FIRST TRUST EXCHANGE-TRADED FUND VII (Form: N-CSR, Received: 03/09/2022 10:09:17)

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

First Trust Exchange-Traded Fund VII

First Trust Global Tactical Commodity Strategy
Fund (FTGC)

Annual Report
For the Year Ended
December 31, 2021

Table of Contents

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Annual Report

December 31, 2021

Shareholder Letter	1
Fund Performance Overview	2
Portfolio Commentary	4
Understanding Your Fund Expenses	6
Consolidated Portfolio of Investments	7
Consolidated Statement of Assets and Liabilities	9
Consolidated Statement of Operations	10
Consolidated Statements of Changes in Net Assets	11
Consolidated Financial Highlights	12
Notes to Consolidated Financial Statements	13
Report of Independent Registered Public Accounting Firm	19
Additional Information	20
Board of Trustees and Officers	24
Privacy Policy	26

Caution Regarding Forward-Looking Statements

This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund VII (the “Trust”) described in this report (First Trust Global Tactical Commodity Strategy Fund; hereinafter referred to as the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Performance and Risk Disclosure

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

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

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at www.ftportfolios.com.

How to Read This Report

This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund’s performance and investment approach.

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

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

Table of Contents

Shareholder Letter

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Annual Letter from the Chairman and CEO

December 31, 2021

Dear Shareholders,

First Trust is pleased to provide you with the annual report for the First Trust Global Tactical Commodity Strategy Fund (the “Fund”), which contains detailed information about the Fund for the twelve months ended December 31, 2021.

Being that this is a year-end review, I would like to touch on the state of the business climate and securities markets in the U.S. The two biggest stories in 2021 were clearly the ongoing fight against the coronavirus (“COVID-19”) pandemic and the surge in the rate of inflation, which I believe is a byproduct of that fight. The COVID-19 pandemic is closing in on its second anniversary and it continues to curb economic activity in the U.S. and abroad. It is nearly as challenging today as it was at its peak in 2020.

The emergence of the Omicron variant in the latter half of 2021 was particularly disappointing because we had been making some inroads into fully reopening the U.S. economy until its arrival. Americans were dining out. Airline travel was picking up and people were even taking cruises again. We have learned that the Omicron variant, while seemingly not as dangerous as its predecessor, the Delta variant, at least in terms of the number of deaths to date, is still extremely contagious, especially for those individuals who have not been vaccinated. The U.S. federal government has funneled trillions of dollars of stimulus and subsidies into the financial system to mitigate the economic fallout from the pandemic. That level of support is unprecedented and has likely fueled much of the surge in inflation, as measured by the Consumer Price Index (“CPI”). The standard definition for inflation is “too many dollars chasing too few goods.” The explosion of the U.S. money supply has easily overwhelmed the volume of goods available to consumers. Global supply chain bottlenecks, including the backlog of container ships at ports in Southern California, have also contributed to the shortages of goods. In December 2021, the trailing 12-month rate on the CPI was 7.0%, up from 1.4% last December, according to the U.S. Bureau of Labor Statistics. The last time inflation was this elevated was in 1982.

Since the onset of COVID-19, companies and millions of employees have scrambled to adapt to the new normal of working remotely, typically from home. What an amazing thing to watch. While opinions may vary, it has become evident that the workplace culture has probably changed forever. According to Barron’s magazine, we should look for more of a hybrid arrangement moving forward that would entail workers being at the office for three days a week and home for two. I do not believe that the stock and bond markets would have performed nearly as well over the past two years had U.S. businesses not overcome the adversity brought their way by COVID-19. Oh, and the trillions of dollars from the government. In 2021, the S&P 500^® Index posted a total return of 28.71%, and that came on the heels of an 18.40% gain in 2020, according to Bloomberg. From 1926-2021 (a span of 96 years), the S&P 500^® Index posted an average annual total return of 10.44%, according to Morningstar/Ibbotson Associates. Investors should relish these outsized returns. Bond investors have earned more modest total returns over the past two years. Bond returns were higher for most bond categories in 2020 due to the artificially depressed yield on the 10-Year Treasury Note (“T-Note”). The 10-Year T-Note yield trended higher in 2021, putting some pressure on bond prices. Expect the Federal Reserve to tighten monetary policy by raising short-term interest rates. It could begin as early as March 2022. While the markets could experience some near-term pain, I believe normalizing interest rates and bond yields will prove to be a healthy and necessary transition for the markets long-term.

Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund again in six months.

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

Table of Contents

Fund Performance Overview (Unaudited)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

The First Trust Global Tactical Commodity Strategy Fund (the “Fund”) seeks to provide total return by providing investors with commodity exposure while seeking a relatively stable risk profile. The Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve attractive risk-adjusted return by investing in commodity futures contracts and exchange-traded commodity linked instruments (collectively, “Commodities Instruments”) through a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The Fund will not invest directly in Commodities instruments. The Fund expects to gain exposure to these investments exclusively by investing in the Subsidiary. The Subsidiary is advised by First Trust Advisors L.P., the Fund’s investment advisor (the “Advisor”).

The Fund’s investment in the Subsidiary is intended to provide the Fund with exposure to commodity markets within the limits of current federal income tax laws applicable to investment companies such as the Fund, which limit the ability of investment companies to invest directly in Commodities Instruments. The Subsidiary has the same investment objective as the Fund, but unlike the Fund, it may invest without limitation in Commodities Instruments. Except as otherwise noted, references to the Fund’s investments include the Fund’s indirect investments through the Subsidiary. The Fund may invest up to 25% of its total assets in the Subsidiary.

The Subsidiary seeks to make investments generally in Commodities Instruments while managing volatility. Investment weightings of the underlying Commodities Instruments held by the Subsidiary are rebalanced in an attempt to stabilize risk levels. The dynamic weighting process is designed to result in a disciplined, systematic investment process, which is keyed off of the Advisor’s volatility forecasting process. The Subsidiary may have both long and short positions in Commodities Instruments. However, for a given Commodity Instrument the Subsidiary will provide a net long exposure.

The remainder of the Fund’s assets will primarily be invested in: (1) short-term investment grade fixed income securities that include U.S. government and agency securities, sovereign debt obligations of non-U.S. countries, and repurchase agreements; (2) money market instruments; (3) ETFs and other investment companies registered under the Investment Company Act of 1940, as amended; and (4) cash and other cash equivalents. The Fund uses such instruments as investments and to collateralize the Subsidiary’s Commodities Instruments exposure on a day-to-day basis.

Performance
		Average Annual Total Returns		Cumulative Total Returns
	1 Year Ended 12/31/21	5 Years Ended 12/31/21	Inception (10/22/13) to 12/31/21	5 Years Ended 12/31/21	Inception (10/22/13) to 12/31/21
Fund Performance
NAV	28.09%	4.44%	-2.02%	24.24%	-15.36%
Market Price	27.84%	4.44%	-2.00%	24.27%	-15.26%
Index Performance
Bloomberg Commodity Index	27.11%	3.66%	-2.38%	19.70%	-17.88%
S&P GSCI^® Total Return Index	40.35%	2.80%	-6.60%	14.79%	-42.82%
S&P 500^® Index	28.71%	18.47%	15.20%	133.41%	218.66%

Total returns for the period since inception are calculated from the inception date of the Fund. “Average Annual Total Returns” represent the average annual change in value of an investment over the periods indicated. “Cumulative Total Returns” represent the total change in value of an investment over the periods indicated.

The Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of the Fund did not trade in the secondary market until after its inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in the Fund at NAV and Market Price, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund’s past performance is no guarantee of future performance.

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Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.

Frequency Distribution of Discounts and Premiums

Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.

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Table of Contents

Portfolio Commentary

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Annual Report

December 31, 2021 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”) serves as the investment advisor, commodity pool operator and commodity trading advisor to the First Trust Global Tactical Commodity Strategy Fund (the “Fund”). First Trust is responsible for the selection and ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

Portfolio Management Team

John Gambla – CFA, FRM, PRM, Senior Portfolio Manager

Rob A. Guttschow – CFA, Senior Portfolio Manager

Commentary

The Fund is an actively managed exchange-traded fund (“ETF”). The Fund’s investment objective seeks to provide total return by providing investors with commodity exposure while seeking a relatively stable risk profile. For performance measurement, the Fund is benchmarked against the unmanaged Bloomberg Commodity Index (the “Benchmark”). This commentary discusses the 12-month market and Fund performance ended December 31, 2021.

Overall Market Recap

U.S. economic growth was strong during the fiscal year from January 1, 2021 to December 31, 2021. Current estimates for growth in the gross domestic product (“GDP”) in the fourth quarter of 2021 from the U.S. Conference Board are 6.5% annualized. The average quarterly GDP growth rate is expected to be 5.5% annualized per quarter. In the past ten years, only one quarter, the third quarter of 2020, has had stronger economic growth than the average quarterly growth rate of 2021. During the fiscal period, non-farm payrolls (i.e., jobs) increased by 6.448 million, according to the survey from the U.S. Bureau of Labor Statistics (“BLS”), resulting in the unemployment rate falling from 6.7% to 3.9%. Job growth is likely to remain strong in the near future as the Job Openings and Labor Turnover Summary survey released by the BLS in December 2021 (for November 2021), was showing a solid 10.562 million positions available in the U.S., off only slightly from the all-time high reading in July of 2021 at 11.098 million.

Solid gains in the unemployment rate have boosted paychecks throughout the fiscal year, with average hourly earnings up 4.7% year-over-year. Despite the big increase, consumers are not necessarily feeling better off as the year-over-year Consumer Price Index was up 7.0% in the same period, resulting in a decrease in real earnings of -2.3%. Monetary policy is still accommodative, but likely to get less so in the future as the Federal Reserve (the “Fed”) has begun the process of slowing the growth of their balance sheet with expectations that by the end of the first quarter of 2022, balance sheet growth will no longer be occurring. Market expectations for the timing of the first of likely many increases in the Federal Funds target rate, currently at 0.25%, has evolved during the year and is now expected to occur in the first quarter of 2022.

The U.S. equity market, as represented by the S&P 500^® Index (the “Index”), rallied during the fiscal period, up 28.71%, as the solid GDP growth and the declining unemployment rate indicated an economy recovering strongly from the COVID-19 induced shock. Smaller capitalization stocks, as represented by the Russell 2000^® Index, rallied also, but trailed their large cap brethren, up 14.82% year-to-date. Interest rates rose during the fiscal period with two-year rates up 0.61% and ten-year rates up 0.60%. The broader bond market, as represented by the Bloomberg U.S. Aggregate Bond Index, was down 1.54% on a total return basis for the fiscal period.

Commodities rallied throughout the year with four of the five commodity sectors finishing positive on the year. The Benchmark was up 27.11% for the year with the energy and industrial sectors leading the way higher with total returns of 52.13% and 30.34%, respectively. Only the precious metal sector was negative on the year, surprising in a higher inflation year, down -6.11% for the year.

Fund Performance

The Fund’s performance for the 12-month period ended December 31, 2021 was 28.09% on a net asset value basis and 27.84% on a market price basis. The Fund’s Benchmark returned 27.11% during the same period.

The global commodity market is made up of several separate markets including agriculture, oil, industrial metals, and precious metals. These commodities are the building blocks of every economy in the world. Holding a physical commodity is not practical for most investors, but the futures market provides an alternative way to seek exposure to commodities. Individual commodity futures contracts and the unmanaged benchmarks that measure their performance offer attractive opportunities for investors to potentially diversify their portfolios and protect themselves against unforeseen rises in inflation; however, commodities and their benchmarks can be volatile.

Page 4

Table of Contents

Portfolio Commentary (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Annual Report

December 31, 2021 (Unaudited)

The Fund employs an investment style that seeks to control the Fund’s risk profile to a relatively stable band, thus providing investors broadly diversified commodity exposure with more risk stability than traditional unmanaged commodity benchmarks.

During the performance period, the Fund held allocations in 27 different commodities at various points in time. The Fund’s average sector allocation was 27.33% energy, 22.25% industrial metals, 13.63% precious metals, 31.19% agricultural, and 5.60% livestock. As of December 31, 2021, the Fund held 26.19% in energy related futures contracts, 22.55% in industrial metal futures, 11.49% in precious metal futures, 34.24% in agricultural futures, and 5.53% in livestock futures.

During the performance period, the Fund profited from positions in all commodity sectors except precious metals, which fell in price during the period. The strongest performing sector was the energy sector where the Fund’s largest average position was gasoline, at an average weight of 6.80%. Gasoline was also the best performing energy contract during the year with the Bloomberg Gasoline Total Return Index up 69.61%. Brent oil and heating oil also performed well, adding over 2.0% to the Fund’s total returns for the period. The second biggest contributor to the Fund’s total returns during the period was the agricultural sector where both bean oil and corn had a solid year, up 50.50% and 34.43%, respectively, per the Bloomberg total return indices. The only commodity in the agricultural sector with a negative total return for the year period was soymeal with a -10.23% total return for the period. Overall, the Fund managed to earn a small profit in its soymeal positions with fourth quarter gains offsetting losses in the prior three quarters.

Precious metals was the only sector to detract from the Fund’s performance during the period as gold, silver and platinum all traded down on the year. The Fund was long all three contracts during the period and lost on an absolute basis. The negative total returns of the precious metals contracts were somewhat counterintuitive as the market thinks of precious metals as an inflation hedge, and inflation certainly needed hedging in 2021.

Please see the Consolidated Portfolio of Investments for a complete list of all positions within the portfolio as of December 31, 2021.

Market and Fund Outlook

Today, we believe the Fund is well positioned to achieve its investment objective of seeking to provide total return commodity exposure while seeking a relatively stable risk profile. We believe that the Fund is currently broadly diversified across commodity futures and commodity sectors and that the risk control portfolio construction process is working well. Additionally, we believe that commodities are, and will continue to be, a valuable component of any well diversified portfolio. Because commodities are not highly correlated with traditional asset classes, they can potentially decrease portfolio volatility, enhance overall return, and provide meaningful diversification to an asset allocation strategy.

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Table of Contents

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Understanding Your Fund Expenses

December 31, 2021 (Unaudited)

As a shareholder of the First Trust Global Tactical Commodity Strategy Fund (the “Fund”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended December 31, 2021.

Actual Expenses

The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the expenses you paid on your account during this six-month period.

Hypothetical Example for Comparison Purposes

The second line in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value July 1, 2021	Ending Account Value December 31, 2021	Annualized Expense Ratio Based on the Six-Month Period	Expenses Paid During the Six-Month Period (a)
First Trust Global Tactical Commodity Strategy Fund (FTGC)
Actual	$1,000.00	$1,051.20	0.95%	$4.91
Hypothetical (5% return before expenses)	$1,000.00	$1,020.42	0.95%	$4.84

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (July 1, 2021 through December 31, 2021), multiplied by 184/365 (to reflect the six-month period).

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Table of Contents

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Consolidated Portfolio of Investments

December 31, 2021

Shares	Description	Value
MONEY MARKET FUNDS – 0.3%
5,500,000	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (a)	$5,500,000
	(Cost $5,500,000)

	Total Investments – 0.3%		5,500,000
	(Cost $5,500,000) (b)

	Net Other Assets and Liabilities – 99.7%		1,973,884,640
	Net Assets – 100.0%		$1,979,384,640

The following futures contracts of the Fund’s wholly-owned subsidiary were open at December 31, 2021 (see Note 2B - Futures Contracts in the Notes to Consolidated Financial Statements):

Futures Contracts Long:	Number of Contracts	Notional Value	Expiration Date	Unrealized Appreciation (Depreciation)/ Value
Brent Crude Oil Futures	284	$22,089,520	Jan–22	$(235,483)
Brent Crude Oil Futures	257	19,878,950	Feb–22	(217,654)
Brent Crude Oil Futures	253	19,455,700	Mar–22	(180,335)
Brent Crude Oil Futures	251	19,173,890	Apr–22	1,004,176
Cattle Feeder Futures	420	35,689,500	Mar–22	965,148
Cocoa Futures	739	18,622,800	Mar–22	(203,455)
Cocoa Futures	397	10,175,110	Jul–22	321,850
Cocoa Futures	376	9,659,440	Sep–22	313,240
Coffee “C” Futures	398	33,745,425	Mar–22	1,451,623
Coffee “C” Futures	293	24,831,750	May–22	2,313,841
Copper Futures	924	103,106,850	Mar–22	3,027,244
Corn Futures	4,380	129,921,750	Mar–22	1,828,139
Cotton No. 2 Futures	622	35,018,600	Mar–22	(559,699)
Cotton No. 2 Futures	502	27,730,480	May–22	(412,723)
Gasoline RBOB Futures	494	46,156,001	Jan–22	(2,973,935)
Gasoline RBOB Futures	481	45,022,177	Feb–22	992,245
Gasoline RBOB Futures	215	21,052,542	Mar–22	1,765,338
Gold 100 Oz. Futures	776	141,899,360	Feb–22	345,364
Kansas City Hard Red Winter Wheat Futures	809	32,420,675	Mar–22	(2,125,284)
Lean Hogs Futures	491	16,001,690	Feb–22	(269,865)
Lean Hogs Futures	85	2,948,650	Apr–22	(28,424)
Lean Hogs Futures	84	3,277,680	Jun–22	8,931
Live Cattle Futures	478	26,710,640	Feb–22	641,387
Live Cattle Futures	195	11,296,350	Apr–22	372,798
Live Cattle Futures	193	10,746,240	Jun–22	278,320
LME Aluminum Futures	1,615	113,373,000	Mar–22	9,453,037
LME Lead Futures	1,303	75,378,550	Mar–22	(229,300)
LME Nickel Futures	556	69,367,116	Mar–22	4,165,914
LME Zinc Futures	836	74,153,200	Mar–22	6,381,625
Low Sulphur Gasoil “G” Futures	348	23,185,500	Feb–22	2,317,047
Low Sulphur Gasoil “G” Futures	436	28,906,800	Mar–22	2,843,950
Low Sulphur Gasoil “G” Futures	221	14,558,375	Apr–22	395,749
Natural Gas Futures	795	29,653,500	Jan–22	(3,720,286)
Natural Gas Futures	1,881	66,907,170	Feb–22	(1,060,884)
Natural Gas Futures	815	33,333,500	Dec–22	(307,010)
NY Harbor ULSD Futures	272	26,564,227	Jan–22	(1,148,725)
NY Harbor ULSD Futures	322	31,218,802	Feb–22	(271,129)
NY Harbor ULSD Futures	62	5,949,619	Mar–22	233,407
Silver Futures	685	79,980,600	Mar–22	(5,611,445)
Soybean Futures	1,201	80,421,963	Mar–22	3,061,834
Soybean Meal Futures	2,513	100,293,830	Mar–22	7,617,956

See Notes to Consolidated Financial Statements

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First Trust Global Tactical Commodity Strategy Fund (FTGC)

Consolidated Portfolio of Investments (Continued)

December 31, 2021

Futures Contracts Long: (Continued)	Number of Contracts	Notional Value	Expiration Date	Unrealized Appreciation (Depreciation)/ Value
Soybean Oil Futures	1,881	$63,799,758	Mar–22	$(681,005)
Sugar #11 (World) Futures	3,508	74,178,764	Feb–22	(3,476,014)
Wheat Futures (CBT)	526	20,270,725	Mar–22	(1,874,296)
WTI Crude Futures	170	12,656,500	Mar–22	(364,666)
WTI Crude Futures	198	14,640,120	Apr–22	(237,877)
WTI Crude Futures	198	14,527,260	May–22	(517,540)
WTI Crude Futures	147	10,698,660	Jun–22	894,421
	Total	$1,930,649,309		$26,287,550


(a)	Rate shown reflects yield as of December 31, 2021.
(b)	Aggregate cost for federal income tax purposes was $5,500,000. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $146,321,269 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $29,635,831. The net unrealized appreciation was $116,685,438. The amounts presented are inclusive of derivative contracts.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Consolidated Financial Statements):

ASSETS TABLE
	Total Value at 12/31/2021	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Money Market Funds	$ 5,500,000	$ 5,500,000	$ —	$ —
Futures Contracts*	52,994,584	52,994,584	—	—
Total	$ 58,494,584	$ 58,494,584	$—	$—

LIABILITIES TABLE
	Total Value at 12/31/2021	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Futures Contracts*	$ (26,707,034)	$ (26,707,034)	$ —	$ —

*	Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Consolidated Statement of Assets and Liabilities.

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See Notes to Consolidated Financial Statements

Table of Contents

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Consolidated Statement of Assets and Liabilities

December 31, 2021

ASSETS:
Investments, at value (Cost $5,500,000)	$ 5,500,000
Cash	1,854,715,160
Cash segregated as collateral for open futures contracts	124,806,895
Dividends receivable	92
Total Assets	1,985,022,147
LIABILITIES:
Payables:
Variation margin	3,969,737
Investment advisory fees	1,667,770
Total Liabilities	5,637,507
NET ASSETS	$1,979,384,640
NET ASSETS consist of:
Paid-in capital	$ 1,879,120,854
Par value	860,033
Accumulated distributable earnings (loss)	99,403,753
NET ASSETS	$1,979,384,640
NET ASSET VALUE, per share	$23.02
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)	86,003,334

See Notes to Consolidated Financial Statements

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First Trust Global Tactical Commodity Strategy Fund (FTGC)

Consolidated Statement of Operations

For the Year Ended December 31, 2021

INVESTMENT INCOME:
Interest		$ 66,737
Dividends		587
Other		30,994
Total investment income		98,318
EXPENSES:
Investment advisory fees		13,155,629
Total expenses		13,155,629
NET INVESTMENT INCOME (LOSS)		(13,057,311)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on futures contracts		231,317,130
Net change in unrealized appreciation (depreciation) on futures contracts		10,092,273
NET REALIZED AND UNREALIZED GAIN (LOSS)		241,409,403
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$ 228,352,092

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See Notes to Consolidated Financial Statements

Table of Contents

First Trust Global Tactical Commodity Strategy Fund (FTGC)

Consolidated Statements of Changes in Net Assets

	Year Ended 12/31/2021	Year Ended 12/31/2020
OPERATIONS:
Net investment income (loss)	$ (13,057,311)	$ (702,190)
Net realized gain (loss)	231,317,130	(6,983,954)
Net change in unrealized appreciation (depreciation)	10,092,273	11,227,190
Net increase (decrease) in net assets resulting from operations	228,352,092	3,541,046
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations	(143,037,852)	—
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold	1,695,094,894	138,000,895
Cost of shares redeemed	(39,063,924)	(67,378,935)
Net increase (decrease) in net assets resulting from shareholder transactions	1,656,030,970	70,621,960
Total increase (decrease) in net assets	1,741,345,210	74,163,006
NET ASSETS:
Beginning of period	238,039,430	163,876,424
End of period	$1,979,384,640	$238,039,430
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period	12,353,334	8,653,334
Shares sold	75,300,000	8,050,000
Shares redeemed	(1,650,000)	(4,350,000)
Shares outstanding, end of period	86,003,334	12,353,334

See Notes to Consolidated Financial Statements

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First Trust Global Tactical Commodity Strategy Fund (FTGC)

Consolidated Financial Highlights

For a share outstanding throughout each period

	Year Ended December 31,
	2021	2020	2019	2018	2017
Net asset value, beginning of period	$ 19.27	$ 18.94	$ 17.92	$ 20.77	$ 20.43
Income from investment operations:
Net investment income (loss)	(0.22) (a)	(0.14)	0.26	0.18	(0.03)
Net realized and unrealized gain (loss)	5.63	0.47	0.91	(2.89)	0.62
Total from investment operations	5.41	0.33	1.17	(2.71)	0.59
Distributions paid to shareholders from:
Net investment income	(1.66)	—	(0.15)	(0.11)	(0.25)
Return of capital	—	—	—	(0.03)	—
Total distributions	(1.66)	—	(0.15)	(0.14)	(0.25)
Net asset value, end of period	$23.02	$19.27	$18.94	$17.92	$20.77
Total return (b)	28.09%	1.74%	6.55%	(13.04)%	2.89%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 1,979,385	$ 238,039	$ 163,876	$ 168,520	$ 188,005
Ratio of total expenses to average net assets	0.95%	0.95%	0.95%	0.95%	0.95%
Ratio of net investment income (loss) to average net assets	(0.94)%	(0.54)%	1.13%	0.75%	(0.33)%
Portfolio turnover rate (c)	0%	0%	0%	0%	0%

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions.

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See Notes to Consolidated Financial Statements

Table of Contents

Notes to Consolidated Financial Statements

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021

1. Organization

First Trust Exchange-Traded Fund VII (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on November 6, 2012, and is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”).

The Trust consists of two funds that are currently offering shares. This report covers the First Trust Global Tactical Commodity Strategy Fund (the “Fund”), a diversified series of the Trust, which trades under the ticker “FTGC” on The Nasdaq Stock Market LLC (“Nasdaq”) and commenced operations on October 22, 2013.Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.”

The Fund is an actively managed exchange-traded fund. The investment objective of the Fund seeks to provide total return by providing investors with commodity exposure while seeking a relatively stable risk profile. Under normal market conditions, the Fund, through a wholly-owned subsidiary of the Fund, FT Cayman Subsidiary II (the “Subsidiary”), organized under the laws of the Cayman Islands, invests in a portfolio of commodity futures contracts and exchange-traded commodity linked instruments (collectively, “Commodities Instruments”). The Fund will not invest directly in Commodities Instruments. The Fund seeks to gain exposure to these investments exclusively by investing in the Subsidiary. The Fund’s investment in the Subsidiary may not exceed 25% of the Fund’s total assets at the end of each fiscal quarter. As of December 31, 2021, the Fund invested 21.3% of the Fund’s total assets in the Subsidiary. There can be no assurance that the Fund will achieve its investment objective. The Fund may not be appropriate for all investors.

2. Significant Accounting Policies

The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The consolidated financial statements include the accounts on a consolidated basis of the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the consolidated financial statements. The preparation of the consolidated financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates.

A. Portfolio Valuation

The Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. The Fund’s NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.

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

Exchange-traded futures contracts are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded futures contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price.

U.S. Treasuries are fair valued on the basis of valuations provided by a third-party pricing service approved by the Trust’s Board of Trustees.

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

If the Fund’s investments are not able to be priced by their pre-established pricing methods, such investments may be valued by the Trust’s Board of Trustees or its delegate, the Advisor’s Pricing Committee, at fair value. A variety of factors may be considered in determining the fair value of such investments.

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Notes to Consolidated Financial Statements (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021

Valuing the Fund’s holdings using fair value pricing will result in using prices for those holdings that may differ from current market valuations. The Subsidiary’s holdings will be valued in the same manner as the Fund’s holdings.

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

•	Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
•	Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:

o	Quoted prices for similar investments in active markets.
o	Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o	Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o	Inputs that are derived principally from or corroborated by observable market data by correlation or other means.

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

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of December 31, 2021, is included with the Fund’s Consolidated Portfolio of Investments.

B. Futures Contracts

The Fund, through the Subsidiary, may purchase and sell exchange-listed commodity contracts. When the Subsidiary purchases a listed futures contract, it agrees to purchase a specified reference asset (e.g., commodity) at a specified future date. When the Subsidiary sells or shorts a listed futures contract, it agrees to sell a specified reference asset (e.g., commodity) at a specified future date. The price at which the purchase and sale will take place is fixed when the Subsidiary enters into the contract. The exchange clearing corporation is the ultimate counterparty for all exchange-listed contracts, so credit risk is limited to the creditworthiness of the exchange’s clearing corporation. Margin deposits are posted as collateral with the clearing broker and, in turn, with the exchange clearing corporation. Open futures contracts can be closed out prior to settlement by entering into an offsetting transaction in a matching futures contract. If the Subsidiary is not able to enter into an offsetting transaction, the Subsidiary will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or expires, the Subsidiary records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included in “Net realized gain (loss) on futures contracts” on the Consolidated Statement of Operations.

Exchange-listed commodity futures contracts are generally based upon commodities within the six principal commodity groups: energy, industrial metals, agriculture, precious metals, foods and fibers, and livestock. The price of a commodity futures contract will reflect the storage costs of purchasing the physical commodity. These storage costs include the time value of money invested in the physical commodity plus the actual costs of storing the commodity less any benefits from ownership of the physical commodity that are not obtained by the holder of a futures contract (this is sometimes referred to as the “convenience yield”). To the extent that these storage costs change for an underlying commodity while the Subsidiary is in a long position on that commodity, the value of the futures contract may change proportionately.

Upon entering into a futures contract, the Subsidiary must deposit funds, called margin, with its custodian in the name of the clearing broker equal to a specified percentage of the current value of the contract. Open futures contracts are marked-to-market daily with the change in value recognized as a component of “Net change in unrealized appreciation (depreciation) on futures contracts” on the Consolidated Statement of Operations. This daily fluctuation in value of the contracts is also known as variation margin and is included as “Variation margin” payable or receivable on the Consolidated Statement of Assets and Liabilities.

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Notes to Consolidated Financial Statements (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021

1940 Act Rules and SEC interpretations thereunder. As the Subsidiary continues to engage in the described securities trading practices and properly segregates assets, the segregated assets will function as a practical limit on the amount of leverage which the Subsidiary may undertake and on the potential increase in the speculative character of the Subsidiary’s outstanding portfolio investments. Additionally, such segregated assets generally ensure the availability of adequate funds to meet the obligations of the Subsidiary arising from such investment activities.

C. Cash

The Fund holds assets equal to or greater than the full notional exposure of the futures contracts. These assets may consist of cash and other short-term securities to comply with SEC guidance with respect to coverage of futures contracts by registered investment companies. At December 31, 2021, the Fund had restricted cash held of $124,806,895, which is included in “Cash segregated as collateral for open futures contracts” on the Consolidated Statement of Assets and Liabilities.

D. Investment Transactions and Investment Income

Investment transactions are recorded as of the trade date. Realized gains and losses from investment transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.

E. Dividends and Distributions to Shareholders

Dividends from net investment income, if any, are declared and paid quarterly by the Fund. The Fund distributes its net realized capital gains, if any, to shareholders at least annually.

Distributions in cash may be reinvested automatically in additional whole shares only if the broker through whom the shares were purchased makes such option available. Such shares will generally be reinvested by the broker based upon the market price of those shares and investors may be subject to customary brokerage commissions charged by the broker.

Distributions from net investment income and realized capital gains are determined in accordance with income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the consolidated financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for consolidated financial statement and tax purposes, will reverse at some time in the future.

The tax character of distributions paid by the Fund during the fiscal years ended December 31, 2021 and 2020, was as follows:

Distributions paid from:	2021	2020
Ordinary income	$143,037,852	$—
Capital gains	—	—
Return of capital	—	—

As of December 31, 2021, the components of distributable earnings on a tax basis for the Fund were as follows:

Undistributed ordinary income	$1,275,317
Accumulated capital and other gain (loss)	(90,397,888)
Net unrealized appreciation (depreciation)	116,685,438

F. Income Taxes

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

The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income, whether or not such earnings are distributed by the Subsidiary to the Fund. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

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Notes to Consolidated Financial Statements (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021

The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2021, for federal income tax purposes, the Fund had no non-expiring capital loss carryforwards.

The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of December 31, 2021, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund’s consolidated financial statements for uncertain tax positions.

In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) and net unrealized appreciation (depreciation)) on the Consolidated Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss). These adjustments are primarily due to the difference between book and tax treatment of net investment income from the Subsidiary. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended December 31, 2021, the adjustments for the Fund were as follows:

Accumulated Net Investment Income (Loss)		Accumulated Net Realized Gain (Loss)		Paid-in Capital
$231,317,130		$(231,317,130)		$—

G. Expenses

Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (See Note 3).

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

First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the Fund’s and the Subsidiary’s investment portfolios, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of the Fund’s assets and is responsible for the Fund’s and the Subsidiary’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Fund has agreed to pay First Trust an annual unitary management fee equal to 0.95% of its average daily net assets. First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250, which is covered under the annual unitary management fee. The Subsidiary does not pay First Trust a separate management fee.

The Trust has multiple service agreements with Brown Brothers Harriman & Co. (“BBH”). Under the service agreements, BBH performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BBH is responsible for custody of the Fund’s assets. As fund accountant and administrator, BBH is responsible for maintaining the books and records of the Fund’s investments and cash. As transfer agent, BBH is responsible for maintaining shareholder records for the Fund.

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

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

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Notes to Consolidated Financial Statements (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021

4. Purchases and Sales of Securities

The cost of purchases and proceeds from sales of securities, excluding short-term investments, derivatives, and in-kind transactions, for the fiscal year ended December 31, 2021, were $0 and $0, respectively.

For the fiscal year ended December 31, 2021, the Fund did not have any in-kind purchases or sales.

5. Derivative Transactions

The following table presents the types of derivatives held by the Subsidiary at December 31, 2021, the primary underlying risk exposure and the location of these instruments as presented on the Consolidated Statement of Assets and Liabilities.

		Asset Derivatives		Liability Derivatives
Derivative Instrument	Risk Exposure	Consolidated Statement of Assets and Liabilities Location	Value	Consolidated Statement of Assets and Liabilities Location	Value
Futures contracts	Commodity Risk	Unrealized appreciation on futures contracts*	$ 52,994,584	Unrealized depreciation on futures contracts*	$ 26,707,034

*Includes cumulative appreciation/depreciation on futures contracts as reported in the Consolidated Portfolio of Investments. Only the current day’s variation margin is presented on the Consolidated Statement of Assets and Liabilities.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal year ended December 31, 2021, on derivative instruments, as well as the primary underlying risk exposure associated with each instrument.

Consolidated Statement of Operations Location
Commodity Risk Exposure
Net realized gain (loss) on futures contracts	$231,317,130
Net change in unrealized appreciation (depreciation) on futures contracts	10,092,273

During the fiscal year ended December 31, 2021, the notional value of futures contracts opened and closed were $8,317,685,382 and $6,630,669,143, respectively.

The Fund does not have the right to offset financial assets and liabilities related to futures contracts on the Consolidated Statement of Assets and Liabilities.

6. Creations, Redemptions and Transaction Fees

The Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with the Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as “Creation Units.” Prior to the start of trading on every business day, the Fund publishes through the National Securities Clearing Corporation (“NSCC”) the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of the Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of the Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in the Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund’s shares at or close to the NAV per share of the Fund.

The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.

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Notes to Consolidated Financial Statements (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021

The Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by the Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.

7. Distribution Plan

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. (“FTP”), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or to provide investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2023.

8. Indemnification

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

9. Subsequent Events

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

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Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of First Trust Exchange-Traded Fund VII:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying consolidated statement of assets and liabilities of First Trust Global Tactical Commodity Strategy Fund (the “Fund”), a series of the First Trust Exchange-Traded Fund VII, including the consolidated portfolio of investments, as of December 31, 2021, the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Chicago, Illinois

February 23, 2022

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

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Additional Information

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021 (Unaudited)

Proxy Voting Policies and Procedures

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

Portfolio Holdings

The Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC’s website at www.sec.gov. The Fund’s complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for the Fund is available to investors within 60 days after the period to which it relates. The Fund’s Forms N-PORT and Forms N-CSR are available on the SEC’s website listed above.

Federal Tax Information

For the taxable year ended December 31, 2021, the following percentage of income dividends paid by the Fund qualifies for the dividends received deduction available to corporations and is hereby designated as qualified dividend income:

Dividends Received Deduction		Qualified Dividend Income
0.00%		0.00%

Distributions paid to foreign shareholders during the Fund’s fiscal year ended December 31, 2021 that were properly designated by the Fund as “interest-related dividends” or “short-term capital gain dividends,” may not be subject to federal income tax provided that the income was earned directly by such foreign shareholders.

Risk Considerations

Risks are inherent in all investing. Certain general risks that may be applicable to a Fund are identified below, but not all of the material risks relevant to each Fund are included in this report and not all of the risks below apply to each Fund. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information and other regulatory filings. Before investing, you should consider each Fund’s investment objective, risks, charges and expenses, and read each Fund’s prospectus and statement of additional information carefully. You can download each Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about each Fund.

Concentration Risk. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund’s investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund’s corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified.

Credit Risk. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer’s ability to make such payments.

Cyber Security Risk. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund’s third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches.

Defined Outcome Funds Risk. To the extent a fund’s investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not

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Additional Information (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021 (Unaudited)

participate in a gain in the value of the underlying ETF up to the cap for the investor’s investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund’s share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless.

Derivatives Risk. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund’s portfolio managers use derivatives to enhance the fund’s return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund.

Equity Securities Risk. To the extent a fund invests in equity securities, the value of the fund’s shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors’ perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market.

ETF Risk. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF’s shares, or decisions by an ETF’s authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF’s shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads.

Fixed Income Securities Risk. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund’s fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund’s fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or “junk” bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities.

Index or Model Constituent Risk. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund’s net asset value could be negatively impacted and the fund’s market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund’s shares.

Index Provider Risk. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund’s costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders.

Investment Companies Risk. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund’s investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests.

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Additional Information (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021 (Unaudited)

LIBOR Risk. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate (“LIBOR”) as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund.

Management Risk. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund’s investment portfolio, the fund’s portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective.

Market Risk. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of “reasonably” normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease.

Non-U.S. Securities Risk. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries.

Operational Risk. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund’s ability to meet its investment objective. Although the funds and the funds’ investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.

Passive Investment Risk. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets.

NOT FDIC INSURED

NOT BANK GUARANTEED

MAY LOSE VALUE

Remuneration

First Trust Advisors L.P. (“First Trust”) is authorized and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of certain funds it manages, including First Trust Global Tactical Commodity Strategy Fund (the “Fund”), in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the “Directive”). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust’s interpretation of currently available regulatory guidance on remuneration disclosures.

During the year ended December 31, 2021, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Fund is $2,351,266. This figure is comprised of $256,056 paid (or to be paid) in fixed compensation and $2,095,210 paid (or to be paid) in variable compensation. There were a total of 26 beneficiaries of the remuneration described above. Those amounts include

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Additional Information (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021 (Unaudited)

$372,348 paid (or to be paid) to senior management of First Trust Advisors L.P. and $1,978,918 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Fund (collectively, “Code Staff”).

Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust’s remuneration policy (the “Remuneration Policy”) which is determined and implemented by First Trust’s senior management. The Remuneration Policy reflects First Trust’s ethos of good governance and encapsulates the following principal objectives:

i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure;

ii. to promote sound and effective risk management consistent with the risk profiles of the funds managed by First Trust; and

iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the funds managed by First Trust in a manner that avoids conflicts of interest.

First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff.

First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Fund.

The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking.

No individual is involved in setting his or her own remuneration.

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Board of Trustees and Officers

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021 (Unaudited)

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

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

Name, Year of Birth and Position with the Trust	Term of Office and Year First Elected or Appointed	Principal Occupations During Past 5 Years	Number of Portfolios in the First Trust Fund Complex Overseen by Trustee	Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INDEPENDENT TRUSTEES
Richard E. Erickson, Trustee (1951)	• Indefinite Term • Since Inception	Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016)	216	None
Thomas R. Kadlec, Trustee (1957)	• Indefinite Term • Since Inception	President, ADM Investor Services, Inc. (Futures Commission Merchant)	216	Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association
Denise M. Keefe, Trustee (1964)	• Indefinite Term • Since 2021	Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System)	216	Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021)
Robert F. Keith, Trustee (1956)	• Indefinite Term • Since Inception	President, Hibs Enterprises (Financial and Management Consulting)	216	Director of Trust Company of Illinois
Niel B. Nielson, Trustee (1954)	• Indefinite Term • Since Inception	Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services)	216	None

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Board of Trustees and Officers (Continued)

First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021 (Unaudited)

Name, Year of Birth and Position with the Trust	Term of Office and Year First Elected or Appointed	Principal Occupations During Past 5 Years	Number of Portfolios in the First Trust Fund Complex Overseen by Trustee	Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INTERESTED TRUSTEE
James A. Bowen⁽¹⁾, Trustee and Chairman of the Board (1955)	• Indefinite Term • Since Inception	Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)	216	None

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

Roger F. Testin (1966)	Vice President	• Indefinite Term • Since Inception	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.
Stan Ueland (1970)	Vice President	• Indefinite Term • Since Inception	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.

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

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

Page 25

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First Trust Global Tactical Commodity Strategy Fund (FTGC)

December 31, 2021 (Unaudited)

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

Sources of Information

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

•	Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms;
•	Information about your transactions with us, our affiliates or others;
•	Information we receive from your inquiries by mail, e-mail or telephone; and
•	Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits.

Information Collected

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

Disclosure of Information

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

•

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

•

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

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

Use of Website Analytics

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

Confidentiality and Security

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

Policy Updates and Inquiries

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

March 2021

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INVESTMENT ADVISOR

First Trust Advisors L.P.

120 East Liberty Drive, Suite 400

Wheaton, IL 60187

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT

Brown Brothers Harriman & Co.

50 Post Office Square

Boston, MA 02110

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM

Deloitte & Touche LLP

111 S. Wacker Drive

Chicago, IL 60606

LEGAL COUNSEL

Chapman and Cutler LLP

320 South Canal Street

Chicago, IL 60606

Table of Contents

First Trust Exchange-Traded Fund VII

First Trust Alternative Absolute Return
Strategy ETF (FAAR)

Annual Report
For the Year Ended
December 31, 2021

Table of Contents

First Trust Alternative Absolute Return Strategy ETF (FAAR)

Annual Report

December 31, 2021

Shareholder Letter	1
Fund Performance Overview	2
Portfolio Commentary	4
Understanding Your Fund Expenses	6
Consolidated Portfolio of Investments	7
Consolidated Statement of Assets and Liabilities	9
Consolidated Statement of Operations	10
Consolidated Statements of Changes in Net Assets	11
Consolidated Financial Highlights	12
Notes to Consolidated Financial Statements	13
Report of Independent Registered Public Accounting Firm	19
Additional Information	20
Board of Trustees and Officers	23
Privacy Policy	25

Caution Regarding Forward-Looking Statements

Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund VII (the “Trust”) described in this report (First Trust Alternative Absolute Return Strategy ETF; hereinafter referred to as the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Performance and Risk Disclosure

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at www.ftportfolios.com.

How to Read This Report

Table of Contents

Shareholder Letter

First Trust Alternative Absolute Return Strategy ETF (FAAR)

Annual Letter from the Chairman and CEO

December 31, 2021

Dear Shareholders,

First Trust is pleased to provide you with the annual report for the First Trust Alternative Absolute Return Strategy ETF (the “Fund”), which contains detailed information about the Fund for the twelve months ended December 31, 2021.

Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund again in six months.

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

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Fund Performance Overview (Unaudited)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

The First Trust Alternative Absolute Return Strategy ETF (the “Fund”) seeks to provide investors with long-term total return. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FAAR.” The Fund is an actively managed exchange-traded fund that seeks to achieve long-term total return through long and short investments in exchange-traded commodity futures contracts (“Commodity Futures”) through a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The Fund does not invest directly in Commodity Futures. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Subsidiary is advised by First Trust Advisors L.P., the Fund’s investment advisor.

The Fund’s investment in the Subsidiary is intended to provide the Fund with exposure to commodity markets within the limits of current federal income tax laws applicable to investment companies such as the Fund, which limit the ability of investment companies to invest directly in Commodity Futures. The Subsidiary has the same investment objective as the Fund, but unlike the Fund, it may invest without limitation in Commodity Futures. The Fund will invest up to 25% of its total assets in the Subsidiary.

The Subsidiary’s holdings primarily consist of Commodity Futures, which are contractual agreements to buy or sell a particular commodity or financial instrument at a pre-determined price at a settlement date in the future. The Fund, through the Subsidiary, engages in trading on commodity markets both inside and outside of the United States on behalf of the Fund. The Fund, through the Subsidiary, may invest in a range of Commodity Futures and markets as determined by the Fund’s investment advisor from time to time. The remainder of the Fund’s assets will primarily be invested in: (1) U.S. government and agency securities with maturities of five years or less; (2) short-term repurchase agreements; (3) money market instruments; and (4) cash. The Fund uses such instruments as investments and to collateralize the Subsidiary’s Commodity Futures exposure on a day-to-day basis.

Performance
		Average Annual Total Returns		Cumulative Total Returns
	1 Year Ended 12/31/21	5 Years Ended 12/31/21	Inception (5/18/16) to 12/31/21	5 Years Ended 12/31/21	Inception (5/18/16) to 12/31/21
Fund Performance
NAV	13.49%	2.97%	1.68%	15.79%	9.80%
Market Price	12.31%	2.96%	1.70%	15.73%	9.94%
Index Performance
3 Month U.S. Treasury Bills + 3%	3.10%	4.23%	4.14%	22.99%	25.59%
Bloomberg Commodity Index	27.11%	3.66%	3.74%	19.70%	22.94%
S&P 500^® Index	28.71%	18.47%	18.41%	133.41%	158.57%

Page 2

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Fund Performance Overview (Unaudited) (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

Frequency Distribution of Discounts and Premiums

Page 3

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Portfolio Commentary

First Trust Alternative Absolute Return Strategy ETF (FAAR)

Annual Report

December 31, 2021 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”) serves as the investment advisor, commodity pool operator and commodity trading advisor to the First Trust Alternative Absolute Return Strategy ETF (the “Fund”). First Trust is responsible for the selection and ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

Portfolio Management Team

John Gambla – CFA, FRM, PRM, Senior Portfolio Manager, Alternatives Investment Team of First Trust

Rob A. Guttschow – CFA, Senior Portfolio Manager, Alternatives Investment Team of First Trust

Commentary

The Fund is an actively managed exchange-traded fund (“ETF”). The Fund’s investment objective seeks to provide investors with long-term total return. For performance measurement, the Fund is benchmarked to the unmanaged Bloomberg Commodity Index (the “Benchmark”), the 3 Month U.S. Treasury Bills Return + 3% annually, and the S&P 500^® Index. This commentary discusses the 12-month market and Fund performance ended December 31, 2021.

Overall Market Recap

The U.S. equity market, as represented by the S&P 500^® Index(the “Index”), rallied during the fiscal period, up 28.71%, as the solid GDP growth and the declining unemployment rate indicated an economy recovering strongly from the coronavirus-induced shock. Smaller capitalization stocks, as represented by the Russell 2000^® Index, rallied also, but trailed their large cap brethren, up 14.82% year-to-date. Interest rates rose during the fiscal period with two-year rates up 0.61% and ten-year rates up 0.60%. The broader bond market, as represented by the Bloomberg U.S. Aggregate Bond Index, was down -1.55% on a total return basis for the fiscal period.

Commodities rallied throughout the year with four of the five commodity sectors finishing positive on the year. The Benchmark was up 27.11% for the fiscal period with the energy and industrial sectors leading the way higher with total returns of 52.13% and 30.34%, respectively. Only the precious metal sector was negative on the year, which was surprising in a higher inflation year, down -6.11% for the year.

Fund Performance

The Fund’s performance for the 12-month period ended on December 31, 2021 was 13.49% on a net asset value basis and 12.31% on a market price basis. The returns of the Fund’s Benchmark, the 3 Month U.S. Treasury Bills + 3%, and the Index for the period were 27.11%, 3.10%, and 28.71%, respectively.

The global commodity market is made up of several separate markets including agriculture, livestock, energy, industrial metals, and precious metals. These commodities are the building blocks of every economy in the world. Holding a physical commodity is not practical for most investors, but the futures market provides an alternative way to seek exposure to commodities. The Fund employs an investment style that seeks to profit from rising and falling commodity prices by purchasing futures contracts in commodities that are anticipated to rise in price and shorting or selling futures contracts in commodities that are anticipated to fall in price. Commodities

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Portfolio Commentary (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

Annual Report

December 31, 2021 (Unaudited)

and their respective futures contracts can be very volatile in price and there is no guarantee that the Fund managers will correctly anticipate which commodity futures contracts will rise or fall in price.

During the performance period, the Fund held allocations in 27 different commodities contracts. The Fund’s average long and short exposure during the period was 73.9% and -14.1%, respectively. The average gross (long positions + absolute value of short positions) was 88.0% and the average net exposure was positive 59.8%. The average gross sector allocations were 22.6% energy, 11.1% industrial metals, 11.3% precious metals, 35.5% agricultural, and 7.5% livestock. As of December 31, 2021, the Fund’s gross exposure was 78.5%, comprised of 56.2% long positions and 22.3% short positions. The Fund’s largest exposure was a 9.8% long position in cotton with the second largest exposure a 7.6% long position in gasoline.

The Fund’s long positions during the 12-month period ended December 31, 2021 added value overall with the Fund profiting from positions in corn, bean oil, gasoline, natural gas, and copper. Energy, as a sector, was particularly strong during the same period as the global economy continued to recover from the pandemic. Gasoline prices rallied 74.4% during the period followed closely by Brent Crude which was up 67.8%. Long positions in cocoa, silver, and gold were negative trades for the period. Short positions held by the Fund during the period detracted from overall returns. For the same period, the Fund was hurt by short positions in coffee, cocoa, natural gas, Kansas wheat, and silver. Minor offsetting gains for the same period were made in short positions held in soy meal, platinum, and live cattle. The largest negative contributors to total return for the period on the short side were coffee and natural gas.

Please see the Consolidated Portfolio of Investments for a complete list of all positions within the portfolio as of December 31, 2021.

Market and Fund Outlook

Today, we believe the Fund is well positioned to achieve its investment objective of seeking to provide investors with long-term total return. We believe that the Fund is currently broadly diversified across commodity futures and commodity sectors with a variety of long and short positions in anticipation of rising and falling prices. Additionally, we believe that the investment strategy employed by the Fund results in long / short commodity exposures that are not highly correlated to long positions in stock, bonds, or commodities; therefore, we believe the Fund could potentially decrease portfolio volatility, enhance overall return, and provide meaningful diversification to an asset allocation strategy.

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First Trust Alternative Absolute Return Strategy ETF (FAAR)

Understanding Your Fund Expenses

December 31, 2021 (Unaudited)

As a shareholder of the First Trust Alternative Absolute Return Strategy ETF (the “Fund”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended December 31, 2021.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Beginning Account Value July 1, 2021	Ending Account Value December 31, 2021	Annualized Expense Ratio Based on the Six-Month Period	Expenses Paid During the Six-Month Period (a)
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Actual	$1,000.00	$1,009.30	0.95%	$4.81
Hypothetical (5% return before expenses)	$1,000.00	$1,020.42	0.95%	$4.84

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (July 1, 2021 through December 31, 2021), multiplied by 184/365 (to reflect the six-month period).

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First Trust Alternative Absolute Return Strategy ETF (FAAR)

Consolidated Portfolio of Investments

December 31, 2021

Besides the following listed futures contracts of the Fund’s wholly-owned subsidiary, there were no investments held by the Fund at December 31, 2021. Aggregate cost for federal income tax purposes was $0. As of December 31, 2021, the aggregate gross unrealized appreciation for all futures contracts in which there was an excess of value over tax cost was $9,014,985 and the aggregate gross unrealized depreciation for all futures contracts in which there was an excess of tax cost over value was $1,508,376. The net unrealized appreciation was $7,506,609.

The following futures contracts of the Fund’s wholly-owned subsidiary were open at December 31, 2021 (see Note 2B - Futures Contracts in the Notes to Consolidated Financial Statements):

Futures Contracts Long:	Number of Contracts	Notional Value	Expiration Date	Unrealized Appreciation (Depreciation)/ Value
Brent Crude Futures	11	$855,580	Jan–22	$(45,791)
Brent Crude Futures	12	928,200	Feb–22	(10,412)
Brent Crude Futures	12	922,800	Mar–22	(9,096)
Brent Crude Futures	12	916,680	Apr–22	48,008
Cattle Feeder Futures	13	1,104,675	Mar–22	40,622
Coffee “C” Futures	11	932,663	Mar–22	(64,638)
Corn Futures	256	7,593,600	Mar–22	113,431
Cotton No. 2 Futures	143	8,050,900	Mar–22	(121,485)
Cotton No. 2 Futures	63	3,480,120	May–22	(50,833)
Gasoline RBOB Futures	46	4,297,927	Jan–22	(42,385)
Gasoline RBOB Futures	50	4,680,060	Feb–22	30,095
Gold 100 Oz. Futures	34	6,217,240	Feb–22	1,459
KC HRW Wheat Futures	124	4,969,300	Mar–22	(212,790)
Live Cattle Futures	4	223,520	Feb–22	1,520
LME Lead Futures	17	983,450	Mar–22	(7,012)
LME Nickel Futures	16	1,996,176	Mar–22	106,887
LME Price Aluminum Futures	15	1,053,000	Mar–22	82,706
Low Sulphur Gasoil “G” Futures	12	799,500	Feb–22	(57,550)
Low Sulphur Gasoil “G” Futures	12	795,600	Mar–22	28,525
NY Harbor ULSD Futures	5	488,313	Jan–22	(19,960)
NY Harbor ULSD Futures	5	484,764	Feb–22	(4,210)
NY Harbor ULSD Futures	5	479,808	Mar–22	18,823
Silver Futures	4	467,040	Mar–22	13,040
Soybean Futures	34	2,276,725	Mar–22	94,479
Soybean Meal Futures	172	6,864,520	Mar–22	569,630
Soybean Oil Futures	85	2,883,030	Mar–22	(90,141)
WTI Crude Futures	5	372,250	Mar–22	(10,818)
WTI Crude Futures	5	369,700	Apr–22	(5,665)
WTI Crude Futures	5	366,850	May–22	(4,560)
WTI Crude Futures	4	291,120	Jun–22	24,338
		$66,145,111		$416,217
Futures Contracts Short:
Cocoa Futures	121	$(3,049,200)	Mar–22	$(72,903)
Copper Futures	15	(1,673,813)	Mar–22	(78,231)
Lean Hogs Futures	106	(3,454,540)	Feb–22	(98,641)
Lean Hogs Futures	49	(1,699,810)	Apr–22	(43,315)
Lean Hogs Futures	48	(1,872,960)	Jun–22	(37,442)
Natural Gas Futures	60	(2,134,200)	Feb–22	94,765
Platinum Futures	135	(6,521,850)	Apr–22	(260,459)
Sugar #11 (World) Futures	137	(2,896,947)	Feb–22	84,084
Wheat (CBT) Futures	78	(3,005,925)	Mar–22	195,840
		$(26,309,245)		$(216,302)
	Total	$39,835,866		$199,915

See Notes to Consolidated Financial Statements

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First Trust Alternative Absolute Return Strategy ETF (FAAR)

Consolidated Portfolio of Investments (Continued)

December 31, 2021

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Consolidated Financial Statements):

ASSETS TABLE
	Total Value at 12/31/2021	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Futures Contracts*	$ 1,548,252	$ 1,548,252	$ —	$ —

LIABILITIES TABLE
	Total Value at 12/31/2021	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Futures Contracts*	$ (1,348,337)	$ (1,348,337)	$ —	$ —

*	Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Consolidated Statement of Assets and Liabilities.

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See Notes to Consolidated Financial Statements

Table of Contents

First Trust Alternative Absolute Return Strategy ETF (FAAR)

Consolidated Statement of Assets and Liabilities

December 31, 2021

ASSETS:
Cash	$ 113,449,103
Cash segregated as collateral for open futures contracts	5,056,403
Total Assets	118,505,506
LIABILITIES:
Payables:
Variation margin	639,196
Investment advisory fees	98,629
Total Liabilities	737,825
NET ASSETS	$117,767,681
NET ASSETS consist of:
Paid-in capital	$ 113,059,193
Par value	41,000
Accumulated distributable earnings (loss)	4,667,488
NET ASSETS	$117,767,681
NET ASSET VALUE, per share	$28.72
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)	4,100,002

See Notes to Consolidated Financial Statements

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First Trust Alternative Absolute Return Strategy ETF (FAAR)

Consolidated Statement of Operations

For the Year Ended December 31, 2021

INVESTMENT INCOME:
Interest		$ 4,879
Total investment income		4,879
EXPENSES:
Investment advisory fees		975,900
Total expenses		975,900
NET INVESTMENT INCOME (LOSS)		(971,021)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on futures contracts		13,606,713
Net change in unrealized appreciation (depreciation) on futures contracts		(2,402,421)
NET REALIZED AND UNREALIZED GAIN (LOSS)		11,204,292
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$ 10,233,271

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Table of Contents

First Trust Alternative Absolute Return Strategy ETF (FAAR)

Consolidated Statements of Changes in Net Assets

	Year Ended 12/31/2021	Year Ended 12/31/2020
OPERATIONS:
Net investment income (loss)	$ (971,021)	$ (262,153)
Net realized gain (loss)	13,606,713	1,722,807
Net change in unrealized appreciation (depreciation)	(2,402,421)	2,362,498
Net increase (decrease) in net assets resulting from operations	10,233,271	3,823,152
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations	(7,651,184)	(1,738,282)
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold	55,887,439	35,167,877
Cost of shares redeemed	—	(3,833,815)
Net increase (decrease) in net assets resulting from shareholder transactions	55,887,439	31,334,062
Total increase (decrease) in net assets	58,469,526	33,418,932
NET ASSETS:
Beginning of period	59,298,155	25,879,223
End of period	$117,767,681	$59,298,155
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period	2,200,002	1,000,002
Shares sold	1,900,000	1,350,000
Shares redeemed	—	(150,000)
Shares outstanding, end of period	4,100,002	2,200,002

See Notes to Consolidated Financial Statements

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First Trust Alternative Absolute Return Strategy ETF (FAAR)

Consolidated Financial Highlights

For a share outstanding throughout each period

	Year Ended December 31,
	2021	2020	2019	2018	2017
Net asset value, beginning of period	$ 26.95	$ 25.88	$ 26.48	$ 29.35	$ 28.45
Income from investment operations:
Net investment income (loss)	(0.28) (a)	(0.18) (a)	0.36	0.14	(0.10) (a)
Net realized and unrealized gain (loss)	3.92	2.08	(0.70)	(2.86)	1.83
Total from investment operations	3.64	1.90	(0.34)	(2.72)	1.73
Distributions paid to shareholders from:
Net investment income	(1.87)	(0.83)	(0.26)	(0.11)	(0.83)
Return of capital	—	—	—	(0.04)	—
Total distributions	(1.87)	(0.83)	(0.26)	(0.15)	(0.83)
Net asset value, end of period	$28.72	$26.95	$25.88	$26.48	$29.35
Total return (b)	13.49%	7.35%	(1.27)%	(9.23)%	6.08%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 117,768	$ 59,298	$ 25,879	$ 18,534	$ 7,338
Ratio of total expenses to average net assets	0.95%	0.95%	0.95%	0.95%	0.95%
Ratio of net investment income (loss) to average net assets	(0.95)%	(0.68)%	0.88%	0.65%	(0.33)%
Portfolio turnover rate (c)	0%	0%	0%	0%	0%

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions.

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See Notes to Consolidated Financial Statements

Table of Contents

Notes to Consolidated Financial Statements

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021

1. Organization

The Trust consists of two funds that are offering shares. This report covers the First Trust Alternative Absolute Return Strategy ETF (the “Fund”), a diversified series of the Trust, which trades under the ticker “FAAR” on The Nasdaq Stock Market LLC (“Nasdaq”) and commenced operations on May 18, 2016. Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.”

The Fund is an actively managed exchange-traded fund. The investment objective of the Fund seeks to provide investors with long-term total return. Under normal market conditions, the Fund, through a wholly-owned subsidiary of the Fund, FT Cayman Subsidiary III (the “Subsidiary”), organized under the laws of the Cayman Islands, invests in a portfolio of commodity futures contracts (“Commodities Futures”). The Fund does not invest directly in Commodities Futures. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Fund’s investment in the Subsidiary may not exceed 25% of the Fund’s total assets at the end of each fiscal quarter. As of December 31, 2021, the Fund invested 22.30% of the Fund’s total assets in the Subsidiary. There can be no assurance that the Fund will achieve its investment objective. The Fund may not be appropriate for all investors.

2. Significant Accounting Policies

A. Portfolio Valuation

U.S. Treasuries are fair valued on the basis of valuations provided by a third-party pricing service approved by the Trust’s Board of Trustees.

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Notes to Consolidated Financial Statements (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021

•	Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
•	Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:

o	Quoted prices for similar investments in active markets.
o	Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o	Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o	Inputs that are derived principally from or corroborated by observable market data by correlation or other means.

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

B. Futures Contracts

Exchange-listed commodity futures contracts are generally based upon commodities within the five principal commodity groups: energy, industrial metals, agriculture, precious metals, and livestock. The price of a commodity futures contract will reflect the storage costs of purchasing the physical commodity. These storage costs include the time value of money invested in the physical commodity plus the actual costs of storing the commodity less any benefits from ownership of the physical commodity that are not obtained by the holder of a futures contract (this is sometimes referred to as the “convenience yield”). To the extent that these storage costs change for an underlying commodity while the Subsidiary is in a long position on that commodity, the value of the futures contract may change proportionately.

When the Subsidiary purchases or sells a futures contract, the Subsidiary is required to collateralize its position in order to limit the risk associated with the use of leverage and other related risks. To collateralize its position, the Subsidiary segregates assets consisting of cash or liquid securities that, when added to any amounts deposited with a futures commission merchant as margin, are equal to the unrealized depreciation of the futures contract or otherwise collateralize its position in a manner consistent with the 1940 Act or the 1940 Act Rules and SEC interpretations thereunder. As the Subsidiary continues to engage in the described securities trading practices and properly segregates assets, the segregated assets will function as a practical limit on the amount of leverage which the Subsidiary may undertake and on the potential increase in the speculative character of the Subsidiary’s outstanding portfolio investments.

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Notes to Consolidated Financial Statements (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021

Additionally, such segregated assets generally ensure the availability of adequate funds to meet the obligations of the Subsidiary arising from such investment activities.

C. Investment Transactions and Investment Income

D. Cash

The Fund holds assets equal to or greater than the full notional exposure of the futures contracts. These assets may consist of cash and other short-term securities to comply with SEC guidance with respect to coverage of futures contracts by registered investment companies. At December 31, 2021, the Fund had restricted cash held of $5,056,403, which is included in “Cash segregated as collateral for open futures contracts” on the Consolidated Statement of Assets and Liabilities.

E. Dividends and Distributions to Shareholders

Dividends from net investment income, if any, are declared and paid quarterly by the Fund. The Fund distributes its net realized capital gains, if any, to shareholders at least annually.

The tax character of distributions paid by the Fund during the fiscal years ended December 31, 2021 and 2020, was as follows:

Distributions paid from:	2021	2020
Ordinary income	$7,651,184	$1,738,282
Capital gains	—	—
Return of capital	—	—

As of December 31, 2021, the components of distributable earnings on a tax basis for the Fund were as follows:

Undistributed ordinary income	$15,341
Accumulated capital and other gain (loss)	(7,306,694)
Net unrealized appreciation (depreciation)	7,506,609

F. Income Taxes

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Notes to Consolidated Financial Statements (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021

when there has been a 50% change in ownership. At December 31, 2021, for federal income tax purposes, the Fund had no non-expiring capital loss carryforwards.

Accumulated Net Investment Income (Loss)		Accumulated Net Realized Gain (Loss)		Paid-in Capital
$13,606,713		$(13,606,713)		$—

G. Expenses

Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (See Note 3).

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

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Notes to Consolidated Financial Statements (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021

4. Purchases and Sales of Securities

For the fiscal year ended December 31, 2021, the Fund did not have any in-kind purchases or sales.

5. Derivative Transactions

		Asset Derivatives		Liability Derivatives
Derivative Instrument	Risk Exposure	Consolidated Statement of Assets and Liabilities Location	Value	Consolidated Statement of Assets and Liabilities Location	Value
Futures contracts	Commodity Risk	Unrealized appreciation on futures contracts*	$ 1,548,252	Unrealized depreciation on futures contracts*	$ 1,348,337

Consolidated Statement of Operations Location
Commodity Risk Exposure
Net realized gain (loss) on futures contracts	$13,606,713
Net change in unrealized appreciation (depreciation) on futures contracts	(2,402,421)

During the fiscal year ended December 31, 2021, the notional value of futures contracts opened and closed were $762,354,770 and $709,560,301, respectively.

The Fund does not have the right to offset financial assets and liabilities related to futures contracts on the Consolidated Statement of Assets and Liabilities.

6. Creations, Redemptions and Transaction Fees

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Notes to Consolidated Financial Statements (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021

7. Distribution Plan

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2023.

8. Indemnification

9. Subsequent Events

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Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of First Trust Exchange-Traded Fund VII:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying consolidated statement of assets and liabilities of First Trust Alternative Absolute Return Strategy ETF (the “Fund”), a series of the First Trust Exchange-Traded Fund VII, including the consolidated portfolio of investments, as of December 31, 2021, the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

Chicago, Illinois

February 23, 2022

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

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Additional Information

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021 (Unaudited)

Proxy Voting Policies and Procedures

Portfolio Holdings

Federal Tax Information

Dividends Received Deduction		Qualified Dividend Income
0.00%		0.00%

Risk Considerations

Page 20

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Additional Information (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021 (Unaudited)

Page 21

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Additional Information (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021 (Unaudited)

NOT FDIC INSURED

NOT BANK GUARANTEED

MAY LOSE VALUE

Page 22

Table of Contents

Board of Trustees and Officers

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021 (Unaudited)

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

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

Name, Year of Birth and Position with the Trust	Term of Office and Year First Elected or Appointed	Principal Occupations During Past 5 Years	Number of Portfolios in the First Trust Fund Complex Overseen by Trustee	Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INDEPENDENT TRUSTEES
Richard E. Erickson, Trustee (1951)	• Indefinite Term • Since Inception	Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016)	216	None
Thomas R. Kadlec, Trustee (1957)	• Indefinite Term • Since Inception	President, ADM Investor Services, Inc. (Futures Commission Merchant)	216	Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association
Denise M. Keefe, Trustee (1964)	• Indefinite Term • Since 2021	Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System)	216	Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021)
Robert F. Keith, Trustee (1956)	• Indefinite Term • Since Inception	President, Hibs Enterprises (Financial and Management Consulting)	216	Director of Trust Company of Illinois
Niel B. Nielson, Trustee (1954)	• Indefinite Term • Since Inception	Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services)	216	None

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Board of Trustees and Officers (Continued)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021 (Unaudited)

Name, Year of Birth and Position with the Trust	Term of Office and Year First Elected or Appointed	Principal Occupations During Past 5 Years	Number of Portfolios in the First Trust Fund Complex Overseen by Trustee	Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INTERESTED TRUSTEE
James A. Bowen⁽¹⁾, Trustee and Chairman of the Board (1955)	• Indefinite Term • Since Inception	Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)	216	None

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

Roger F. Testin (1966)	Vice President	• Indefinite Term • Since Inception	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.
Stan Ueland (1970)	Vice President	• Indefinite Term • Since Inception	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.

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

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

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First Trust Alternative Absolute Return Strategy ETF (FAAR)

December 31, 2021 (Unaudited)

Sources of Information

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

•	Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms;
•	Information about your transactions with us, our affiliates or others;
•	Information we receive from your inquiries by mail, e-mail or telephone; and
•	Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits.

Information Collected

Disclosure of Information

•

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

Use of Website Analytics

Confidentiality and Security

Policy Updates and Inquiries

March 2021

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INVESTMENT ADVISOR

First Trust Advisors L.P.

120 East Liberty Drive, Suite 400

Wheaton, IL 60187

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT

Brown Brothers Harriman & Co.

50 Post Office Square

Boston, MA 02110

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM

Deloitte & Touche LLP

111 S. Wacker Drive

Chicago, IL 60606

LEGAL COUNSEL

Chapman and Cutler LLP

320 South Canal Street

Chicago, IL 60606

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(b)

Not applicable.

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

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

Date:		March 9, 2022		/s/ James M. Dykas
				James M. Dykas, President and Chief Executive Officer (principal executive officer)