund otherwise needs to purchase additional debt securities.

INFLATION RISK.Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the present value of the Fund’s assets and distributions may decline.

INTEREST RATE RISK. Interest rate risk is the risk that the value of the debt securities in the Fund’s portfolio will decline because of rising market interest rates. Interest rate risk is generally lower for shorter term debt securities and higher for longer-term debt securities. The Fund may be subject to a greater risk of rising interest rates than would normally be the case due to the current period of historically low rates and the effect of potential government fiscal policy initiatives and resulting market reaction to those initiatives. Duration is a reasonably accurate measure of a debt security’s price sensitivity to changes in interest rates and a common measure of interest rate risk. Duration measures a debt security’s expected life on a present value basis, taking into account the debt security’s yield, interest payments and final maturity. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a debt security with a three-year duration would be expected to drop by approximately 3% in response to a 1% increase in interest rates. Therefore, prices of debt securities with shorter durations tend to be less sensitive to interest rate changes than debt securities with longer durations. As the value of a debt security changes over time, so will its duration.

LIBOR RISK. In 2012, regulators in the United States and the United Kingdom alleged that certain banks, including some banks serving on the panel for U.S. dollar LIBOR, engaged in manipulative acts in connection with their submissions to the British Bankers Association. Manipulation of the LIBOR rate-setting process would raise the risk to the Fund of being adversely impacted if the Fund received a payment based upon LIBOR and such manipulation of LIBOR resulted in lower resets than would have occurred had there been no manipulation. In 2017, the head of the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential effect of a transition away from LIBOR on the Fund or the financial instruments in which the Fund invests cannot yet be determined.

LIQUIDITY RISK. The Fund may hold certain investments that may be subject to restrictions on resale, trade over-the-counter or in limited volume, or lack an active trading market. Accordingly, the Fund may not be able to sell or close out of such investments at favorable times or prices (or at all), or at the prices approximating those at which the Fund currently values them. Illiquid securities may trade at a discount from comparable, more liquid investments and may be subject to wide fluctuations in market value.

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

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

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

PREPAYMENT RISK. Prepayment risk is the risk that the issuer of a debt security will repay principal prior to the scheduled maturity date. Debt securities allowing prepayment may offer less potential for gains during a period of declining interest rates, as the Fund may be required to reinvest the proceeds of any prepayment at lower interest rates. These factors may cause the value of an investment in the Fund to change.

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Additional Information (Continued)

First Trust Short Duration High Income Fund

October 31, 2019 (Unaudited)

SENIOR LOAN RISK. Investments in senior loans are subject to the same risks as investments in other types of debt securities, including credit risk, interest rate risk, liquidity risk and valuation risk that may be heightened because of the limited public information available regarding senior loans and because loan borrowers may be leveraged and tend to be more adversely affected by changes in market or economic conditions. If the Fund holds a senior loan through another financial institution or relies on a financial institution to administer the loan, its receipt of principal and interest on the loan may be subject to the credit risk of that financial institution. Although senior loans are generally secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. No active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Lastly, senior loans may not be considered “securities,” and the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws.

VALUATION RISK. Unlike publicly traded securities that trade on national securities exchanges, there is no central place or exchange for trading most debt securities. Debt securities generally trade on an “over-the-counter” market. Due to the lack of centralized information and trading, the valuation of debt securities may carry more uncertainty and risk than that of publicly traded securities. Accordingly, determinations of the fair value of debt securities may be based on infrequent and dated information. Also, because the available information is less reliable and more subjective, elements of judgment may play a greater role in valuation of debt securities than for other types of securities.

Advisory Agreement

Board Considerations Regarding Approval of Continuation of Investment Management Agreement

The Board of Trustees of First Trust Series Fund (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Agreement”) between the Trust, on behalf of the First Trust Short Duration High Income Fund (the “Fund”), and First Trust Advisors L.P. (the “Advisor”). The Board approved the continuation of the Agreement for a one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The Board determined that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services 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. At meetings held on April 18, 2019 and June 2, 2019, the Board, including the Independent Trustees, reviewed materials provided by the Advisor 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 provided by the Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the advisory 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 clients of the Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to the Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”); and information on the Advisor’s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2019, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 2, 2019 meeting, as well as at the meeting held that day. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from the Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor manages the Fund and knowing the Fund’s advisory fee.

In reviewing the Agreement, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund, and reviewed all of the services provided by the Advisor to the Fund, as well as the background and experience of the persons responsible for such services. The Board noted that the Advisor’s Leveraged Finance Investment Team is responsible for the day-to-day

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Additional Information (Continued)

First Trust Short Duration High Income Fund

October 31, 2019 (Unaudited)

management of the Fund’s investments and considered the background and experience of the members of the Leveraged Finance Investment Team and noted the Board’s prior meetings with members of the Team. The Board considered the Advisor’s statement that it applies the same oversight model internally with its Leveraged Finance Investment Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services 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 and the Fund’s compliance with the 1940 Act, as well as the Fund’s compliance with its investment objectives, policies, and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 18, 2019 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and the Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed the Fund consistent with its investment objectives, policies and restrictions.

The Board considered the advisory fee rate payable by the Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense caps for each share class through February 28, 2021 and agreed to keep the long-term expense cap in place from March 1, 2021 through February 28, 2030. The Board noted that fees waived or expenses borne by the Advisor are subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fees were waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time of the reimbursement or at the time the expenses were borne or the fees were waived by the Advisor. 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 to other fund and non-fund clients, as applicable. With respect to the Expense Group, the Board, at the April 18, 2019 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating a relevant peer group for the Fund, including that the Fund is unique in its composition, which makes assembling peers with the same strategy and asset mix difficult. The Board took these limitations into account in considering the peer data. Based on the information provided, the Board noted that the advisory fee rate payable by the Fund was below the median advisory fee of the peer funds in the Expense Group. The Board noted that the Fund’s total (net) expense ratio (Class A shares) was above the median net expense ratio of the peer funds in the Fund’s Expense Group. With respect to fees charged to other non-ETF clients, the Board considered differences between the Fund and other non-ETF clients that limited their comparability. In considering the advisory fee rate overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s description of its long-term commitment to the Fund.

The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund’s performance. The Board received and reviewed information comparing the Fund’s performance for periods ended December 31, 2018 to the performance of the funds in the Performance Universe and to that of a blended benchmark index. Based on the information provided, the Board noted that the Fund (Class A shares) outperformed the Performance Universe median and the blended benchmark index for the one-year period ended December 31, 2018 but underperformed the Performance Universe median and the blended benchmark index for the three- and five-year periods ended December 31, 2018.

On the basis of all the information provided on the fees, expenses and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for the Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to the Fund under the Agreement.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund and noted the Advisor’s statement that it believes its expenses will likely increase over the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Fund. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2018 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for the Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Fund. The Board 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 noted that in addition to the advisory fees paid by the Fund, FTP is compensated for services provided to the Fund through 12b-1 distribution and service fees and that the Advisor receives compensation from the Fund for providing fund

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Additional Information (Continued)

First Trust Short Duration High Income Fund

October 31, 2019 (Unaudited)

reporting services pursuant to a separate Fund Reporting Services Agreement. The Board also noted that the Advisor does not utilize soft dollars in connection with its management of the Fund’s portfolio. The Board concluded that the character and amount of potential fall-out benefits to the 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 Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Fund. No single factor was determinative in the Board’s analysis.

Page 36

Board of Trustees and Officers

First Trust Short Duration High Income Fund

October 31, 2019 (Unaudited)

The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187.

The Trust’s statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.

Name, Year of Birth and Position with the Trust	Term of Office and Year First Elected or Appointed	Principal Occupations During Past 5 Years	Number of Portfolios in the First Trust Fund Complex Overseen by Trustee	Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INDEPENDENT TRUSTEES
Richard E. Erickson, Trustee (1951)	• Indefinite Term   • Since Trust Inception	Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015)	162	None
Thomas R. Kadlec, Trustee (1957)	• Indefinite Term   • Since Trust Inception	President, ADM Investor Services, Inc. (Futures Commission Merchant)	162	Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association
Robert F. Keith, Trustee (1956)	• Indefinite Term   • Since Trust Inception	President, Hibs Enterprises (Financial and Management Consulting)	162	Director of Trust Company of Illinois
Niel B. Nielson, Trustee (1954)	• Indefinite Term   • Since Trust Inception	Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services)	162	None
INTERESTED TRUSTEE
James A. Bowen(1), Trustee and Chairman of the Board (1955)	• Indefinite Term   • Since Trust Inception	Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)	162	None

⁽¹⁾ Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust.

Page 37

Board of Trustees and Officers (Continued)

First Trust Short Duration High Income Fund

October 31, 2019 (Unaudited)

Name and Year of Birth	Position and Offices with Trust	Term of Office and Length of Service	Principal Occupations During Past 5 Years
OFFICERS(2)
James M. Dykas (1966)	President and Chief Executive Officer	• Indefinite Term   • Since January 2016	Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)
Donald P. Swade (1972)	Treasurer, Chief Financial Officer and Chief Accounting Officer	• Indefinite Term   • Since January 2016	Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine (1960)	Secretary and Chief Legal Officer	• Indefinite Term   • Since Trust Inception	General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist (1970)	Vice President	• Indefinite Term   • Since Trust Inception	Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P.
Kristi A. Maher (1966)	Chief Compliance Officer and Assistant Secretary	• Indefinite Term   • Chief Compliance Officer Since January 2011 • Assistant Secretary Since Trust Inception	Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.

⁽²⁾ The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.

Page 38

Privacy Policy

First Trust Short Duration High Income Fund

October 31, 2019 (Unaudited)

Privacy Policy

First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.

Sources of Information

We collect nonpublic personal information about you from the following sources:

• Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms;

• Information about your transactions with us, our affiliates or others;

• Information we receive from your inquiries by mail, e-mail or telephone; and

• Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits.

Information Collected

The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.

Disclosure of Information

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:

• In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.

• We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).

In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.

Use of Website Analytics

We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust’s website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust’s website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on:Google Analytics andAddThis.

Confidentiality and Security

With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.

Policy Updates and Inquiries

As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go towww.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).

March 2019

Page 39

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INVESTMENT ADVISOR

First Trust Advisors L.P.

120 East Liberty Drive, Suite 400

Wheaton, IL 60187

ADMINISTRATOR,
FUND ACCOUNTANT, AND
CUSTODIAN

The Bank of New York Mellon

240 Greenwich Street

New York, NY 10286

TRANSFER AGENT

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

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

Item 2. Code of Ethics.

(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

(d) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

As of the end of the period covered by the report, the Registrant’s Board of Trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $136,500 for the fiscal year ended October 31, 2018 and $109,000 for the fiscal year ended October 31, 2019.

Audit Fees (Investment Advisor and Distributor) -- The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended October 31, 2018 and $0 for the fiscal year ended October 31, 2019.

(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2018 and $0 for the fiscal year ended October 31, 2019.

Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements, including conducting the seed audit and preparation of the seed audit consent, and are not reported under paragraph (a) of this Item were $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2018 and $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2019.

(c) Tax Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $16,150 for the fiscal year ended October 31, 2018 and $19,200 for the fiscal year ended October 31, 2019.

Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser and distributor were $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2018 and $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2019.

(d) All Other Fees (Registrant) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended October 31, 2018 and $0 for the fiscal year ended October 31, 2019.

All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant’s investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2018 and $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2019.

(e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.

Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.

The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to thede minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence.

(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:

Registrant:Adviser and Distributor:

(b) 0% (b) 0%

(c) 0% (c) 0%

(d) 0% (d) 0%

(f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent.

(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal year ended October 31, 2018 were $16,150 for the registrant, $48,190 for the registrant’s investment adviser, $80,310 for the registrant’s distributor and $3,000 for Stonebridge Advisors LLC, which is under common control with the registrant’s investment adviser and serves as the registrant’s sub-advisor for the First Trust Preferred Securities and Income Fund (“Stonebridge”); and for the fiscal year ended October 31, 2019 were $19,200 for the registrant, $28,500 for the registrant’s investment adviser, $34,400 for the registrant’s distributor and $18,500 for Stonebridge.

(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed registrants.

(a) The Registrant has a separately designated audit committee consisting of all the independent directors of the Registrant. The members of the audit committee are: Thomas R. Kadlec, Niel B. Nielson, Richard E. Erickson and Robert F. Keith.

Item 6. Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is 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 has materially affected, or is 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 Series Fund

By (Signature and Title)*	/s/ James M. Dykas
	James M. Dykas, President and Chief Executive Officer (principal executive officer)

Date: January 8, 2020

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: January 8, 2020

By (Signature and Title)*	/s/ Donald P. Swade
	Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)

Date: January 8, 2020

^* Print the name and title of each signing officer under his or her signature.