# EDGAR Filing Document

**Accession Number:** 0001587982
**File Stem:** 0001398344-25-022187
**Filing Date:** 2025-12
**Character Count:** 305574
**Document Hash:** e56e430629f1241cda58350cc10edc67
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001398344-25-022187.hdr.sgml**: 20251208

**ACCESSION NUMBER**: 0001398344-25-022187

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 37

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251208

**DATE AS OF CHANGE**: 20251208

**EFFECTIVENESS DATE**: 20251208

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Investment Managers Series Trust II
- **CENTRAL INDEX KEY:** 0001587982

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22894
- **FILM NUMBER:** 251556156

**BUSINESS ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212
- **BUSINESS PHONE:** 414-299-2295

**MAIL ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212

## Series and Classes Contracts Data

### First Trust Merger Arbitrage Fund (Series ID: S000048195)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000152358 | Class A Shares | VARAX           |
| C000152359 | Class I Shares | VARBX           |
| C000248222 | Class C Shares | VARCX           |

### First Trust Multi-Strategy Fund (Series ID: S000055376)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000174208 | Class A Shares | FTMAX           |
| C000174209 | Class I Shares | FTMIX           |
| C000239642 | Class C Shares | FTMCX           |

?xml version='1.0' encoding='ASCII'? EDGAR HTML

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 **<u>811-22894</u>**

**<u>INVESTMENT MANAGERS SERIES TRUST II</u>**

(Exact name of registrant as specified in charter)

**235 W. Galena Street**

**<u>Milwaukee, WI 53212</u>**

(Address of principal executive offices) (Zip code)

**Diane J. Drake**

**Mutual Fund Administration, LLC**

**2220 E. Route 66, Suite 226**

**<u>Glendora, CA 91740</u>**

(Name and address of agent for service)

**<u>(626) 385-5777</u>**

Registrant's telephone number, including area code

Date of fiscal year end: **<u>September 30</u>**

Date of reporting period: **<u>September 30, 2025</u>**

**<u>Item 1. Report to Stockholders.</u>**

(a) The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the "Investment Company Act"), is as follows:

#### 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

#### 811-22894

#### INVESTMENT MANAGERS SERIES TRUST II
(Exact name of registrant as specified in charter)

------

235 W. Galena Street

Milwaukee, WI 53212

(Address of principal executive offices) (Zip code)

Diane J. Drake

Mutual Fund Administration, LLC

2220 E. Route 66, Suite 226

Glendora, CA 91740

(Name and address of agent for service)

#### Registrant's telephone number, including area code:
&nbsp;&nbsp;&nbsp;&nbsp;(626) 385-5777

#### Date of fiscal year end:

#### September 30

#### Date of reporting period:

#### September 30, 2025

#### Item 1. Report to Stockholders.
(a) The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the "Investment Act"), is as follows:

First Trust Merger Arbitrage Fund

Class A/VARAX

![TSR Fund Logo - Cover](images_363.jpg)

ANNUAL SHAREHOLDER REPORT \| September 30, 2025

This annual shareholder report contains important information about the First Trust Merger Arbitrage Fund ("Fund") for the period of October 1, 2024 to September 30, 2025. You can find additional information about the Fund at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

**This report describes changes to the Fund that occurred during the reporting period.** 

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | | |
|:---|:---|:---|
| Fund (Class) | Cost of a $10,000 investment | Costs paid as a percentage<br>of a $10,000 investment |
| First Trust Merger Arbitrage Fund<br>(Class A/VARAX) | $210 | 2.05% |

---

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

The First Trust Merger Arbitrage Fund (the "Merger Arbitrage Fund") aims to take advantage of the natural deal spread that emerges following a company's announcement of a merger or acquisition. Although the last year had its share of regulatory and geopolitical risks, the Merger Arbitrage Fund has avoided all deal breaks over the period. Notable mega-deals announced throughout the year were the merger of Union Pacific and Norfolk Southern for ~$88 billion, a rail merger creating the first U.S. coast to coast railroad, and Synopsys's acquisition of Ansys for ~$35 billion, a deal in the design and simulation software space.

The Merger Arbitrage Fund had positive returns over each of the last 12 months, highlighting its downside mitigation and stable volatility profile. During that same timeframe, merger arbitrage holdings contributed +3.40% to the Merger Arbitrage Fund's annual return, while SPAC holdings contributed +3.80% to the Fund's annual return. Over the last year, the SPAC market has had a resurgence, and we have benefited from our continued allocation selectively due to the favorable carry versus cash and the potential for asymmetrical upside. The First Trust Merger Arbitrage Fund has maintained its resilience through diligent research and risk management and we remain committed to finding high-conviction opportunities for non-correlated returns.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $10,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $10,000

![Fund Performance - Growth of 10K](chartimages_1024048.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Merger Arbitrage Fund (Class A/VARAX) | -0.69% | 3.57% | 3.04% |
| First Trust Merger Arbitrage Fund (Class A/VARAX) - excluding sales load<sup>1</sup> | 5.35% | 4.80% | 3.65% |
| S&P 500 Index | 17.60% | 16.47% | 15.30% |
| Bloomberg U.S. Aggregate Bond Index | 2.88% | -0.45% | 1.84% |

---

 *<sup>1</sup>* *Prior to November 18, 2024, returns shown did not include payment of the sales load of 5.75% of offering price which was reduced on sales of $25,000 or more. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 0.50% on certain redemptions of Class A shares made within 12 months of purchase to the extent a finder's fee was paid on the sale of such shares. There are no sales charges on investments of $250,000. On sales of $25,000 or more, the sales charge will be reduced. Prior to November 18, 2024, the CDSC was 1.00%.* 

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Fund net assets | &nbsp;&nbsp;&nbsp;&nbsp;$1537273188 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total number of portfolio holdings | &nbsp;&nbsp;&nbsp;&nbsp;135 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total advisory fees paid (net) | &nbsp;&nbsp;&nbsp;&nbsp;$18595508 |
| &nbsp;&nbsp;&nbsp;&nbsp;Portfolio turnover rate as of the end of the reporting period | &nbsp;&nbsp;&nbsp;&nbsp;293% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;WNS Holdings Ltd. | 5.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Verona Pharma PLC | 5.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Veritex Holdings, Inc. | 4.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Mr Cooper Group, Inc. | 4.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;CyberArk Software Ltd. | 3.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Electronic Arts, Inc. | 2.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Aris Water Solutions, Inc. - Class A | 2.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Kellanova | 2.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Agriculture & Natural Solutions Acquisition Corp. - Class A | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Tourmaline Bio, Inc. | 1.8% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_1024053.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_1024058.jpg)

#### Material Fund Changes
Effective November 18, 2024, changes were made to the fees and expenses of the fund with respect to the sales charges for Class A and a short-term redemption fee no longer applies to the shares redeemed within 30 days of purchase.

For more complete information, please reference the Prospectus at https://info.firsttrustcapital.com/fund-literature.

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Merger Arbitrage Fund - Class A

First Trust Merger Arbitrage Fund

Class C/VARCX

![TSR Fund Logo - Cover](images_363.jpg)

ANNUAL SHAREHOLDER REPORT \| September 30, 2025

This annual shareholder report contains important information about the First Trust Merger Arbitrage Fund ("Fund") for the period of October 1, 2024 to September 30, 2025. You can find additional information about the Fund at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

**This report describes changes to the Fund that occurred during the reporting period.** 

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | | |
|:---|:---|:---|
| Fund (Class) | Cost of a $10,000 investment | Costs paid as a percentage<br>of a $10,000 investment |
| First Trust Merger Arbitrage Fund<br>(Class C/VARCX) | $284 | 2.78% |

---

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

The First Trust Merger Arbitrage Fund (the "Merger Arbitrage Fund") aims to take advantage of the natural deal spread that emerges following a company's announcement of a merger or acquisition. Although the last year had its share of regulatory and geopolitical risks, the Merger Arbitrage Fund has avoided all deal breaks over the period. Notable mega-deals announced throughout the year were the merger of Union Pacific and Norfolk Southern for ~$88 billion, a rail merger creating the first U.S. coast to coast railroad, and Synopsys's acquisition of Ansys for ~$35 billion, a deal in the design and simulation software space.

The Merger Arbitrage Fund had positive returns over each of the last 12 months, highlighting its downside mitigation and stable volatility profile. During that same timeframe, merger arbitrage holdings contributed +3.40% to the Merger Arbitrage Fund's annual return, while SPAC holdings contributed +3.80% to the Fund's annual return. Over the last year, the SPAC market has had a resurgence, and we have benefited from our continued allocation selectively due to the favorable carry versus cash and the potential for asymmetrical upside. The First Trust Merger Arbitrage Fund has maintained its resilience through diligent research and risk management and we remain committed to finding high-conviction opportunities for non-correlated returns.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $10,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $10,000

![Fund Performance - Growth of 10K](chartimages_1024120.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Merger Arbitrage Fund (Class C/VARCX)<sup>1</sup> | 3.67% | 4.02% | 2.88% |
| First Trust Merger Arbitrage Fund (Class C/VARCX) - excluding sales load<sup>1,2</sup> | 4.65% | 4.02% | 2.88% |
| S&P 500 Index | 17.60% | 16.47% | 15.30% |
| Bloomberg U.S. Aggregate Bond Index | 2.88% | -0.45% | 1.84% |

---

 *<sup>1</sup>* *Class C shares commenced operations on January 31, 2024. The performance figures for Class C shares include the performance for the Class I shares for the periods prior to the inception date of Class C shares, adjusted for the difference in Class C shares and Class I shares expenses. Class C shares impose higher expenses than Class I shares. Returns shown include Rule 12b-1 fees of up to 1.00%.* 

 *<sup>2</sup>* *A contingent deferred sales charge of 1.00% may be imposed on any redemptions of shares within 12 months of the date of purchase.* 

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Fund net assets | &nbsp;&nbsp;&nbsp;&nbsp;$1537273188 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total number of portfolio holdings | &nbsp;&nbsp;&nbsp;&nbsp;135 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total advisory fees paid (net) | &nbsp;&nbsp;&nbsp;&nbsp;$18595508 |
| &nbsp;&nbsp;&nbsp;&nbsp;Portfolio turnover rate as of the end of the reporting period | &nbsp;&nbsp;&nbsp;&nbsp;293% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;WNS Holdings Ltd. | 5.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Verona Pharma PLC | 5.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Veritex Holdings, Inc. | 4.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Mr Cooper Group, Inc. | 4.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;CyberArk Software Ltd. | 3.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Electronic Arts, Inc. | 2.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Aris Water Solutions, Inc. - Class A | 2.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Kellanova | 2.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Agriculture & Natural Solutions Acquisition Corp. - Class A | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Tourmaline Bio, Inc. | 1.8% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_1024125.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_1024130.jpg)

#### Material Fund Changes
Effective November 18, 2024, a short-term redemption fee no longer applies to the shares redeemed within 30 days of purchase.

Effective November 18, 2024, shares of Class C that have been held for 7 years or more would automatically be converted into shares of Class A and would be subject to Class A shares' lower distribution and service (12b-1) fee.

For more complete information, please reference the Prospectus at https://info.firsttrustcapital.com/fund-literature.

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Merger Arbitrage Fund - Class C

First Trust Merger Arbitrage Fund

Class I/VARBX

![TSR Fund Logo - Cover](images_363.jpg)

ANNUAL SHAREHOLDER REPORT \| September 30, 2025

This annual shareholder report contains important information about the First Trust Merger Arbitrage Fund ("Fund") for the period of October 1, 2024 to September 30, 2025. You can find additional information about the Fund at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

**This report describes changes to the Fund that occurred during the reporting period.** 

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | | |
|:---|:---|:---|
| Fund (Class) | Cost of a $10,000 investment | Costs paid as a percentage<br>of a $10,000 investment |
| First Trust Merger Arbitrage Fund<br>(Class I/VARBX) | $178 | 1.73% |

---

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

The First Trust Merger Arbitrage Fund (the "Merger Arbitrage Fund") aims to take advantage of the natural deal spread that emerges following a company's announcement of a merger or acquisition. Although the last year had its share of regulatory and geopolitical risks, the Merger Arbitrage Fund has avoided all deal breaks over the period. Notable mega-deals announced throughout the year were the merger of Union Pacific and Norfolk Southern for ~$88 billion, a rail merger creating the first U.S. coast to coast railroad, and Synopsys's acquisition of Ansys for ~$35 billion, a deal in the design and simulation software space.

The Merger Arbitrage Fund had positive returns over each of the last 12 months, highlighting its downside mitigation and stable volatility profile. During that same timeframe, merger arbitrage holdings contributed +3.40% to the Merger Arbitrage Fund's annual return, while SPAC holdings contributed +3.80% to the Fund's annual return. Over the last year, the SPAC market has had a resurgence, and we have benefited from our continued allocation selectively due to the favorable carry versus cash and the potential for asymmetrical upside. The First Trust Merger Arbitrage Fund has maintained its resilience through diligent research and risk management and we remain committed to finding high-conviction opportunities for non-correlated returns.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $100,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $100,000

![Fund Performance - Growth of 10K](chartimages_1024084.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Merger Arbitrage Fund (Class I/VARBX) | 5.74% | 5.13% | 3.98% |
| S&P 500 Index | 17.60% | 16.47% | 15.30% |
| Bloomberg U.S. Aggregate Bond Index | 2.88% | -0.45% | 1.84% |

---

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Fund net assets | &nbsp;&nbsp;&nbsp;&nbsp;$1537273188 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total number of portfolio holdings | &nbsp;&nbsp;&nbsp;&nbsp;135 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total advisory fees paid (net) | &nbsp;&nbsp;&nbsp;&nbsp;$18595508 |
| &nbsp;&nbsp;&nbsp;&nbsp;Portfolio turnover rate as of the end of the reporting period | &nbsp;&nbsp;&nbsp;&nbsp;293% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;WNS Holdings Ltd. | 5.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Verona Pharma PLC | 5.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Veritex Holdings, Inc. | 4.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Mr Cooper Group, Inc. | 4.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;CyberArk Software Ltd. | 3.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Electronic Arts, Inc. | 2.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Aris Water Solutions, Inc. - Class A | 2.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Kellanova | 2.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Agriculture & Natural Solutions Acquisition Corp. - Class A | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Tourmaline Bio, Inc. | 1.8% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_1024089.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_1024094.jpg)

#### Material Fund Changes
Effective November 18, 2024, a short-term redemption fee no longer applies to the shares redeemed within 30 days of purchase.

For more complete information, please reference the Prospectus at https://info.firsttrustcapital.com/fund-literature.

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Merger Arbitrage Fund - Class I

First Trust Multi-Strategy Fund

Class A/FTMAX

![TSR Fund Logo - Cover](images_363.jpg)

ANNUAL SHAREHOLDER REPORT \| September 30, 2025

This annual shareholder report contains important information about the First Trust Multi-Strategy Fund ("Fund") for the period of October 1, 2024 to September 30, 2025. You can find additional information about the Fund at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

**This report describes changes to the Fund that occurred during the reporting period.** 

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | | |
|:---|:---|:---|
| Fund (Class) | Cost of a $10,000 investment | Costs paid as a percentage<br>of a $10,000 investment |
| First Trust Multi-Strategy Fund<br>(Class A/FTMAX) | $191 | 1.85% |

---

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

The First Trust Multi-Strategy Fund (the "Multi-Strategy Fund") focuses on maintaining an alternative return profile with minimal correlation to stock and bond markets while targeting a 6.00% annual distribution yield. To achieve these goals, the Multi-Strategy Fund employs three core strategies: Merger Arbitrage, Option Writing, and Structured Debt. Despite regulatory challenges, the Merger Arbitrage strategy contributed +2.24% to the Multi-Strategy Fund's annual return, benefiting from careful deal selection with a weighted 'deal spread' yield of 9.3% and a 52-day average position duration. The Option Writing strategy contributed +2.75% to the Fund's return, profiting from favorable volatility conditions and rising equity prices. The Structured Debt strategy provided +3.09% to the Fund's return, with a high-quality, short-duration credit portfolio primarily in BBB and BB CLO tranches, which currently yields an average 10.0% coupon. In July, the Fund added two new sub-advisors to further diversify the credit exposure sleeve. This has expanded the Structured Debt sleeve across unique credit exposures, including Asset-Backed Securities (ABS), Commercial Mortgage-Backed Securities (CMBS), and Residential Mortgage-Backed Securities (RMBS). There were no detractors across our three strategies during the period as all achieved positive returns. Each strategy not only met the Fund's return objectives, but also contributed to its diversification, supporting the Fund's overall strategic goal and helping it execute on its investment mandate.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $10,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $10,000

![Fund Performance - Growth of 10K](chartimages_1023940.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Multi-Strategy Fund (Class A/FTMAX) | 1.25% | 4.71% | 3.72% |
| First Trust Multi-Strategy Fund (Class A/FTMAX)—excluding sales load<sup>1</sup> | 6.04% | 5.79% | 4.25% |
| Bloomberg U.S. Aggregate Bond Index | 2.88% | -0.45% | 1.84% |
| Blended Benchmark Index (50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index) | 10.20% | 7.92% | 8.65% |
| ICE BofA Merrill Lynch 3-Month US Treasury Bill Index | 4.41% | 2.99% | 2.09% |

---

 *<sup>1</sup>* *Returns shown do not include payment of sales load of 4.50% of offering price which is reduced on sales of $25,000 or more. Returns shown did not include payment of the sales load of 5.75% of offering price which was reduced on sales of $25,000 or more. Prior to August 22, 2022, returns shown did not include payment of sales load of 5.00% of offering price which was reduced on sales of $50,000 or more. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 0.50% on certain redemptions of Class A shares made within 12 months of purchase to the extent a finder's fee was paid on the sale of such shares. There are no sales charges on investments of $250,000. On sales of $25,000 or more, the sales charge will be reduced. Returns shown include Rule 12b-1 fees of up to 0.25%.* 

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Fund net assets | &nbsp;&nbsp;&nbsp;&nbsp;$1081070666 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total number of portfolio holdings | &nbsp;&nbsp;&nbsp;&nbsp;498 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total advisory fees paid (net) | &nbsp;&nbsp;&nbsp;&nbsp;$9794034 |
| &nbsp;&nbsp;&nbsp;&nbsp;Portfolio turnover rate as of the end of the reporting period | &nbsp;&nbsp;&nbsp;&nbsp;191% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $6,000.00, Expiration Date: 12/31/25 | 20.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $7,000.00, Expiration Date: 12/31/25 | 8.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;WNS Holdings Ltd. | 1.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Verona Pharma PLC | 1.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Veritex Holdings, Inc. | 1.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Mr Cooper Group, Inc. | 0.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;CyberArk Software Ltd. | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Electronic Arts, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Aris Water Solutions, Inc. - Class A | 0.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Magnetite CLO Ltd. | 0.6% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_1023945.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_1023950.jpg)

#### Material Fund Changes
The Board of Trustees of Investment Managers Series Trust II has appointed Sardis Group, LLC ("Sardis") and First Trust Advisors L.P. ("FTA") as new sub-advisors to the Fund. First Trust Capital Management L.P. continues to serve as the Fund's investment advisor. The Advisor entered into a new investment sub-advisory agreement with each of Sardis and FTA with respect to the Fund, a series of the Trust, effective July 16, 2025, and July 25, 2025, respectively.

Under normal market circumstances, Sardis primarily invests the portion of the Fund it manages in structured credit products and related fixed income securities and loans. FTA primarily invests the portion of the Fund it manages in agency and non-agency residential mortgage-backed securities and asset backed securities.

For more complete information, please reference the Prospectus at https://info.firsttrustcapital.com/fund-literature.

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Multi-Strategy Fund - Class A

First Trust Multi-Strategy Fund

Class C/FTMCX

![TSR Fund Logo - Cover](images_363.jpg)

ANNUAL SHAREHOLDER REPORT \| September 30, 2025

This annual shareholder report contains important information about the First Trust Multi-Strategy Fund ("Fund") for the period of October 1, 2024 to September 30, 2025. You can find additional information about the Fund at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

**This report describes changes to the Fund that occurred during the reporting period.** 

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | | |
|:---|:---|:---|
| Fund (Class) | Cost of a $10,000 investment | Costs paid as a percentage<br>of a $10,000 investment |
| First Trust Multi-Strategy Fund<br>(Class C/FTMCX) | $267 | 2.60% |

---

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

The First Trust Multi-Strategy Fund (the "Multi-Strategy Fund") focuses on maintaining an alternative return profile with minimal correlation to stock and bond markets while targeting a 6.00% annual distribution yield. To achieve these goals, the Multi-Strategy Fund employs three core strategies: Merger Arbitrage, Option Writing, and Structured Debt. Despite regulatory challenges, the Merger Arbitrage strategy contributed +2.24% to the Multi-Strategy Fund's annual return, benefiting from careful deal selection with a weighted 'deal spread' yield of 9.3% and a 52-day average position duration. The Option Writing strategy contributed +2.75% to the Fund's return, profiting from favorable volatility conditions and rising equity prices. The Structured Debt strategy provided +3.09% to the Fund's return, with a high-quality, short-duration credit portfolio primarily in BBB and BB CLO tranches, which currently yields an average 10.0% coupon. In July, the Fund added two new sub-advisors to further diversify the credit exposure sleeve. This has expanded the Structured Debt sleeve across unique credit exposures, including Asset-Backed Securities (ABS), Commercial Mortgage-Backed Securities (CMBS), and Residential Mortgage-Backed Securities (RMBS). There were no detractors across our three strategies during the period as all achieved positive returns. Each strategy not only met the Fund's return objectives, but also contributed to its diversification, supporting the Fund's overall strategic goal and helping it execute on its investment mandate.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $10,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $10,000

![Fund Performance - Growth of 10K](chartimages_1024012.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Multi-Strategy Fund (Class C/FTMCX)<sup>1,2</sup> | 4.23% | 4.99% | 3.46% |
| First Trust Multi-Strategy Fund (Class C/FTMCX)—excluding sales load<sup>1,2</sup> | 5.22% | 4.99% | 3.46% |
| Bloomberg U.S. Aggregate Bond Index | 2.88% | -0.45% | 1.84% |
| Blended Benchmark Index (50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index) | 10.20% | 7.92% | 8.65% |
| ICE BofA Merrill Lynch 3-Month US Treasury Bill Index | 4.41% | 2.99% | 2.09% |

---

 *<sup>1</sup>* *A contingent deferred sales charge of 1.00% may be imposed on any redemptions of shares within 12 months of the date of purchase.* 

 *<sup>2</sup>* *Class C shares commenced operations on November 14, 2022. The performance figures for Class C shares include the performance for the Class I shares for the periods prior to the inception date of Class C shares, adjusted for the difference in Class C shares and Class I shares expenses. Class C shares impose higher expenses than Class I shares. Returns shown include Rule 12b-1 fees of up to 1.00%.* 

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Fund net assets | &nbsp;&nbsp;&nbsp;&nbsp;$1081070666 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total number of portfolio holdings | &nbsp;&nbsp;&nbsp;&nbsp;498 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total advisory fees paid (net) | &nbsp;&nbsp;&nbsp;&nbsp;$9794034 |
| &nbsp;&nbsp;&nbsp;&nbsp;Portfolio turnover rate as of the end of the reporting period | &nbsp;&nbsp;&nbsp;&nbsp;191% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $6,000.00, Expiration Date: 12/31/25 | 20.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $7,000.00, Expiration Date: 12/31/25 | 8.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;WNS Holdings Ltd. | 1.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Verona Pharma PLC | 1.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Veritex Holdings, Inc. | 1.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Mr Cooper Group, Inc. | 0.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;CyberArk Software Ltd. | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Electronic Arts, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Aris Water Solutions, Inc. - Class A | 0.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Magnetite CLO Ltd. | 0.6% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_1024017.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_1024022.jpg)

#### Material Fund Changes
Effective November 18, 2024, shares of Class C that have been held for 7 years or more would automatically be converted into shares of Class A and would be subject to Class A shares' lower distribution and service (12b-1) fee.

The Board of Trustees of Investment Managers Series Trust II has appointed Sardis Group, LLC ("Sardis") and First Trust Advisors L.P. ("FTA") as new sub-advisors to the Fund. First Trust Capital Management L.P. continues to serve as the Fund's investment advisor. The Advisor entered into a new investment sub-advisory agreement with each of Sardis and FTA with respect to the Fund, a series of the Trust, effective July 16, 2025, and July 25, 2025, respectively.

Under normal market circumstances, Sardis primarily invests the portion of the Fund it manages in structured credit products and related fixed income securities and loans. FTA primarily invests the portion of the Fund it manages in agency and non-agency residential mortgage-backed securities and asset backed securities.

For more complete information, please reference the Prospectus at https://info.firsttrustcapital.com/fund-literature.

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Multi-Strategy Fund - Class C

First Trust Multi-Strategy Fund

Class I/FTMIX

![TSR Fund Logo - Cover](images_363.jpg)

ANNUAL SHAREHOLDER REPORT \| September 30, 2025

This annual shareholder report contains important information about the First Trust Multi-Strategy Fund ("Fund") for the period of October 1, 2024 to September 30, 2025. You can find additional information about the Fund at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

**This report describes changes to the Fund that occurred during the reporting period.** 

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | | |
|:---|:---|:---|
| Fund (Class) | Cost of a $10,000 investment | Costs paid as a percentage<br>of a $10,000 investment |
| First Trust Multi-Strategy Fund<br>(Class I/FTMIX) | $164 | 1.59% |

---

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

The First Trust Multi-Strategy Fund (the "Multi-Strategy Fund") focuses on maintaining an alternative return profile with minimal correlation to stock and bond markets while targeting a 6.00% annual distribution yield. To achieve these goals, the Multi-Strategy Fund employs three core strategies: Merger Arbitrage, Option Writing, and Structured Debt. Despite regulatory challenges, the Merger Arbitrage strategy contributed +2.24% to the Multi-Strategy Fund's annual return, benefiting from careful deal selection with a weighted 'deal spread' yield of 9.3% and a 52-day average position duration. The Option Writing strategy contributed +2.75% to the Fund's return, profiting from favorable volatility conditions and rising equity prices. The Structured Debt strategy provided +3.09% to the Fund's return, with a high-quality, short-duration credit portfolio primarily in BBB and BB CLO tranches, which currently yields an average 10.0% coupon. In July, the Fund added two new sub-advisors to further diversify the credit exposure sleeve. This has expanded the Structured Debt sleeve across unique credit exposures, including Asset-Backed Securities (ABS), Commercial Mortgage-Backed Securities (CMBS), and Residential Mortgage-Backed Securities (RMBS). There were no detractors across our three strategies during the period as all achieved positive returns. Each strategy not only met the Fund's return objectives, but also contributed to its diversification, supporting the Fund's overall strategic goal and helping it execute on its investment mandate.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $100,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $100,000

![Fund Performance - Growth of 10K](chartimages_1023976.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Multi-Strategy Fund (Class I/FTMIX) | 6.34% | 6.10% | 4.56% |
| Bloomberg U.S. Aggregate Bond Index | 2.88% | -0.45% | 1.84% |
| Blended Benchmark Index (50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index) | 10.20% | 7.92% | 8.65% |
| ICE BofA Merrill Lynch 3-Month US Treasury Bill Index | 4.41% | 2.99% | 2.09% |

---

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Fund net assets | &nbsp;&nbsp;&nbsp;&nbsp;$1081070666 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total number of portfolio holdings | &nbsp;&nbsp;&nbsp;&nbsp;498 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total advisory fees paid (net) | &nbsp;&nbsp;&nbsp;&nbsp;$9794034 |
| &nbsp;&nbsp;&nbsp;&nbsp;Portfolio turnover rate as of the end of the reporting period | &nbsp;&nbsp;&nbsp;&nbsp;191% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $6,000.00, Expiration Date: 12/31/25 | 20.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $7,000.00, Expiration Date: 12/31/25 | 8.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;WNS Holdings Ltd. | 1.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Verona Pharma PLC | 1.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Veritex Holdings, Inc. | 1.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;Mr Cooper Group, Inc. | 0.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;CyberArk Software Ltd. | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Electronic Arts, Inc. | 0.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Aris Water Solutions, Inc. - Class A | 0.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Magnetite CLO Ltd. | 0.6% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_1023981.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_1023986.jpg)

#### Material Fund Changes
The Board of Trustees of Investment Managers Series Trust II has appointed Sardis Group, LLC ("Sardis") and First Trust Advisors L.P. ("FTA") as new sub-advisors to the Fund. First Trust Capital Management L.P. continues to serve as the Fund's investment advisor. The Advisor entered into a new investment sub-advisory agreement with each of Sardis and FTA with respect to the Fund, a series of the Trust, effective July 16, 2025, and July 25, 2025, respectively.

Under normal market circumstances, Sardis primarily invests the portion of the Fund it manages in structured credit products and related fixed income securities and loans. FTA primarily invests the portion of the Fund it manages in agency and non-agency residential mortgage-backed securities and asset backed securities.

For more complete information, please reference the Prospectus at https://info.firsttrustcapital.com/fund-literature.

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://www.firsttrustcapital.com/fund-literature/. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Multi-Strategy Fund - Class I

(b) Not applicable.

**<u>Item 2. Code of Ethics.</u>**

The registrant has adopted a code of ethics that applies to the registrant's principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

The registrant undertakes to provide to any person without charge, upon request, a copy of its code of ethics by mail when they call the registrant at 1-877-779-1999.

**<u>Item 3. Audit Committee Financial Expert.</u>**

The Board of Trustees of the Registrant has determined that the Registrant has the following "audit committee financial experts" as defined in Item 3(b) of Form N-CSR serving on its Audit Committee: Messrs. Thomas Knipper and John P. Zader. The audit committee financial experts are "independent" as that term is defined in Item 3(a)(2) of Form N-CSR.

**Item 4. Principal Accountant Fees and Services.**

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. "Audit services" refer to performing an 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 for those fiscal years. "Audit-related services" refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. "Tax services" refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no "other services" provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

---

| | | | |
|:---|:---|:---|:---|
| | First Trust Merger Arbitrage Fund<br>First Trust Multi-Strategy Fund  | FYE 9/30/2025  | FYE 9/30/2024  |
| (a) | Audit Fees | $37500 | $29000 |
| (b) | Audit-Related Fees | N/A | N/A |
| (c) | Tax Fees | $5200 | $5000 |
| (d) | All Other Fees | N/A | N/A |

---

(e)(1) The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

(e)(2) The percentage of fees billed by Tait, Weller, & Weller LLP applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

---

| | | |
|:---|:---|:---|
| First Trust Merger Arbitrage Fund<br>First Trust Multi-Strategy Fund  | FYE 9/30/2025 | FYE 9/30/2024 |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |

---

(f) All
 of the principal accountant's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time
 permanent employees of the principal accountant.

The following table indicates the non-audit fees billed or expected to be billed by the registrant's accountant for services to the registrant and to the registrant's investment advisor (and any other controlling entity, etc.—not sub-advisor) for the last two years. The audit committee of the Board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment advisor is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant's independence.

---

| | | | |
|:---|:---|:---|:---|
| | First Trust Merger Arbitrage Fund<br>First Trust Multi-Strategy Fund  | FYE 9/30/2025 | FYE 9/30/2024 |
| (g) | Registrant Non-Audit Related Fees | N/A | N/A |
| (h) | Registrant's Investment Advisor | N/A | N/A |

---

(i) Not
 applicable.

(j) Not
 applicable.

**Item 5. Audit Committee of Listed Registrants.**

(a) Not
 applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

(b) Not
 applicable.

**Item 6. Investments.**

&nbsp;&nbsp;&nbsp;&nbsp;(a) Schedule
 of Investments is included as part of the report to shareholders filed under Item 7 of this Form.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not
 Applicable.

**<u>Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.</u>**

![](fp0096290_01.jpg)

**The First Trust Capital Management Funds**

*Each a series of Investment Managers Series Trust II*

**Table of Contents**

### Item 7. Financial Statements and Financial
 Highlights &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; First Trust Merger
 Arbitrage Fund 1 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; First Trust Multi-Strategy Fund 7 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Statements of Assets and Liabilities 32 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Statements of Operations 34 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Statements of Changes in Net Assets 35 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Statements of Cash Flows 39 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financial Highlights 41 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notes to Financial Statements 47 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Report of Independent Registered
 Public Accounting Firm 65 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Supplemental Information 66
*This report and the financial statements contained herein are provided for the general information of the shareholders of the First Trust Capital Management Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective shareholder report and prospectus.*

**www.firsttrustcapital.com**

Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS — 84.7%** |  |
|  | **COMMUNICATIONS — 2.8%** |  |
| 215100 | Electronic Arts, Inc. | $**43385670** |
|  | **CONSUMER DISCRETIONARY — 1.5%** |  |
| 835892 | Berto Acquisition Corp.<sup>\*,1</sup> | 8701636 |
| 59161 | Guess?, Inc.<sup>2</sup> | 988580 |
| 738167 | Potbelly Corp.<sup>\*,2</sup> | 12578366 |
|  |  | **22268582** |
|  | **CONSUMER STAPLES — 2.1%** |  |
| 397451 | Kellanova<sup>2</sup> | **32598931** |
|  | **ENERGY — 2.6%** |  |
| 1586500 | Aris Water Solutions, Inc. - Class A<sup>2</sup> | **39123090** |
|  | **FINANCIALS — 51.4%** |  |
| 246528 | 1RT Acquisition Corp. - Class A<sup>\*,1</sup> | 2576218 |
| 2700502 | AA Mission Acquisition Corp. - Class A<sup>\*,1,3</sup> | 28409281 |
| 2829209 | Agriculture & Natural Solutions Acquisition Corp. - Class A<sup>\*,1,3</sup> | 30894962 |
| 506461 | AI Transportation Acquisition Corp.<sup>\*,1,3</sup> | 5571071 |
| 649911 | Aimei Health Technology Co., Ltd.<sup>\*,1,3</sup> | 7356992 |
| 43030 | American Exceptionalism Acquisition Corp. - Class A<sup>\*,1</sup> | 470318 |
| 1002544 | Andretti Acquisition Corp. II - Class A<sup>\*,1</sup> | 10496636 |
| 417062 | Armada Acquisition Corp. I - Class A<sup>\*,1</sup> | 4354127 |
| 313581 | Artius II Acquisition, Inc. - Class A<sup>\*,1</sup> | 3176576 |
| 536265 | Axiom Intelligence Acquisition Corp. 1 - Class A<sup>\*,1</sup> | 5335837 |
| 122924 | Bayview Acquisition Corp. - Class A<sup>\*,1</sup> | 1368144 |
| 1794755 | Bleichroeder Acquisition Corp. I - Class A<sup>\*,1,3</sup> | 18647504 |
| 175229 | Blue Acquisition Corp. - Class A<sup>\*,1</sup> | 1751414 |
| 206326 | Blue Water Acquisition Corp. - Class A<sup>\*,1</sup> | 2055007 |
| 333594 | Cal Redwood Acquisition Corp. - Class A<sup>\*,1</sup> | 3335940 |
| 167200 | Cantor Equity Partners II, Inc. - Class A<sup>\*,1</sup> | 1763960 |
| 82328 | Cantor Equity Partners III, Inc. - Class A<sup>\*,1</sup> | 849625 |
| 859811 | Cantor Equity Partners IV, Inc. - Class A<sup>\*,1</sup> | 8761474 |
| 430937 | Cartesian Growth Corp. II<sup>\*,1</sup> | 5214338 |
| 66728 | Cayson Acquisition Corp.<sup>\*,1</sup> | 697975 |
| 2479407 | Centurion Acquisition Corp. - Class A<sup>\*,1,3</sup> | 26157744 |
| 410807 | ChampionsGate Acquisition Corp. - Class A<sup>\*,1</sup> | 4124502 |
| 716459 | Charlton Aria Acquisition Corp. - Class A<sup>\*,1,3</sup> | 7436844 |
| 142381 | Churchill Capital Corp. X - Class A<sup>\*,1</sup> | 1831020 |
| 164660 | Cohen Circle Acquisition Corp. II - Class A<sup>\*,1</sup> | 1671299 |
| 541514 | Columbus Circle Capital Corp. I - Class A<sup>\*,1</sup> | 5480122 |
| 376352 | Crane Harbor Acquisition Corp. - Class A<sup>\*,1</sup> | 3812446 |
| 343986 | CSLM Digital Asset Acquisition Corp. III Ltd. - Class A<sup>\*,1</sup> | 3414061 |
| 731139 | Digital Asset Acquisition Corp. - Class A<sup>\*,1</sup> | 7472241 |

---

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 1929288 | Drugs Made In America Acquisition Corp.<sup>\*,1,3</sup> | $19813788 |
| 584860 | Dune Acquisition Corp. II - Class A<sup>\*,1</sup> | 5918783 |
| 159786 | Dynamix Corp. - Class A<sup>\*,1</sup> | 1663372 |
| 180000 | Embrace Change Acquistion Corp.<sup>1,3</sup> | 2174400 |
| 515292 | EQV Ventures Acquisition Corp. II - Class A<sup>\*,1</sup> | 5127155 |
| 372349 | Fifth Era Acquisition Corp. I - Class A<sup>\*,1</sup> | 3783066 |
| 209438 | FIGX Capital Acquisition Corp. - Class A<sup>\*,1</sup> | 2092286 |
| 404792 | Gesher Acquisition Corp. II - Class A<sup>\*,1</sup> | 4108639 |
| 448990 | GigCapital7 Corp. - Class A<sup>\*,1</sup> | 4732355 |
| 407455 | Globa Terra Acquisition Corp. - Class A<sup>\*,1</sup> | 4066401 |
| 448535 | Gores Holdings X, Inc. - Class A<sup>\*,1</sup> | 4584028 |
| 1897607 | GP-Act III Acquisition Corp. - Class A<sup>\*,1,3</sup> | 20114634 |
| 1931321 | Graf Global Corp. - Class A<sup>\*,1,3</sup> | 20356123 |
| 1374406 | Haymaker Acquisition Corp. IV - Class A<sup>\*,1</sup> | 15585764 |
| 280410 | Horizon Space Acquisition I Corp.<sup>\*,1,3</sup> | 3454651 |
| 477663 | Jackson Acquisition Co. II - Class A<sup>\*,1</sup> | 4958142 |
| 183044 | Jena Acquisition Corp. II - Class A<sup>\*,1</sup> | 1857897 |
| 85590 | K&F Growth Acquisition Corp. II - Class A<sup>\*,1</sup> | 874730 |
| 91247 | Keen Vision Acquisition Corp.<sup>\*,1</sup> | 1058465 |
| 1866241 | Launch One Acquisition Corp. - Class A<sup>\*,1,3</sup> | 19632855 |
| 1608549 | Legato Merger Corp. III<sup>\*,1,3</sup> | 17275816 |
| 1938207 | Lionheart Holdings - Class A<sup>\*,1,3</sup> | 20370556 |
| 499994 | M3-Brigade Acquisition V Corp. - Class A<sup>\*,1</sup> | 5274937 |
| 1275345 | Melar Acquisition Corp. I - Class A<sup>\*,1,3</sup> | 13403876 |
| 862098 | Mountain Lake Acquisition Corp. - Class A<sup>\*,1</sup> | 8879609 |
| 296651 | Mr Cooper Group, Inc.<sup>2</sup> | 62531064 |
| 1231635 | Nabors Energy Transition Corp. II - Class A<sup>\*,1</sup> | 13806628 |
| 59190 | Newbury Street II Acquisition Corp. - Class A<sup>\*,1</sup> | 612912 |
| 768067 | NewHold Investment Corp. II - Class A<sup>\*,1</sup> | 7818922 |
| 505710 | Oak Woods Acquisition Corp. - Class A<sup>1,3</sup> | 6103920 |
| 125106 | Oyster Enterprises II Acquisition Corp. - Class A<sup>\*,1</sup> | 1253562 |
| 934747 | Patria Latin American Opportunity Acquisition Corp. - Class A<sup>\*,1</sup> | 11544125 |
| 412498 | Pioneer Acquisition I Corp. - Class A<sup>\*,1</sup> | 4100230 |
| 558455 | Plum Acquisition Corp. IV - Class A<sup>\*,1</sup> | 5768840 |
| 372540 | ProCap Acquisition Corp.<sup>\*,1</sup> | 3825986 |
| 538832 | Pyrophyte Acquisition Corp. - Class A<sup>\*,1</sup> | 6363606 |
| 214568 | Pyrophyte Acquisition Corp. II - Class A<sup>\*,1</sup> | 2137097 |
| 644211 | Range Capital Acquisition Corp.<sup>\*,1</sup> | 6641815 |
| 756454 | Real Asset Acquisition Corp. - Class A<sup>\*,1</sup> | 7670444 |
| 285838 | Renatus Tactical Acquisition Corp. I - Class A<sup>\*,1</sup> | 3118493 |
| 292586 | Republic Digital Acquisition Co. - Class A<sup>\*,1</sup> | 2987303 |

---

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 939193 | RF Acquisition Corp. II<sup>\*,1,2,3</sup> | $10021189 |
| 996399 | Rithm Acquisition Corp. - Class A<sup>\*,1</sup> | 10213090 |
| 375130 | Roman DBDR Acquisition Corp. II - Class A<sup>\*,1</sup> | 3867590 |
| 1386914 | Siddhi Acquisition Corp. - Class A<sup>\*,1</sup> | 14077177 |
| 372735 | Silverbox Corp. IV - Class A<sup>\*,1</sup> | 3902535 |
| 1625271 | SIM Acquisition Corp. I - Class A<sup>\*,1,3</sup> | 17065345 |
| 339375 | Sizzle Acquisition Corp. II\* | 3434475 |
| 85806 | Solarius Capital Acquisition Corp. - Class A<sup>\*,1</sup> | 854628 |
| 662802 | Soulpower Acquisition Corp. - Class A<sup>\*,1</sup> | 6681044 |
| 203235 | Spring Valley Acquisition Corp. II - Class A<sup>\*,1</sup> | 2542470 |
| 295287 | Spring Valley Acquisition Corp. III - Class A<sup>\*,1</sup> | 2982399 |
| 431985 | Tavia Acquisition Corp.<sup>\*,1</sup> | 4471045 |
| 1168752 | Texas Ventures Acquisition III Corp. - Class A<sup>\*,1</sup> | 12517334 |
| 627836 | Titan Acquisition Corp. - Class A<sup>\*,1</sup> | 6353700 |
| 558342 | Translational Development Acquisition Corp. - Class A<sup>\*,1</sup> | 5773256 |
| 1520272 | Vendome Acquisition Corp. I - Class A<sup>\*,1,3</sup> | 15096301 |
| 2203523 | Veritex Holdings, Inc.<sup>2</sup> | 73884126 |
| 1393425 | Vine Hill Capital Investment Corp. - Class A<sup>\*,1</sup> | 14923582 |
| 1405632 | Voyager Acquisition Corp. - Class A<sup>\*,1</sup> | 14702911 |
| 208818 | Wen Acquisition Corp. - Class A<sup>\*,1</sup> | 2115326 |
| 219022 | Yorkville Acquisition Corp. - Class A<sup>\*,1</sup> | 2334775 |
|  |  | **789749251** |
|  | **HEALTH CARE — 9.2%** |  |
| 211158 | Merus N.V.<sup>\*,1</sup> | 19880526 |
| 598741 | Tourmaline Bio, Inc.<sup>\*,2</sup> | 28637782 |
| 775594 | Verona Pharma PLC<sup>\*,1,2</sup> | 82763636 |
| 547445 | Zimvie, Inc.<sup>\*,2</sup> | 10368608 |
|  |  | **141650552** |
|  | **INDUSTRIALS — 1.0%** |  |
| 1933436 | Performant Healthcare, Inc.<sup>\*,2</sup> | **14945460** |
|  | **TECHNOLOGY — 14.1%** |  |
| 2716590 | AvidXchange Holdings, Inc.<sup>\*,2</sup> | 27030071 |
| 103082 | CyberArk Software Ltd.<sup>\*,1,2</sup> | 49804068 |
| 1797434 | Integral Ad Science Holding Corp.<sup>\*,2</sup> | 18279904 |
| 767786 | PROS Holdings, Inc.<sup>\*,2</sup> | 17589977 |
| 349286 | Sapiens International Corp. N.V.<sup>1,2</sup> | 15019298 |
| 11100 | Verint Systems, Inc.\* | 224775 |
| 1171116 | WNS Holdings Ltd.<sup>\*,1,2</sup> | 89321017 |
|  |  | **217269110** |

---

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $1,245,722,146) | $**1300990646** |
|  | **RIGHTS — 0.0%** |  |
| 287741 | Abiomed, Inc., Expiration Date: December 30, 2029<sup>\*,4</sup> | 293496 |
| 773352 | Mercer Park Opportunities Corp., Expiration Date: Pending<sup>\*,1</sup> | 7733 |
|  | **TOTAL RIGHTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $293,496) | **301229** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Units |  |  |
|  | **UNITS — 2.7%** |  |
|  | **FINANCIALS — 2.7%** |  |
| 645532 | BTC Development Corp.<sup>\*,1</sup> | 6519873 |
| 193720 | Centurion Acquisition Corp. - Class A<sup>1,3,4</sup> | 2 |
| 242151 | Centurion Acquisition Corp. - Class B<sup>1,3,4</sup> | 2 |
| 1618249 | Drugs Made In America Acquisition II Corp.<sup>\*,1</sup> | 16093486 |
| 344236 | FutureCrest Acquisition Corp.<sup>\*,1</sup> | 3648902 |
| 196235 | GP-Act III Acquisition Corp. - Class A<sup>1,3,4</sup> | 2 |
| 245295 | GP-Act III Acquisition Corp. - Class B<sup>1,3,4</sup> | 3 |
| 813901 | GSR IV Acquisition Corp.<sup>\*,1</sup> | 8248887 |
| 214874 | Highview Merger Corp.<sup>\*,1</sup> | 2174525 |
| 343986 | M3-Brigade Acquisition VI Corp.<sup>\*,1</sup> | 3481138 |
| 1 | Spring Valley Acquisition Corp. III<sup>\*,1</sup> | 10 |
| 172112 | Trailblazer Acquisition Corp.<sup>\*,1</sup> | 1764148 |
|  |  | **41930978** |
|  | **TOTAL UNITS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $42,019,534) | **41930978** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **WARRANTS — 0.0%** |  |
| 103163 | Blue Water Acquisition Corp., Expiration Date: December 31, 2026<sup>\*,1</sup> | 14453 |
| 171764 | EQV Ventures Acquisition Corp. II, Expiration Date: June 30, 2031<sup>\*,1</sup> | 41224 |
| 773352 | Mercer Park Opportunities Corp., Expiration Date: August 28, 2029<sup>\*,1</sup> | 7734 |
| 98429 | Spring Valley Acquisition Corp. III, Expiration Date: September 30, 2030<sup>\*,1</sup> | 68900 |
| 49396 | Yorkville Acquisition Corp., Expiration Date: April 16, 2030<sup>\*,1</sup> | 58781 |
|  | **TOTAL WARRANTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $0) | **191092** |

---

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal <br> Amount ($) |  | Value |
|  | **SHORT-TERM INVESTMENTS — 13.8%** |  |
| 160888348 | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 3.98%<sup>2,6</sup> | $160888348 |
| 51457403 | UMB Bank, Money Market Special II Deposit Investment, 3.94%<sup>2,6</sup> | 51457403 |
|  | **TOTAL SHORT-TERM INVESTMENTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $212,345,751) | **212345751** |
|  | **TOTAL INVESTMENTS — 101.2%** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $1,500,380,927) | **1555759696** |
|  | Liabilities in Excess of Other Assets — (1.2)% | (18486508) |
|  | **TOTAL NET ASSETS — 100.0%** | $**1537273188** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **SECURITIES SOLD SHORT — (13.8)%** |  |
|  | **COMMON STOCKS — (12.0)%** |  |
|  | **FINANCIALS — (9.0)%** |  |
| (4296868) | Huntington Bancshares, Inc. | (74206910) |
| (3263161) | Rocket Cos., Inc. - Class A | (63240060) |
|  |  | **(137446970)** |
|  | **TECHNOLOGY — (3.0)%** |  |
| (226832) | Palo Alto Networks, Inc.<sup>\*</sup> | **(46187532)** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $166,030,877) | **(183634502)** |
|  | **MASTER LIMITED PARTNERSHIPS — (1.8)%** |  |
|  | **ENERGY — (1.8)%** |  |
| (713896) | Western Midstream Partners LP | **(28048974)** |
|  | **TOTAL MASTER LIMITED PARTNERSHIPS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $27,277,127) | **(28048974)** |
|  | **TOTAL SECURITIES SOLD SHORT** |  |
|  | (Proceeds $193,308,004) | $**(211683476)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Contracts |  |  |
|  | **WRITTEN OPTIONS CONTRACTS — (0.0)%** |  |
|  | **CALL OPTIONS — (0.0)%** |  |
|  | Electronic Arts, Inc. |  |
| (2151) | Exercise Price: $200.00, Notional Amount: $(43020000), <br> Expiration Date: October 17, 2025<sup>\*</sup> | (570015) |
|  | Verint Systems, Inc. |  |
| (111) | Exercise Price: $20.00, Notional Amount: $(222000), <br> Expiration Date: October 17, 2025<sup>\*</sup> | (3608) |

---

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Contracts |  | Value |
|  | **CALL OPTIONS (Continued)** |  |
|  | Zimvie, Inc. |  |
| (172) | Exercise Price: $20.00, Notional Amount: $(344000), <br> Expiration Date: April 17, 2026<sup>\*</sup> | $(2150) |
|  | **TOTAL CALL OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $826,219) | **(575773)** |
|  | **TOTAL WRITTEN OPTIONS CONTRACTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $826,219) | $**(575773)** |

---

LP — Limited Partnership

PLC — Public Limited Company

<sup>\*</sup> Non-income producing security.

<sup>1</sup> Foreign security denominated in U.S. Dollars.

<sup>2</sup> All or a portion of this security is segregated as collateral for securities sold short or written options contracts. The market value of the securities pledged as collateral is $280,219,392, which represents 18.23% of the total net assets of the Fund.

<sup>3</sup> Affiliated company.

<sup>4</sup> The value of these securities was determined using significant unobservable inputs. These are reported as Level 3 securities in the Fair Value Hierarchy.

<sup>5</sup> The rate is the annualized seven-day yield at period end.

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **ASSET-BACKED SECURITIES — 3.0%** |  |
| 2700000 | AMSR Trust<br> Series 2023-SFR2, Class F1, 3.950%, 6/17/2040 | $2554824 |
| 3000000 | Basepoint Mca Securitization II LLC<br> Series 2025-1A, Class B, 7.660%, 8/15/2031<sup>1</sup> | 3010950 |
| 1000000 | Cherry Securitization Trust<br> Series 2024-1A, Class C, 9.310%, 4/15/2032<sup>1</sup> | 1021571 |
| 1467803 | Dividend Solar Loans LLC<br> Series 2018-2, Class B, 4.250%, 12/20/2038<sup>1</sup> | 1352237 |
| 3563000 | Enterprise Fleet Financing LLC<br> Series 2024-3, Class A3, 4.980%, 8/21/2028<sup>1</sup> | 3619773 |
| 2000000 | Exeter Automobile Receivables Trust<br> Series 2024-3A, Class E, 7.840%, 10/15/2031<sup>1</sup> | 2096682 |
|  | Marlette Funding Trust |  |
| 1352 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class R, 0.000%, 4/15/2033<sup>1,2</sup> | 82472 |
| 3806 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class R, 0.000%, 6/15/2033<sup>1,2</sup> | 310379 |
| 1000000 | NMEF Funding, LLC<br> Series 2025-B, Class E, 7.660%, 1/18/2033<sup>1</sup> | 1010495 |
| 1385398 | NYMT Loan Trust<br> Series 2025-R1, Class A, 6.381%, 2/25/2030 | 1389097 |
| 1000000 | Point Securitization Trust<br> Series 2023-1, Class A2, 7.750%, 11/25/2053<sup>1,3</sup> | 1016869 |
|  | PRET LLC |  |
| 2150000 | &nbsp;&nbsp;&nbsp;Series 2025-NPL8, Class A2, 7.991%, 8/25/2055 | 2160703 |
| 2100000 | &nbsp;&nbsp;&nbsp;Series 2025-NPL9, Class A2, 7.507%, 8/25/2055 | 2105813 |
| 2066549 | Saluda Grade Alternative Mortgage Trust<br> Series 2025-NPL1, Class A1, 7.118%, 1/25/2030 | 2075481 |
| 2278904 | Santander Bank Auto Credit-Linked Notes<br> Series 2023-B, Class F, 12.240%, 12/15/2033<sup>1</sup> | 2372238 |
| 750000 | Truist Bank Auto Credit-Linked Notes<br> Series 2025-1, Class D, 9.685%, 9/26/2033<sup>1</sup> | 752140 |
| 2765959 | Unlock HEA Trust<br> Series 2024-2, Class A, 6.500%, 10/25/2039<sup>1</sup> | 2763456 |
| 250000 | UPX Trust<br> Series 2025-1, Class C, 7.670%, 1/25/2047<sup>1,4</sup> | 252006 |
| 2500000 | Zayo Issuer LLC<br> Series 2025-3A, Class C, 8.435%, 10/20/2055<sup>1</sup> | 2576055 |
|  | **TOTAL ASSET-BACKED SECURITIES** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $32,381,319) | **32523241** |
|  | **COLLATERALIZED LOAN OBLIGATIONS — 28.3%** |  |
|  | 720 East CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D, 9.468% (3-Month Term SOFR+515 basis points), 10/15/2036<sup>1,4,5,6</sup> | 1005776 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2023-IA, Class DR, 8.318% (3-Month Term SOFR+400 basis points), 4/15/2038<sup>1,4,5</sup> | $509817 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class ER, 6.675% (3-Month Term SOFR+550 basis points), 10/15/2038<sup>1,4,5</sup> | 1000000 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D1R, 6.925% (3-Month Term SOFR+275 basis points), 10/15/2038<sup>1,4,5</sup> | 1500000 |
|  | AIMCO CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-11A, Class D2R2, 8.522% (3-Month Term SOFR+420 basis points), 7/17/2037<sup>1,4,5</sup> | 1502812 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2019-10A, Class ERR, 9.982% (3-Month Term SOFR+565 basis points), 7/22/2037<sup>1,4,5,6</sup> | 510136 |
|  | Alinea CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class DR, 6.575% (3-Month Term SOFR+225 basis points), 7/20/2031<sup>1,4,5</sup> | 1503677 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class ER, 10.275% (3-Month Term SOFR+595 basis points), 7/20/2031<sup>1,4,5,6</sup> | 1253064 |
| 1000000 | Annisa CLO Ltd.<br> Series 2016-2A, Class DRR, 7.125% (3-Month Term SOFR+280 basis points), 7/20/2031<sup>1,4,5</sup> | 1003362 |
|  | Apidos CLO Ltd. |  |
| 1150000 | &nbsp;&nbsp;&nbsp;Series 2016-24A, Class DR, 10.387% (3-Month Term SOFR+606 basis points), 10/20/2030<sup>1,4,5</sup> | 1156156 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2019-31A, Class ER, 11.179% (3-Month Term SOFR+686 basis points), 4/15/2031<sup>1,4,5</sup> | 757534 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series XXXA, Class CR, 7.329% (3-Month Term SOFR+300 basis points), 10/18/2031<sup>1,4,5</sup> | 1507376 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2015-23A, Class DRR, 6.918% (3-Month Term SOFR+260 basis points), 4/15/2033<sup>1,4,5</sup> | 1988153 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-29A, Class D1R, 7.419% (3-Month Term SOFR+310 basis points), 7/25/2038<sup>1,4,5</sup> | 1517473 |
| 1350000 | &nbsp;&nbsp;&nbsp;Series 2017-28A, Class C1R, 7.124% (3-Month Term SOFR+285 basis points), 10/20/2038<sup>1,4,5</sup> | 1360750 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-54A, Class A1, 5.472% (3-Month Term SOFR+130 basis points), 10/20/2038<sup>1,4,5</sup> | 2007978 |
|  | Ares CLO Ltd. |  |
| 4000000 | &nbsp;&nbsp;&nbsp;Series 2016-39A, Class AR3, 5.749% (3-Month Term SOFR+142 basis points), 7/18/2037<sup>1,4,5</sup> | 4012980 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-76A, Class E, 11.486% (3-Month Term SOFR+716 basis points), 5/27/2038<sup>1,4,5</sup> | 1018682 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-54A, Class ER2, 10.311% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>1,4,5</sup> | 1010397 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-63A, Class D2R, 8.633% (3-Month Term SOFR+435 basis points), 10/15/2038<sup>1,4,5</sup> | 999470 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1950000 | Arini U.S. CLO Ltd.<br> Series 1A, Class D, 8.326% (3-Month Term SOFR+400 basis points), 4/15/2038<sup>1,4,5</sup> | $1984108 |
|  | Bain Capital Credit CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class DR, 7.275% (3-Month Term SOFR+295 basis points), 7/19/2031<sup>1,4,5</sup> | 1506883 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-2A, Class A1R, 5.482% (3-Month Term SOFR+115 basis points), 4/22/2035<sup>1,4,5</sup> | 1502997 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class A1R, 5.725% (3-Month Term SOFR+140 basis points), 7/16/2038<sup>1,4,5</sup> | 1508625 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D1R, 7.525% (3-Month Term SOFR+320 basis points), 7/16/2038<sup>1,4,5</sup> | 1011626 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D2R, 8.275% (3-Month Term SOFR+395 basis points), 7/16/2038<sup>1,4,5</sup> | 1502334 |
|  | Ballyrock CLO Ltd. |  |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2023-24A, Class DR, 10.328% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>1,4,5</sup> | 1266487 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2019-2A, Class C1R3, 7.629% (3-Month Term SOFR+270 basis points), 10/25/2038<sup>1,4,5</sup> | 1500000 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-2A, Class C2R3, 7.629% (3-Month Term SOFR+395 basis points), 10/25/2038<sup>1,4,5</sup> | 1000000 |
|  | Barings CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D1R, 7.725% (3-Month Term SOFR+340 basis points), 4/20/2038<sup>1,4,5</sup> | 1020407 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D2R, 9.325% (3-Month Term SOFR+500 basis points), 4/20/2038<sup>1,4,5</sup> | 1006598 |
|  | Battalion CLO Ltd. |  |
| 1837534 | &nbsp;&nbsp;&nbsp;Series 2020-15A, Class A1RR, 5.302% (3-Month Term SOFR+98 basis points), 1/17/2033<sup>1,4,5</sup> | 1838910 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-15A, Class BR, 5.822% (3-Month Term SOFR+150 basis points), 1/17/2033<sup>1,4,5</sup> | 1500187 |
| 675706 | Bear Stearns Asset Backed Securities Trust<br> Series 2004-HE5, Class M6, 9.897% (1-Month Term SOFR+574 basis points), 7/25/20341,5 | 615146 |
|  | Benefit Street Partners CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-23A, Class DR, 7.218% (3-Month Term SOFR+290 basis points), 4/25/2034<sup>1,4,5</sup> | 1010419 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-23A, Class ER, 9.568% (3-Month Term SOFR+525 basis points), 4/25/2034<sup>1,4,5</sup> | 1005664 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2024-36A, Class D1, 7.268% (3-Month Term SOFR+295 basis points), 1/25/2038<sup>1,4,5</sup> | 1008306 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2024-37A, Class A, 5.668% (3-Month Term SOFR+135 basis points), 1/25/2038<sup>1,4,5</sup> | 2009861 |
| 3500000 | &nbsp;&nbsp;&nbsp;Series 2015-6BR, Class D1R, 7.025% (3-Month Term SOFR+270 basis points), 4/20/2038<sup>1,4,5</sup> | 3526066 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-IVA, Class AR5, 5.204% (3-Month Term SOFR+125 basis points), 10/20/2038<sup>1,4,5</sup> | $1002717 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-42A, Class A, 5.371% (3-Month Term SOFR+130 basis points), 10/25/2038<sup>1,4,5</sup> | 2000000 |
| 500000 | Birch Grove CLO Ltd.<br> Series 2024-8A, Class E, 11.425% (3-Month Term SOFR+710 basis points), 4/20/2037<sup>1,4,5</sup> | 513222 |
| 1000000 | BlueMountain CLO Ltd.<br> Series 2020-30A, Class DR, 7.618% (3-Month Term SOFR+330 basis points), 4/15/2035<sup>1,4,5</sup> | 1002504 |
| 1900000 | BlueMountain Fuji U.S. CLO Ltd.<br> Series 2017-2A, Class C, 7.587% (3-Month Term SOFR+326 basis points), 10/20/2030<sup>1,4,5</sup> | 1904694 |
|  | Bryant Park Funding Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2024-23A, Class E, 10.941% (3-Month Term SOFR+673 basis points), 5/15/2037<sup>1,4,5</sup> | 1009607 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-17RA, Class D1R, 7.575% (3-Month Term SOFR+325 basis points), 1/20/2038<sup>1,4,5</sup> | 1011177 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-17RA, Class ER, 11.255% (3-Month Term SOFR+693 basis points), 1/20/2038<sup>1,4,5</sup> | 1009953 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2023-20A, Class DR, 7.725% (3-Month Term SOFR+340 basis points), 4/15/2038<sup>1,4,5</sup> | 2041612 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-21A, Class ER, 9.161% (3-Month Term SOFR+525 basis points), 10/18/2038<sup>1,4,5</sup> | 1000000 |
|  | Carlyle Global Market Strategies CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2014-2RA, Class C, 7.273% (3-Month Term SOFR+306 basis points), 5/15/2031<sup>1,4,5,6</sup> | 1508299 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-4A, Class CR, 8.287% (3-Month Term SOFR+396 basis points), 7/20/2032<sup>1,4,5,6</sup> | 1003403 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-4A, Class CR2, 8.287% (3-Month Term SOFR+255 basis points), 7/20/2032<sup>1,4,5</sup> | 1000000 |
| 1000000 | Carlyle U.S. CLO Ltd.<br> Series 2023-5A, Class D, 9.414% (3-Month Term SOFR+510 basis points), 1/27/2036<sup>1,4,5,6</sup> | 1014707 |
|  | CBAMR Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class BR, 6.081% (3-Month Term SOFR+180 basis points), 3/31/2038<sup>1,4,5</sup> | 1004620 |
| 2250000 | &nbsp;&nbsp;&nbsp;Series 2018-5A, Class D1R, 7.112% (3-Month Term SOFR+300 basis points), 10/17/2038<sup>1,4,5</sup> | 2249848 |
|  | Cedar Funding CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-7A, Class DR, 7.075% (3-Month Term SOFR+275 basis points), 1/20/2031<sup>1,4,5</sup> | 1003978 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2016-5A, Class DR, 7.584% (3-Month Term SOFR+326 basis points), 7/17/2031<sup>1,4,5</sup> | 1004773 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2016-6A, Class DRR, 7.897% (3-Month Term SOFR+357 basis points), 4/20/2034<sup>1,4,5,6</sup> | $1253228 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-4A, Class DR3, 7.619% (3-Month Term SOFR+330 basis points), 1/23/2038<sup>1,4,5</sup> | 1020027 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-19A, Class A1, 5.649% (3-Month Term SOFR+133 basis points), 1/23/2038<sup>1,4,5</sup> | 1507408 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2023-17A, Class D1R, 7.375% (3-Month Term SOFR+305 basis points), 7/20/2038<sup>1,4,5</sup> | 2023405 |
|  | CIFC Funding Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class D, 10.680% (3-Month Term SOFR+636 basis points), 10/24/2030<sup>1,4,5,6</sup> | 1503288 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2013-3RA, Class CR, 6.819% (3-Month Term SOFR+250 basis points), 4/24/2031<sup>1,4,5</sup> | 1502830 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2013-3RA, Class D, 10.480% (3-Month Term SOFR+616 basis points), 4/24/2031<sup>1,4,5</sup> | 1497883 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class D1R, 7.375% (3-Month Term SOFR+305 basis points), 10/20/2037<sup>1,4,5</sup> | 1001313 |
| 1000000 | Cook Park CLO Ltd.<br> Series 2018-1A, Class E, 9.984% (3-Month Term SOFR+566 basis points), 4/17/2030<sup>1,4,5</sup> | 1003864 |
|  | Creeksource Dunes Creek CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class D, 7.418% (3-Month Term SOFR+310 basis points), 1/15/2038<sup>1,4,5</sup> | 1516848 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class E, 10.468% (3-Month Term SOFR+615 basis points), 1/15/2038<sup>1,4,5</sup> | 764087 |
|  | Dewolf Park CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class DR, 7.429% (3-Month Term SOFR+311 basis points), 10/15/2030<sup>1,4,5</sup> | 1003508 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class E, 10.779% (3-Month Term SOFR+646 basis points), 10/15/2030<sup>1,4,5,6</sup> | 1005033 |
|  | Dryden CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-102A, Class D1R, 6.805% (3-Month Term SOFR+290 basis points), 10/15/2038<sup>1,4,5</sup> | 999973 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-102A, Class ER, 9.755% (3-Month Term SOFR+585 basis points), 10/15/2038<sup>1,4,5</sup> | 999973 |
|  | Dryden Senior Loan Fund |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-30A, Class DR, 7.073% (3-Month Term SOFR+286 basis points), 11/15/2028<sup>1,4,5</sup> | 1005731 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-30A, Class ER, 10.223% (3-Month Term SOFR+601 basis points), 11/15/2028<sup>1,4,5</sup> | 996007 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-54A, Class D, 7.687% (3-Month Term SOFR+336 basis points), 10/19/2029<sup>1,4,5</sup> | 1004014 |
| 1925419 | &nbsp;&nbsp;&nbsp;Series 2016-45A, Class A1RR, 5.398% (3-Month Term SOFR+108 basis points), 10/15/2030<sup>1,4,5</sup> | 1926722 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 950000 | &nbsp;&nbsp;&nbsp;Series 2016-45A, Class DRR, 7.368% (3-Month Term SOFR+305 basis points), 10/15/2030<sup>1,4,5</sup> | $955700 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-41A, Class DR, 7.179% (3-Month Term SOFR+286 basis points), 4/15/2031<sup>1,4,5</sup> | 1005127 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2015-40A, Class DR, 7.573% (3-Month Term SOFR+336 basis points), 8/15/2031<sup>1,4,5</sup> | 502022 |
| 1200000 | &nbsp;&nbsp;&nbsp;Series 2018-61A, Class DR, 7.684% (3-Month Term SOFR+336 basis points), 1/17/2032<sup>1,4,5</sup> | 1201916 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-80A, Class DR, 7.422% (3-Month Term SOFR+310 basis points), 1/17/2033<sup>1,4,5</sup> | 994250 |
|  | Eaton Vance CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-1A, Class DR, 7.087% (3-Month Term SOFR+276 basis points), 1/20/2030<sup>1,4,5</sup> | 1004013 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class ERR, 10.568% (3-Month Term SOFR+625 basis points), 10/15/2037<sup>1,4,5</sup> | 995417 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class AR4, 5.623% (3-Month Term SOFR+134 basis points), 10/15/2038<sup>1,4,5</sup> | 2009243 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class D1R4, 7.283% (3-Month Term SOFR+300 basis points), 10/15/2038<sup>1,4,5</sup> | 1011425 |
|  | Elevation CLO Ltd. |  |
| 703775 | &nbsp;&nbsp;&nbsp;Series 2018-10A, Class AR, 5.245% (3-Month Term SOFR+92 basis points), 10/20/2031<sup>1,4,5</sup> | 704591 |
| 1750000 | &nbsp;&nbsp;&nbsp;Series 2022-6A, Class D1R2, 6.611% (3-Month Term SOFR+270 basis points), 10/17/2038<sup>1,4,5</sup> | 1750000 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2022-6A, Class ER2, 9.061% (3-Month Term SOFR+515 basis points), 10/17/2038<sup>1,4,5</sup> | 1250000 |
|  | Elmwood CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class AR, 5.789% (3-Month Term SOFR+146 basis points), 4/18/2037<sup>1,4,5</sup> | 2006244 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D2R, 8.272% (3-Month Term SOFR+395 basis points), 4/17/2038<sup>1,4,5</sup> | 751081 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2021-2A, Class D1R, 6.975% (3-Month Term SOFR+265 basis points), 4/20/2038<sup>1,4,5</sup> | 2513687 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2021-3A, Class DR2, 7.308% (3-Month Term SOFR+305 basis points), 7/20/2038<sup>1,4,5</sup> | 2529234 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2021-3A, Class ER2, 10.208% (3-Month Term SOFR+595 basis points), 7/20/2038<sup>1,4,5</sup> | 1515571 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-1A, Class A1R, 5.579% (3-Month Term SOFR+130 basis points), 10/20/2038<sup>1,4,5</sup> | 1508036 |
|  | Empower CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-1A, Class D1R, 7.325% (3-Month Term SOFR+300 basis points), 10/20/2037<sup>1,4,5</sup> | 1502608 |
| 3000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D1R, 8.168% (3-Month Term SOFR+385 basis points), 4/25/2038<sup>1,4,5</sup> | 3060311 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class ER, 11.658% (3-Month Term SOFR+734 basis points), 4/25/2038<sup>1,4,5</sup> | $1022417 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-1A, Class D1, 7.277% (3-Month Term SOFR+295 basis points), 7/20/2038<sup>1,4,5</sup> | 2017130 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-1A, Class D2, 8.827% (3-Month Term SOFR+450 basis points), 7/20/2038<sup>1,4,5</sup> | 1004788 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class AR, 5.610% (3-Month Term SOFR+132 basis points), 10/15/2038<sup>1,4,5</sup> | 2513402 |
|  | Flatiron CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class ER, 10.654% (3-Month Term SOFR+645 basis points), 5/20/2036<sup>1,4,5</sup> | 1000000 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class E, 12.148% (3-Month Term SOFR+783 basis points), 1/15/2037<sup>1,4,5</sup> | 767310 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class D2R2, 7.975% (3-Month Term SOFR+395 basis points), 11/20/2038<sup>1,4,5</sup> | 1000000 |
| 1750000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class ER2, 9.275% (3-Month Term SOFR+525 basis points), 11/20/2038<sup>1,4,5</sup> | 1750000 |
|  | Galaxy CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-26A, Class E, 10.315% (3-Month Term SOFR+611 basis points), 11/22/2031<sup>1,4,5,6</sup> | 1005005 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2017-24A, Class AR, 5.858% (3-Month Term SOFR+154 basis points), 4/15/2037<sup>1,4,5</sup> | 1505353 |
| 2000000 | Generate CLO Ltd.<br> Series 3A, Class D2R, 9.225% (3-Month Term SOFR+490 basis points), 10/20/2036<sup>1,4,5</sup> | 2014617 |
|  | Invesco U.S. CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class ER, 12.205% (3-Month Term SOFR+788 basis points), 4/21/2038<sup>1,4,5</sup> | 1030620 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-3A, Class D1R, 7.368% (3-Month Term SOFR+305 basis points), 7/15/2038<sup>1,4,5</sup> | 1517554 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-1A, Class D, 7.381% (3-Month Term SOFR+310 basis points), 7/15/2038<sup>1,4,5</sup> | 2000000 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2025-1A, Class E, 10.281% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>1,4,5</sup> | 756668 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-2A, Class D, 7.291% (3-Month Term SOFR+300 basis points), 7/15/2038<sup>1,4,5</sup> | 1016772 |
| 1000000 | Jamestown CLO Ltd.<br> Series 2018-11A, Class D, 10.602% (3-Month Term SOFR+628 basis points), 7/14/2031<sup>1,4,5</sup> | 988458 |
|  | KKR CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 18, Class A1R2, 5.191% (3-Month Term SOFR+105 basis points), 10/18/2035<sup>1,4,5</sup> | 1000686 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 44A, Class D, 9.325% (3-Month Term SOFR+500 basis points), 1/20/2036<sup>1,4,5</sup> | 1004032 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Madison Park Funding Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2014-14A, Class CR4, 6.282% (3-Month Term SOFR+195 basis points), 10/22/2030<sup>1,4,5</sup> | $751230 |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2019-34A, Class D1RR, 7.668% (3-Month Term SOFR+335 basis points), 10/16/2037<sup>1,4,5</sup> | 1814534 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-27A, Class A1R, 5.525% (3-Month Term SOFR+120 basis points), 4/20/2038<sup>1,4,5</sup> | 1001500 |
|  | Magnetite CLO Ltd. |  |
| 1100000 | &nbsp;&nbsp;&nbsp;Series 2020-25A, Class E, 10.930% (3-Month Term SOFR+661 basis points), 1/25/2032<sup>1,4,5</sup> | 1107473 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2022-35A, Class ER, 11.568% (3-Month Term SOFR+725 basis points), 10/25/2036<sup>1,4,5</sup> | 1261552 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2024-44A, Class D1, 7.168% (3-Month Term SOFR+285 basis points), 10/15/2037<sup>1,4,5</sup> | 1256112 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-28A, Class D1RR, 7.018% (3-Month Term SOFR+270 basis points), 1/15/2038<sup>1,4,5</sup> | 1008375 |
| 5955000 | &nbsp;&nbsp;&nbsp;Series 2020-26A, Class D1R2, 6.091% (3-Month Term SOFR+250 basis points), 1/25/2038<sup>1,4,5</sup> | 5966849 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2020-27A, Class D1RR, 6.584% (3-Month Term SOFR+265 basis points), 10/20/2038<sup>1,4,5</sup> | 750000 |
| 1000000 | Marble Point CLO Ltd.<br> Series 2019-1A, Class BR2, 5.919% (3-Month Term SOFR+160 basis points), 7/23/2032<sup>1,4,5</sup> | 1001453 |
|  | Menlo CLO Ltd. |  |
| 1375000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class D1, 7.575% (3-Month Term SOFR+325 basis points), 1/20/2038<sup>1,4,5</sup> | 1402552 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2025-2A, Class D1, 7.627% (3-Month Term SOFR+330 basis points), 4/20/2038<sup>1,4,5</sup> | 1530610 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-3A, Class D, 6.894% (3-Month Term SOFR+300 basis points), 10/16/2038<sup>1,4,5</sup> | 1000000 |
|  | Morgan Stanley Eaton Vance CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-18A, Class D1R, 7.425% (3-Month Term SOFR+310 basis points), 10/20/2037<sup>1,4,5</sup> | 998927 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-1A, Class ER, 10.004% (3-Month Term SOFR+606 basis points), 10/23/2037<sup>1,4,5</sup> | 1011200 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-19A, Class D1R, 7.318% (3-Month Term SOFR+300 basis points), 7/15/2038<sup>1,4,5,6</sup> | 1011721 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-19A, Class D2R, 8.818% (3-Month Term SOFR+450 basis points), 7/15/2038<sup>1,4,5</sup> | 1001661 |
| 1000000 | Mountain View CLO Ltd.<br> Series 2019-2A, Class DR, 8.918% (3-Month Term SOFR+460 basis points), 7/15/2037<sup>1,4,5</sup> | 1004931 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Neuberger Berman CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2016-22A, Class ER2, 11.152% (3-Month Term SOFR+683 basis points), 4/15/2038<sup>1,4,5</sup> | $1024181 |
| 3500000 | &nbsp;&nbsp;&nbsp;Series 2017-16SA, Class A1R2, 5.498% (3-Month Term SOFR+118 basis points), 4/15/2039<sup>1,4,5</sup> | 3507009 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2017-16SA, Class D1R2, 7.018% (3-Month Term SOFR+270 basis points), 4/15/2039<sup>1,4,5</sup> | 2016374 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2019-32RA, Class D1, 7.279% (3-Month Term SOFR+295 basis points), 7/20/2039<sup>1,4,5</sup> | 2014932 |
|  | Neuberger Berman Loan Advisers CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-27A, Class D2R, 8.818% (3-Month Term SOFR+450 basis points), 7/15/2038<sup>1,4,5</sup> | 1003929 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-28A, Class D1R, 7.525% (3-Month Term SOFR+320 basis points), 10/20/2038<sup>1,4,5</sup> | 1003690 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2019-31A, Class AR2, 5.555% (3-Month Term SOFR+123 basis points), 1/20/2039<sup>1,4,5</sup> | 2508640 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-33A, Class D2R2, 8.468% (3-Month Term SOFR+415 basis points), 4/16/2039<sup>1,4,5</sup> | 1001684 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-60A, Class E, 10.812% (3-Month Term SOFR+648 basis points), 4/22/2039<sup>1,4,5</sup> | 1018135 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-36RA, Class D, 7.032% (3-Month Term SOFR+275 basis points), 7/20/2039<sup>1,4,5</sup> | 1511261 |
|  | New Mountain CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series CLO-1A, Class DRR, 7.168% (3-Month Term SOFR+285 basis points), 1/15/2038<sup>1,4,5</sup> | 1008345 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series CLO-4A, Class ER, 11.235% (3-Month Term SOFR+691 basis points), 3/20/2038<sup>1,4,5</sup> | 1010072 |
| 1000000 | Newark BSL CLO Ltd.<br> Series 2017-1A, Class D, 10.880% (3-Month Term SOFR+656 basis points), 7/25/2030<sup>1,4,5</sup> | 1003909 |
|  | Oaktree CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-1A, Class DR, 7.445% (3-Month Term SOFR+310 basis points), 7/15/2038<sup>1,4,5</sup> | 1008581 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-1A, Class ER, 10.345% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>1,4,5</sup> | 1494110 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class A1R, 5.675% (3-Month Term SOFR+135 basis points), 7/20/2038<sup>1,4,5</sup> | 2009345 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D1R, 7.375% (3-Month Term SOFR+305 basis points), 7/20/2038<sup>1,4,5</sup> | 2023405 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class ER, 10.325% (3-Month Term SOFR+600 basis points), 7/20/2038<sup>1,4,5</sup> | 1010388 |
|  | OCP CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-5A, Class BR, 6.375% (3-Month Term SOFR+206 basis points), 4/26/2031<sup>1,4,5,6</sup> | 1001672 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-5A, Class CR, 7.475% (3-Month Term SOFR+316 basis points), 4/26/2031<sup>1,4,5,6</sup> | $1005373 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-16A, Class DR, 7.740% (3-Month Term SOFR+341 basis points), 4/10/2033<sup>1,4,5</sup> | 1002495 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-30A, Class D, 8.819% (3-Month Term SOFR+450 basis points), 1/24/2037<sup>1,4,5</sup> | 1014950 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-30A, Class E, 11.409% (3-Month Term SOFR+709 basis points), 1/24/2037<sup>1,4,5</sup> | 1028257 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-20A, Class D1R, 7.929% (3-Month Term SOFR+360 basis points), 4/18/2037<sup>1,4,5</sup> | 1003210 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-22A, Class D1R, 7.325% (3-Month Term SOFR+300 basis points), 10/20/2037<sup>1,4,5</sup> | 1008142 |
| 2000000 | Octagon Investment Partners Ltd.<br> Series 2018-18A, Class C, 7.279% (3-Month Term SOFR+296 basis points), 4/16/2031<sup>1,4,5,6</sup> | 2007626 |
| 2000000 | OHA Credit Funding Ltd.<br> Series 2021-8A, Class D1R, 6.975% (3-Month Term SOFR+265 basis points), 1/20/2038<sup>1,4,5</sup> | 2010792 |
|  | OZLM Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-22A, Class C, 7.234% (3-Month Term SOFR+291 basis points), 1/17/2031<sup>1,4,5</sup> | 1005368 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-21A, Class C, 7.257% (3-Month Term SOFR+293 basis points), 1/20/2031<sup>1,4,5</sup> | 1004533 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-18A, Class D, 7.429% (3-Month Term SOFR+311 basis points), 4/15/2031<sup>1,4,5</sup> | 1004975 |
| 1120000 | &nbsp;&nbsp;&nbsp;Series 2018-20A, Class C, 7.537% (3-Month Term SOFR+321 basis points), 4/20/2031<sup>1,4,5</sup> | 1124593 |
| 500000 | Palmer Square Loan Funding Ltd.<br> Series 2020-1A, Class SUB, 0.000%, 2/20/20281,2,4,7,8 |  |
|  | Post CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2021-1A, Class DR, 7.318% (3-Month Term SOFR+300 basis points), 10/15/2034<sup>1,4,5</sup> | 749131 |
| 1205000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D, 9.575% (3-Month Term SOFR+525 basis points), 4/20/2036<sup>1,4,5</sup> | 1209358 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class E, 11.125% (3-Month Term SOFR+680 basis points), 4/20/2037<sup>1,4,5</sup> | 1013735 |
| 2000000 | Rad CLO Ltd.<br> Series 2021-15A, Class A1AR, 5.700% (3-Month Term SOFR+136 basis points), 7/20/2040<sup>1,4,5</sup> | 2010403 |
|  | Regatta Funding Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-2A, Class ER, 11.418% (3-Month Term SOFR+710 basis points), 1/15/2033<sup>1,4,5</sup> | 1007747 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class A1R3, 5.050% (3-Month Term SOFR+107 basis points), 6/20/2034<sup>1,4,5</sup> | 2000000 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class A1R2, 5.415% (3-Month Term SOFR+141 basis points), 6/20/2034<sup>1,4,5</sup> | $1000000 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class ER2, 10.665% (3-Month Term SOFR+666 basis points), 6/20/2034<sup>1,4,5</sup> | 1250000 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D, 9.568% (3-Month Term SOFR+525 basis points), 1/25/2037<sup>1,4,5</sup> | 1016144 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class D1R, 8.022% (3-Month Term SOFR+370 basis points), 4/17/2037<sup>1,4,5</sup> | 1512237 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class D2R, 9.322% (3-Month Term SOFR+500 basis points), 4/17/2037<sup>1,4,5</sup> | 501783 |
| 1300000 | &nbsp;&nbsp;&nbsp;Series 2021-3A, Class D1R, 7.418% (3-Month Term SOFR+310 basis points), 10/15/2037<sup>1,4,5</sup> | 1310770 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2021-5A, Class D2R, 8.325% (3-Month Term SOFR+400 basis points), 1/20/2038<sup>1,4,5</sup> | 751915 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-4A, Class A1, 5.628% (3-Month Term SOFR+134 basis points), 7/25/2038<sup>1,4,5</sup> | 2010061 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2025-5A, Class D1, 7.085% (3-Month Term SOFR+280 basis points), 10/15/2038<sup>1,4,5</sup> | 2511107 |
| 1500000 | Regatta VII Funding Ltd.<br> Series 2016-1A, Class ER3, 10.380% (3-Month Term SOFR+640 basis points), 6/20/2034<sup>1,4,5</sup> | 1500000 |
| 2500000 | Riserva CLO Ltd.<br> Series 2016-3A, Class DRR, 7.841% (3-Month Term SOFR+351 basis points), 1/18/2034<sup>1,4,5</sup> | 2495625 |
| 734000 | Rockford Tower CLO Ltd.<br> Series 2017-2A, Class ER, 10.829% (3-Month Term SOFR+651 basis points), 10/15/2029<sup>1,4,5</sup> | 741253 |
| 2000000 | RR 36 Ltd.<br> Series 2024-36RA, Class C1R, 7.068% (3-Month Term SOFR+275 basis points), 1/15/2040<sup>1,4,5</sup> | 2018897 |
|  | Sculptor CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 30A, Class ER, 11.087% (3-Month Term SOFR+682 basis points), 7/20/2038<sup>1,4,5</sup> | 757648 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 29A, Class D1R, 7.887% (3-Month Term SOFR+340 basis points), 7/22/2038<sup>1,4,5</sup> | 1510612 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 29A, Class D2R, 8.837% (3-Month Term SOFR+435 basis points), 7/22/2038<sup>1,4,5</sup> | 1004651 |
|  | Shackleton CLO Ltd. |  |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2019-14A, Class DRR, 7.325% (3-Month Term SOFR+300 basis points), 7/20/2034<sup>1,4,5</sup> | 1263936 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2019-14A, Class ERR, 10.225% (3-Month Term SOFR+590 basis points), 7/20/2034<sup>1,4,5</sup> | 1254421 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Signal Peak CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class BR2, 5.808% (3-Month Term SOFR+165 basis points), 10/26/2034<sup>1,4,5</sup> | $1000000 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-5A, Class D1R, 8.518% (3-Month Term SOFR+420 basis points), 4/25/2037<sup>1,4,5</sup> | 1012820 |
|  | Silver Point CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D1R, 7.475% (3-Month Term SOFR+315 basis points), 4/20/2038<sup>1,4,5</sup> | 1521716 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2025-11A, Class D1, 7.283% (3-Month Term SOFR+300 basis points), 7/15/2038<sup>1,4,5</sup> | 1511024 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2025-12A, Class A1, 5.312% (3-Month Term SOFR+131 basis points), 10/15/2038<sup>1,4,5</sup> | 1500000 |
| 2350000 | Sixth Street CLO Ltd.<br> Series 2023-22A, Class D1R, 6.975% (3-Month Term SOFR+265 basis points), 4/21/2038<sup>1,4,5</sup> | 2362862 |
|  | Sound Point CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class C, 7.087% (3-Month Term SOFR+276 basis points), 1/21/2031<sup>1,4,5,6</sup> | 1002523 |
| 1350000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class D, 7.575% (3-Month Term SOFR+326 basis points), 7/26/2031<sup>1,4,5</sup> | 1356827 |
| 1000000 | Symphony CLO Ltd.<br> Series 2023-39A, Class AR, 5.648% (3-Month Term SOFR+133 basis points), 1/25/2038<sup>1,4,5</sup> | 1004936 |
|  | THL Credit Wind River CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2015-1A, Class ER, 10.387% (3-Month Term SOFR+606 basis points), 10/20/2030<sup>1,4,5,6</sup> | 1962320 |
| 888996 | &nbsp;&nbsp;&nbsp;Series 2019-3A, Class AR2, 5.378% (3-Month Term SOFR+106 basis points), 4/15/2031<sup>1,4,5</sup> | 889572 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2019-3A, Class DR2, 7.418% (3-Month Term SOFR+310 basis points), 4/15/2031<sup>1,4,5</sup> | 753486 |
|  | Trestles CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-8A, Class D1, 7.297% (3-Month Term SOFR+300 basis points), 6/11/2035<sup>1,4,5</sup> | 999571 |
| 2250000 | &nbsp;&nbsp;&nbsp;Series 2023-6A, Class A1R, 5.498% (3-Month Term SOFR+118 basis points), 4/25/2038<sup>1,4,5</sup> | 2256181 |
|  | Trinitas CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-15A, Class E, 12.044% (3-Month Term SOFR+771 basis points), 4/24/2034<sup>1,4,5</sup> | 987500 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-25A, Class D1, 9.319% (3-Month Term SOFR+500 basis points), 1/23/2037<sup>1,4,5</sup> | 1003218 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-21A, Class C1R, 6.275% (3-Month Term SOFR+195 basis points), 4/20/2038<sup>1,4,5</sup> | 1016246 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-34A, Class D1, 8.327% (3-Month Term SOFR+400 basis points), 4/22/2038<sup>1,4,5</sup> | 2039863 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-34A, Class E, 11.487% (3-Month Term SOFR+716 basis points), 4/22/2038<sup>1,4,5</sup> | $1020445 |
|  | Upland CLO Ltd. |  |
| 431185 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class A1AR, 5.607% (3-Month Term SOFR+128 basis points), 4/20/2031<sup>1,4,5,6</sup> | 431518 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class CR, 7.487% (3-Month Term SOFR+316 basis points), 4/20/2031<sup>1,4,5</sup> | 753929 |
| 1140349 | Venture CLO Ltd.<br> Series 2019-38A, Class ARR, 5.310% (3-Month Term SOFR+100 basis points), 7/30/2032<sup>1,4,5</sup> | 1137723 |
| 1000000 | Verdelite Static CLO Ltd.<br> Series 2024-1A, Class D, 7.175% (3-Month Term SOFR+285 basis points), 7/20/2032<sup>1,4,5</sup> | 1002748 |
|  | Voya CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class C, 7.914% (3-Month Term SOFR+359 basis points), 4/17/2030<sup>1,4,5</sup> | 753758 |
| 716000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class CR, 7.529% (3-Month Term SOFR+321 basis points), 10/15/2030<sup>1,4,5</sup> | 717986 |
| 1325000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class CR, 7.237% (3-Month Term SOFR+291 basis points), 1/20/2031<sup>1,4,5</sup> | 1320924 |
| 2127000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class C, 7.187% (3-Month Term SOFR+286 basis points), 4/19/2031<sup>1,4,5</sup> | 2139798 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class D, 7.329% (3-Month Term SOFR+301 basis points), 7/15/2031<sup>1,4,5,6</sup> | 1254741 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-3A, Class CRR, 7.840% (3-Month Term SOFR+351 basis points), 10/18/2031<sup>1,4,5</sup> | 1002830 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-3A, Class CR4, 7.225% (3-Month Term SOFR+290 basis points), 10/20/2031<sup>1,4,5</sup> | 1000000 |
| 5000000 | &nbsp;&nbsp;&nbsp;Series 2017-3A, Class CRR, 7.425% (3-Month Term SOFR+310 basis points), 4/20/2034<sup>1,4,5</sup> | 5012808 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-4A, Class ER, 11.025% (3-Month Term SOFR+670 basis points), 4/20/2037<sup>1,4,5,6</sup> | 1012054 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-1A, Class A1RR, 5.688% (3-Month Term SOFR+137 basis points), 10/15/2037<sup>1,4,5</sup> | 1002857 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-1A, Class D1RR, 7.368% (3-Month Term SOFR+305 basis points), 10/15/2037<sup>1,4,5</sup> | 1006192 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-2A, Class D2RR, 8.325% (3-Month Term SOFR+400 basis points), 1/20/2038<sup>1,4,5</sup> | 1000471 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-3A, Class ARR, 5.575% (3-Month Term SOFR+125 basis points), 1/20/2038<sup>1,4,5</sup> | 1505173 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-3A, Class D1RR, 7.025% (3-Month Term SOFR+270 basis points), 1/20/2038<sup>1,4,5</sup> | 1008370 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-3A, Class D2RR, 8.175% (3-Month Term SOFR+385 basis points), 1/20/2038<sup>1,4,5</sup> | 995356 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Whitebox CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2023-4A, Class D1R, 8.225% (3-Month Term SOFR+390 basis points), 4/20/2036<sup>1,4,5</sup> | $1504221 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-4A, Class ER, 10.805% (3-Month Term SOFR+648 basis points), 4/20/2036<sup>1,4,5</sup> | 1019845 |
|  | **TOTAL COLLATERALIZED LOAN OBLIGATIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $302,551,888) | **305422263** |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS — 11.5%** |  |
|  | Alternative Loan Trust |  |
| 1205666 | &nbsp;&nbsp;&nbsp;Series 2005-61, Class 2A3, 5.112% (1-Month Term SOFR+95 basis points), 12/25/2035 | 1052933 |
| 3717063 | &nbsp;&nbsp;&nbsp;Series 2006-HY10, Class 1X, 0.476%, 5/25/2036<sup>1,8</sup> | 69635 |
|  | Chase Home Lending Mortgage Trust |  |
| 389230 | &nbsp;&nbsp;&nbsp;Series 2024-5, Class A4, 6.000%, 4/25/2055<sup>1,8</sup> | 395873 |
| 2861517 | &nbsp;&nbsp;&nbsp;Series 2025-8, Class A4, 6.000%, 6/25/2056<sup>1,8</sup> | 2900880 |
| 2558847 | Chase Mortgage Finance Trust<br> Series 2007-A1, Class 1M, 6.327%, 2/25/2037<sup>1,8</sup> | 2112062 |
| 1435387 | CHL Mortgage Pass-Through Trust<br> Series 2005-HYB2, Class M, 5.063%, 5/20/2035<sup>1,8</sup> | 1189208 |
| 642811 | Citigroup Mortgage Loan Trust<br> Series 2022-A, Class A1, 9.170%, 9/25/2062 | 644885 |
| 1000000 | COLT Mortgage Loan Trust<br> Series 2025-7, Class B1, 6.922%, 6/25/2070 | 1008404 |
|  | Connecticut Avenue Securities Trust |  |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2021-R01, Class 1B2, 10.356% (30-Day SOFR Average+600 basis points), 10/25/2041 | 1869318 |
| 1950000 | &nbsp;&nbsp;&nbsp;Series 2021-R02, Class 2B2, 10.556% (30-Day SOFR Average+620 basis points), 11/25/2041 | 2033977 |
| 1700000 | &nbsp;&nbsp;&nbsp;Series 2022-R01, Class 1B2, 10.356% (30-Day SOFR Average+600 basis points), 12/25/2041 | 1776918 |
| 1610000 | &nbsp;&nbsp;&nbsp;Series 2022-R04, Class 1B2, 13.856% (30-Day SOFR Average+950 basis points), 3/25/2042 | 1774688 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-R05, Class 2B2, 11.356% (30-Day SOFR Average+700 basis points), 4/25/2042 | 1612041 |
| 1646000 | Cross Mortgage Trust<br> Series 2025-H6, Class B1B, 7.587%, 7/25/2070 | 1645027 |
|  | CSMC Trust |  |
| 2400000 | &nbsp;&nbsp;&nbsp;Series 2019-RPL1, Class B2, 4.108%, 7/25/2058 | 1724808 |
| 269626 | &nbsp;&nbsp;&nbsp;Series 2021-RPL4, Class A2, 7.559%, 12/27/2060 | 269696 |
| 1800000 | EFMT<br> Series 2024-NQM1, Class B1B, 7.575%, 11/25/2069 | 1811338 |
|  | Fannie Mae REMICS |  |
| 1185013 | &nbsp;&nbsp;&nbsp;Series 2023-51, Class PO, 0.000%, 11/25/2053 | 1037874 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS (Continued)** |  |
| 1450285 | &nbsp;&nbsp;&nbsp;Series 2025-6, Class FB, 6.000% (30-Day SOFR Average+200 basis points), 2/25/2055 | $1474415 |
| 1735315 | &nbsp;&nbsp;&nbsp;Series 2025-49, Class FA, 5.156% (30-Day SOFR Average+80 basis points), 6/25/2055 | 1724941 |
|  | FARM Mortgage Trust |  |
| 1366366 | &nbsp;&nbsp;&nbsp;Series 2021-1, Class B, 3.231%, 7/25/2051 | 1037548 |
| 2923083 | &nbsp;&nbsp;&nbsp;Series 2023-1, Class B, 3.039%, 3/25/2052 | 2196410 |
|  | Fidelis Mortgage Trust |  |
| 182000 | &nbsp;&nbsp;&nbsp;Series 2025-RTL1, Class B, 8.950%, 2/27/2040 | 182932 |
|  | Freddie Mac REMICS |  |
| 1476385 | &nbsp;&nbsp;&nbsp;Series 5435, Class BS, 3.213% (30-Day SOFR Average+1,193 basis points), 7/25/2054 | 1390187 |
| 1444724 | &nbsp;&nbsp;&nbsp;Series 5502, Class FC, 6.000% (30-Day SOFR Average+200 basis points), 2/25/2055 | 1468760 |
|  | Freddie Mac Seasoned Credit Risk Transfer Trust |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-1, Class M, 4.500%, 11/25/2061 | 928236 |
|  | Freddie Mac STACR REMIC Trust |  |
| 1631885 | &nbsp;&nbsp;&nbsp;Series 2021-HQA4, Class M1, 5.306% (30-Day SOFR Average+95 basis points), 12/25/2041 | 1632980 |
| 1760017 | &nbsp;&nbsp;&nbsp;Series 2022-DNA5, Class B2, 17.256% (30-Day SOFR Average+1,290 basis points), 6/25/2042 | 2059549 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-DNA3, Class A1, 5.320% (30-Day SOFR Average+95 basis points), 9/25/2045 | 1001865 |
|  | Government National Mortgage Association |  |
| 485297 | &nbsp;&nbsp;&nbsp;Series 2025-4, Class FY, 5.989% (30-Day SOFR Average+160 basis points), 1/20/2055 | 490274 |
|  | GS Mortgage-Backed Securities Trust |  |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2022-LTV1, Class A14, 3.000%, 6/25/2052 | 1808302 |
| 1909778 | &nbsp;&nbsp;&nbsp;Series 2023-PJ6, Class A4, 6.500%, 4/25/2054<sup>1,8</sup> | 1943822 |
| 2801261 | &nbsp;&nbsp;&nbsp;Series 2025-PJ5, Class A2, 5.500%, 10/25/2055<sup>1,8</sup> | 2817587 |
|  | Home RE Ltd. |  |
| 2659060 | &nbsp;&nbsp;&nbsp;Series 2021-1, Class M2, 7.321% (30-Day SOFR Average+296 basis points), 7/25/2033<sup>1,5</sup> | 2667265 |
|  | HomeBanc Mortgage Trust |  |
| 213195 | &nbsp;&nbsp;&nbsp;Series 2006-1, Class 3A2, 4.682%, 4/25/2037<sup>1,8</sup> | 192224 |
|  | HOMES Trust |  |
| 1700000 | &nbsp;&nbsp;&nbsp;Series 2025-NQM3, Class B1, 7.421%, 2/25/2070 | 1726122 |
|  | Homeward Opportunities Fund Trust |  |
| 2250000 | &nbsp;&nbsp;&nbsp;Series 2025-RRTL2, Class M1, 6.536%, 9/25/2040 | 2271256 |
| 718053 | &nbsp;&nbsp;&nbsp;Series 2022-1, Class A1, 5.082%, 7/25/2067<sup>1,3</sup> | 717482 |
|  | JP Morgan Mortgage Trust |  |
| 2594224 | &nbsp;&nbsp;&nbsp;Series 2024-CCM1, Class A3, 5.500%, 4/25/2055<sup>1,8</sup> | 2606100 |
| 2909572 | &nbsp;&nbsp;&nbsp;Series 2024-INV1, Class A3, 5.500%, 4/25/2055<sup>1,8</sup> | 2926529 |
| 1642822 | &nbsp;&nbsp;&nbsp;Series 2024-12, Class A2, 6.000%, 6/25/2055<sup>1,8</sup> | 1665656 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS (Continued)** |  |
| 2755121 | &nbsp;&nbsp;&nbsp;Series 2025-CCM1, Class A2, 5.500%, 6/25/2055<sup>1,8</sup> | $2771040 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-5MPR, Class B1, 7.226%, 11/25/2055 | 1022800 |
|  | LHOME Mortgage Trust |  |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2024-RTL5, Class M2, 8.180%, 9/25/2039 | 1789384 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-RTL1, Class M2, 8.379%, 1/25/2040 | 1026129 |
| 2100000 | &nbsp;&nbsp;&nbsp;Series 2025-RTL3, Class M1, 6.891%, 8/25/2040 | 2116330 |
|  | Mill City Mortgage Loan Trust |  |
| 3025000 | &nbsp;&nbsp;&nbsp;Series 2019-GS2, Class B2, 3.250%, 8/25/2059 | 2233841 |
|  | Morgan Stanley Mortgage Loan Trust |  |
| 1865382 | &nbsp;&nbsp;&nbsp;Series 2005-2AR, Class B1, 4.772% (1-Month Term SOFR+61 basis points), 4/25/2035<sup>1,5</sup> | 1619718 |
|  | Morgan Stanley Residential Mortgage Loan Trust |  |
| 2050945 | &nbsp;&nbsp;&nbsp;Series 2024-INV3, Class A1, 6.500%, 6/25/2054<sup>1,8</sup> | 2095493 |
| 2430155 | &nbsp;&nbsp;&nbsp;Series 2025-1, Class A1, 6.000%, 3/25/2055<sup>1,8</sup> | 2463932 |
| 620000 | &nbsp;&nbsp;&nbsp;Series 2025-SPL1, Class M1, 4.250%, 2/25/2065 | 575201 |
| 1360000 | &nbsp;&nbsp;&nbsp;Series 2025-SPL1, Class B1, 4.250%, 2/25/2065 | 1192404 |
|  | New Residential Mortgage Loan Trust |  |
| 190000 | &nbsp;&nbsp;&nbsp;Series 2024-RTL1, Class M1, 9.298%, 3/25/2039 | 191701 |
| 568307 | &nbsp;&nbsp;&nbsp;Series 2014-3A, Class B4, 5.394%, 11/25/2054 | 554831 |
| 1292000 | &nbsp;&nbsp;&nbsp;Series 2021-NQ1R, Class B2, 4.328%, 7/25/2055 | 1160277 |
| 2243858 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class B6, 5.663%, 12/25/2057<sup>1,8</sup> | 1847591 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2019-RPL3, Class B3, 3.980%, 7/25/2059 | 407955 |
| 1315000 | &nbsp;&nbsp;&nbsp;Series 2024-NQM1, Class B2, 7.989%, 3/25/2064 | 1332818 |
|  | NYMT Loan Trust |  |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2025-INV1, Class B1, 6.965%, 4/25/2060 | 1804203 |
|  | OBX Trust |  |
| 342771 | &nbsp;&nbsp;&nbsp;Series 2019-EXP2, Class 1A3, 4.000%, 6/25/2059<sup>1,8</sup> | 326445 |
|  | PRET Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-RPL4, Class M2, 4.000%, 3/25/2065 | 2014156 |
|  | PRPM LLC |  |
| 2989000 | &nbsp;&nbsp;&nbsp;Series 2025-6, Class A2, 8.326%, 8/25/2028<sup>1,3</sup> | 3030478 |
| 996457 | &nbsp;&nbsp;&nbsp;Series 2025-7, Class A1, 5.503%, 8/25/2030 | 1000039 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2025-7, Class A2, 7.449%, 8/25/2030<sup>1,3</sup> | 1255324 |
| 2139000 | &nbsp;&nbsp;&nbsp;Series 2025-7, Class M1, 10.551%, 8/25/2030 | 2160696 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2024-RCF1, Class M2, 4.000%, 1/25/2054<sup>1,3</sup> | 1871348 |
| 2750000 | &nbsp;&nbsp;&nbsp;Series 2025-RPL3, Class M2, 3.250%, 4/25/2055 | 2468697 |
| 1145000 | &nbsp;&nbsp;&nbsp;Series 2025-RCF4, Class M2, 4.500%, 8/25/2055 | 1048872 |
|  | PRPM Trust |  |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2024-NQM3, Class B1, 7.409%, 8/25/2069 | 506693 |
|  | Redwood Funding Trust |  |
| 925761 | &nbsp;&nbsp;&nbsp;Series 2025-3, Class A, 6.231%, 12/27/2056 | 932839 |
| 1146000 | &nbsp;&nbsp;&nbsp;Series 2025-3, Class B, 7.749%, 12/27/2056 | 1153827 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS (Continued)** |  |
|  | Structured Asset Mortgage Investments II Trust |  |
| 427404 | &nbsp;&nbsp;&nbsp;Series 2004-AR5, Class 1M, 4.923% (1-Month Term SOFR+79 basis points), 10/19/2034<sup>1,5</sup> | $370973 |
|  | Toorak Mortgage Trust |  |
| 2365000 | &nbsp;&nbsp;&nbsp;Series 2024-2, Class A2, 8.647%, 10/25/2031 | 2391696 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-RRTL2, Class B1, 8.178%, 9/25/2039 | 1504114 |
|  | Towd Point Mortgage Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2017-4, Class B4, 3.606%, 6/25/2057 | 1588332 |
| 15651781 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class XS3, 0.000%, 12/25/2061<sup>1,8</sup> | 181342 |
| 15651781 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class X, 0.000%, 12/25/2061<sup>1,8</sup> | 384768 |
| 1167000 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class B1, 4.621%, 12/25/2061<sup>1,8</sup> | 1051956 |
| 1218620 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class B3, 4.621%, 12/25/2061<sup>1,8</sup> | 956101 |
| 1242926 | &nbsp;&nbsp;&nbsp;Series 2021-SJ2, Class B4, 4.621%, 12/25/2061<sup>1,8</sup> | 728822 |
|  | Verus Securitization Trust |  |
| 1440000 | &nbsp;&nbsp;&nbsp;Series 2023-INV1, Class B2, 7.474%, 2/25/2068 | 1434468 |
| 1750000 | &nbsp;&nbsp;&nbsp;Series 2024-INV1, Class B2, 8.459%, 3/25/2069 | 1777396 |
| 2300000 | &nbsp;&nbsp;&nbsp;Series 2024-INV2, Class B2, 7.961%, 8/26/2069 | 2335006 |
| 1010000 | &nbsp;&nbsp;&nbsp;Series 2024-7, Class B2, 7.810%, 9/25/2069 | 1015145 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-2, Class B1, 6.966%, 3/25/2070 | 1008588 |
| 1784000 | &nbsp;&nbsp;&nbsp;Series 2025-4, Class B2, 7.435%, 5/25/2070 | 1778197 |
|  | **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $123,979,568) | **124341973** |
|  | **COMMERCIAL MORTGAGE-BACKED SECURITIES — 2.1%** |  |
|  | AG Trust |  |
| 800000 | &nbsp;&nbsp;&nbsp;Series 2024-NLP, Class B, 6.914% (1-Month Term SOFR+276 basis points), 7/15/2041<sup>5</sup> | 804413 |
| 1064000 | &nbsp;&nbsp;&nbsp;Series 2024-NLP, Class D, 8.804% (1-Month Term SOFR+465 basis points), 7/15/2041<sup>5</sup> | 1070939 |
|  | Atrium Hotel Portfolio Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-ATRM, Class D, 7.450% (1-Month Term SOFR+330 basis points), 8/15/2042<sup>5</sup> | 2004124 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2025-ATRM, Class G, 10.900% (1-Month Term SOFR+675 basis points), 8/15/2042<sup>5</sup> | 1004665 |
|  | BAHA Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2024-MAR, Class D, 9.204%, 12/10/2041<sup>8</sup> | 2105240 |
|  | BANK |  |
| 827497 | &nbsp;&nbsp;&nbsp;Series 2018-BN14, Class A2, 4.128%, 9/15/2060<sup>1</sup> | 823212 |
|  | CEDR Commercial Mortgage Trust |  |
| 1850000 | &nbsp;&nbsp;&nbsp;Series 2022-SNAI, Class C, 5.981% (1-Month Term SOFR+183 basis points), 2/15/2039<sup>4,5</sup> | 1773950 |
|  | Citigroup Commercial Mortgage Trust |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-GC35, Class B, 4.346%, 11/10/2048<sup>1,8</sup> | 925292 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)** |  |
|  | COMM Mortgage Trust |  |
| 3675679 | &nbsp;&nbsp;&nbsp;Series 2013-CR12, Class AM, 4.300%, 10/10/2046<sup>1</sup> | $3492241 |
| 1957370 | &nbsp;&nbsp;&nbsp;Series 2014-UBS4, Class AM, 3.968%, 8/10/2047<sup>1</sup> | 1869705 |
|  | Government National Mortgage Association |  |
| 1583601 | &nbsp;&nbsp;&nbsp;Series 2025-100, Class JS, 3.881% (30-Day SOFR Average+1,595 basis points), 6/20/2055 | 1564380 |
|  | GS Mortgage Securities Corp Trust |  |
| 322750 | &nbsp;&nbsp;&nbsp;Series 2020-DUNE, Class D, 6.320% (1-Month Term SOFR+216 basis points), 12/15/2036<sup>5</sup> | 316439 |
| 92214 | &nbsp;&nbsp;&nbsp;Series 2020-DUNE, Class E, 6.920% (1-Month Term SOFR+276 basis points), 12/15/2036<sup>5</sup> | 89488 |
|  | HLTN Commercial Mortgage Trust |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2024-DPLO, Class C, 6.690% (1-Month Term SOFR+254 basis points), 6/15/2041<sup>5</sup> | 1004511 |
|  | OWS Real Estate Finance LLC |  |
| 725000 | &nbsp;&nbsp;&nbsp;Series 2025-MARG2, Class A, 8.151% (1-Month Term SOFR+0 basis points), 8/15/2034<sup>1,5</sup> | 726183 |
|  | SMR Mortgage Trust |  |
| 506369 | &nbsp;&nbsp;&nbsp;Series 2022-IND, Class B, 6.550% (1-Month Term SOFR+240 basis points), 2/15/2039<sup>5</sup> | 507189 |
|  | VTR Commercial Mortgage Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2025-STEM, Class D, 6.709%, 10/13/2041<sup>8</sup> | 2005000 |
|  | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $22,036,829) | **22086971** |
| Number<br> of Shares |  |  |
|  | **COMMON STOCKS — 17.5%** |  |
|  | **COMMUNICATIONS — 0.6%** |  |
| 33400 | Electronic Arts, Inc. | **6736780** |
|  | **CONSUMER DISCRETIONARY — 0.3%** |  |
| 158406 | Berto Acquisition Corp.\*<sup>,6,9</sup> | 1649007 |
| 9240 | Guess?, Inc. | 154400 |
| 114492 | Potbelly Corp.\* | 1950944 |
|  |  | **3754351** |
|  | **CONSUMER STAPLES — 0.5%** |  |
| 61964 | Kellanova<sup>9</sup> | **5082287** |
|  | **ENERGY — 0.6%** |  |
| 247526 | Aris Water Solutions, Inc. - Class A | **6103991** |
|  | **FINANCIALS — 10.0%** |  |
| 51740 | 1RT Acquisition Corp. - Class A\*<sup>,6</sup> | 540683 |
| 268812 | AA Mission Acquisition Corp. - Class A\*<sup>,6</sup> | 2827902 |
| 273953 | Agriculture & Natural Solutions Acquisition Corp. - Class A\*<sup>,6,9</sup> | 2991567 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 30393 | AI Transportation Acquisition Corp.\*<sup>,6</sup> | $334323 |
| 26484 | Aimei Health Technology Co., Ltd.\*<sup>,6</sup> | 299799 |
| 6676 | American Exceptionalism Acquisition Corp. - Class A\*<sup>,6</sup> | 72969 |
| 121469 | Andretti Acquisition Corp. II - Class A\*<sup>,6</sup> | 1271780 |
| 80108 | Armada Acquisition Corp. II - Class A\*<sup>,6</sup> | 836327 |
| 64205 | Artius II Acquisition, Inc. - Class A\*<sup>,6</sup> | 650397 |
| 109960 | Axiom Intelligence Acquisition Corp. I - Class A\*<sup>,6</sup> | 1094102 |
| 4303 | Bayview Acquisition Corp. - Class A\*<sup>,6</sup> | 47892 |
| 275458 | Bleichroeder Acquisition Corp. I - Class A\*<sup>,6</sup> | 2862009 |
| 35754 | Blue Acquisition Corp. - Class A\*<sup>,6</sup> | 357361 |
| 42218 | Blue Water Acquisition Corp. - Class A\*<sup>,6</sup> | 420491 |
| 64140 | Cal Redwood Acquisition Corp. - Class A\*<sup>,6</sup> | 641400 |
| 31660 | Cantor Equity Partners II, Inc. - Class A\*<sup>,6</sup> | 334013 |
| 17093 | Cantor Equity Partners III, Inc. - Class A\*<sup>,6</sup> | 176400 |
| 134266 | Cantor Equity Partners IV, Inc. - Class A\*<sup>,6</sup> | 1368170 |
| 19063 | Cartesian Growth Corp. II\*<sup>,6</sup> | 230662 |
| 7821 | Cayson Acquisition Corp.\*<sup>,6</sup> | 81808 |
| 249562 | Centurion Acquisition Corp. - Class A\*<sup>,6</sup> | 2632879 |
| 83205 | ChampionsGate Acquisition Corp. - Class A\*<sup>,6</sup> | 835378 |
| 107263 | Charlton Aria Acquisition Corp. - Class A\*<sup>,6</sup> | 1113390 |
| 27123 | Churchill Capital Corp. X - Class A\*<sup>,6</sup> | 348802 |
| 34184 | Cohen Circle Acquisition Corp. II - Class A\*<sup>,6</sup> | 346968 |
| 104438 | Columbus Circle Capital Corp. I - Class A\*<sup>,6</sup> | 1056913 |
| 71088 | Crane Harbor Acquisition Corp. - Class A\*<sup>,6</sup> | 720121 |
| 53648 | CSLM Digital Asset Acquisition Corp. III Ltd. - Class A\*<sup>,6</sup> | 532456 |
| 138477 | Digital Asset Acquisition Corp. - Class A\*<sup>,6</sup> | 1415235 |
| 299907 | Drugs Made In America Acquisition Corp.\*<sup>,6</sup> | 3080045 |
| 111160 | Dune Acquisition Corp. II - Class A\*<sup>,6</sup> | 1124939 |
| 22256 | Dynamix Corp. - Class A\*<sup>,6</sup> | 231685 |
| 20000 | Embrace Change Acquistion Corp.<sup>6</sup> | 241600 |
| 108144 | EQV Ventures Acquisition Corp. II - Class A\*<sup>,6</sup> | 1076033 |
| 75045 | Fifth Era Acquisition Corp. I - Class A\*<sup>,6</sup> | 762457 |
| 39098 | FIGX Capital Acquisition Corp. - Class A\*<sup>,6</sup> | 390589 |
| 74894 | Gesher Acquisition Corp. II - Class A\*<sup>,6</sup> | 760174 |
| 52516 | GigCapital7 Corp. - Class A\*<sup>,6</sup> | 553519 |
| 63335 | Globa Terra Acquisition Corp. - Class A\*<sup>,6</sup> | 632083 |
| 91898 | Gores Holdings X, Inc. - Class A\*<sup>,6</sup> | 939198 |
| 181350 | GP-Act III Acquisition Corp. - Class A\*<sup>,6,9</sup> | 1922310 |
| 195186 | Graf Global Corp. - Class A\*<sup>,6</sup> | 2057260 |
| 2991 | Guild Holdings Co. - Class A | 59641 |
| 78262 | Haymaker Acquisition Corp. IV - Class A\*<sup>,6,9</sup> | 887491 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 15590 | Horizon Space Acquisition I Corp.\*<sup>,6</sup> | $192069 |
| 80351 | Jackson Acquisition Co. II - Class A\*<sup>,6</sup> | 834043 |
| 37263 | Jena Acquisition Corp. II - Class A\*<sup>,6</sup> | 378219 |
| 16167 | K&F Growth Acquisition Corp. II - Class A\*<sup>,6</sup> | 165227 |
| 13635 | Keen Vision Acquisition Corp.\*<sup>,6</sup> | 158166 |
| 191384 | Launch One Acquisition Corp. - Class A\*<sup>,6</sup> | 2013360 |
| 192642 | Legato Merger Corp. III\*<sup>,6,9</sup> | 2068975 |
| 194016 | Lionheart Holdings - Class A\*<sup>,6</sup> | 2039108 |
| 50847 | M3-Brigade Acquisition V Corp. - Class A\*<sup>,6</sup> | 536436 |
| 116287 | Melar Acquisition Corp. I - Class A\*<sup>,6</sup> | 1222176 |
| 131763 | Mountain Lake Acquisition Corp. - Class A\*<sup>,6</sup> | 1357159 |
| 46906 | Mr Cooper Group, Inc. | 9887316 |
| 60995 | Nabors Energy Transition Corp. II - Class A\*<sup>,6,9</sup> | 683754 |
| 7999 | Newbury Street II Acquisition Corp. - Class A\*<sup>,6</sup> | 82830 |
| 156973 | NewHold Investment Corp. II - Class A\*<sup>,6</sup> | 1597985 |
| 17357 | Oak Woods Acquisition Corp. - Class A<sup>6,9</sup> | 209499 |
| 24044 | Oyster Enterprises II Acquisition Corp. - Class A\*<sup>,6</sup> | 240921 |
| 17691 | Patria Latin American Opportunity Acquisition Corp. - Class A\*<sup>,6,9</sup> | 218484 |
| 84600 | Pioneer Acquisition I Corp. - Class A\*<sup>,6</sup> | 840924 |
| 87688 | Plum Acquisition Corp. IV - Class A\*<sup>,6</sup> | 905817 |
| 75156 | ProCap Acquisition Corp.\*<sup>,6</sup> | 771852 |
| 31324 | Pyrophyte Acquisition Corp. - Class A\*<sup>,6</sup> | 369936 |
| 33936 | Pyrophyte Acquisition Corp. II - Class A\*<sup>,6</sup> | 338003 |
| 101200 | Range Capital Acquisition Corp.\*<sup>,6</sup> | 1043372 |
| 147032 | Real Asset Acquisition Corp. - Class A\*<sup>,6</sup> | 1490904 |
| 55109 | Renatus Tactical Acquisition Corp. I - Class A\*<sup>,6</sup> | 601239 |
| 55418 | Republic Digital Acquisition Co. - Class A\*<sup>,6</sup> | 565818 |
| 83783 | RF Acquisition Corp. II\*<sup>,6</sup> | 893965 |
| 193908 | Rithm Acquisition Corp. - Class A\*<sup>,6</sup> | 1987557 |
| 72229 | Roman DBDR Acquisition Corp. II - Class A\*<sup>,6</sup> | 744681 |
| 261726 | Siddhi Acquisition Corp. - Class A\*<sup>,6</sup> | 2656519 |
| 69880 | Silverbox Corp. IV - Class A\*<sup>,6</sup> | 731644 |
| 163953 | SIM Acquisition Corp. I - Class A\*<sup>,6</sup> | 1721506 |
| 64122 | Sizzle Acquisition Corp. II\*<sup>,9</sup> | 648915 |
| 13594 | Solarius Capital Acquisition Corp. - Class A\*<sup>,6</sup> | 135396 |
| 122274 | Soulpower Acquisition Corp. - Class A\*<sup>,6</sup> | 1232522 |
| 29845 | Spring Valley Acquisition Corp. II - Class A\*<sup>,6</sup> | 373361 |
| 45885 | Spring Valley Acquisition Corp. III - Class A\*<sup>,6</sup> | 463438 |
| 64961 | Tavia Acquisition Corp.\*<sup>,6</sup> | 672346 |
| 222246 | Texas Ventures Acquisition III Corp. - Class A\*<sup>,6</sup> | 2380255 |
| 117866 | Titan Acquisition Corp. - Class A\*<sup>,6</sup> | 1192804 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 87682 | Translational Development Acquisition Corp. - Class A\*<sup>,6</sup> | $906632 |
| 319062 | Vendome Acquisition Corp. I - Class A\*<sup>,6</sup> | 3168286 |
| 349619 | Veritex Holdings, Inc.<sup>9</sup> | 11722725 |
| 162487 | Vine Hill Capital Investment Corp. - Class A\*<sup>,6</sup> | 1740236 |
| 139013 | Voyager Acquisition Corp. - Class A\*<sup>,6</sup> | 1454076 |
| 39762 | Wen Acquisition Corp. - Class A\*<sup>,6</sup> | 402789 |
| 41477 | Yorkville Acquisition Corp. - Class A\*<sup>,6</sup> | 442145 |
|  |  | **107646611** |
|  | **HEALTH CARE — 2.1%** |  |
| 32753 | Merus N.V.\*<sup>,6</sup> | 3083695 |
| 92925 | Tourmaline Bio, Inc.\* | 4444603 |
| 128131 | Verona Pharma PLC\*<sup>,6,9</sup> | 13672859 |
| 85047 | Zimvie, Inc.\* | 1610790 |
|  |  | **22811947** |
|  | **INDUSTRIALS — 0.2%** |  |
| 303426 | Performant Healthcare, Inc.\* | **2345483** |
|  | **TECHNOLOGY — 3.2%** |  |
| 472137 | AvidXchange Holdings, Inc.\* | 4697763 |
| 16203 | CyberArk Software Ltd.\*<sup>,6,9</sup> | 7828480 |
| 279057 | Integral Ad Science Holding Corp.\* | 2838010 |
| 119364 | PROS Holdings, Inc.\* | 2734629 |
| 54689 | Sapiens International Corp. N.V.<sup>6,9</sup> | 2351627 |
| 1700 | Verint Systems, Inc.\* | 34425 |
| 182046 | WNS Holdings Ltd.\*<sup>,6</sup> | 13884648 |
|  |  | **34369582** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $181,470,754) | **188851032** |
| Principal<br> Amount ($) |  |  |
|  | **CORPORATE BONDS — 0.7%** |  |
|  | **FINANCIALS — 0.7%** |  |
|  | Atlantic Union Bankshares Corp. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;2.875% (3-Month Term SOFR+186 basis points), 12/15/2031<sup>1,8</sup> | 888633 |
|  | EverBank Financial Corp. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;7.500% (3-Month Term SOFR+407 basis points), 9/1/2035<sup>1,8</sup> | 2050046 |
|  | Flushing Financial Corp. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;3.125% (3-Month Term SOFR+204 basis points), 12/1/2031<sup>1,8</sup> | 843385 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **FINANCIALS (Continued)** |  |
|  | OceanFirst Financial Corp. |  |
| 3000000 | &nbsp;&nbsp;&nbsp;9.306% (3-Month Term SOFR+510 basis points), 5/15/2030<sup>1,8</sup> | $3011577 |
|  | Valley National Bancorp |  |
| 1000000 | &nbsp;&nbsp;&nbsp;3.000% (3-Month Term SOFR+236 basis points), 6/15/2031<sup>1,8</sup> | 931603 |
|  |  | **7725244** |
|  | **TOTAL CORPORATE BONDS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $7,644,142) | **7725244** |
| Number<br> of Contracts |  |  |
|  | **PURCHASED OPTIONS CONTRACTS — 29.6%** |  |
|  | **CALL OPTIONS — 20.8%** |  |
|  | S&P 500 Index |  |
| 2894 | Exercise Price: $6,000.00, Notional Amount: $1,736,400,000, Expiration Date: December 31, 2025\* | 224487580 |
|  | **TOTAL CALL OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $225,504,238) | **224487580** |
|  | **PUT OPTIONS — 8.8%** |  |
|  | S&P 500 Index |  |
| 299 | Exercise Price: $6,355.00, Notional Amount: $190,014,500, Expiration Date: October 31, 2025\* | 922415 |
| 2894 | Exercise Price: $7,000.00, Notional Amount: $2,025,800,000, Expiration Date: December 31, 2025\* | 94908730 |
|  | **TOTAL PUT OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $94,961,827) | **95831145** |
|  | **TOTAL PURCHASED OPTIONS CONTRACTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $320,466,065) | **320318725** |
| Number<br> of Shares |  |  |
|  | **RIGHTS — 0.0%** |  |
| 1014 | Abiomed, Inc., Expiration Date: December 30, 2029\*<sup>,2</sup> | 1034 |
| 71590 | Mercer Park Opportunities Corp., Expiration Date: Pending\*<sup>,6</sup> | 716 |
|  | **TOTAL RIGHTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $1,034) | **1750** |
| Number<br> of Units |  |  |
|  | **UNITS — 0.6%** |  |
|  | **FINANCIALS — 0.6%** |  |
| 100056 | BTC Development Corp.\*<sup>,6</sup> | 1010566 |
| 16280 | Centurion Acquisition Corp. - Class A<sup>2,6</sup> |  |
| 20349 | Centurion Acquisition Corp. - Class B<sup>2,6</sup> |  |
| 251233 | Drugs Made In America Acquisition II Corp.\*<sup>,6</sup> | 2498512 |

---

**First Trust Multi-Strategy Fund** 

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Units |  | Value |
|  | **UNITS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 53408 | FutureCrest Acquisition Corp.\*<sup>,6</sup> | $566125 |
| 13765 | GP-Act III Acquisition Corp. - Class A<sup>2,6</sup> |  |
| 17206 | GP-Act III Acquisition Corp. - Class B<sup>2,6</sup> |  |
| 126451 | GSR IV Acquisition Corp.\*<sup>,6</sup> | 1281581 |
| 33650 | Highview Merger Corp.\*<sup>,6</sup> | 340538 |
| 53649 | M3-Brigade Acquisition VI Corp.\*<sup>,6</sup> | 542928 |
| 2 | Spring Valley Acquisition Corp. III\*<sup>,6</sup> | 21 |
| 26712 | Trailblazer Acquisition Corp.\*<sup>,6</sup> | 273798 |
|  |  | **6514069** |
|  | **TOTAL UNITS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $6,489,538) | **6514069** |
| Number<br> of Shares |  |  |
|  | **WARRANTS — 0.0%** |  |
| 21109 | Blue Water Acquisition Corp., Expiration Date: December 31, 2026\*<sup>,6</sup> | 2957 |
| 36048 | EQV Ventures Acquisition Corp. II, Expiration Date: June 30, 2031\*<sup>,6</sup> | 8652 |
| 71590 | Mercer Park Opportunities Corp., Expiration Date: August 28, 2029\*<sup>,6</sup> | 716 |
| 15295 | Spring Valley Acquisition Corp. III, Expiration Date: September 30, 2030\*<sup>,6</sup> | 10707 |
| 10255 | Yorkville Acquisition Corp., Expiration Date: April 16, 2030\*<sup>,6</sup> | 12203 |
|  | **TOTAL WARRANTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $0) | **35235** |
|  | **SHORT-TERM INVESTMENTS — 10.6%** |  |
| 24646728 | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 3.98%<sup>9,10</sup> | 24646728 |
| 90252365 | UMB Bank, Money Market Special II Deposit Investment, 3.94%<sup>10</sup> | 90252365 |
|  | **TOTAL SHORT-TERM INVESTMENTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $114,899,093) | **114899093** |
|  | **TOTAL INVESTMENTS — 103.9%** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $1,111,920,230) | **1122719596** |
|  | Liabilities in Excess of Other Assets — (3.9)% | (41648930) |
|  | **TOTAL NET ASSETS — 100.0%** | $**1081070666** |
|  | **SECURITIES SOLD SHORT — (3.1)%** |  |
|  | **COMMON STOCKS — (2.7)%** |  |
|  | **FINANCIALS — (2.0)%** |  |
| (681757) | Huntington Bancshares, Inc. | (11773943) |
| (515970) | Rocket Cos., Inc. - Class A | (9999499) |
|  |  | **(21773442)** |

---

**First Trust Multi-Strategy Fund** 

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **TECHNOLOGY — (0.7)%** |  |
| (35653) | Palo Alto Networks, Inc.\* | $**(7259664)** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $26,050,157) | **(29033106)** |
|  | **MASTER LIMITED PARTNERSHIPS — (0.4)%** |  |
|  | **ENERGY — (0.4)%** |  |
| (111386) | Western Midstream Partners LP | **(4376356)** |
|  | **TOTAL MASTER LIMITED PARTNERSHIPS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $4,255,845) | **(4376356)** |
|  | **TOTAL SECURITIES SOLD SHORT** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $30,306,002) | $**(33409462)** |
| Number<br> of Contracts |  |  |
|  | **WRITTEN OPTIONS CONTRACTS — (4.0)%** |  |
|  | **CALL OPTIONS — (1.7)%** |  |
|  | Electronic Arts, Inc. |  |
| (334) | Exercise Price: $200.00, Notional Amount: $(6680000), Expiration Date: October 17, 2025\* | (88510) |
|  | S&P 500 Index |  |
| (2894) | Exercise Price: $7,000.00, Notional Amount: $(2025800000), Expiration Date: December 31, 2025\* | (19013580) |
|  | Verint Systems, Inc. |  |
| (17) | Exercise Price: $20.00, Notional Amount: $(34000), Expiration Date: October 17, 2025\* | (553) |
|  | Zimvie, Inc. |  |
| (26) | Exercise Price: $20.00, Notional Amount: $(52000), Expiration Date: April 17, 2026\* | (325) |
|  | **TOTAL CALL OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;(Proceeds $18,342,233) | **(19102968)** |
|  | **PUT OPTIONS — (2.3)%** |  |
|  | S&P 500 Index |  |
| (299) | Exercise Price: $7,025.00, Notional Amount: $(210047500), Expiration Date: October 31, 2025\* | (9958195) |
| (2894) | Exercise Price: $6,000.00, Notional Amount: $(1736400000), Expiration Date: December 31, 2025\* | (14672580) |
|  | **TOTAL PUT OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $24,872,485) | **(24630775)** |
|  | **TOTAL WRITTEN OPTIONS CONTRACTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $43,214,718) | $**(43733743)** |

---

LLC — Limited Liability Company

LP — Limited Partnership

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of September 30, 2025**

PLC — Public Limited Company

REMIC — Real Estate Mortgage Investment Conduit

SOFR — Secured Overnight Financing Rate

\* Non-income producing security.

<sup>1</sup> Callable.

<sup>2</sup> The value of these securities was determined using significant unobservable inputs. These are reported as Level 3 securities in the Fair Value Hierarchy.

<sup>3</sup> Step rate security.

<sup>4</sup> Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $306,833,073, which represents 28.38% of the total net assets of the Fund.

<sup>5</sup> Floating rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

<sup>6</sup> Foreign security denominated in U.S. Dollars.

<sup>7</sup> Affiliated company.

<sup>8</sup> Variable rate security.

<sup>9</sup> All or a portion of this security is segregated as collateral for securities sold short or written options contracts. The market value of the securities pledged as collateral is $29,689,667, which represents 2.75% of the total net assets of the Fund.

<sup>10</sup> The rate is the annualized seven-day yield at period end.

*See accompanying Notes to Financial Statements.*

**STATEMENTS OF ASSETS AND LIABILITIES**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
|  | **First Trust** <br> **Merger Arbitrage** <br> **Fund**  | **First Trust** <br> **Multi-Strategy** <br> **Fund** |
| **Assets:** | | |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments, at cost | $1206156527 | $791344295 |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments in affiliated issuers, at cost | 294224400 | 109870 |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts, at cost | - | 320466065 |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments, at value | $1246401835 | $802400871 |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments in affiliated issuers, at value | 309357861 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts, at value |  | 320318725 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cash |  | 2136545 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cash deposited with brokers for securities sold short and options contracts | 206595036 | 59390529 |
| &nbsp;&nbsp;&nbsp;&nbsp;Receivables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment securities sold | 978401 | 317637006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fund shares sold | 6954656 | 6633287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends and interest | 2037255 | 5874783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reclaims receivable | 18962 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Prepaid expenses | 25718 | 46573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total assets | 1772369724 | 1514438319 |
| **Liabilities:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Securities sold short, proceeds | $193308004 | $30306002 |
| &nbsp;&nbsp;&nbsp;&nbsp;Written options contracts, proceeds | 826219 | 43214718 |
| &nbsp;&nbsp;&nbsp;&nbsp;Foreign currency due to custodian, proceeds | 34683 | 5433 |
| &nbsp;&nbsp;&nbsp;&nbsp;Securities sold short, at value | $211683476 | $33409462 |
| &nbsp;&nbsp;&nbsp;&nbsp;Written options contracts, at value | 575773 | 43733743 |
| &nbsp;&nbsp;&nbsp;&nbsp;Foreign currency due to custodian, at value | 34151 | 5350 |
| &nbsp;&nbsp;&nbsp;&nbsp;Payables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment securities purchased | 19181866 | 353697395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fund shares redeemed | 772874 | 759307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory fees | 1561271 | 1037751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shareholder servicing fees (Note 8) | 219788 | 70595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Distribution fees (Note 7) | 16668 | 21801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fund services fees | 254153 | 362469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends on securities sold short and interest expense | 637997 | 151925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trustees' deferred compensation (Note 3) | 87146 | 20257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shareholder reporting fees | 26210 | 9078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Auditing fees | 23645 | 21955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chief Compliance Officer fees | 7977 | 14600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Legal fees | 5895 | 3363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trustees' fees and expenses | 3950 | 359 |
| &nbsp;&nbsp;&nbsp;&nbsp;Accrued other expenses | 3696 | 48243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total liabilities | 235096536 | 433367653 |
| **Net Assets** | $**1537273188** | $**1081070666** |

---

**STATEMENTS OF ASSETS AND LIABILITIES - Continued**

**As of September 30, 2025**

---

| | | |
|:---|:---|:---|
|  | **First Trust**<br> **Merger Arbitrage**<br> **Fund** | **First Trust**<br> **Multi-Strategy**<br> **Fund** |
| **Components of Net Assets:** | | |
| &nbsp;&nbsp;&nbsp;&nbsp;Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $1456138330 | $1076483115 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total distributable earnings | 81134858 | 4587551 |
| **Net Assets** | $**1537273188** | $**1081070666** |
| **Maximum Offering Price per Share:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Class A Shares: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net assets applicable to shares outstanding | $56794903 | $30552190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Number of shares issued and outstanding | 5266900 | 1272267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Redemption price per share\* | $10.78 | $24.01 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maximum sales charge (4.50% of offering price)\*\* | 0.51 | 1.13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maximum offering price to public | $11.29 | $25.14 |
| &nbsp;&nbsp;&nbsp;&nbsp;Class C Shares: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net assets applicable to shares outstanding | $3075464 | $20696187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Number of shares issued and outstanding | 282856 | 841638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Redemption price per share\*\*\* | $10.87 | $24.59 |
| &nbsp;&nbsp;&nbsp;&nbsp;Class I Shares: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net assets applicable to shares outstanding | $1477402821 | $1029822289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Number of shares issued and outstanding | 133900234 | 41952811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Redemption price per share | $11.03 | $24.55 |

---

\* A Contingent Deferred Sales Charge ("CDSC") of 0.50% for both Funds may be imposed on certain redemptions of shares within 12 months of the date of purchase to the extent a finder's fee was paid on the sale of such shares.

\*\* There are no sales charges on investments of $250,000 or more for both Funds. On sales of $25,000 or more, the sales charge will be reduced for both Funds.

\*\*\* A CDSC of 1.00% for both Funds may be imposed on any redemptions of shares within 12 months of the date of purchase.

*See accompanying Notes to Financial Statements.*

**STATEMENTS OF OPERATIONS**

**For the Year Ended September 30, 2025**

---

| | | |
|:---|:---|:---|
|  | **First Trust** <br> **Merger Arbitrage** <br> **Fund** | **First Trust**<br> **Multi-Strategy**<br> **Fund** |
| **Investment Income:** | | |
| &nbsp;&nbsp;&nbsp;&nbsp;Dividends | $7298062 | $1314864 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest | 14400895 | 30529192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total investment income | 21698957 | 31844056 |
| **Expenses:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Advisory fees | 18595508 | 9794034 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shareholder servicing fees - Class A (Note 8) | 82252 | 22560 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shareholder servicing fees - Class C (Note 8) | 2309 | 9690 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shareholder servicing fees - Class I (Note 8) | 1079789 | 649760 |
| &nbsp;&nbsp;&nbsp;&nbsp;Distribution fees - Class A (Note 7) | 137045 | 62206 |
| &nbsp;&nbsp;&nbsp;&nbsp;Distribution fees - Class C (Note 7) | 17498 | 108523 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dividends on securities sold short | 2778803 | 432439 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fund services fees | 1609872 | 1610788 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest expense | 1200950 | 71771 |
| &nbsp;&nbsp;&nbsp;&nbsp;Registration fees | 103873 | 141088 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shareholder reporting fees | 102165 | 89989 |
| &nbsp;&nbsp;&nbsp;&nbsp;Trustees' fees and expenses | 40077 | 17494 |
| &nbsp;&nbsp;&nbsp;&nbsp;Legal fees | 29192 | 42347 |
| &nbsp;&nbsp;&nbsp;&nbsp;Auditing fees | 25280 | 22705 |
| &nbsp;&nbsp;&nbsp;&nbsp;Miscellaneous | 19550 | 56885 |
| &nbsp;&nbsp;&nbsp;&nbsp;Chief Compliance Officer fees | 18910 | 46578 |
| &nbsp;&nbsp;&nbsp;&nbsp;Insurance fees | 17245 | 7341 |
| &nbsp;&nbsp;&nbsp;&nbsp;Excise tax expense | 6993 | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total expenses | 25867311 | 13186198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net investment income (loss)** | (4168354) | 18657858 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 56541180 | 7922733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in affiliated issuers | 19945224 | (4372) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts | (602620) | (1985522) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold short | (1423583) | 383791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options contracts | 445336 | 24829421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency transactions | 627032 | 39189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) | 75532569 | 31185240 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 32752964 | 7266921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in affiliated issuers | 1553794 | 4386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts |  | (143195) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold short | (23058633) | (3607904) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options contracts | 249648 | (514979) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency translations | 333164 | 25440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation | 11830937 | 3030669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 87363506 | 34215909 |
| **Net Increase (Decrease) in Net Assets from Operations** | $**83195152** | $**52873767** |

---

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**STATEMENTS OF CHANGES IN NET ASSETS**

---

| | | |
|:---|:---|:---|
|  | **For the**<br> **Year Ended**<br> **September 30, 2025** | **For the**<br> **Year Ended**<br> **September 30, 2024** |
| **Increase (Decrease) in Net Assets from:** |  |  |
| **Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $(4168354) | $8818263 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, affiliated issuers, purchased options contracts, securities sold short, written options contracts and foreign currency transactions | 75532569 | 89381365 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on investments, affiliated issuers, purchased options contracts, securities sold short, written options contracts and foreign currency translations | 11830937 | (4545546) |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 83195152 | 93654082 |
| **Distributions to Shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;Distributions: |  |  |
| &nbsp;&nbsp;&nbsp;Class A | (3228144) | (2002244) |
| &nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | (40818) |  |
| &nbsp;&nbsp;&nbsp;Class I | (83791493) | (74242136) |
| &nbsp;&nbsp;&nbsp;**Total distributions to shareholders** | (87060455) | (76244380) |
| **Capital Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;Net proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 26845074 | 24549710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | 2693901 | 412743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 541723462 | 402965112 |
| &nbsp;&nbsp;&nbsp;Reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 3166557 | 1963839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | 31542 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 77964735 | 66964616 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A<sup>2</sup> | (28982536) | (24829092) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | (108424) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I<sup>3</sup> | (601216333) | (1040524471) |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets from capital transactions** | 22117978 | (568497543) |
| &nbsp;&nbsp;&nbsp;**Total increase (decrease) in net assets** | 18252675 | (551087841) |
| **Net Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 1519020513 | 2070108354 |
| &nbsp;&nbsp;&nbsp;End of period | $1537273188 | $1519020513 |

---

**First Trust Merger Arbitrage Fund**

**STATEMENTS OF CHANGES IN NET ASSETS - Continued**

---

| | | |
|:---|:---|:---|
|  | **For the**<br> **Year Ended**<br> **September 30, 2025** | **For the**<br> **Year Ended**<br> **September 30, 2024** |
| **Capital Share Transactions:** | | |
| &nbsp;&nbsp;&nbsp;Shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 2548688 | 2312043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | 252005 | 37874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 50185287 | 37129047 |
| &nbsp;&nbsp;&nbsp;Shares reinvested: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 307135 | 188831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | 3018 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 7411097 | 6317417 |
| &nbsp;&nbsp;&nbsp;Shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (2755857) | (2340516) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | (10041) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (55574319) | (96261549) |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in capital share transactions** | 2367013 | (52616853) |

---

<sup>1</sup> Commenced public offering on January 31, 2024.

<sup>2</sup> Net of redemption fee proceeds of $0 and $1,334, respectively.

<sup>3</sup> Net of redemption fee proceeds of $6,476 and $27,798, respectively.

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**STATEMENTS OF CHANGES IN NET ASSETS**

---

| | | |
|:---|:---|:---|
|  | **For the**<br> **Year Ended**<br> **September 30, 2025** | **For the**<br> **Year Ended**<br> **September 30, 2024** |
| **Increase (Decrease) in Net Assets from:** |  |  |
| **Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $18657858 | $10540114 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, affiliated issuers, purchased options contracts, securities sold short, written options contracts and foreign currency transactions | 31185240 | 14449769 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on investments, affiliated issuers, purchased options contracts, securities sold short, written options contracts and foreign currency translations | 3030669 | 4137593 |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) from payments by affiliates (Note 3) |  | 979 |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 52873767 | 29128455 |
| **Distributions to Shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;Distributions: |  |  |
| &nbsp;&nbsp;&nbsp;Class A | (1699662) | (638396) |
| &nbsp;&nbsp;&nbsp;Class C | (633635) | (138612) |
| &nbsp;&nbsp;&nbsp;Class I | (54768194) | (18522312) |
| &nbsp;&nbsp;&nbsp;**Total distributions to shareholders** | (57101491) | (19299320) |
| **Capital Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;Net proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 28437203 | 10213764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 16529770 | 4584681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 724284814 | 470589130 |
| &nbsp;&nbsp;&nbsp;Reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 1372840 | 607593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 563192 | 135481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 44514420 | 14725426 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (11760013) | (7985162) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | (1027557) | (468194) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (248161324) | (81874279) |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets from capital transactions** | 554753345 | 410528440 |
| &nbsp;&nbsp;&nbsp;**Total increase (decrease) in net assets** | 550525621 | 420357575 |
| **Net Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 530545045 | 110187470 |
| &nbsp;&nbsp;&nbsp;End of period | $1081070666 | $530545045 |

---

**First Trust Multi-Strategy Fund**

**STATEMENTS OF CHANGES IN NET ASSETS - Continued**

---

| | | |
|:---|:---|:---|
|  | **For the**<br> **Year Ended**<br> **September 30, 2025** | **For the**<br> **Year Ended**<br> **September 30, 2024** |
| **Capital Share Transactions:** | | |
| &nbsp;&nbsp;&nbsp;Shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 1186107 | 427590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 675088 | 187467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 29627357 | 19246741 |
| &nbsp;&nbsp;&nbsp;Shares reinvested: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 57518 | 25397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 23057 | 5511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 1825715 | 601039 |
| &nbsp;&nbsp;&nbsp;Shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (495506) | (333652) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (41868) | (19105) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (10185951) | (3340796) |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in capital share transactions** | 22671517 | 16800192 |

---

 

<sup>1</sup> Net of redemption fee proceeds of $344 and $598, respectively.

 

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**STATEMENT OF CASH FLOWS**

**For the Year Ended September 30, 2025**

---

| | |
|:---|:---|
| **Increase (Decrease) in Cash:** | |
| Cash flows provided by (used for) operating activities: |  |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | $83195152 |
| &nbsp;&nbsp;&nbsp;Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used for) operating activities: |  |
| &nbsp;&nbsp;&nbsp;Purchases of long-term investments | (3281855152) |
| &nbsp;&nbsp;&nbsp;Sales of long-term investments | 3456205662 |
| &nbsp;&nbsp;&nbsp;Return of capital dividends received | 2548572 |
| &nbsp;&nbsp;&nbsp;Proceeds from securities sold short | 606722049 |
| &nbsp;&nbsp;&nbsp;Cover short securities | (503635232) |
| &nbsp;&nbsp;&nbsp;Proceeds from written options | 1835741 |
| &nbsp;&nbsp;&nbsp;Closed written options | (213685) |
| &nbsp;&nbsp;&nbsp;Purchases/Sales of short-term investments, net | (150360219) |
| &nbsp;&nbsp;&nbsp;(Increase) Decrease in Assets: |  |
| &nbsp;&nbsp;&nbsp;Investment securities sold receivable | 35692681 |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivables | 79135 |
| &nbsp;&nbsp;&nbsp;Reclaims receivable | 549 |
| &nbsp;&nbsp;&nbsp;Prepaid expenses and other assets | 23291 |
| &nbsp;&nbsp;&nbsp;Increase (Decrease) in Liabilities: |  |
| &nbsp;&nbsp;&nbsp;Foreign currency payable | (40454787) |
| &nbsp;&nbsp;&nbsp;Investment securities purchased payable | 12053465 |
| &nbsp;&nbsp;&nbsp;Advisory fees payable | 7367 |
| &nbsp;&nbsp;&nbsp;Dividends on securities sold short and Interest expense | 454778 |
| &nbsp;&nbsp;&nbsp;Accrued expenses | (14766) |
| &nbsp;&nbsp;&nbsp;Net realized (gain)/loss | (74629283) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation | (11497773) |
| Net cash provided by (used for) operating activities | 136157545 |
| Cash flows provided by (used for) financing activities: |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 566337713 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed | (631213422) |
| &nbsp;&nbsp;&nbsp;Dividends paid to shareholders, net of reinvestments | (5897621) |
| Net cash provided by (used for) financing activities | (70773330) |
| Net increase (decrease) in cash | 65384215 |
| Cash and cash equivalents |  |
| &nbsp;&nbsp;&nbsp;Beginning cash balance |  |
| &nbsp;&nbsp;&nbsp;Beginning cash held at brokers | 141210821 |
| Total beginning cash and cash equivalents | 141210821 |
| &nbsp;&nbsp;&nbsp;Ending cash balance |  |
| &nbsp;&nbsp;&nbsp;Ending cash held at brokers | 206595036 |
| Total ending cash and cash equivalents | $206595036 |
| Supplemental disclosure of interest expense paid | $1384072 |
| Non cash financing activities not included herein consist of $81,162,834 of reinvested dividends. |  |

---

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**STATEMENT OF CASH FLOWS**

**For the Year Ended September 30, 2025**

---

| | |
|:---|:---|
| **Increase (Decrease) in Cash:** | |
| Cash flows provided by (used for) operating activities: |  |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | $52873767 |
| &nbsp;&nbsp;&nbsp;Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used for) operating activities: |  |
| &nbsp;&nbsp;&nbsp;Purchases of long-term investments | (2353591930) |
| &nbsp;&nbsp;&nbsp;Sales of long-term investments | 1822303446 |
| &nbsp;&nbsp;&nbsp;Return of capital dividends received | 198304 |
| &nbsp;&nbsp;&nbsp;Proceeds from securities sold short | 99227459 |
| &nbsp;&nbsp;&nbsp;Cover short securities | (78205308) |
| &nbsp;&nbsp;&nbsp;Proceeds from written options | 221919055 |
| &nbsp;&nbsp;&nbsp;Closed written options | (174197934) |
| &nbsp;&nbsp;&nbsp;Purchases/Sales of short-term investments, net | (36061274) |
| &nbsp;&nbsp;&nbsp;(Increase) Decrease in Assets: |  |
| &nbsp;&nbsp;&nbsp;Investment securities sold receivable | (153697404) |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivables | (2159445) |
| &nbsp;&nbsp;&nbsp;Prepaid expenses and other assets | 13596 |
| &nbsp;&nbsp;&nbsp;Increase (Decrease) in Liabilities: |  |
| &nbsp;&nbsp;&nbsp;Foreign currency payable | (3829480) |
| &nbsp;&nbsp;&nbsp;Investment securities purchased payable | 185286398 |
| &nbsp;&nbsp;&nbsp;Advisory fees payable | 528629 |
| &nbsp;&nbsp;&nbsp;Dividends on securities sold short and Interest expense | 150397 |
| &nbsp;&nbsp;&nbsp;Accrued expenses | 339024 |
| &nbsp;&nbsp;&nbsp;Net amortization on investments | (208868) |
| &nbsp;&nbsp;&nbsp;Net realized (gain)/loss | (32325098) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation | (3005229) |
| Net cash provided by (used for) operating activities | (454441895) |
| Cash flows provided by (used for) financing activities: |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 764499829 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed | (262396146) |
| &nbsp;&nbsp;&nbsp;Dividends paid to shareholders, net of reinvestments | (10651039) |
| Net cash provided by (used for) financing activities | 491452644 |
| Net increase (decrease) in cash | 37010749 |
| Cash and cash equivalents |  |
| &nbsp;&nbsp;&nbsp;Beginning cash balance |  |
| &nbsp;&nbsp;&nbsp;Beginning cash held at brokers | 24516325 |
| Total beginning cash and cash equivalents | 24516325 |
| &nbsp;&nbsp;&nbsp;Ending cash balance | 2136545 |
| &nbsp;&nbsp;&nbsp;Ending cash held at brokers | 59390529 |
| Total ending cash and cash equivalents | $61527074 |
| Supplemental disclosure of interest expense paid | $25025 |
| Non cash financing activities not included herein consist of $46,450,452 of reinvested dividends. |  |

---

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**FINANCIAL HIGHLIGHTS**

**Class A**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** |
|  | **2025** | **2024** | **2023** | **2022** | **2021** |
| **Net asset value, beginning of period** | $10.86 | $10.69 | $10.40 | $11.16 | $10.33 |
| **Income from Investment Operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | (0.06) | 0.02 | (0.06) | (0.09) | (0.04) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.61 | 0.54 | 0.43 | 0.18 | 0.96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.55 | 0.56 | 0.37 | 0.09 | 0.92 |
| **Less Distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.25) | (0.32) |  | (0.27) |  |
| &nbsp;&nbsp;&nbsp;From net realized gain | (0.38) | (0.07) | (0.08) | (0.58) | (0.09) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.63) | (0.39) | (0.08) | (0.85) | (0.09) |
| **Redemption Fee Proceeds<sup>1</sup>** | - | -<sup>2</sup> | -<sup>2</sup> | -<sup>2</sup> | -<sup>2</sup> |
| **Net asset value, end of period** | $10.78 | $10.86 | $10.69 | $10.40 | $11.16 |
| **Total return<sup>3</sup>** | 5.35% | 5.40% | 3.58% | 0.91% | 8.95% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (in thousands) | $56795 | $56089 | $53505 | $80293 | $56252 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short, interest expense and excise tax expense): |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>4</sup> | 2.05% | 2.09% | 2.07% | 2.19% | 2.08% |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>4</sup> | 2.05% | 2.09% | 2.07% | 2.19% | 2.08% |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short, interest expense and excise tax expense): |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | (0.59)% | 0.20% | (0.57)% | (0.86)% | (0.38)% |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | (0.59)% | 0.20% | (0.57)% | (0.86)% | (0.38)% |
| Portfolio turnover rate | 293% | 403% | 367% | 294% | 459% |

---

 

<sup>1</sup> Based on average shares outstanding for the period.

<sup>2</sup> Amount represents less than $0.01 per share.

<sup>3</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of the sales load of 4.50% of offering price which is reduced on sales of $25,000 or more. Prior to November 18, 2024, returns shown did not include payment of the sales load of 5.75% of offering price which was reduced on sales of $25,000 or more. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 0.50% on certain redemptions of Class A shares made within 12 months of purchase. Prior to November 18, 2024, the CDSC was 1.00%. If the sales charge was included, total returns would be lower.

<sup>4</sup> If dividends and interest on securities sold short, interest expense and excise taxes expense had been excluded, the expense ratios would have been lowered by 0.27% for year ended ended September 30, 2025. For the years ended September 30, 2024, 2023, 2022, and 2021, the ratios would have been lowered by 0.32%, 0.29%, 0.39%, and 0.23%, respectively.

 

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**FINANCIAL HIGHLIGHTS**

**Class C**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | |
|:---|:---|:---|
|  | **For the Year**<br>**Ended <br> September 30,**<br>**2025** | **For the Period**<br> **January 31,**<br>**2024\***<br> **through**<br> **September 30,**<br>**2024** |
| **Net asset value, beginning of period** | $11.01 | $10.66 |
| **Income from Investment Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | (0.14) | (0.05) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.62 | 0.40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.48 | 0.35 |
| **Less Distributions:** |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.24) |  |
| &nbsp;&nbsp;&nbsp;From net realized gain | (0.38) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.62) | - |
| **Net asset value, end of period** | $10.87 | $11.01 |
| **Total return<sup>2</sup>** | 4.65% | 3.28%<sup>3</sup> |
| **Ratios and Supplemental Data:** |  |  |
| Net assets, end of period (in thousands) | $3075 | $417 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short, interest expense and excise tax expense): |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>4</sup> | 2.78% | 2.76%<sup>5</sup> |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>4</sup> | 2.78% | 2.76%<sup>5</sup> |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short, interest expense and excise tax expense): |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | (1.32)% | (0.76)%<sup>5</sup> |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | (1.32)% | (0.76)%<sup>5</sup> |
| Portfolio turnover rate | 293% | 403%<sup>3</sup> |

---

 

<sup>\*</sup> Commenced public offering on January 31, 2024.

<sup>1</sup> Based on average shares outstanding for the period.

<sup>2</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 1.00% on certain redemptions of Class C shares made within 12 months of purchase. If the sales charge was included, total returns would be lower.

<sup>3</sup> Not annualized.

<sup>4</sup> If dividends and interest on securities sold short, interest expense and excise taxes expense had been excluded, the expense ratios would have been lowered by 0.27% for the year ended September 30, 2025. For the period January 31, 2024 through September 30, 2024, the ratio would have been lowered by 0.25%.

<sup>5</sup> Annualized.

 

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**FINANCIAL HIGHLIGHTS**

**Class I**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** |
|  | **2025** | **2024** | **2023** | **2022** | **2021** |
| **Net asset value, beginning of period** | $11.09 | $10.92 | $10.61 | $11.36 | $10.48 |
| **Income from Investment Operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | (0.03) | 0.06 | (0.03) | (0.06) | (0.01) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.63 | 0.55 | 0.43 | 0.19 | 0.98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.60 | 0.61 | 0.40 | 0.13 | 0.97 |
| **Less Distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.28) | (0.37) | (0.01) | (0.30) |  |
| &nbsp;&nbsp;&nbsp;From net realized gain | (0.38) | (0.07) | (0.08) | (0.58) | (0.09) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.66) | (0.44) | (0.09) | (0.88) | (0.09) |
| **Redemption Fee Proceeds<sup>1,2</sup>** | - | - | - | - | - |
| **Net asset value, end of period** | $11.03 | $11.09 | $10.92 | $10.61 | $11.36 |
| **Total return<sup>3</sup>** | 5.74% | 5.70% | 3.82% | 1.27% | 9.30% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (in thousands) | $1477403 | $1462514 | $2016603 | $2095039 | $626755 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short, interest expense and excise tax expense): |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>4</sup> | 1.73% | 1.79% | 1.75% | 1.88% | 1.77% |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>4</sup> | 1.73% | 1.79% | 1.75% | 1.88% | 1.77% |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short, interest expense and excise tax expense): |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | (0.27)% | 0.53% | (0.25)% | (0.55)% | (0.07)% |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | (0.27)% | 0.53% | (0.25)% | (0.55)% | (0.07)% |
| Portfolio turnover rate | 293% | 403% | 367% | 294% | 459% |

---

 

<sup>1</sup> Based on average shares outstanding for the period.

<sup>2</sup> Amount represents less than $0.01 per share.

<sup>3</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

<sup>4</sup> If dividends and interest on securities sold short, interest expense and excise taxes expense had been excluded, the expense ratios would have been lowered by 0.27% for year ended ended September 30, 2025. For the years ended September 30, 2024, 2023, 2022, and 2021, the ratios would have been lowered by 0.32%, 0.29%, 0.39%, and 0.23%, respectively.

 

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**FINANCIAL HIGHLIGHTS**

**Class A**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** |
|  | **2025** | **2024** | **2023** | **2022** | **2021** |
| **Net asset value, beginning of period** | $24.31 | $23.56 | $23.20 | $25.84 | $23.90 |
| **Income from Investment Operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | 0.49 | 0.74 | 0.27 | 0.36 | 0.86 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.91 | 1.41 | 1.28 | (1.82) | 2.34 |
| &nbsp;&nbsp;&nbsp;Net increase from payments by affiliates | - | -<sup>2,3</sup> | - | - | -<sup>2,4</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 1.40 | 2.15 | 1.55 | (1.46) | 3.20 |
| **Less Distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (1.41) | (1.40) | (0.54) | (0.24) | (0.89) |
| &nbsp;&nbsp;&nbsp;From net realized gain | (0.29) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;From return of capital | - | - | (0.65) | (0.94) | (0.37) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (1.70) | (1.40) | (1.19) | (1.18) | (1.26) |
| **Net asset value, end of period** | $24.01 | $24.31 | $23.56 | $23.20 | $25.84 |
| **Total return<sup>5</sup>** | 6.04% | 9.38% | 6.83% | (5.82)% | 13.53% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (in thousands) | $30552 | $12742 | $9539 | $1059 | $1900 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>6</sup> | 1.85% | 1.90% | 2.18% | 2.33% | 2.29% |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>6</sup> | 1.85% | 1.90% | 1.96% | 2.02% | 2.05% |
| Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | 2.05% | 3.08% | 0.93% | 1.12% | 3.12% |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | 2.05% | 3.08% | 1.15% | 1.43% | 3.36% |
| Portfolio turnover rate | 191% | 215% | 254% | 190% | 170% |

---

 

<sup>1</sup> Based on average shares outstanding for the period.

<sup>2</sup> Amount represents less than $0.01 per share.

<sup>3</sup> Affiliate reimbursed the Fund $979 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>4</sup> Affiliate reimbursed the Fund $440 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>5</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 4.50% of offering price which is reduced on sales of $25,000 or more. Prior to August 22, 2022, returns shown did not include payment of sales load of 5.00% of offering price which was reduced on sales of $50,000 or more. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 0.50% on certain redemptions of Class A shares made within 12 months of purchase. If the sales charge was included, total returns would be lower.

<sup>6</sup> If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.06% for the year ended September 30, 2025. For the years ended September 30, 2024, 2023, 2022, and 2021, the ratios would have been lowered by 0.07%, 0.12%, 0.17%, and 0.27%, respectively.

 

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**FINANCIAL HIGHLIGHTS**

**Class C**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | |
|:---|:---|:---|:---|
|  | **For the Year**<br>**Ended September 30,** | **For the Year**<br>**Ended September 30,** | |
|  | **2025** | **2024** | **For the Period**<br> **November 14,**<br>**2022\***<br> **through**<br> **September 30,**<br>**2023** |
| **Net asset value, beginning of period** | $24.87 | $24.09 | $23.78 |
| **Income from Investment Operations:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | 0.32 | 0.58 | 0.08 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.92 | 1.43 | 1.26 |
| &nbsp;&nbsp;&nbsp;Net increase from payments by affiliates | - | -<sup>2,3</sup> | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 1.24 | 2.01 | 1.34 |
| **Less Distributions:** |  |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (1.23) | (1.23) | (0.48) |
| &nbsp;&nbsp;&nbsp;From net realized gain | (0.29) |  |  |
| &nbsp;&nbsp;&nbsp;From return of capital | - | - | (0.55) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (1.52) | (1.23) | (1.03) |
| **Net asset value, end of period** | $24.59 | $24.87 | $24.09 |
| **Total return<sup>4</sup>** | 5.22% | 8.56% | 5.75%<sup>5</sup> |
| **Ratios and Supplemental Data:** |  |  |  |
| Net assets, end of period (in thousands) | $20696 | $4610 | $277 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>6</sup> | 2.60% | 2.63% | 2.92%<sup>7</sup> |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>6</sup> | 2.60% | 2.63% | 2.70%<sup>7</sup> |
| Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | 1.30% | 2.35% | 0.16%<sup>7</sup> |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | 1.30% | 2.35% | 0.38%<sup>7</sup> |
| Portfolio turnover rate | 191% | 215% | 254%<sup>5</sup> |

---

<sup>\*</sup> Commencement of public offering.

<sup>1</sup> Based on average shares outstanding for the period.

<sup>2</sup> Amount represents less than $0.01 per share.

<sup>3</sup> Affiliate reimbursed the Fund $979 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>4</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 1.00% on any redemptions of Class C shares made within 12 months of purchase. If the sales charge was included, total returns would be lower.

<sup>5</sup> Not annualized.

<sup>6</sup> If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.06% for the year ended September 30, 2025. For the year ended September 30, 2024 and for the period November 14, 2022 through September 30, 2023, the ratio would have been lowered by 0.07% and 0.11%, respectively.

<sup>7</sup> Annualized.

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**FINANCIAL HIGHLIGHTS**

**Class I**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** |
|  | **2025** | **2024** | **2023** | **2022** | **2021** |
| **Net asset value, beginning of period** | $24.81 | $24.02 | $23.68 | $26.36 | $24.35 |
| **Income from Investment Operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | 0.56 | 0.83 | 0.36 | 0.44 | 0.93 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.94 | 1.43 | 1.30 | (1.86) | 2.41 |
| &nbsp;&nbsp;&nbsp;Net increase from payments by affiliates | - | -<sup>2,3</sup> | - | - | -<sup>2,4</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 1.50 | 2.26 | 1.66 | (1.42) | 3.34 |
| **Less Distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (1.47) | (1.47) | (0.59) | (0.26) | (0.94) |
| &nbsp;&nbsp;&nbsp;From net realized gain | (0.29) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;From return of capital | - | - | (0.73) | (1.00) | (0.39) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (1.76) | (1.47) | (1.32) | (1.26) | (1.33) |
| **Net asset value, end of period** | $24.55 | $24.81 | $24.02 | $23.68 | $26.36 |
| **Total return<sup>5</sup>** | 6.34% | 9.69% | 7.19% | (5.54)% | 13.84% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (in thousands) | $1029822 | $513193 | $100371 | $18305 | $36036 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>6</sup> | 1.59% | 1.61% | 1.89% | 2.01% | 2.06% |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>6</sup> | 1.59% | 1.61% | 1.67% | 1.71% | 1.82% |
| Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | 2.31% | 3.37% | 1.26% | 1.43% | 3.35% |
| &nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | 2.31% | 3.37% | 1.48% | 1.74% | 3.59% |
| Portfolio turnover rate | 191% | 215% | 254% | 190% | 170% |

---

 

<sup>1</sup> Based on average shares outstanding for the period.

<sup>2</sup> Amount represents less than $0.01 per share.

<sup>3</sup> Affiliate reimbursed the Fund $979 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>4</sup> Affiliate reimbursed the Fund $440 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>5</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

<sup>6</sup> If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.06% for the year ended September 30, 2025. For the years ended 2024, 2023, 2022, and 2021, the ratios would have been lowered by 0.07%, 0.12%, 0.17%, and 0.27%, respectively.

 

*See accompanying Notes to Financial Statements.*

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS** 

**September 30, 2025**

**Note 1 – Organization**

First Trust Merger Arbitrage Fund (the ''Merger Arbitrage Fund'') and First Trust Multi-Strategy Fund (the "Multi-Strategy Fund") (each a "Fund" and collectively the ''Funds'') are organized as a diversified series of Investment Managers Series Trust II, a Delaware statutory trust (the "Trust") which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act").

The Merger Arbitrage Fund seeks returns that are largely uncorrelated with the returns of the general stock market and capital appreciation. The Fund commenced investment operations on October 1, 2015 with Class A and Class I shares. Prior to that date, its only activity was the receipt of a $1,000 investment from principals of the Fund's advisor and a transfer of 307,251 newly issued shares of the Fund's Class I in exchange for the net assets of Highland Capital Management Institutional Fund, LLC, a Delaware limited liability company (the "Company") valued at $3,073,511. This exchange was nontaxable. The primary assets received by the Fund were cash, interest receivable and securities of the Company with a fair value of $2,249,946 (identified cost of investments transferred were $2,271,450), totaling $3,073,511. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Company was carried forward to align ongoing reporting of the Fund's realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. On January 31, 2024, the Merger Arbitrage Fund commenced public offerings of Class C shares.

The Multi-Strategy Fund seeks to achieve long-term capital appreciation by pursuing positive absolute returns across market cycles. In pursuing its objective, the Fund seeks to generate attractive long-term returns with low sensitivity to traditional equity and fixed-income indices. The Fund commenced investment operations on December 16, 2016 with Class A and Class I shares. Prior to that date, the Fund acquired the assets and assumed the liabilities of Vivaldi Orinda Macro Opportunities Fund (the "Predecessor Fund"), a series of Advisors Series Trust. The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:

---

| | | |
|:---|:---|:---|
|  | Shares Issued | Net Assets |
| Class A | 1058074 | $28004864 |
| Class I | 3174754 | $85334375 |

---

The net unrealized appreciation of investments transferred was $3,090,238 as of the date of the acquisition.

On November 14, 2022, the Multi-Strategy Fund commenced public offerings of Class C shares.

The shares of each class of each Fund represent an interest in the same portfolio of investments of each particular Fund and have equal rights as to voting, redemptions, dividends and liquidation, subject to the approval of the Trustees. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains and losses on investments are allocated to each class of shares in proportion to their relative net assets. Shareholders of a class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights to that distribution plan.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification Topic 946 "Financial Services—Investment Companies."

Each Fund is deemed to be an individual reporting segment and is not part of a consolidated reporting entity. The objective and strategy of each Fund is used by the Advisor to make investment decisions, and the results of the operations, as shown on the Statements of Operations and the Financial Highlights for each Fund is the information utilized for the day-to-day management of the Funds. Each Fund is party to the expense agreements as disclosed in the Notes to the Financial Statements and there are no resources allocated to the Fund based on performance measurements. The management of the Funds' Advisor is deemed to be the Chief Operating Decision Maker ("CODM") with respect to the Funds' investment decisions.

**First Trust Capital Management Funds** 

**NOTES TO FINANCIAL STATEMENTS - Continued**

**September 30, 2025**

**Note 2 – Accounting Policies**

The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with generally accepted accounting principles in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

**(a) Valuation of Investments**

The Funds value equity securities at the last reported sale price on the principal exchange or in the principal over the counter ("OTC") market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if the last-quoted sales price is not readily available, the securities will be valued at the last bid or the mean between the last available bid and ask price. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Options are valued at the mean between the last available bid and ask prices used. Debt securities are valued by utilizing a price supplied by independent pricing service providers. The independent pricing service providers may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. If a price is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Funds might reasonably expect to receive for the securities were upon its current sale). The Board of Trustees has designated the Advisor as the Funds' valuation designee (the "Valuation Designee") to make all fair value determinations with respect to the Funds' portfolio investments, subject to the Board's oversight. As the Valuation Designee, the Advisor has adopted and implemented policies and procedures to be followed when the Funds must utilize fair value pricing. First Trust Portfolios L.P. (the "Distributor") is under no duty to verify any valuations of the Funds' investments.

**(b) Foreign Currency Translation**

The Funds' records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted as of 4:00 PM Eastern Standard Time. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments and foreign currency.

Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.

**First Trust Capital Management Funds** 

**NOTES TO FINANCIAL STATEMENTS - Continued**

**September 30, 2025**

**(c) Short Sales**

Short sales are transactions in which the Funds sell a security they do not own in anticipation of a decline in the value of that security. To complete such a transaction, the Funds must borrow the security to make delivery to the buyer. The Funds then are obligated to replace the security borrowed by purchasing the security at market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Funds. When a security is sold short, a decrease in the value of the security will be recognized as a gain and an increase in the value of the security will be recognized as a loss, which is potentially limitless. Until the security is replaced, the Funds are required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense. To borrow the security, the Funds also may be required to pay a premium or an interest fee, which are recorded as interest expense. Cash or securities are segregated for the broker to meet the necessary margin requirements. The Funds are subject to the risk that they may not always be able to close out a short position at a particular time or at an acceptable price.

**(d) Options**

The Funds may write or purchase options contracts primarily to enhance the Funds' returns or reduce volatility. In addition, the Funds may utilize options in an attempt to generate gains from option premiums or to reduce overall portfolio risk. When a Fund writes or purchases an option, an amount equal to the premium received or paid by a Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether a Fund has realized a gain or a loss on investment transactions. A Fund, as a writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.

**(e) Warrants and Rights**

The Funds may invest in warrants or rights (including those acquired in units or attached to other securities) that entitle (but do not obligate) the holder to buy equity securities at a specific price for a specific period of time but will do so only if such equity securities are deemed appropriate by the Advisor. Rights are similar to warrants but typically have a shorter duration and are issued by a company to existing stockholders to provide those holders the right to purchase additional shares of stock at a later date. Warrants and rights do not have voting rights, do not earn dividends, and do not entitle the holder to any rights with respect to the assets of the company that has issued them. They do not represent ownership of the underlying companies but only the right to purchase shares of those companies at a specified price on or before a specified exercise date. Warrants and rights tend to be more volatile than the underlying stock, and if at a warrant's expiration date the stock is trading at a price below the price set in the warrant, the warrant will expire worthless. Conversely, if at the expiration date the stock is trading at a price higher than the price set in the warrant or right, a Fund can acquire the stock at a price below its market value. The prices of warrants and rights do not necessarily parallel the prices of the underlying securities. An investment in warrants or rights may be considered speculative.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025**

**(f) Investment Transactions, Investment Income and Expenses**

Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country's tax rules and rates and are disclosed on the Statements of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Fund records a reclaim receivable based on a number of factors, including a jurisdiction's legal obligation to pay reclaims as well as payment history and market convention. Discounts or premiums on debt securities are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. Income and expenses of the Funds are allocated on a pro rata basis to each class of shares' relative net assets, except for distribution and service fees which are unique to each class of shares. Expenses incurred by the Trust with respect to more than one Fund are allocated in proportion to the net assets of each Fund except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately made.

**(g) Federal Income Taxes**

Each Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized gains to its shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Funds.

Accounting for Uncertainty in Income Taxes (the "Income Tax Statement") requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Fund's tax returns to determine whether these positions meet a "more-likely-than-not" standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the "more-likely-than-not" recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations.

The Income Tax Statement requires management of the Funds to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Funds' current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of September 30, 2025, and during the prior three open tax years, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

**(h) Distributions to Shareholders**

The Funds will make distributions of net investment income per the table below and net capital gains, if any, at least annually. The Multi-Strategy Fund seeks to make distributions monthly based on a pre-determined rate. A portion of the distributions made by the Multi-Strategy Fund may be treated as return of capital for tax purposes. Shareholders who receive a payment of a distribution consisting of a return of capital may be under the impression that they are receiving net profits when, in fact, they are not. Shareholders should not assume that the source of a distribution from the Multi-Strategy Fund is net profit. Each Fund may make additional payments of dividends or distributions if it deems it desirable at any other time during the year. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025**

<u> Distribution Frequency of Net Investment Income</u> <br> Merger Arbitrage Fund Annually <br> Multi-Strategy Fund Monthly

The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.

**(i) Illiquid Securities**

Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Liquidity Risk Management Program ("LRMP") that requires, among other things, that the Funds limit their illiquid investments that are assets to no more than 15% of net assets. An illiquid investment is any security which may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Advisor, at any time, determines that the value of illiquid securities held by a Fund exceeds 15% of its net asset value, the Advisor will take such steps as it considers appropriate to reduce them as soon as reasonably practicable in accordance with the Funds' written LRMP.

**Note 3 – Investment Advisory and Other Agreements**

The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the "Agreement") with First Trust Capital Management L.P. (the "Advisor"). Under the terms of the Agreement, the Funds pay a monthly investment advisory fee to the Advisor at the following annual rates based on the average daily net assets of the Funds:

---

| | | | |
|:---|:---|:---|:---|
| | First $2 Billion of Average<br> Daily Net Assets | On the Next $1 Billion of<br> Average Daily Net Assets | Average Daily Net Assets<br> Exceeding $3 Billion |
| Merger Arbitrage Fund | 1.25% | 1.20% | 1.15% |

---

---

| | |
|:---|:---|
| | Average Daily Net Assets |
| Multi-Strategy Fund | 1.20% |

---

The Advisor has engaged Palmer Square Capital Management, LLC, Vest Financial, LLC, Sardis Group, LLC and First Trust Advisors L.P. (each, a "Sub-Advisor" and together, the "Sub-Advisors") to manage certain assets of the Multi-Strategy Fund and pays the Sub-Advisors from its advisory fees.

The Advisor has contractually agreed to waive its fee and/or pay for expenses of the Funds to ensure that the annual Funds' operating expenses (excluding any taxes, leverage interest, acquired fund fees and expenses (as determined in accordance with Form N-1A), dividend and interest expense on short sales, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation expenses) do not exceed the following levels:

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**September 30, 2025**

---

| | | | |
|:---|:---|:---|:---|
| | Annual Expense Limit | Annual Expense Limit | Annual Expense Limit |
| | Class A Shares† | Class C Shares† | Class I Shares† |
| Merger Arbitrage Fund | 1.85% | 2.60% | 1.55% |
| Multi-Strategy Fund | 1.85% | 2.60% | 1.55% |

---

<sup>†</sup> The limit on annual operating expenses is calculated based on each Fund's average daily net assets.

This agreement is in effect until January 31, 2026 for each Fund. These agreements may be terminated before that date only by the Trust's Board of Trustees.

The Advisor is permitted to seek reimbursement from the Funds, subject to certain limitations, of fees waived or payments made to the Funds for a period ending three full fiscal years after the date of the waiver or payment. This reimbursement may be requested from the Funds if the reimbursement will not cause the Funds' annual expense ratio to exceed the lesser of (a) the expense limitation in effect at the time such fees were waived or payments made, or (b) the expense limitation in effect at the time of the reimbursement.

UMB Fund Services, Inc. ("UMBFS") serves as the Funds' fund accountant, transfer agent and co-administrator; and Mutual Fund Administration, LLC ("MFAC") serves as the Funds' other co-administrator. UMB Bank, n.a., an affiliate of UMBFS, serves as the Funds' custodian. The Funds' allocated fees incurred for fund accounting, fund administration, transfer agency and custody services for the year ended September 30, 2025, are reported as "Fund services fees" on the Statements of Operations.

First Trust Portfolios L.P. serves as the Funds' distributor (the "Distributor") and is an affiliate of the Advisor. The Distributor does not receive compensation from the Funds for its distribution services; the Advisor pays the Distributor a fee for its distribution-related services.

The Funds have a fee arrangement with their custodian, UMB Bank, n.a., which provides for custody fees to be reduced by earning credits based on cash balances left on deposit with the custodian. For the year ended September 30, 2025, there were no fees reduced by earning credits.

Certain trustees and officers of the Trust are employees of UMBFS or MFAC. The Funds do not compensate trustees and officers affiliated with the Funds' co-administrators. For the year ended September 30, 2025, the Funds' allocated fees incurred to Trustees who are not affiliated with the Funds' co-administrators are reported on the Statements of Operations.

The Funds' Board of Trustees has adopted a Deferred Compensation Plan (the "Plan") for the Independent Trustees that enables Trustees to elect to receive payment in cash or the option to select various fund(s) in the Trust in which their deferred accounts shall be deemed to be invested. If a trustee elects to defer payment, the Plan provides for the creation of a deferred payment account. The Funds' liability for these amounts is adjusted for market value changes in the invested fund(s) and remains a liability of the Funds until distributed in accordance with the Plan. The Trustees Deferred compensation liability under the Plan constitutes a general unsecured obligation of each Fund and is disclosed on the Statements of Assets and Liabilities. Contributions made under the plan and the change in unrealized appreciation/depreciation and income are included in the Trustees' fees and expenses on the Statements of Operations.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025**

Dziura Compliance Consulting, LLC provides Chief Compliance Officer ("CCO") services to the Trust. The Funds' allocated fees incurred for CCO services for the year ended September 30, 2025, are reported on the Statements of Operations.

During the year ended September 30, 2024, the Advisor reimbursed the Multi-Strategy Fund $979 for losses from a trade error. This amount is reported on the Fund's Statements of Changes and Financial Highlights under the caption "Net increase from payments by affiliates."

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is affected at the current market price to minimize trading costs, where permissible. For the year ended September 30, 2025, the Funds did not engage in purchases and sales of securities pursuant to Rule 17a-7 of the 1940 Act.

**Note 4 – Federal Income Taxes**

At September 30, 2025, the cost of investments on a tax basis and gross unrealized appreciation (depreciation) on investments for federal income tax purposes were as follows:

---

| | | |
|:---|:---|:---|
|  | Merger Arbitrage Fund | Multi-Strategy Fund |
| Cost of investments | $1337825033 | $1042030243 |
| Gross unrealized appreciation | $28484191 | $22602643 |
| Gross unrealized depreciation | (22808777) | (19056495) |
| Net unrealized appreciation (depreciation) on investments | $5675414 | $3546148 |

---

The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.

GAAP requires that certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended September 30, 2025, permanent differences in book and tax accounting have been reclassified to paid-in capital and total distributable earnings (accumulated deficit) as follows:

---

| | | |
|:---|:---|:---|
| | Increase (Decrease) | Increase (Decrease) |
| Fund | Paid-in Capital | Total Distributable Earnings<br> (Accumulated Deficit) |
| Merger Arbitrage Fund | $1106818 | $(1106818) |
| Multi-Strategy Fund |  |  |

---

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025**

As of September 30, 2025, the components of accumulated earnings (deficit) on a tax basis were as follows:

---

| | | |
|:---|:---|:---|
|  | Merger Arbitrage Fund | Multi-Strategy Fund |
| Undistributed ordinary income | $75014042 | $1061579 |
| Undistributed long-term capital gains | 532416 | - |
| Accumulated earnings | 75546458 | 1061579 |
| Accumulated capital and other losses |  | (2) |
| Unrealized appreciation (depreciation) on investments | 5675414 | 3546148 |
| Unrealized appreciation (depreciation) on foreign currency | 132 | 83 |
| Unrealized deferred compensation | (87146) | (20257) |
| Total accumulated earnings (accumulated deficit) | $81134858 | $4587551 |

---

The tax character of distributions paid during the years ended September 30, 2025 and 2024 was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Merger Arbitrage Fund | Merger Arbitrage Fund | Multi-Strategy Fund | Multi-Strategy Fund |
| Distribution paid from: | 2025 | 2024 | 2025 | 2024 |
| &nbsp;&nbsp;&nbsp;Ordinary income | $87725935 | $76244380 | $55902643 | $19299320 |
| &nbsp;&nbsp;&nbsp;Net long-term capital gains | 4334520 |  | 1198848 |  |
| &nbsp;&nbsp;&nbsp;Return of Capital | - | - |  | - |
| Total taxable distributions | $87060455 | $76244380 | $57101491 | $19299320 |

---

As of September 30, 2025, the Merger Arbitrage Fund and Multi-Strategy Fund had no capital loss carryovers.

**Note 5 – Redemption Fee**

Beginning November 18, 2024, the Funds may impose a maximum deferred sales charge of 0.50% and 1.00%, respectively, of the total redemption amount on Class A Shares and Class C Shares, respectively, redeemed within 12 months of the date of purchase. For the period November 18, 2024 through September 30, 2025, the Merger Arbitrage Fund received $4,856 in deferred sales charges. For the year ended September 30, 2025 and 2024, the Multi-Strategy Fund received $344 and $598, respectively, in deferred sales charges.

Prior to November 18, 2024, the Merger Arbitrage Fund imposed a redemption fee of 1.00% of the total redemption amount on all shares redeemed within 30 days of purchase. For the period October 1, 2024 through November 17, 2024 and year ended September 30, 2024, the Merger Arbitrage Fund received $1,620 and $29,132, respectively, in redemption fees.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025**

**Note 6 – Investment Transactions**

For the year ended September 30, 2025, purchases and sales of investments, excluding short-term investments, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Purchases | Sales | Proceeds from<br> Securities Sold<br> Short | Cover Short<br> Securities |
| Merger Arbitrage Fund | $3281252531 | $3456205662 | $606722049 | $503635232 |
| Multi-Strategy Fund | 1155416199 | 782020757 | 99227459 | 78205308 |

---

**Note 7 – Distribution Plan**

The Trust, on behalf of the Funds, has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the 1940 Act that allows the Funds to pay distribution fees for the sale and distribution of their shares. With respect to Class A and Class C, the Plan provides for the payment of distribution fees at the annual rate of up to 0.25% and 1.00%, respectively, of average daily net assets. Class I does not pay any distribution fees.

For the year ended September 30, 2025, distribution fees incurred are disclosed on the Statements of Operations.

**Note 8 – Shareholder Servicing Plan**

The Trust, on behalf of the Merger Arbitrage Fund and Multi-Strategy Fund, has adopted a Shareholder Servicing Plan to pay a fee at an annual rate of up to 0.15% of average daily net assets of Class A and Class C shares and 0.10% of average daily net assets of Class I shares serviced by shareholder servicing agents who provide administrative and support services to their customers.

For the year ended September 30, 2025, shareholder servicing fees incurred are disclosed on the Statements of Operations.

**Note 9 – Indemnifications**

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote from any such claims.

**Note 10 – Fair Value Measurements and Disclosure**

*Fair Value Measurements and Disclosures* defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.

*Under Fair Value Measurements and Disclosures*, various inputs are used in determining the value of the Funds' investments. These inputs are summarized into three broad Levels as described below:

● Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025**

● Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

● Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds' own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest Level input that is significant to the fair value measurement in its entirety.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of September 30, 2025, in valuing the Funds' assets and liabilities carried at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Merger Arbitrage Fund** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** |  |  |  |  |
| Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Communications | $43385670 | $- | $- | $43385670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Discretionary | 22268582 |  |  | 22268582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Staples | 32598931 |  |  | 32598931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Energy | 39123090 |  |  | 39123090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 775640174 | 14109077 |  | 789749251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Health Care | 141650552 |  |  | 141650552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Industrials | 14945460 |  |  | 14945460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Technology | 217269110 |  |  | 217269110 |
| &nbsp;&nbsp;&nbsp;Rights |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 7733 |  | 293496 | 301229 |
| &nbsp;&nbsp;&nbsp;Short-Term Investments | 212345751 |  |  | 212345751 |
| &nbsp;&nbsp;&nbsp;Units |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 41930969 |  | 9 | 41930978 |
| &nbsp;&nbsp;&nbsp;Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 191092 | - | - | 191092 |
| Total Investments | $1541357114 | $14109077 | $293505 | $1555759696 |

---

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Merger Arbitrage Fund** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Liabilities** |  |  |  |  |
| Securities Sold Short |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | $137446970 | $&nbsp;&nbsp;&nbsp;&nbsp; - | $- | $137446970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Technology | 46187532 |  |  | 46187532 |
| &nbsp;&nbsp;&nbsp;Master Limited Partnerships Energy | 28048974 | - | - | 28048974 |
| Total Securities Sold Short | 211683476 |  |  | 211683476 |
| &nbsp;&nbsp;&nbsp;Written Options Contracts | 575773 | - | - | 575773 |
| Total Securities Sold Short and Options | $212259249 | $- | $- | $212259249 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Multi-Strategy Fund** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** |  |  |  |  |
| Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Asset-Backed Securities | $- | $32130390 | $392851 | $32523241 |
| &nbsp;&nbsp;&nbsp;Collateralized Loan Obligations |  | 305422263 |  | 305422263 |
| &nbsp;&nbsp;&nbsp;Collateralized Mortgage Obligations |  | 124341973 |  | 124341973 |
| &nbsp;&nbsp;&nbsp;Commercial Mortgage-Backed Securities |  | 22086971 |  | 22086971 |
| &nbsp;&nbsp;&nbsp;Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Communications | 6736780 |  |  | 6736780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Discretionary | 3754351 |  |  | 3754351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Staples | 5082287 |  |  | 5082287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Energy | 6103991 |  |  | 6103991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 106700752 | 945859 |  | 107646611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Health Care | 22811947 |  |  | 22811947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Industrials | 2345483 |  |  | 2345483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Technology | 34369582 |  |  | 34369582 |
| &nbsp;&nbsp;&nbsp;Corporate Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials |  | 7725244 |  | 7725244 |
| &nbsp;&nbsp;&nbsp;Rights | 716 |  | 1034 | 1750 |
| &nbsp;&nbsp;&nbsp;Short-Term Investments | 114899093 |  |  | 114899093 |
| &nbsp;&nbsp;&nbsp;Units |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 6514069 |  |  | 6514069 |
| &nbsp;&nbsp;&nbsp;Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 35235 | - | - | 35235 |
| Total Investments | 309354286 | 492652700 | 393885 | 802400871 |
| &nbsp;&nbsp;&nbsp;Purchased Options Contracts | 320318725 | - | - | 320318725 |
| Total Investments and Options | $629673011 | $492652700 | $393885 | $1122719596 |

---

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Multi-Strategy Fund** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Liabilities** |  |  |  |  |
| Securities Sold Short |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | $21773442 | $- | $&nbsp;&nbsp;&nbsp;&nbsp;- | $21773442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Technology | 7259664 |  |  | 7259664 |
| &nbsp;&nbsp;&nbsp;Master Limited Partnerships Energy | 4376356 | - | - | 4376356 |
| Total Securities Sold Short | 33409462 |  |  | 33409462 |
| &nbsp;&nbsp;&nbsp;Written Options Contracts | 43733743 | - | - | 43733743 |
| Total Securities Sold Short and Options | $77143205 | $- | $- | $77143205 |

---

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining value:

---

| | | | |
|:---|:---|:---|:---|
| **Merger Arbitrage Fund** | **Merger Arbitrage Fund** | **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
| | **Common Stock** | **Rights** | **Units** |
| Balance as of September 30, 2024 | $4 | $293496 | $4 |
| &nbsp;&nbsp;&nbsp;Transfers into Level 3 during the period |  |  | 4 |
| &nbsp;&nbsp;&nbsp;Transfers out of Level 3 during the period | (4) |  |  |
| &nbsp;&nbsp;&nbsp;Total gains or losses for the period |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Included in earnings (or changes in net assets) |  |  | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Included in other comprehensive income |  |  |  |
| &nbsp;&nbsp;&nbsp;Purchases, sales, and principal paydowns |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net purchases |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net sales |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Principal paydown | - | - | - |
| Balance as of September 30, 2025 | $- | $293496 | $9 |
| Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period | $- | $- | $1 |

---

**First Trust Capital Management Funds** 

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
| | **Asset-Backed Securities** | **Collateralized Loan Obligations** | **Common Stock** | **Rights** | **Units** |
| Balance as of September 30, 2024 | $- | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | $&nbsp;&nbsp;&nbsp;&nbsp; - | $1034 | $- |
| &nbsp;&nbsp;&nbsp;Transfers into Level 3 during the period |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Transfers out of Level 3 during the period |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Total gains or losses for the period |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Included in earnings (or changes in net assets) | (38859) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Included in other comprehensive income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Purchases, sales, and principal paydowns |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net purchases | 431710 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net sales |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Principal paydown | - | - | - | - | - |
| Balance as of September 30, 2025 | $392851 | $- | $- | $1034 | $- |
| Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period. | $(38859) | $- | $- | $- | $- |

---

The following table presents additional quantitative information about valuation methodologies and inputs used for investments that are measured at fair value and categorized within Level 3 as of September 30, 2025:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund** | **Asset Class** | **Fair Value at September 30, 2025** | **Valuation Technique(s)** | **Unobservable Input** | **Range of Input** | **Weighted Average of Input** | **Impact to Valuation from an Increase in Input <sup>(1)</sup>** |
| Merger Arbitrage Fund | Rights | $293496 | Transaction Price | Transaction Price | $1.02 | N/A | Increase |
| Merger Arbitrage Fund | Units | $9 | Asset Approach | Contingent on Transaction | N/A | N/A | N/A |

---

**First Trust Capital Management Funds** 

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund** | **Asset Class** | **Fair Value at September 30, 2025** | **Valuation Technique(s)** | **Unobservable Input** | **Range of Input** | **Weighted Average of Input** | **Impact to Valuation from an Increase in Input <sup>(1)</sup>** |
| Multi-Strategy Fund | Asset-Backed Securities | $392851 | Market Approach | Indicative Dealer Quotes | $6100 - $8155 | $7723.59 | Increase |
| Multi-Strategy Fund | Collateralized Loan Obligations | - | Asset Approach | Expected Remaining Distributions | N/A | N/A | N/A |
| Multi-Strategy Fund | Rights | $1034 | Transaction Price | Transaction Price | $1.02 | N/A | Increase |
| Multi-Strategy Fund | Units | - | Asset Approach | Contingent on Transaction | N/A | N/A | N/A |

---

<sup>(1)</sup> This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect.

**Note 11 – Derivative and Hedging Disclosure**

*Derivatives and Hedging* requires enhanced disclosures about the Funds' derivative and hedging activities, including how such activities are accounted for and their effects on the Funds' financial position, performance and cash flows. The Funds invested in options contracts during the year ended September 30, 2025.

The effects of these derivative instruments on the Funds' financial position and financial performance as reflected on the Statements of Assets and Liabilities and Statements of Operations are presented in the tables below. The fair values of derivative instruments as of September 30, 2025, by risk category are as follows:

---

| | | |
|:---|:---|:---|
|  | **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
|  | **Liability Derivatives** | **Liability Derivatives** |
| Derivatives not designated as hedging instruments | Statement of Asset and Liabilities Location | Value |
| Equity contracts | Written options contracts, at value | $575773 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
|  | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| Derivatives not designated as hedging instruments | Statement of Asset and Liabilities Location | Value | Statement of Asset and Liabilities Location | Value |
| Equity contracts | Purchased options contracts, at value | $320318725 | Written options contracts, at value | $43733743 |

---

**First Trust Capital Management Funds** 

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025** 

The effects of derivative instruments on the Statements of Operations for the year ended September 30, 2025, are as follows:

---

| | | |
|:---|:---|:---|
| **Merger Arbitrage Fund** | **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
| **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** | **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** | **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** |
| Derivatives not designated as hedging instruments | Purchased Options Contracts | Written Options Contracts |
| Equity contracts | $(602620) | $445336 |

---

---

| | | |
|:---|:---|:---|
| **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
| **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** | **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** | **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** |
| Derivatives not designated as hedging instruments | Purchased Options Contracts | Written Options Contracts |
| Equity contracts | $(1985522) | $24829421 |

---

---

| | |
|:---|:---|
| **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
| **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** | **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** |
| Derivatives not designated as hedging instruments | Written Options Contracts |
| Equity contracts | $249648 |

---

---

| | | |
|:---|:---|:---|
| **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
| **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** | **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** | **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** |
| Derivatives not designated as hedging instruments | Purchased Options Contracts | Written Options Contracts |
| Equity contracts | $(143195) | $(514979) |

---

**First Trust Capital Management Funds** 

**NOTES TO FINANCIAL STATEMENTS - Continued** 

**September 30, 2025** 

The number of contracts is included on the Schedule of Investments. The quarterly average volumes of derivative instruments as of September 30, 2025, are as follows:

---

| | | |
|:---|:---|:---|
| **Merger Arbitrage Fund** | **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
| **Derivative** | **Quarterly Average** | **Amount** |
| Options Contracts - Written | Average Notional Value | $(24366030) |

---

---

| | | |
|:---|:---|:---|
| **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
| **Derivative** | **Quarterly Average** | **Amount** |
| Options Contracts - Purchased | Average Notional Value | $2769908900 |
| Options Contracts - Written | Average Notional Value | (2789562880) |

---

**Note 12 – Borrowing** 

The Funds have entered into a borrowing agreement with BNP Paribas (acting through its New York Branch). The Funds may borrow amounts up to one-third of the value of its assets. The Funds are charged interest of Overnight Bank Funding Rate ("OBFR") plus 1.20% for borrowing under this agreement. The Funds did not borrow under the line of credit agreement during the year ended September 30, 2025.

**Note 13 – Investments in Affiliated Issuers** 

An affiliated issuer is an entity in which the Fund has ownership of a least 5% of the voting securities or any securities issued by Sub-Advisor. Issuers that are affiliates of the Funds at the beginning of the fiscal year are noted in the Funds' Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Fund owning in excess of 5% of the outstanding shares at period-end. The tables below reflect transactions during the period with entities that are affiliates as of September 30, 2025 and may include acquisitions of new investments, prior year holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of period-end:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **First Trust Merger Arbitrage Fund** | **First Trust Merger Arbitrage Fund** | **First Trust Merger Arbitrage Fund** | **First Trust Merger Arbitrage Fund** | | | | | |
| **Security Description** | **Shares/Principal<br> Amount End of Period** | **Value Beginning of Period** | **Additions** |<br>**Reductions** |<br>**Net Realized Gain (Loss)** |<br>**Change in Unrealized Appreciation (Depreciation)** |<br>**Value End of Period** | <br>**Dividend Income\*** |
| **Common Stocks** |  |  |  |  |  |  |  |  |
| **Specified Purpose Acquisitions - 20.1%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;AA Mission Acquisition Corp. - Class A | 2700502 | $26722599 | $344490 | $- | $- | $1342192 | $28409281 |  |
| &nbsp;&nbsp;&nbsp;Agriculture & Natural Solutions Acquisition Corp. - Class A | 2829209 | 29282313 |  |  |  | 1612649 | 30894962 |  |
| &nbsp;&nbsp;&nbsp;AI Transportation Acquisition Corp. | 506461 | 5307711 |  |  |  | 263360 | 5571071 |  |
| &nbsp;&nbsp;&nbsp;Aimei Health Technology Co., Ltd. | 649911 | 6814317 |  |  |  | 542675 | 7356992 |  |
| &nbsp;&nbsp;&nbsp;Alchemy Investments Acquisition Corp. I - Class A<sup>(1)</sup> |  | 8518971 | 72458 | (8647201) | 386067 | (330295) |  |  |
| &nbsp;&nbsp;&nbsp;Alphatime Acquisition Corp.<sup>(1)</sup> |  | 4483125 |  | (5007557) | 624593 | (100161) |  |  |
| &nbsp;&nbsp;&nbsp;AlphaVest Acquisition Corp.<sup>(1)</sup> |  | 5846796 |  | (5549383) |  | (297413) |  |  |
| &nbsp;&nbsp;&nbsp;APx Acquisition Corp. I - Class A<sup>(1)</sup> |  | 6383958 |  | (5806702) |  | (577256) |  |  |
| &nbsp;&nbsp;&nbsp;Ares Acquisition Corp. II - Class A<sup>(1)</sup> |  | 44653130 |  | (43658201) | 545522 | (1540451) |  |  |
| &nbsp;&nbsp;&nbsp;Bayview Acquisition Corp. - Class A<sup>(1)</sup> | 122924 | 3348100 |  | (3417898) | 190006 | (120208) |  |  |
| &nbsp;&nbsp;&nbsp;Bayview Acquisition Corp.<sup>(1)</sup> |  | 2301391 |  | (2317001) | 68134 | (52524) |  |  |
| &nbsp;&nbsp;&nbsp;Black Hawk Acquisition Corp. - Class A<sup>(1)</sup> |  | 6250530 |  | (6525977) | 321037 | (45590) |  |  |
| &nbsp;&nbsp;&nbsp;Bleichroeder Acquisition Corp. I - Class A<sup>(2)</sup> | 1794755 |  | 19473286 | (1584007) | 71999 | 686226 | 18647504 |  |
| &nbsp;&nbsp;&nbsp;Bowen Acquisition Corp.<sup>(1)</sup> |  | 6276656 | 1977844 | (8395024) | 312888 | (172364) |  |  |
| &nbsp;&nbsp;&nbsp;Cantor Equity Partners, Inc.<sup>(1)</sup> |  | 6889271 |  | (10105655) | 3222894 | (6510) |  |  |
| &nbsp;&nbsp;&nbsp;Cartesian Growth Corp. II<sup>(1)</sup> | 430937 | 21144181 | 4541990 | (25423919) | 1128530 | (1390782) |  |  |
| &nbsp;&nbsp;&nbsp;Centurion Acquisition Corp. | 2479407 | 23508885 | 1369878 |  |  | 1278981 | 26157744 |  |
| &nbsp;&nbsp;&nbsp;Charlton Aria Acquisition Corp. - Class A<sup>(2)</sup> | 716459 |  | 7118508 |  |  | 318336 | 7436844 |  |
| &nbsp;&nbsp;&nbsp;Chenghe Acquisition II Co.<sup>(1)</sup> |  | 7087467 |  | (7316119) | 241205 | (12553) |  |  |

---

**First Trust Capital Management Funds** 

**NOTES TO FINANCIAL STATEMENTS - Continued**

**September 30, 2025** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **First Trust Merger Arbitrage Fund - Continued** | **First Trust Merger Arbitrage Fund - Continued** | **First Trust Merger Arbitrage Fund - Continued** | **First Trust Merger Arbitrage Fund - Continued** | | | | | |
| **Security Description** | **Shares/Principal<br> Amount End of Period** | **Value Beginning of Period** | **Additions** |<br>**Reductions** |<br>**Net Realized Gain (Loss)** |<br>**Change in Unrealized Appreciation (Depreciation)** |<br>**Value End of Period** | <br>**Dividend Income\*** |
| &nbsp;&nbsp;&nbsp;Drugs Made In America Acquisition Corp.<sup>(2)</sup> | 1929288 |  | 19340273 | (219434) | 219434 | 473515 | 19813788 |  |
| &nbsp;&nbsp;&nbsp;DT Cloud Acquisition Corp.<sup>(1)</sup> |  | 5975697 |  | (6148948) | 282350 | (109099) |  |  |
| &nbsp;&nbsp;&nbsp;Embrace Change Acquisition Corp.<sup>(2)</sup> | 180000 | 2070000 |  | (68332) |  | 172732 | 2174400 |  |
| &nbsp;&nbsp;&nbsp;Eureka Acquisition Corp.<sup>(1)</sup> |  | 4181399 |  | (4341349) | 162549 | (2599) |  |  |
| &nbsp;&nbsp;&nbsp;Finnovate Acquisition Corp. - Class A<sup>(1)</sup> |  | 4460374 |  | (4503325) | 171440 | (128489) |  |  |
| &nbsp;&nbsp;&nbsp;Flag Ship Acquisition Corp.<sup>(1)</sup> |  | 5574076 |  | (5863349) | 251051 | 38222 |  |  |
| &nbsp;&nbsp;&nbsp;Global Lights Acquisition Corp.<sup>(1)</sup> |  | 5567806 |  | (5622399) | 202426 | (147833) |  |  |
| &nbsp;&nbsp;&nbsp;GP Act III Acquisition Corp. - Class A | 1897607 | 23655496 | 426865 | (5180563) | 189483 | 1023353 | 20114634 |  |
| &nbsp;&nbsp;&nbsp;Graf Global Corp. - Class A | 1931321 | 18783199 | 560465 |  |  | 1012459 | 20356123 |  |
| &nbsp;&nbsp;&nbsp;Haymaker Acquisition Corp. IV<sup>(1)</sup> | 1374406 | 20420904 | 265244 | (20471375) | 449343 | (664116) |  |  |
| &nbsp;&nbsp;&nbsp;HCM II Acquisition Corp.<sup>(1)</sup> |  | 18689172 | 1 | (21545407) | 2833282 | 22952 |  |  |
| &nbsp;&nbsp;&nbsp;Horizon Space Acquisition I Corp. | 280410 | 5515619 |  | (2415616) | 184222 | 170426 | 3454651 |  |
| &nbsp;&nbsp;&nbsp;Integrated Wellness Acquisition Corp. - Class A<sup>(1)</sup> |  | 4945716 | 1 | (5018179) | 412244 | (339782) |  |  |
| &nbsp;&nbsp;&nbsp;Israel Acquisitions Corp.<sup>(1)</sup> |  | 10168799 |  | (10359976) | 979219 | (788042) |  |  |
| &nbsp;&nbsp;&nbsp;JVSPAC Acquisition Corp. - Class A<sup>(1)</sup> |  | 5480066 |  | (5774797) | 433274 | (138543) |  |  |
| &nbsp;&nbsp;&nbsp;Keen Vision Acquisition Corp.<sup>(1)</sup> | 91247 | 15027190 | 1013500 | (16114405) | 925949 | (852234) |  |  |
| &nbsp;&nbsp;&nbsp;LatAmGrowth SPAC - Class A<sup>(1)</sup> |  | 4178624 |  | (4268639) | 409153 | (319138) |  |  |
| &nbsp;&nbsp;&nbsp;Launch One Acquisition Corp. | 1866241 | 18606423 |  |  |  | 1026432 | 19632855 |  |
| &nbsp;&nbsp;&nbsp;Learn CW Investment Corp.<sup>(1)</sup> |  | 5320995 |  | (5343469) | 36999 | (14525) |  |  |
| &nbsp;&nbsp;&nbsp;Legato Merger Corp. III | 1608549 | 16399157 |  |  |  | 876659 | 17275816 |  |
| &nbsp;&nbsp;&nbsp;Lionheart Holdings - Class A | 1938207 | 18752520 | 646548 |  |  | 971488 | 20370556 |  |
| &nbsp;&nbsp;&nbsp;Melar Acquisition Corp. I - Class A | 1275345 | 14376428 |  | (1711679) | 81509 | 657618 | 13403876 |  |
| &nbsp;&nbsp;&nbsp;Mountain & Co. I Acquisition Corp. - Class A<sup>(1)</sup> |  | 13724247 |  | (13759421) | 470006 | (434832) |  |  |
| &nbsp;&nbsp;&nbsp;Nabors Energy Transition Corp. II - Class A<sup>(1)</sup> | 1231635 | 27784008 | 12454890 | (40763731) | 1383729 | (858896) |  |  |
| &nbsp;&nbsp;&nbsp;Oak Woods Acquisition Corp. - Class A | 505710 | 6091169 |  | (491845) | 44219 | 460377 | 6103920 |  |
| &nbsp;&nbsp;&nbsp;Patria Latin American Opportunity Acquisition Corp. - Class A<sup>(1)</sup> | 934747 | 10852413 |  | (9767649) |  | (1084764) |  |  |
| &nbsp;&nbsp;&nbsp;Pyrophyte Acquisition Corp. - Class A<sup>(1)</sup> | 538832 | 10977467 | 4543223 | (15487211) | 415513 | (448992) |  |  |
| &nbsp;&nbsp;&nbsp;RF Acquisition Corp. II | 939193 | 9504633 |  |  |  | 516556 | 10021189 |  |
| &nbsp;&nbsp;&nbsp;SIM Acquisition Corp. I - Class A | 1625271 | 16236457 |  |  |  | 828888 | 17065345 |  |
| &nbsp;&nbsp;&nbsp;Spring Valley Acquisition Corp. II - Class A<sup>(1)</sup> | 203235 | 21707534 | 3851330 | (26083866) | 1692137 | (1167135) |  |  |
| &nbsp;&nbsp;&nbsp;Vendome Acquisition Corp. I - Class A<sup>(2)</sup> | 1520272 |  | 15202720 |  |  | (106419) | 15096301 |  |
| &nbsp;&nbsp;&nbsp;Zalatoris II Acquisition Corp.<sup>(1)</sup> |  | 6720573 |  | (6762725) | 342325 | (300173) | - |  |
|  |  |  |  |  |  |  | 309357852 |  |
| **Rights** |  |  |  |  |  |  |  |  |
| **Specified Purpose Acquisitions - 0.0%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Flag Ship Acquisition Corp.<sup>(1)</sup> |  | 50658 |  | (47875) | 47875 | (50658) | - |  |
|  |  |  |  |  |  |  | - |  |
| **Units** |  |  |  |  |  |  |  |  |
| **Specified Purpose Acquisitions - 0.0%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Centurion Acquisition Corp. - Class A | 193720 | 2 |  |  |  |  | 2 |  |
| &nbsp;&nbsp;&nbsp;Centurion Acquisition Corp. - Class B | 242151 | 2 |  |  |  |  | 2 |  |
| &nbsp;&nbsp;&nbsp;GP-Act III Acquisition Corp. - Class A | 196235 | 2 |  |  |  |  | 2 |  |
| &nbsp;&nbsp;&nbsp;GP-Act III Acquisition Corp. - Class B | 245295 | 2 |  |  |  | 1 | 3 |  |
|  |  |  |  |  |  |  | 9 |  |
| **Warrants - 0.0%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;AA Mission Acquisition Corp.<sup>(1)</sup> |  | 80008 |  | (117161) | 117161 | (80008) |  |  |
| &nbsp;&nbsp;&nbsp;Haymaker Acquisition Corp. IV<sup>(1)</sup> |  | 105 |  | (104) | 104 | (105) |  |  |
| &nbsp;&nbsp;&nbsp;Nabors Energy Transition Corp. II<sup>(1)</sup> |  | 59814 |  | (95353) | 95353 | (59814) | - |  |
|  |  |  |  |  |  |  | - | - |
| **Total** | **34979482** | $**566758155** | $**93203514** | $**(372102826)** | $**19945224** | $**1553794** | $**309357861** | $- |

---

\* Net of foreign withholding taxes.

<sup>(1)</sup> Not an affiliate at the end of the period.

<sup>(2)</sup> Not an affiliate at the beginning of the period.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **First Trust Multi Strategy Fund<br>**  | **First Trust Multi Strategy Fund<br>**  | **First Trust Multi Strategy Fund<br>**  | **First Trust Multi Strategy Fund<br>**  | | | | | |
| | **Shares/Principal<br> Amount End of Period** | **Value Beginning of Period** | **Additions** |<br>**Reductions** |<br>**Net Realized Gain (Loss)** |<br>**Change in Unrealized Appreciation (Depreciation)** |<br>**Value End of Period** |<br>**Dividend Income\*** |
| **Collateralized Loan Obligations - 0.0%** | **Collateralized Loan Obligations - 0.0%** | **Collateralized Loan Obligations - 0.0%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Palmer Square CLO Ltd. | $- | $2000000 | $&nbsp;&nbsp;&nbsp;&nbsp; - | $(2000014) | $(4372) | $4386 | $&nbsp;&nbsp;&nbsp;&nbsp; - | $&nbsp;&nbsp;&nbsp;&nbsp;- |
| &nbsp;&nbsp;&nbsp;Palmer Square Loan Funding Ltd. | 500000 | - | - | - | - | - | - | - |
| **Total** | $**500000** | $**2000000** | $**-** | $**(2000014)** | $**(4372)** | $**4386** | $**-** | $**-** |

---

\* Net of foreign withholding taxes.

**First Trust Capital Management Funds** 

**NOTES TO FINANCIAL STATEMENTS - Continued**

**September 30, 2025** 

**Note 14 – Market Disruption and Geopolitical Risks**

Certain local, regional or global events such as war, acts of terrorism, the spread of infectious illnesses and/or other public health issues, or other events may have a significant impact on a security or instrument. These types of events and other like them are collectively referred to as "Market Disruptions and Geopolitical Risks" and they may have adverse impacts on the worldwide economy, as well as the economies of individual countries, the financial health of individual companies and the market in general in significant and unforeseen ways. Some of the impacts noted in recent times include but are not limited to embargos, political actions, supply chain disruptions, tariffs, bank failures, restrictions to investment and/or monetary movement including the forced selling of securities or the inability to participate impacted markets. The duration of these events could adversely affect the Fund's performance, the performance of the securities in which the Fund invests and may lead to losses on your investment. The ultimate impact of "Market Disruptions and Geopolitical Risks" on the financial performance of the Fund's investments is not reasonably estimable at this time. Management is actively monitoring these events.

**Note 15 - Investments by Other Registered Investment Companies** 

For purposes of the 1940 Act, the Merger Arbitrage Fund is treated as a registered investment company. Section 12(d)(1) of the 1940 Act restricts investments by investment companies in the securities of other investment companies, including shares of the Fund. Rule 12d1-4 of the 1940 Act permits other investment companies to invest in the Fund beyond the limits in Section 12(d)(1), subject to certain terms and conditions, including that such investment companies enter into an agreement with the Fund.

**Note 16 – New Accounting Pronouncements and Regulatory Updates** 

In December 2023, the FASB issued Accounting Standards Updated 2023-09 ("ASU 2023-09"), Income Taxes (Topic 740) Improvements to Income Tax Disclosures, which amends quantitative and qualitative income tax disclosure requirements in order to increase disclosure consistency, bifurcate income tax information by jurisdiction and remove information that is no longer beneficial. ASU 2023-09 is effective for annual periods beginning after December 15, 2024, and early adoption is permitted. Fund Management is evaluating the impacts of these changes on the Funds financial statements.

In November 2023, the FASB issued ASU 2023-07, "Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures ("ASU 2023-07")," which enhances disclosure requirements about significant segment expenses that are regularly provided to the CODM. ASU 2023-07, among other things, (i) requires a single segment public entity to provide all of the disclosures as required by Topic 280, (ii) requires a public entity to disclose the title and position of the CODM and an explanation of how the CODM uses the reported measure(s) of segment profit or loss in assessing segment performance and deciding how to allocate resources and (iii) provides the ability for a public entity to elect more than one performance measure. ASU 2023-07 is effective for fiscal years beginning after December 15, 2023, and interim periods within fiscal years beginning after December 15, 2024. Management has evaluated the impact of applying ASU 2023-07, and the Funds have adopted the ASU during the reporting period. The adoption of the ASU does not have a material impact on the financial statements. Required disclosure is included in Note 1.

**Note 17 – Events Subsequent to the Fiscal Period End** 

The Funds have adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Funds' related events and transactions that occurred through the date of issuance of the Funds' financial statements. There were no events or transactions that occurred during this period that materially impacted the amounts or disclosures in the Funds' financial statements.

**REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM**

**To the Board of Trustees of Investment Managers Series Trust II and** 

**Shareholders of First Trust Capital Management Funds**

**Opinion on the Financial Statements**

We have audited the accompanying statements of assets and liabilities of First Trust Merger Arbitrage Fund and First Trust Multi-Strategy Fund (the "Funds"), each a series of Investment Managers Series Trust II (the "Trust"), including the schedules of investments, as of September 30, 2025, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for the periods indicated thereon, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of September 30, 2025, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for the periods indicated thereon, in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements 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 Funds 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 have served as the auditor of one or more of the funds in the Trust since 2013.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds' 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 Funds' 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, 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. 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. Our procedures included confirmation of securities owned as of September 30, 2025 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies were not received. We believe that our audits provide a reasonable basis for our opinion.

---

| |
|:---|
| ![](fp0096290_02.jpg) |
| TAIT, WELLER & BAKER LLP |

---

**Philadelphia, Pennsylvania** 

**November 28, 2025**

**First Trust Capital Management Funds** 

**SUPPLEMENTAL INFORMATION (Unaudited)**

***Qualified Dividend Income***

For the year ended September 30, 2025, 5.22% and 2.39% of dividends to be paid from net investment income, including short-term capital gains (if any) from the Merger Arbitrage Fund and Multi-Strategy Fund, respectively, are designated as qualified dividend income.

***Corporate Dividends Received Deduction***

For the year ended September 30, 2025, 4.42% and 2.59% of the dividends to be paid from net investment income, including short-term capital gains (if any) from the Merger Arbitrage Fund and Multi-Strategy Fund, respectively, are designated as dividends received deduction available to corporate shareholders.

**First Trust Capital Management Funds**

**Form N-CSR Items 8 - 11 (Unaudited)**

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.** 

Not applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.** 

Not applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.** 

This information is included in Item 7, as part of the financial statements.

**Item 11. Statement Regarding Basis for Approval of Investment Advisory Contact.**

At an in-person meeting held on April 23, 2025 (the "*April Meeting*"), the Board of Trustees (the "*Board*") of Investment Managers Series Trust II (the "*Trust*"), including the trustees who are not "interested persons" of the Trust (the "*Independent Trustees*") as defined in the Investment Company Act of 1940, as amended (the "*1940 Act*"), reviewed and unanimously approved the renewal of the investment advisory agreement (the "*Advisory Agreement*") between the Trust and First Trust Capital Management L.P. (the "*Advisor*") for an additional one-year term from when it otherwise would expire, with respect to the following series of the Trust (each a "*Fund*" and together, the "*Funds*"):

● First Trust Merger Arbitrage Fund (the "*Merger Arbitrage Fund* "), and

● First Trust Multi-Strategy Fund (the "*Multi-Strategy Fund* ").

At the same meeting, the Board and the Independent Trustees also reviewed and unanimously approved the renewal of the following sub-advisory agreements (together, the "*Sub-Advisory Agreements*"), each for additional one-year terms from when they otherwise would expire:

● the sub-advisory agreement between the Advisor and Palmer Square Capital Management, LLC ()"*Palmer Square*") with respect to the Multi-Strategy Fund (the "*Palmer Square Sub-Advisory Agreement* "), and

● the sub-advisory agreement between the Advisor and Vest Financial, LLC ()"*Vest*" and together with Palmer Square, the "*Sub-Advisors*") with respect to the Multi-Strategy Fund (the "*Vest Sub-Advisory Agreement* ").

The Advisory Agreement and the Sub-Advisory Agreements are collectively referred to below as the "*Fund Advisory Agreements*."

In addition, at an in-person meeting held on July 15–16, 2025 (the "*July Meeting*"), the Board, including the Independent Trustees, reviewed and unanimously approved (i) a new sub-advisory agreement between the Advisor and Sardis Group, LLC ("*Sardis*") with respect to the Multi-Strategy Fund for an initial two-year term (the "*New Sardis Sub-Advisory Agreement*"); (ii) a new sub-advisory agreement between the Advisor and First Trust Advisors L.P. ("*FTA*") with respect to the Multi-Strategy Fund for an initial two-year term (the "*New FTA Sub-Advisory Agreement*"); and (iii) an amended sub-advisory agreement between the Advisor and Palmer Square with respect to the Multi-Strategy Fund (the "*New Palmer Square Sub-Advisory Agreement*" and together with the New Sardis Sub-Advisory Agreement and New FTA Sub-Advisory Agreement, the "*New Sub-Advisory Agreements*").

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

In approving the renewal of each Fund Advisory Agreement and approving each New Sub-Advisory Agreement, the Board, including the Independent Trustees, determined that such renewal and approval, as applicable, was in the best interests of each Fund and its shareholders.

**<u>Fund Advisory Agreements</u>**

***Background***

In advance of the April Meeting, the Board received information about the Funds and the Fund Advisory Agreements from the Advisor, the Sub-Advisors, and Mutual Fund Administration, LLC and UMB Fund Services, Inc., the Trust's co-administrators, certain portions of which are discussed below. The materials, among other things, included information about the organization and financial condition of the Advisor and the Sub-Advisors; information regarding the background, experience, and compensation structure of relevant personnel providing services to the Funds; information about the Advisor's and the Sub-Advisors' compliance policies and procedures, disaster recovery and contingency planning, and policies with respect to portfolio execution and trading; information regarding the profitability of the Advisor's overall relationship with each Fund; reports comparing the performance of each Fund with returns of its benchmark index and a group of comparable funds (each, a "*Peer Group*") selected by Broadridge Financial Solutions, Inc. from Morningstar, Inc.'s relevant category (each, a "*Fund Universe*") for various periods ended January 31, 2025; reports comparing the investment advisory fee and total expenses of each Fund with those of its Peer Group and Fund Universe; and the advisory and sub-advisory fees paid pursuant to the Advisory Agreement and Sub-Advisory Agreements, respectively. The Board also received a memorandum from legal counsel to the Trust and the Independent Trustees discussing the legal standards under the 1940 Act and other applicable law for their consideration of the proposed renewal of the Fund Advisory Agreements. In addition, the Board considered information reviewed by the Board during the year at other Board and Board committee meetings. No representatives of the Advisor or the Sub-Advisors were present during the Board's consideration of the Fund Advisory Agreements, and the Independent Trustees were represented by their legal counsel with respect to the matters considered.

In renewing each Fund Advisory Agreement, the Board and the Independent Trustees considered a variety of factors, including those discussed below. In their deliberations, the Board and the Independent Trustees did not identify any particular factor that was controlling, and each Trustee may have attributed different weights to the various factors.

***First Trust Capital Management L.P.***

Nature, Extent, and Quality of Services

With respect to the performance results of each Fund, the meeting materials indicated the following:

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

● The Merger Arbitrage Fund's annualized total returns for the one- and three-year periods were above the Peer Group and Event Driven Fund Universe median returns and the Bloomberg U.S. Aggregate Bond Index (the "*Bloomberg Index*") returns, but below the S&P 500 Index returns by 20.67% and 7.95%, respectively for those periods. The Fund's annualized total return for the five-year period was above the Fund Universe median return and the Bloomberg Index return, but below the Peer Group median return and the S&P 500 Index return by 0.11% and 10.97%, respectively. The Trustees observed that the Fund's volatility of returns, as measured by its standard deviation, and its downside volatility, as measured by its Morningstar risk score, ranked it in the first quartile of the funds (which is the most favorable) in the Peer Group and Fund Universe for the one-, three-, and five-year periods. The Trustees also considered the Advisor's assertion that the Fund's underperformance relative to the Peer Group over the five-year period was due to a downturn in merger activity from 2020 through 2024, during which the COVID-19 pandemic and a heightened regulatory environment boosted levels of uncertainty in the market and generally impacted global merger activity.

● The Multi-Strategy Fund's annualized total returns for the one-, five-, and ten-year periods were above the Peer Group and Multistrategy Fund Universe median returns, the Bloomberg Index returns and the ICE BofA U.S. 3-Month Treasury Bill Index (the "*ICE BofA Index*") returns, but below the returns of the blended index consisting of 50% S&P 500 Index and 50% Bloomberg Index (the "*50/50 Blended Index*") by 5.54%, 2.65%, and 3.29%, respectively for those periods. For the three-year period, the Fund's annualized total return was above the ICE BofA Index return and the Bloomberg Index return, but below the Peer Group and Fund Universe median returns and the 50/50 Blended Index return by 0.49%, 0.57%, and 0.90%, respectively. The Trustees observed that the Fund's volatility of returns, as measured by its standard deviation, and its downside volatility, as measured by its Morningstar risk score, ranked it in the first or second quartile of the funds (which are the most favorable) in the Peer Group and Fund Universe for the one-, three-, and ten-year periods; its risk-adjusted returns, as measured by its Sharpe ratio, ranked it in the first or second quartile of the funds in the Peer Group and Fund Universe for the one-, five-, and ten-year periods; and its risk-adjusted returns relative to the benchmark, as measured by its information ratio, ranked it in the first or second quartile of the funds in the Peer Group and Fund Universe for the one-, three-, five-, and ten-year periods.

The Board considered the overall quality of services provided by the Advisor to the Funds. In doing so, the Board considered the Advisor's specific responsibilities in day-to-day management and oversight of the Funds, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Funds. The Board also considered the overall quality of the organization and operations of the Advisor, as well as its compliance structure and compliance procedures. In addition, the Board considered the respective roles of the Advisor and the Sub-Advisors with respect to the Multi-Strategy Fund, noting that the Advisor provides overall supervision of the general investment management and investment operations of the Fund and oversees each Sub-Advisor with respect to the Fund's operations, including monitoring the investment and trading activities of each Sub-Advisor, monitoring the Fund's compliance with its investment policies, and providing general administrative services related to the Advisor's overall supervision of the Fund; and that each Sub-Advisor's responsibilities include day-to-day management of a portion of the Fund's assets utilizing its designated strategy. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management and oversight services provided by the Advisor to each Fund were satisfactory.

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

Advisory Fees and Expense Ratios

With respect to the advisory fees and expenses paid by the Funds, the meeting materials indicated the following:

● The Merger Arbitrage Fund's annual investment advisory fee (gross of fee waivers) was above the Peer Group and Event Driven Fund Universe medians by 0.15% and 0.1772%, respectively. The Trustees considered the Advisor's assertion that the Fund's higher advisory fee relative to the Peer Group funds is justified given that the Fund's portfolio is monitored and rebalanced on an ongoing basis to assess the remaining risk/reward of each transaction, and because of the wide variety of securities, derivatives, and hedging techniques that the Fund utilizes. The Trustees considered that the Advisor manages assets for (i) a private fund, (ii) a sub-advised account in an ETF, (iii) a separately managed account within the Multi-Strategy Fund, and (iv) a separately managed account in a closed-end multi-strategy fund, each with similar objectives and policies as the Fund. The Board noted that each of those accounts has different restrictions than the Fund with respect to position sizing, restricted securities/sectors, and leverage, and as a result, those accounts have differing fee structures. The Board observed that the Fund's advisory fee was higher than each of those other accounts, but considered that (i) the private fund pays only a performance-based fee and therefore could pay higher overall fees than the Fund, depending on the private fund's performance; (ii) the ETF charges a unitary management fee and the Advisor is paid 50% of that fee minus the ETF's expenses for sub-advisory services; (iii) the Advisor's management fee for managing the arbitrage sleeve within the Multi-Strategy Fund is effectively the Advisor's advisory fee after paying the Sub-Advisors; and (iv) the Advisor's management fee for the closed-end multi-strategy fund is effectively the Advisor's advisory fee after paying the fund's sub-advisors. The Board also observed that management of mutual fund assets requires compliance with certain requirements under the 1940 Act that do not apply to the private fund that the Advisor manages. The Board also noted that the Fund's advisory fee was within the range of the advisory fee paid by the Multi-Strategy Fund.

The annual total expenses paid by the Fund (net of fee waivers) for its most recent fiscal year were higher than the Peer Group and Fund Universe medians by 0.22% and 0.23%, respectively. The Trustees considered the Advisor's belief that the Fund's net expenses are in the highest quartile of the funds in the Peer Group because of the Fund's higher advisory fee, and that the Advisor established the Fund's net expenses at a level at which it can maintain the viability of the Fund.

● The Multi-Strategy Fund's annual investment advisory fee (gross of fee waivers) was the same as the Multi-strategy Fund Universe median, but above the Peer Group median by 0.05%. The Board observed that the Advisor charges a lower advisory fee to one other registered fund with a multi-alternative strategy that has similar objectives and policies as the Fund, and noted the Advisor's assertion that the lower advisory fee is appropriate for that fund due to its fund-of-funds structure. The Board also considered that the Fund's advisory fee was lower than the advisory fee paid by the Merger Arbitrage Fund.

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

The annual total expenses paid by the Fund (net of fee waivers) for the Fund's most recent fiscal year were the same as the Peer Group median, but higher than the Fund Universe median by 0.23%. The Trustees considered that the Fund's net expenses were not in the highest quartile of those funds in the Peer Group or the Fund Universe.

The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to the Advisor by each Fund under the Advisory Agreement was fair and reasonable in light of the nature and quality of the services the Advisor provides to the Fund.

Profitability, Benefits to the Advisor, and Economies of Scale

The Board next considered information prepared by the Advisor relating to its costs and profits with respect to each Fund for the year ended January 31, 2025, noting that the Advisor had agreed to maintain an expense limitation arrangement for each Fund through January 31, 2026. Recognizing the difficulty in evaluating an investment advisor's profitability with respect to the funds it manages in the context of an advisor with multiple lines of business, and noting that other profitability methodologies might also be reasonable, the Board and the Independent Trustees concluded that the profits of the Advisor from its relationships with each Fund were reasonable.

The Board also considered the benefits received by the Advisor as a result of its relationship with the Funds, other than the receipt of its investment advisory fees, including any research received from broker-dealers providing execution services to the Merger Arbitrage Fund, the beneficial effects from the review by the Trust's Chief Compliance Officer of the Advisor's compliance program, and the intangible benefits of the Advisor's association with the Funds generally and any favorable publicity arising in connection with the Funds' performance. With respect to the Merger Arbitrage Fund, the Trustees noted the addition of advisory fee breakpoints that the Advisor implemented in August 2024. The Trustees also noted that the Fund's capacity is likely to be constrained based on the investment objectives and strategies of the Fund and therefore, the Advisor does not expect to realize further economies of scale with respect to the Fund. With respect to the Multi-Strategy Fund, the Trustees noted that although there are no advisory fee breakpoints, the asset level of the Fund was not currently likely to lead to significant economies of scale, and that any such economies would be considered in the future as the assets of the Fund grow.

***Palmer Square Capital Management, LLC***

Nature, Extent and Quality of Services

The Board considered the overall quality of services provided by Palmer Square to the Multi-Strategy Fund. In doing so, the Board considered Palmer Square's responsibilities for the day-to-day management of a portion of the Fund's assets utilizing a structured credit strategy, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Fund. The Board also considered the overall quality of the organization and operations of Palmer Square, as well as its compliance structure and compliance procedures. The meeting materials indicated that for the period from the third quarter of 2023, when Palmer Square began managing the structured credit portion of the Fund's portfolio, through January 31, 2025, Palmer Square's portion of the Fund returned 11.2%. The Trustees noted that the Advisor recommended renewing the Palmer Square Sub-Advisory Agreement. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management services provided by Palmer Square to the Multi-Strategy Fund were satisfactory.

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

Sub-Advisory Fee

The Board reviewed information regarding the sub-advisory fee charged by Palmer Square with respect to the Multi-Strategy Fund. The Trustees noted that the sub-advisory fee charged by Palmer Square was (i) lower than or equal to the management fees of two classes of shares of a private fund that Palmer Square manages with similar objectives and policies as the Fund, and that the share class with the lower management fee also charges a performance fee, and (ii) equal to the management fees that Palmer Square charges to sub-advise a private fund and a registered closed-end fund with similar objectives and policies as the Fund. The Trustees also observed that the Advisor pays Palmer Square's sub-advisory fee out of the Advisor's advisory fee.

The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to Palmer Square under the Palmer Square Sub-Advisory Agreement was fair and reasonable in light of the nature and quality of the services Palmer Square provides to the Multi-Strategy Fund.

Benefits to Palmer Square

The Board also considered the benefits received by Palmer Square as a result of its relationship with the Multi-Strategy Fund, other than the receipt of its sub-advisory fee, including any research received from broker-dealers providing execution services to the Fund, the beneficial effects from the review by the Trust's Chief Compliance Officer of Palmer Square's compliance program, the intangible benefits of Palmer Square's association with the Fund generally, and any favorable publicity arising in connection with the Fund's performance.

***Vest Financial LLC***

Nature, Extent and Quality of Services

The Board considered the overall quality of services provided by Vest to the Multi-Strategy Fund. In doing so, the Board considered Vest's responsibilities for the day-to-day management of a portion of the Fund's assets utilizing a secured options writing strategy, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Fund. The Board also considered the overall quality of the organization and operations of Vest, as well as its compliance structure and compliance procedures. The meeting materials indicated that for the period from April 2024, when Vest began managing the secured options writing strategy portion of the Fund's portfolio, through January 31, 2025, Vest's portion of the Fund returned 12.1%. The Trustees also noted that the Advisor recommended renewing the Vest Sub-Advisory Agreement. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management services provided by Vest to the Multi-Strategy Fund were satisfactory.

Sub-Advisory Fee

The Board reviewed information regarding the sub-advisory fee charged by Vest with respect to the Multi-Strategy Fund. The Trustees noted that Vest does not manage any other accounts with similar objectives and policies as the Fund, and therefore they did not have a good basis for comparing Vest's sub-advisory fee with those of other similar accounts managed by Vest. The Trustees also observed that the Advisor pays Vest's sub-advisory fee out of the Advisor's advisory fee.

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to Vest under the Vest Sub-Advisory Agreement was fair and reasonable in light of the nature and quality of the services Vest provides to the Multi-Strategy Fund.

Benefits to Vest

The Board also considered the benefits received by Vest as a result of its relationship with the Multi-Strategy Fund, other than the receipt of its sub-advisory fee, including any research received from broker-dealers providing execution services to the Fund, the beneficial effects from the review by the Trust's Chief Compliance Officer of Vest's compliance program, the intangible benefits of Vest's association with the Fund generally, and any favorable publicity arising in connection with the Fund's performance.

***Conclusion***

Based on these and other factors, the Board and the Independent Trustees concluded that renewal of each Fund Advisory Agreement was in the best interests of each Fund and its shareholders and, accordingly, renewed each Fund Advisory Agreement with respect to the Funds, as applicable.

**<u>New Sardis Sub-Advisory Agreement</u>**

***Background***

In advance of the July Meeting, the Board received information about the Multi-Strategy Fund and the New Sardis Sub-Advisory Agreement from the Advisor, Sardis, and Mutual Fund Administration, LLC and UMB Fund Services, Inc., the Trust's co-administrators, certain portions of which are discussed below. The materials, among other things, included information about the organization and financial condition of Sardis; information regarding the background, experience, and compensation structure of relevant personnel who would be providing services to the Fund; information about Sardis's compliance policies and procedures, disaster recovery and contingency planning, and policies with respect to portfolio execution and trading; and information regarding the proposed sub-advisory fee under the New Sardis Sub-Advisory Agreement. The Board also received a memorandum from legal counsel to the Trust and the Independent Trustees discussing the legal standards under the 1940 Act and other applicable law for their consideration of the proposed approval of the New Sardis Sub-Advisory Agreement. In addition, the Board considered information reviewed by the Board during the year at other Board and Board committee meetings. No representatives of the Advisor or Sardis were present during the Board's consideration of the New Sardis Sub-Advisory Agreement, and the Independent Trustees were represented by their legal counsel with respect to the matters considered.

In approving the New Sardis Sub-Advisory Agreement, the Board and the Independent Trustees considered a variety of factors, including those discussed below. In their deliberations, the Board and the Independent Trustees did not identify any particular factor that was controlling, and each Trustee may have attributed different weights to the various factors.

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

***Nature, Extent and Quality of Services***

The Board noted that Sardis does not manage other accounts with the same investment strategy and objectives as Sardis's potion of the Multi-Strategy Fund, and therefore Sardis did not have directly relevant performance history for the Board to review. The Trustees noted, however, that Sardis's principals have extensive experience managing investment vehicles focused on structured credit products, including as former portfolio managers of the Fund when they were associated with Angel Oak Capital Advisors, LLC.

The Trustees considered the respective roles of the Advisor and Sardis, noting that the Advisor would provide overall supervision of the general investment management and investment operations of the Fund and oversee Sardis with respect to the Fund's operations, including monitoring the investment and trading activities of Sardis, monitoring the Fund's compliance with its investment policies, and providing general administrative services related to the Advisor's overall supervision of the Fund; and that the Sardis's responsibilities would include day-to-day portfolio management of its portion of the Fund. The Trustees also considered Sardis's compliance policies and procedures and code of ethics.

The Board and the Independent Trustees concluded that based on the information they had reviewed, Sardis would have the capabilities, resources, and personnel necessary to manage its portion of the Multi-Strategy Fund.

***Sub-Advisory Fee***

The Board reviewed information regarding the sub-advisory fee proposed to be charged by Sardis with respect to its portion of the Multi-Strategy Fund. The Trustees noted that the proposed sub-advisory fee was higher than the management fee that Sardis charges to manage separate accounts for institutional clients with similar objectives and policies as Sardis's portion of the Fund. The Board considered Sardis's assertion that the buy-and-hold nature of the separate accounts, the fact that the separate accounts' investment strategy focused exclusively on securities, and the investment grade nature of the separate accounts' holdings justified the lower fee for managing the separate accounts. The Board further observed that management of mutual fund assets requires compliance with certain requirements under the 1940 Act that do not apply to Sardis's institutional clients, and that Sardis will provide more services to its portion of the Fund than it does to the separately managed accounts. The Board also noted that the Advisor would pay Sardis's sub-advisory fee out of its advisory fee.

The Board and the Independent Trustees concluded that the proposed compensation payable to Sardis under the New Sardis Sub-Advisory Agreement would be fair and reasonable in light of the nature and quality of the services proposed to be provided by Sardis to the Multi-Strategy Fund.

***Benefits to Sardis***

The Board also considered the potential "fall out" benefits to be received by Sardis as a result of its relationship with the Multi-Strategy Fund, other than its receipt of the sub-advisory fee, including trading of larger positions that may result in better execution, any research received from broker-dealers providing execution services to the Fund, beneficial effects from the review by the Trust's Chief Compliance Officer of Sardis's compliance program, the intangible benefits of Sardis's association with the Fund generally, and any favorable publicity arising in connection with the Fund's performance.

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

***Conclusion***

Based on these and other factors, the Board and the Independent Trustees concluded that approval of the New Sardis Sub-Advisory Agreement was in the best interests of the Multi-Strategy Fund and its shareholders and, accordingly, approved the New Sardis Sub-Advisory Agreement.

**<u>New FTA Sub-Advisory Agreement</u>**

***Background***

In advance of the July Meeting, the Board received information about the Multi-Strategy Fund and the New FTA Sub-Advisory Agreement from the Advisor, FTA, and Mutual Fund Administration, LLC and UMB Fund Services, Inc., the Trust's co-administrators, certain portions of which are discussed below. The materials, among other things, included information about the organization and financial condition of FTA; information regarding the background, experience, and compensation structure of relevant personnel who would be providing services to the Fund; information about FTA's compliance policies and procedures, disaster recovery and contingency planning, and policies with respect to portfolio execution and trading; information regarding the performance the First Trust Mortgage Income Fund, a closed-end fund that is managed utilizing a similar strategy to the one FTA would utilize to manage its portion of the Fund for the one-, three-, five-, and ten-year and since inception (May 2005) periods ended April 30, 2025; and information regarding the proposed sub-advisory fee under the New FTA Sub-Advisory Agreement. The Board also received a memorandum from legal counsel to the Trust and the Independent Trustees discussing the legal standards under the 1940 Act and other applicable law for their consideration of the proposed approval of the New FTA Sub-Advisory Agreement. In addition, the Board considered information reviewed by the Board during the year at other Board and Board committee meetings. No representatives of the Advisor or FTA were present during the Board's consideration of the New FTA Sub-Advisory Agreement, and the Independent Trustees were represented by their legal counsel with respect to the matters considered.

In approving the New FTA Sub-Advisory Agreement, the Board and the Independent Trustees considered a variety of factors, including those discussed below. In their deliberations, the Board and the Independent Trustees did not identify any particular factor that was controlling, and each Trustee may have attributed different weights to the various factors.

***Nature, Extent and Quality of Services***

With respect to the relevant performance information, the meeting materials indicated that the annualized total returns of the First Trust Mortgage Income Fund were higher than the returns of the Bloomberg U.S. Mortgage Backed Securities (MBS) Index, for the one-, three-, five-, and ten-year and since inception periods.

The Trustees considered the respective roles of the Advisor and its affiliate, FTA, noting that the Advisor would provide overall supervision of the general investment management and investment operations of the Multi-Strategy Fund and oversee FTA with respect to the Fund's operations, including monitoring the investment and trading activities of FTA, monitoring the Fund's compliance with its investment policies, and providing general administrative services related to the Advisor's overall supervision of the Fund; and that the FTA's responsibilities would include day-to-day portfolio management of its portion of the Fund. The Trustees also considered FTA's compliance policies and procedures and code of ethics.

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

The Board and the Independent Trustees concluded that based on the information they had reviewed, FTA would have the capabilities, resources, and personnel necessary to manage its portion of the Multi-Strategy Fund.

***Sub-Advisory Fee***

The Board reviewed information regarding the sub-advisory fee proposed to be charged by FTA with respect to its portion of the Multi-Strategy Fund. The Trustees observed that the proposed sub-advisory fee was lower than the range of advisory fees that FPA charges to manage other registered investment companies with similar strategies as FTA's portion of the Fund. The Trustees also noted that the Advisor would pay FTA's sub-advisory fee out of its advisory fee. The Board also considered any potential conflicts of interest related to the Advisor's recommendation of FTA as a new sub-advisor to the Fund.

The Board and the Independent Trustees concluded that the proposed compensation payable to FTA under the New FTA Sub-Advisory Agreement would be fair and reasonable in light of the nature and quality of the services proposed to be provided by FTA to the Fund.

***Benefits to FTA***

The Board also considered the potential "fall out" benefits to be received by FTA and its affiliated broker-dealer, First Trust Portfolios L.P. ("*FTP*"), as a result of FTA's relationship with the Multi-Strategy Fund, other than its receipt of the sub-advisory fee, including the exposure of FTA's and FTP's products to investors who otherwise may have had no dealings with FTA or FTP absent their exposure to the Fund, any access to research from broker-dealers providing execution services to the Fund, the beneficial effects from the review by the Trust's Chief Compliance Officer of FTA's compliance program, the intangible benefits of FTA's association with the Fund generally, and any favorable publicity arising in connection with the Fund's performance.

***Conclusion***

Based on these and other factors, the Board and the Independent Trustees concluded that approval of the New FTA Sub-Advisory Agreement was in the best interests of the Multi-Strategy Fund and its shareholders and, accordingly, approved the New FTA Sub-Advisory Agreement.

**<u>New Palmer Square Sub-Advisory Agreement</u>**

In advance of the July Meeting, the Board received information about the Multi-Strategy Fund and the New Palmer Square Sub-Advisory Agreement from the Advisor, Palmer Square, and Mutual Fund Administration, LLC and UMB Fund Services, Inc., the Trust's co-administrators, certain portions of which are discussed below. The Trustees considered that Palmer Square had agreed to a 0.05% decrease in its sub-advisory fee, resulting in its sub-advisory fee decreasing from 0.50% to 0.45%. The Trustees observed that the change in the sub-advisory fee would result in a 0.05% increase in the Advisor's advisory fee. The Trustees noted that the Advisor had represented that there would be no change to the quality or quantity of services provided by the Advisor or Palmer Square with respect to the Multi-Strategy Fund in connection with the change in compensation.

**First Trust Capital Management Funds**

**Statement Regarding Basis for Approval of Investment Advisory Contract (Unaudited) - Continued**

Based on its review, the Board and the Independent Trustees concluded that approval of the New Palmer Square Sub-Advisory Agreement was in the best interests of the Multi-Strategy Fund and its shareholders and, accordingly, approved the New Palmer Square Sub-Advisory Agreement.

**Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.**

Not applicable to open-end investment companies.

**<u>Item 13. Portfolio Managers of Closed-End Management Investment Companies.</u>**

Not applicable to open-end investment companies.

**Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.**

Not applicable to open-end investment companies.

**<u>Item 15. Submission of Matters to a Vote of Security Holders.</u>**

The registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees.

**<u>Item 16. Controls and Procedures.</u>**

(a) The
 Registrant's Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls and
 procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of a date within 90 days
 of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange
 Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring
 that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known
 to them by others within the Registrant and by the Registrant's service provider.

(b) There
 were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) 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.

**<u>Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.</u>**

Not applicable to open-end investment companies.

**<u>Item 18. Recovery of Erroneously Awarded Compensation.</u>**

(a) Not Applicable.

(b) Not Applicable.

**<u>Item 19. Exhibits.</u>**

(a) (1) [*Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit.* Incorporated by reference to the Registrant's Form N-CSR filed June 8, 2018.](https://www.sec.gov/Archives/edgar/data/1587982/000139834418008801/fp0033775_ex99code.htm)

(a) (2) *Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant's securities are listed. Instruction to paragraph (a)(2).* Not Applicable.

(a) (3) [A separate certification for each principal executive and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)). Filed herewith.](fp0096290-1_ex99cert.htm)

(a) (4) Not Applicable.

(a) (5) Not Applicable.

*(b)* [*Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.* Filed herewith.](fp0096290-1_ex99906cert.htm)

**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) | Investment Managers Series Trust II |
| By (Signature and Title) | /s/ Scott Schulenburg |
|  | Scott Schulenburg, President and Principal Executive Officer |
| Date | 12/8/2025 |

---

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/ Scott Schulenburg |
|  | Scott Schulenburg, President and Principal Executive Officer |
| Date | 12/8/2025 |
| By (Signature and Title) | /s/ Rita Dam |
|  | Rita Dam, Treasurer and Principal Financial Officer |
| Date | 12/8/2025 |

---

## Ex-99.Cert

EX.99.CERT

**<u>CERTIFICATIONS</u>**

I, **Scott Schulenburg**, certify that:

1. I
 have reviewed this report on Form N-CSR of  **<u>First Trust Merger Arbitrage Fund and First Trust Multi-Strategy Fund,</u>** each a series of Investment Managers Series
 Trust II (the "Trust");

2. Based
 on my knowledge, this report does not contain any untrue statement of a material fact
 or omit to state a material fact necessary to make the statements made, in light of the
 circumstances under which such statements were made, not misleading with respect to the
 period covered by this report;

3. Based
 on my knowledge, the financial statements, and other financial information included in
 this report, fairly present in all material respects the financial condition, results
 of operations, changes in net assets, and cash flows (if the financial statements are
 required to include a statement of cash flows) of the registrant as of, and for, the
 periods presented in this report;

4. The
 registrant's other certifying officer(s) and I are responsible for establishing and maintaining
 disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
 Company Act of 1940) and internal control over financial reporting (as defined in Rule
 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed
 such disclosure controls and procedures, or caused such disclosure controls and procedures
 to be designed under our supervision, to ensure that material information relating to
 the registrant, including its consolidated subsidiaries, is made known to us by others
 within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed
 such internal control over financial reporting, or caused such internal control over
 financial reporting to be designed under our supervision, to provide reasonable assurance
 regarding the reliability of financial reporting and the preparation of financial statements
 for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated
 the effectiveness of the registrant's disclosure controls and procedures and presented
 in this report our conclusions about the effectiveness of the disclosure controls and
 procedures, as of a date within 90 days prior to the filing date of this report based
 on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed
 in this report any change in the registrant's internal control over financial reporting
 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; and

5. The
 registrant's other certifying officer(s) and I have disclosed to the registrant's auditors
 and the audit committee of the registrant's board of directors (or persons performing
 the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All
 significant deficiencies and material weaknesses in the design or operation of internal
 control over financial reporting which are reasonably likely to adversely affect the
 registrants' ability to record, process, summarize, and report financial information;
 and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any
 fraud, whether or not material, that involves management or other employees who have
 a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | 12/8/2025 | /s/ Scott Schulenburg |
|  |  | Scott Schulenburg  |
|  |  | President and Principal Executive Officer |

---

**<u>CERTIFICATIONS</u>**

I, **Rita Dam**, certify that:

1. I
 have reviewed this report on Form N-CSR of  **<u>First Trust Merger Arbitrage Fund and First Trust Multi-Strategy Fund,</u>** each a series of Investment Managers Series
 Trust II (the "Trust");

2. Based
 on my knowledge, this report does not contain any untrue statement of a material fact
 or omit to state a material fact necessary to make the statements made, in light of the
 circumstances under which such statements were made, not misleading with respect to the
 period covered by this report;

3. Based
 on my knowledge, the financial statements, and other financial information included in
 this report, fairly present in all material respects the financial condition, results
 of operations, changes in net assets, and cash flows (if the financial statements are
 required to include a statement of cash flows) of the registrant as of, and for, the
 periods presented in this report;

4. The
 registrant's other certifying officer(s) and I are responsible for establishing and maintaining
 disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
 Company Act of 1940) and internal control over financial reporting (as defined in Rule
 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed
 such disclosure controls and procedures, or caused such disclosure controls and procedures
 to be designed under our supervision, to ensure that material information relating to
 the registrant, including its consolidated subsidiaries, is made known to us by others
 within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed
 such internal control over financial reporting, or caused such internal control over
 financial reporting to be designed under our supervision, to provide reasonable assurance
 regarding the reliability of financial reporting and the preparation of financial statements
 for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated
 the effectiveness of the registrant's disclosure controls and procedures and presented
 in this report our conclusions about the effectiveness of the disclosure controls and
 procedures, as of a date within 90 days prior to the filing date of this report based
 on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed
 in this report any change in the registrant's internal control over financial reporting
 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; and

5. The
 registrant's other certifying officer(s) and I have disclosed to the registrant's auditors
 and the audit committee of the registrant's board of directors (or persons performing
 the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All
 significant deficiencies and material weaknesses in the design or operation of internal
 control over financial reporting which are reasonably likely to adversely affect the
 registrant's ability to record, process, summarize, and report financial information;
 and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any
 fraud, whether or not material, that involves management or other employees who have
 a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | 12/8/2025 | /s/ Rita Dam |
|  |  | Rita Dam<br>|
|  |  | Treasurer and Principal Financial Officer |

---

## Exhibit 99.906

EX.99.906CERT

**Certification of CEO and CFO Pursuant to**

**18 U.S.C. Section 1350, as Adopted Pursuant to**

**Section 906 of the Sarbanes-Oxley Act of 2002**

In connection with the report on Form N-CSR of **<u>First Trust Merger Arbitrage Fund and First Trust Multi-Strategy Fund,</u>** each a series of Investment Managers Series Trust II (the "Trust"), for the year ended **September 30, 2025** (the "Report"), Terrance Gallagher, as President and Principal Executive Officer of the Trust, and Rita Dam, as Treasurer and Principal Financial Officer of the Trust, each hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of his or her knowledge:

(1) the
 Report fully complies with the requirements of Section 13 (a) or 15 (d) of the Securities Exchange Act of 1934; and

(2) the
 information contained in the Report fairly presents, in all material respects, the financial condition and results of operations
 of the Company.

---

| | |
|:---|:---|
| Date | 12/8/2025 |
| /s/ Scott Schulenburg | /s/ Scott Schulenburg |
| Scott Schulenburg | Scott Schulenburg |
| President and Principal Executive Officer | President and Principal Executive Officer |
| /s/ Rita Dam | /s/ Rita Dam |
| Rita Dam | Rita Dam |
| Treasurer and Principal Financial Officer | Treasurer and Principal Financial Officer |

---

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by Investment Managers Series Trust II for purposes of Section 18 of the Securities Exchange Act of 1934.